Fidelity Concord Street Trust – ‘N-30D’ for 2/28/99

As of:  Tuesday, 4/20/99   ·   For:  2/28/99   ·   Accession #:  819118-99-13   ·   File #:  811-05251

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Annual or Semi-Annual Report Mailed to Shareholders   —   Rule 30d-1
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-30D       Annual or Semi-Annual Report Mailed to               443±  1.15M 
                          Shareholders                                           

Document Table of Contents

CONTENTS                                                                        

PERFORMANCE            A-2   How the fund has done over                         
time.                 

FUND TALK              A-5   The manager's review of fund                       
   performance, strategy and
outlook.              

INVESTMENT CHANGES     A-8   A summary of major shifts in                       
     the fund's investments over
the past six months.  

INVESTMENTS            A-9   A complete list of the fund's                      
 investments  with their
market values.        

FINANCIAL STATEMENTS   A-21  Statements of assets and                           
      liabilities, operations, and
   changes in net assets, as
       well as financial highlights.

NOTES                  A-25  Notes to the financial                             
statements.           

REPORT OF INDEPENDENT  A-28  The auditors' opinion.                             
ACCOUNTANTS                                                                     

DISTRIBUTIONS          A-29                                                     

OF SPECIAL NOTE        A-30                                                     

PERFORMANCE: THE BOTTOM LINE                                                    

There are several ways to evaluate a fund's historical performance.             
You can look at the total percentage change in value, the average               
annual percentage change or the growth of a hypothetical $100,000               
investment. Total return reflects the change in the value of an                 
investment, assuming reinvestment of the fund's dividend income and             
capital gains (the profits earned upon the sale of securities that              
have grown in value). You can also look at the fund's income, as                
reflected in the fund's yield, to measure performance. If Fidelity had          
not reimbursed certain fund expenses, the total returns and dividends           
would have been lower.                                                          

CUMULATIVE TOTAL RETURNS                                                        

PERIODS ENDED FEBRUARY 28, 1999    PAST 1 YEAR  PAST 5 YEARS  LIFE OF FUND      

Fidelity US Bond Index             6.48%        40.94%        113.58%           

LB Aggregate Bond                  6.27%        41.15%        111.53%           

Intermediate US Government         5.10%        32.20%        n/a               
Funds                                                                           

CUMULATIVE TOTAL RETURNS show the fund's performance in percentage              
terms over a set period - in this case, one year, five years or since           
the fund started on March 8, 1990. For example, if you had invested             
$1,000 in a fund that had a 5% return over the past year, the value of          
your investment would be $1,050. You can compare the fund's returns to          
the performance of the Lehman Brothers Aggregate Bond Index - a market          
value-weighted index of investment-grade fixed-rate debt issues,                
including government, corporate, asset-backed, and mortgage-backed              
securities, with maturities of one year or more. To measure how the             
fund's performance stacked up against its peers, you can compare it to          
the intermediate U.S. government funds average, which reflects the              
performance of mutual funds with similar objectives tracked by Lipper           
Inc. The past one year average represents a peer group of 127 mutual            
funds. These benchmarks reflect reinvestment of dividends and capital           
gains, if any, and exclude the effect of sales charges.                         

AVERAGE ANNUAL TOTAL RETURNS                                                    

PERIODS ENDED FEBRUARY 28, 1999  PAST 1 YEAR  PAST 5 YEARS  LIFE OF FUND        

Fidelity US Bond Index           6.48%        7.10%         8.81%               

LB Aggregate Bond                6.27%        7.14%         8.70%               

Intermediate US Government       5.10%        5.73%         n/a                 
Funds                                                                           

AVERAGE ANNUAL TOTAL RETURNS take the fund's cumulative return and              
show you what would have happened if the fund had performed at a                
constant rate each year. (Note: Lipper calculates average annual total          
returns by annualizing each fund's total return, then taking an                 
arithmetic average. This may produce a different figure than that               
obtained by averaging the cumulative total returns and annualizing the          
result.)                                                                        

$100,000 OVER LIFE OF FUND                                                      
U.S. Bond Index Fund        LB Aggregate Bond         
00651                       LB001                     
1990/03/08     100000.00                   100000.00                        
1990/03/31     100334.13                   100200.26                        
1990/04/30      99232.62                    99278.42                        
1990/05/31     102189.26                   102217.06                        
1990/06/30     103637.46                   103862.75                        
1990/07/31     105211.59                   105296.06                        
1990/08/31     103898.15                   103885.09                        
1990/09/30     104751.63                   104747.34                        
1990/10/31     106143.01                   106077.63                        
1990/11/30     108273.07                   108358.30                        
1990/12/31     110005.55                   110048.69                        
1991/01/31     111316.41                   111413.29                        
1991/02/28     112055.04                   112360.31                        
1991/03/31     112952.27                   113135.59                        
1991/04/30     114289.10                   114357.46                        
1991/05/31     115089.04                   115020.73                        
1991/06/30     114998.91                   114963.22                        
1991/07/31     116575.94                   116561.21                        
1991/08/31     119079.57                   119078.93                        
1991/09/30     121585.25                   121496.23                        
1991/10/31     122981.96                   122844.84                        
1991/11/30     124257.93                   123975.01                        
1991/12/31     128015.40                   127657.07                        
1992/01/31     126511.27                   125920.93                        
1992/02/29     127201.55                   126739.42                        
1992/03/31     126754.56                   126029.68                        
1992/04/30     127580.12                   126937.09                        
1992/05/31     129996.05                   129336.20                        
1992/06/30     131918.90                   131121.04                        
1992/07/31     134833.17                   133795.91                        
1992/08/31     136292.03                   135147.25                        
1992/09/30     137967.69                   136755.50                        
1992/10/31     136317.08                   134936.66                        
1992/11/30     136256.71                   134963.64                        
1992/12/31     138217.87                   137109.57                        
1993/01/31     140967.33                   139742.07                        
1993/02/28     143813.29                   142187.56                        
1993/03/31     144409.44                   142784.74                        
1993/04/30     145487.25                   143784.24                        
1993/05/31     145670.64                   143971.16                        
1993/06/30     148202.15                   146577.03                        
1993/07/31     149308.26                   147412.52                        
1993/08/31     151733.88                   149992.24                        
1993/09/30     152252.00                   150397.22                        
1993/10/31     152763.63                   150953.69                        
1993/11/30     151516.01                   149670.58                        
1993/12/31     152335.03                   150478.81                        
1994/01/31     154246.91                   152510.27                        
1994/02/28     151546.54                   149856.59                        
1994/03/31     148345.96                   146155.13                        
1994/04/30     147082.69                   144985.89                        
1994/05/31     146961.57                   144971.39                        
1994/06/30     146846.42                   144652.46                        
1994/07/31     149481.52                   147531.04                        
1994/08/31     149682.61                   147708.08                        
1994/09/30     147691.69                   145536.77                        
1994/10/31     147616.35                   145405.79                        
1994/11/30     147378.55                   145085.89                        
1994/12/31     148355.28                   146086.99                        
1995/01/31     151119.14                   148979.51                        
1995/02/28     154420.52                   152525.22                        
1995/03/31     155258.79                   153455.62                        
1995/04/30     157445.95                   155604.00                        
1995/05/31     163459.44                   161625.88                        
1995/06/30     164724.05                   162805.75                        
1995/07/31     164468.64                   162447.57                        
1995/08/31     166233.98                   164413.19                        
1995/09/30     167825.55                   166008.00                        
1995/10/31     170226.02                   168166.10                        
1995/11/30     172626.38                   170688.59                        
1995/12/31     175058.06                   173078.23                        
1996/01/31     176222.54                   174220.55                        
1996/02/29     173149.98                   171189.11                        
1996/03/31     171911.37                   169990.79                        
1996/04/30     170786.38                   169038.84                        
1996/05/31     170482.12                   168700.76                        
1996/06/30     172616.98                   170961.35                        
1996/07/31     173139.90                   171422.95                        
1996/08/31     172842.80                   171131.53                        
1996/09/30     175690.27                   174109.22                        
1996/10/31     179590.05                   177974.44                        
1996/11/30     182646.39                   181017.80                        
1996/12/31     180984.46                   179334.34                        
1997/01/31     181371.40                   179890.28                        
1997/02/28     181682.83                   180340.00                        
1997/03/31     179823.39                   178338.23                        
1997/04/30     182635.09                   181013.30                        
1997/05/31     184088.01                   182732.93                        
1997/06/30     186396.97                   184907.45                        
1997/07/31     191235.46                   189899.95                        
1997/08/31     189667.54                   188285.80                        
1997/09/30     192553.43                   191072.43                        
1997/10/31     195298.01                   193842.98                        
1997/11/30     196212.75                   194734.66                        
1997/12/31     198262.66                   196701.48                        
1998/01/31     200838.35                   199219.26                        
1998/02/28     200587.29                   199059.88                        
1998/03/31     201355.50                   199736.69                        
1998/04/30     202263.39                   200775.32                        
1998/05/31     204148.52                   202682.68                        
1998/06/30     206019.11                   204405.48                        
1998/07/31     206558.77                   204834.74                        
1998/08/31     210134.26                   208173.54                        
1998/09/30     215043.74                   213044.80                        
1998/10/31     213813.38                   211915.67                        
1998/11/30     215057.71                   213123.58                        
1998/12/31     215841.89                   213762.96                        
1999/01/31     217504.75                   215280.67                        
1999/02/26     213584.65                   211513.26                        
IMATRL PRASUN   SHR__CHT 19990228 19990309 112033 R00000000000111               

$100,000 OVER LIFE OF FUND: Let's say hypothetically that $100,000 was          
invested in Fidelity U.S. Bond Index Fund on March 8, 1990, when the            
fund started. As the chart shows, by February 28, 1999, the value of            
the investment would have grown to $213,584 - a 113.58% increase on             
the initial investment. For comparison, look at how the Lehman                  
Brothers Aggregate Bond Index did over the same period. With dividends          
and capital gains, if any, reinvested, the same $100,000 would have             
grown to $211,528 - a 111.53% increase.                                         

(checkmark)UNDERSTANDING                                                        
PERFORMANCE                                                                     

How a fund did yesterday is                                                     
no guarantee of how it will do                                                  
tomorrow. Bond prices, for                                                      
example, generally move in                                                      
the opposite direction of                                                       
interest rates. In turn, the                                                    
share price, return and yield                                                   
of a fund that invests in bonds                                                 
will vary. That means if you                                                    
sell your shares during a                                                       
market downturn, you might                                                      
lose money. But if you can ride                                                 
out the market's ups and                                                        
downs, you may have a gain.                                                     

DIVIDENDS AND YIELD                                                             

PERIODS ENDED FEBRUARY 28, 1999  PAST 1 MONTH  PAST 6 MONTHS  PAST 1 YEAR       

Dividends per share              5.08(cents)   33.22(cents)   68.73(cents)      

Annualized dividend rate         6.07%         6.09%          6.30%             

30-day annualized yield          5.68%         -              -                 

DIVIDENDS per share show the income paid by the fund for a set period.          
If you annualize this number, based on an average share price of                
$10.91 over the past one month, $11.00 over the past six months and             
$10.91 over the past one year, you can compare the fund's income over           
these three periods. The 30-day annualized YIELD is a standard formula          
for all funds based on the yields of the bonds in the fund, averaged            
over the past 30 days. This figure shows you the yield characteristics          
of the fund's investments at the end of the period. It also helps you           
compare funds from different companies on an equal basis. If Fidelity           
had not reimbursed certain fund expenses during the period shown, the           
yield would have been 5.45%.                                                    

FUND TALK: THE MANAGER'S OVERVIEW                                               

(photograph of Thomas Silvia)                                                   

An interview with Thomas Silvia, Portfolio Manager of Fidelity                  
U.S. Bond Index Fund                                                            

Q. HOW DID THE FUND PERFORM, TOM?                                               

A. For the 12-month period that ended February 28, 1999, the fund had           
a total return of 6.48%, while the Lehman Brothers Aggregate Bond               
Index returned 6.27%. For another comparison, the intermediate U.S.             
government funds average as tracked by Lipper Inc. returned 5.10% for           
the same 12-month period.                                                       

Q. HOW WOULD YOU CHARACTERIZE THE INVESTING ENVIRONMENT FOR BONDS OVER          
THE PAST YEAR?                                                                  

A. Let's start by reviewing the Treasury market's performance, which            
posted quite strong returns during the first eight months or so of the          
period amid uncertainty about the economic, fiscal and political                
health of Southeast Asia, Japan and parts of Latin America. During              
that period, Treasuries were viewed by investors from around the world          
as the safe haven of choice against worsening global economic                   
problems. As investors flocked to Treasuries, they pushed their yields          
- which move in the opposite direction of their prices - to 30-year             
lows. In late summer, Russia effectively defaulted on some of its debt          
and a large hedge fund verged on near-collapse. In response, the U.S.           
Federal Reserve Board pumped additional enthusiasm into the Treasury            
market by cutting short-term interest rates by 0.75 percentage points           
during a three-month period from September through November. With               
protracted economic problems spreading across the recession-prone -             
and in some cases, depression-prone - economies in Latin America,               
Southeast Asia, Japan and Russia, investors expected the Fed to                 
continue lowering interest rates further in order to keep the U.S. on           
a growth track.                                                                 

Q. WHAT CAUSED SENTIMENT TO SHIFT SO DRAMATICALLY DURING THE PAST FOUR          
OR FIVE MONTHS?                                                                 

A. Repeated signs that the U.S. economy was growing at a                        
faster-than-expected pace - despite economic turmoil elsewhere -                
doused hopes of further interest-rate cuts, turning investors more              
bearish about Treasury bonds' short-term prospects. In fact, many               
market observers worried that employment, purchasing and Gross                  
Domestic Product reports were so strong that the Fed would be forced            
to hike interest rates - rather than lower them - in order to calm              
brewing inflationary pressures. The change in sentiment led many                
investors to unwind the same "flight-to-quality" that had previously            
pushed Treasury prices to near all-time highs last fall. Even though            
inflation didn't rise substantially, Treasury yields climbed nearly a           
full percentage point from late October through the end of the period.          

Q. HOW DID OTHER TYPES OF BONDS - SUCH AS MORTGAGE, AGENCY AND                  
CORPORATE BONDS - PERFORM AGAINST THAT BACKDROP?                                

A. They were relatively strong early on, experienced a pretty tough             
fall but have gained significant ground on Treasury securities during           
the past four or five months. Corporate bonds were volatile throughout          
the first half of the period in response to changing perceptions about          
the strength and sustainability of corporate profitability. Mortgage            
securities, meanwhile, started off strong but increasingly suffered             
from fears that more early prepayments would occur as homeowners                
refinanced their home loans to lock in lower interest rates. Bond               
holders generally dislike prepayments because it potentially forces             
them to reinvest the proceeds at lower interest rates. Agency                   
securities were in high demand last spring in part because of their             
relatively attractive yields. And even though they carry the implicit           
backing of the U.S. government, agency securities did not benefit from          
the same "flight-to-quality" that lifted Treasuries, partly because             
they were perceived to be less liquid, or less easily traded.                   

Q. HOW HAVE THE NON-GOVERNMENT SECTORS PERFORMED IN LIGHT OF A WEAKER           
TREASURY MARKET OVER THE PAST FOUR OR FIVE MONTHS?                              

A. They've improved significantly. As investors began to focus on the           
prospects of higher interest rates, they gravitated away from                   
Treasuries into higher-yielding mortgage and agency securities, both            
of which offered attractive values in many cases. With news that the            
U.S. economy has proven fairly resistant to worldwide economic                  
turmoil, investors were worrying less about corporate profitability             
and recently have pushed corporate bond prices up somewhat from late            
last-year's lows.                                                               

Q. WHAT WERE THE FINAL TALLIES FOR EACH OF THE SEGMENTS THAT MAKE UP            
THE LEHMAN BROTHERS AGGREGATE BOND INDEX OVER THE PAST YEAR?                    

A. For the 12-month period that ended February 28, 1999, here's how             
individual sectors within the index performed: mortgage-backed                  
securities, at about 31.8% of the index, returned 6.01%; corporate              
securities, which accounted for nearly 22.1% of the index, returned             
5.82%; agency securities, at about 8.9% of the index, returned 6.46%;           
and asset-backed securities at less than 1.3% of the index, returned            
6.29%. Those returns compared to the 6.53% return of U.S. Treasury              
securities, which made up about 35.9% of the index.                             

Q. TURNING TO THE FUND, WHAT HELPED ITS PERFORMANCE RELATIVE TO THE             
LEHMAN BROTHERS AGGREGATE BOND INDEX?                                           

A. The main reason for the fund's outperformance was how its                    
investments were allocated among the various sub-sectors of the bond            
market. Specifically, the fund had a slightly larger weighting than             
the index in corporate securities until early July, which benefited             
performance due to the strength of that sector. From about mid-July             
through late September, I pared back the fund's stake in corporate              
securities, which performed poorly when investors became more                   
squeamish about corporate profitability. After those fears began to             
subside, I added more corporate securities at what I viewed as                  
attractive prices. Given their recent strong performance, having that           
higher allocation to corporate securities helped the fund's                     
performance over the past three to four months. The fund also                   
benefited from small, periodic changes of its allocation to mortgage            
securities.                                                                     

Q. WHAT'S YOUR OUTLOOK?                                                         

A. I think that the worst of the crisis that plagued global financial           
markets last fall is behind us. The market is now pricing bonds with            
the expectation that the Fed won't lower interest rates from here as            
long as the U.S. economy remains strong. Given that, I think we'll              
enter a more "normal", less volatile market environment than we                 
experienced in the last half of 1998. Given my outlook, I believe that          
agency, mortgage, corporate and asset-backed securities are poised to           
do better than Treasuries over the near-term. But whatever happens,             
I'll continue to attempt to keep the fund's performance on track with           
the Lehman Brothers Aggregate Bond Index.                                       

THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO               
MANAGER ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON           
THE COVER AND DO NOT NECESSARILY REPRESENT THE VIEWS OF FIDELITY OR             
ANY OTHER PERSON IN THE FIDELITY ORGANIZATION. ANY SUCH VIEWS ARE               
SUBJECT TO CHANGE AT ANY TIME BASED UPON MARKET OR OTHER CONDITIONS             
AND FIDELITY DISCLAIMS ANY RESPONSIBILITY TO UPDATE SUCH VIEWS. THESE           
VIEWS MAY NOT BE RELIED ON AS INVESTMENT ADVICE AND, BECAUSE                    
INVESTMENT DECISIONS FOR A FIDELITY FUND ARE BASED ON NUMEROUS                  
FACTORS, MAY NOT BE RELIED ON AS AN INDICATION OF TRADING INTENT ON             
BEHALF OF ANY FIDELITY FUND.                                                    

(checkmark)FUND FACTS                                                           

GOAL: to provide returns                                                        
consistent with those of the                                                    
Lehman Brothers Aggregate                                                       
Bond Index                                                                      

START DATE: March 8, 1990                                                       

SIZE: as of February 28,                                                        
1999, more than $1.2                                                            
billion                                                                         

MANAGER: Thomas Silvia,                                                         
since 1998; manager, other                                                      
Fidelity and Spartan bond                                                       
funds; joined Fidelity in                                                       
1993                                                                            

TOM SILVIA ON HIS                                                               
INVESTMENT APPROACH:                                                            

"My goal is to manage the fund so                                               
that its performance tracks that of                                             
the Lehman Brothers Aggregate                                                   
Bond Index. That said, I don't buy                                              
every security in the index -                                                   
which is made up of about 5,700                                                 
individual securities. Instead, I                                               
choose representative securities.                                               
In the corporate sector, for                                                    
example, the fund had a modest                                                  
overweighting - relative to the                                                 
index - in corporate securities                                                 
issued by banks and financial                                                   
companies. With the help of                                                     
Fidelity's research team, I                                                     
determined that they were priced                                                
attractively when I bought them,                                                
in part because the supply of them                                              
was fairly ample. Even though they                                              
struggled when the world's                                                      
financial crisis appeared to be at its                                          
worst in the fall, I felt they offered                                          
the potential for strong long-term                                              
total returns. The fund also got a                                              
boost from its modest                                                           
overweighting in its                                                            
telecommunications holdings,                                                    
which performed quite well                                                      
throughout most of the year. Finally,                                           
the fund benefited from its                                                     
slightly bigger stake in Yankee                                                 
bonds, which are                                                                
dollar-denominated bonds issued                                                 
in the United States by foreign                                                 
banks, corporations and                                                         
governments, particularly                                                       
high-quality Yankee bonds issued                                                
by Canadian provinces."                                                         

INVESTMENT CHANGES                                                              

                                                                [Download Table]

                                                                                  
QUALITY DIVERSIFICATION AS OF                                                     
FEBRUARY 28, 1999                                                                 

(MOODY'S RATINGS)              % OF FUND'S INVESTMENTS  % OF FUND'S INVESTMENTS  6
                                                        MONTHS AGO                

Aaa                             69.3                     71.6                     

Aa                              1.2                      0.4                      

A                               10.3                     8.2                      

Baa                             13.9                     12.6                     

Not Rated                       0.2                      0.3                      


TABLE EXCLUDES SHORT-TERM INVESTMENTS. WHERE MOODY'S RATINGS ARE NOT            
AVAILABLE, WE HAVE USED S&P RATINGS. SECURITIES RATED AS "BA" OR BELOW          
WERE RATED INVESTMENT GRADE BY OTHER NATIONALLY RECOGNIZED RATING               
AGENCIES OR ASSIGNED AN INVESTMENT GRADE RATING AT THE TIME OF                  
ACQUISITION BY FIDELITY.                                                        

AVERAGE YEARS TO MATURITY AS                                                    
OF FEBRUARY 28, 1999                                                            

      6 MONTHS AGO

Years                          7.8   7.6                                        

AVERAGE YEARS TO MATURITY IS BASED ON THE AVERAGE TIME UNTIL PRINCIPAL          
PAYMENTS ARE EXPECTED FROM EACH OF THE FUND'S BONDS, WEIGHTED BY                
DOLLAR AMOUNT.                                                                  

DURATION AS OF FEBRUARY 28,                                                     
1999                                                                            

    6 MONTHS AGO

Years                         4.8   4.4                                         

DURATION SHOWS HOW MUCH A BOND FUND'S PRICE FLUCTUATES WITH CHANGES IN          
COMPARABLE INTEREST RATES. IF RATES RISE 1%, FOR EXAMPLE, A FUND WITH           
A FIVE-YEAR DURATION IS LIKELY TO LOSE ABOUT 5% OF ITS VALUE. OTHER             
FACTORS ALSO CAN INFLUENCE A BOND FUND'S PERFORMANCE AND SHARE PRICE.           
ACCORDINGLY, A BOND FUND'S ACTUAL PERFORMANCE MAY DIFFER FROM THIS              
EXAMPLE.                                                                        

ASSET ALLOCATION (% OF FUND'S                                                   
INVESTMENTS)                                                                    

AS OF FEBRUARY 28, 1999 *                                                       

U.S. government                                                                 
and agency                                                                      
obligations 40.8%                                                               
Mortgage-backed                                                                 
securities 29.0%                                                                
Corporate bonds 21.9%                                                           
Foreign government                                                              
obligations 1.5%                                                                
Other 1.7%                                                                      
Short-term                                                                      
investments 5.1%                                                                
* FOREIGN                                                                       
INVESTMENTS 5.1%                                                              

Row: 1, Col: 6, Value: 40.8                                                     
Row: 1, Col: 5, Value: 29.0                                                     
Row: 1, Col: 4, Value: 21.9                                                     
Row: 1, Col: 3, Value: 1.5                                                      
Row: 1, Col: 2, Value: 1.7                                                      
Row: 1, Col: 1, Value: 5.1                                                      

AS OF AUGUST 31, 1998 **                                                        

U.S. government                                                                 
and agency                                                                      
obligations 42.0%                                                               
Mortgage-backed                                                                 
securities 28.3%                                                                
Corporate bonds 22.4%                                                           
Foreign government                                                              
obligations 0.4%                                                                
Other 0.0%                                                                      
Short-term                                                                      
investments 6.9%                                                                
** FOREIGN                                                                      
INVESTMENTS 4.9%                                                            

Row: 1, Col: 6, Value: 41.0                                                     
Row: 1, Col: 5, Value: 28.3                                                     
Row: 1, Col: 4, Value: 22.4                                                     
Row: 1, Col: 3, Value: 1.4                                                      
Row: 1, Col: 2, Value: 0.0                                                      
Row: 1, Col: 1, Value: 6.9                                                      

INVESTMENTS FEBRUARY 28, 1999                                                   

Showing Percentage of Total Value of Investment in Securities                   

                                                                [Download Table]

                                                                        
NONCONVERTIBLE BONDS - 21.9%                                            

MOODY'S RATINGS (UNAUDITED) (C)        PRINCIPAL AMOUNT  VALUE (NOTE 1) 

AEROSPACE & DEFENSE - 0.5%                                              

DEFENSE ELECTRONICS - 0.5%                                              

Raytheon Co.:                                                           

5.95% 3/15/01                    Baa1  $ 3,300,000       $ 3,305,445    

6.45% 8/15/02                    Baa1   3,470,000         3,514,694     

                                                          6,820,139     

BASIC INDUSTRIES - 0.2%                                                 

PACKAGING & CONTAINERS - 0.2%                                           

Corning, Inc. 6.85% 3/1/29       A2     2,330,000         2,325,596     

CONSTRUCTION & REAL ESTATE -                                            
0.6%                                                                    

REAL ESTATE INVESTMENT TRUSTS                                           
- 0.6%                                                                  

CenterPoint Properties Trust     Baa2   1,210,000         1,144,575     
6.75% 4/1/05                                                            

Equity Office Properties         Baa1   2,550,000         2,532,737     
Trust 6.376% 2/15/02                                                    

Weeks Realty LP 6.875% 3/15/05   Baa2   4,000,000         3,694,000     

                                                          7,371,312     

DURABLES - 0.3%                                                         

TEXTILES & APPAREL - 0.3%                                               

Levi Strauss & Co. 7% 11/1/06    Baa3   4,035,000         3,671,850     
(a)                                                                     

ENERGY - 0.6%                                                           

ENERGY SERVICES - 0.3%                                                  

Baker Hughes, Inc. 5.8%          A2     5,000,000         4,935,500     
2/15/03 (a)                                                             

OIL & GAS - 0.3%                                                        

Elf Aquitaine yankee 7.75%       Aa3    250,000           251,005       
5/1/99                                                                  

Occidental Petroleum Corp.       Baa3   390,000           390,792       
6.09% 11/29/99                                                          

Petro-Canada 7% 11/15/28         A3     3,270,000         3,048,131     

                                                          3,689,928     

TOTAL ENERGY                                              8,625,428     

FINANCE - 9.1%                                                          

BANKS - 4.6%                                                            

Banc One Corp. 7.625% 10/15/26   A1     6,000,000         6,510,720     

Banco Latinoamericano            Baa2   1,000,000         997,188       
Exportaciones SA euro 6.9%                                              
12/4/99 (a)                                                             

BankBoston NA:                                                          

6.375% 3/25/08                   A2     1,200,000         1,175,268     

NONCONVERTIBLE BONDS -                                                  
CONTINUED                                                               

MOODY'S RATINGS (UNAUDITED) (C)        PRINCIPAL AMOUNT  VALUE (NOTE 1) 

FINANCE - CONTINUED                                                     

BANKS - CONTINUED                                                       

BankBoston NA: - continued                                              

6.375% 4/15/08                   A2    $ 7,000,000       $ 6,854,820    

BanPonce Corp. 6.488% 3/3/00     A3     1,440,000         1,449,432     

Barclays Bank PLC yankee:                                               

5.875% 7/15/00                   A1     5,400,000         5,399,622     

5.95% 7/15/01                    A1     5,950,000         5,947,739     

Barnett Banks, Inc. 10.875%      Aa3    1,020,000         1,196,511     
3/15/03                                                                 

Capital One Bank:                                                       

6.375% 2/15/03                   Baa3   4,400,000         4,293,432     

6.48% 6/28/02                    Baa3   1,000,000         983,090       

Den Danske Bank AS 6.375%        A1     7,770,000         7,619,456     
6/15/08 (a)(b)                                                          

First Security Corp. 7.5%        Baa1   3,000,000         3,071,250     
9/1/02                                                                  

First Tennessee National         Baa1   1,000,000         1,019,790     
Corp. 6.75% 11/15/05                                                    

Kansallis-Osake-Pankki, New      A3     2,600,000         2,874,040     
York 10% 5/1/02                                                         

Merita Bank Ltd. yankee 6.5%     A3     2,100,000         2,092,986     
1/15/06                                                                 

Popular, Inc. 6.4% 8/25/00       A3     2,540,000         2,535,377     

Provident Bank 6.375% 1/15/04    Baa2   1,500,000         1,491,570     

Providian National Bank 6.25%    Baa3   4,700,000         4,677,158     
5/7/01                                                                  

Union Planters Corp. 6.75%       Baa2   1,500,000         1,492,440     
11/1/05                                                                 

                                                          61,681,889    

CREDIT & OTHER FINANCE - 2.4%                                           

Ahmanson Capital Trust I         A3     3,000,000         3,162,240     
8.36% 12/1/26 (a)                                                       

AT&T Capital Corp. 6.25%         Baa3   4,350,000         4,314,983     
5/15/01                                                                 

Countrywide Funding Corp.        A3     4,000,000         4,018,760     
6.45% 2/27/03                                                           

Edison Mission Energy Funding    Baa1   2,857,876         2,891,684     
Corp. 6.77% 9/15/03 (a)                                                 

First Security Capital I         A3     3,000,000         3,159,480     
8.41% 12/15/26                                                          

Ford Motor Credit Co. 5.75%      A1     7,000,000         6,885,620     
2/23/04                                                                 

Heller Financial, Inc. 6.5%      A3     2,000,000         2,014,660     
5/15/00                                                                 

Sprint Capital Corp. 6.875%      Baa1   4,700,000         4,702,914     
11/15/28                                                                

Yorkshire Power Finance Ltd.     Baa2   1,200,000         1,182,672     
yankee 6.496% 2/25/08                                                   

                                                          32,333,013    

INSURANCE - 1.2%                                                        

Farmers Insurance Exchange:                                             

8.5% 8/1/04 (a)                  A2     4,000,000         4,391,120     

8.625% 5/1/24 (a)                A2     5,000,000         5,612,000     

NONCONVERTIBLE BONDS -                                                  
CONTINUED                                                               

MOODY'S RATINGS (UNAUDITED) (C)        PRINCIPAL AMOUNT  VALUE (NOTE 1) 

FINANCE - CONTINUED                                                     

INSURANCE - CONTINUED                                                   

Metropolitan Life Insurance      A1    $ 3,560,000       $ 3,517,672    
Co. 6.3% 11/1/03 (a)                                                    

Nationwide Mutual Insurance      A1     2,690,000         2,678,110     
Co. 6.5% 2/15/04 (a)                                                    

                                                          16,198,902    

SAVINGS & LOANS - 0.6%                                                  

Home Savings of America FSB:                                            

6% 11/1/00                       A3     1,600,000         1,593,824     

6.5% 8/15/04                     A3     2,000,000         1,974,280     

Long Island Savings Bank FSB:                                           

6.2% 4/2/01                      Baa3   2,050,000         2,046,782     

7% 6/13/02                       Baa3   2,120,000         2,147,814     

                                                          7,762,700     

SECURITIES INDUSTRY - 0.3%                                              

Amvescap PLC yankee 6.375%       A3     4,835,000         4,771,613     
5/15/03                                                                 

TOTAL FINANCE                                             122,748,117   

INDUSTRIAL MACHINERY &                                                  
EQUIPMENT - 0.9%                                                        

Tyco International Group SA:                                            

6.125% 11/1/08 (a)               Baa1   10,000,000        9,561,400     

yankee 6.375% 6/15/05            Baa1   2,920,000         2,924,701     

                                                          12,486,101    

MEDIA & LEISURE - 2.4%                                                  

BROADCASTING - 2.3%                                                     

Continental Cablevision, Inc.    Baa3   5,000,000         5,469,400     
8.3% 5/15/06                                                            

Hearst-Argyle Television,        Baa3   5,000,000         5,051,950     
Inc. 7% 11/15/07                                                        

TCI Communications, Inc.         A2     12,000,000        14,606,880    
8.75% 8/1/15                                                            

Time Warner, Inc.:                                                      

6.625% 5/15/29                   Baa3   5,000,000         4,744,750     

8.18% 8/15/07                    Baa3   1,000,000         1,116,510     

                                                          30,989,490    

NONCONVERTIBLE BONDS -                                                  
CONTINUED                                                               

MOODY'S RATINGS (UNAUDITED) (C)        PRINCIPAL AMOUNT  VALUE (NOTE 1) 

MEDIA & LEISURE - CONTINUED                                             

PUBLISHING - 0.1%                                                       

News America Holdings, Inc.      Baa3  $ 1,000,000       $ 1,082,390    
8.625% 2/1/03                                                           

TOTAL MEDIA & LEISURE                                     32,071,880    

NONDURABLES - 1.1%                                                      

BEVERAGES - 0.8%                                                        

Seagram Co. Ltd. 8.35% 1/15/22   Baa3   1,020,000         1,118,226     

Seagram J E & Sons, Inc.         Baa3   10,000,000        9,900,000     
6.625% 12/15/05                                                         

                                                          11,018,226    

FOODS - 0.2%                                                            

ConAgra, Inc. 5.5% 10/15/02      Baa1   2,400,000         2,347,608     

TOBACCO - 0.1%                                                          

Philip Morris Companies, Inc.    A2     2,000,000         2,049,860     
7% 7/15/05                                                              

TOTAL NONDURABLES                                         15,415,694    

RETAIL & WHOLESALE - 0.9%                                               

DRUG STORES - 0.7%                                                      

Rite Aid Corp.:                                                         

5.5% 12/15/00 (a)                Baa1   5,000,000         4,960,500     

6% 12/15/05 (a)                  Baa1   5,000,000         4,851,000     

                                                          9,811,500     

GENERAL MERCHANDISE STORES -                                            
0.2%                                                                    

Federated Department Stores,     Baa2   1,800,000         1,816,254     
Inc. 6.79% 7/15/27                                                      

TOTAL RETAIL & WHOLESALE                                  11,627,754    

TECHNOLOGY - 0.5%                                                       

COMPUTER SERVICES & SOFTWARE                                            
- 0.3%                                                                  

Computer Associates              Baa1   4,000,000         3,966,120     
International, Inc. 6.25%                                               
4/15/03                                                                 

COMPUTERS & OFFICE EQUIPMENT                                            
- 0.2%                                                                  

Comdisco, Inc.:                                                         

5.75% 2/15/01                    Baa1   1,605,000         1,587,714     

NONCONVERTIBLE BONDS -                                                  
CONTINUED                                                               

MOODY'S RATINGS (UNAUDITED) (C)        PRINCIPAL AMOUNT  VALUE (NOTE 1) 

TECHNOLOGY - CONTINUED                                                  

COMPUTERS & OFFICE EQUIPMENT                                            
- CONTINUED                                                             

Comdisco, Inc.: - continued                                             

9.25% 7/6/00                     Baa2  $ 375,000         $ 392,003      

9.3% 6/27/00                     Baa2   1,250,000         1,306,538     

                                                          3,286,255     

TOTAL TECHNOLOGY                                          7,252,375     

TRANSPORTATION - 0.9%                                                   

AIR TRANSPORTATION - 0.3%                                               

Continental Airlines, Inc.       Baa1   1,472,300         1,469,444     
Pass Through Trust                                                      
Certificates 7.42% 10/1/08                                              

Delta Air Lines, Inc. 9.875%     Baa3   3,000,000         3,125,760     
5/15/00                                                                 

                                                          4,595,204     

RAILROADS - 0.6%                                                        

Canadian National Railway Co.    Baa2   2,400,000         2,421,768     
6.9% 7/15/28                                                            

CSX Corp. 6.46% 6/22/05          Baa2   2,000,000         2,003,540     

Wisconsin Central                Baa2   3,150,000         3,093,962     
Transportation Corp. 6.625%                                             
4/15/08                                                                 

                                                          7,519,270     

TOTAL TRANSPORTATION                                      12,114,474    

UTILITIES - 3.9%                                                        

CELLULAR - 0.6%                                                         

360 Degrees Communications       Baa1   2,000,000         2,075,200     
Co. 7.125% 3/1/03                                                       

AirTouch Communications, Inc.    Baa2   2,000,000         2,054,100     
6.65% 5/1/08                                                            

Cable & Wireless                 Baa1   3,470,000         3,478,293     
Communications PLC 6.375%                                               
3/6/03                                                                  

                                                          7,607,593     

ELECTRIC UTILITY - 1.7%                                                 

Avon Energy Partners Holdings:                                          

yankee 6.73% 12/11/02 (a)        Baa2   3,000,000         3,027,240     

6.46% 3/4/08 (a)                 Baa2   5,000,000         4,976,850     

Israel Electric Corp. Ltd.       A3     3,000,000         2,893,740     
7.1% 12/15/07 (a)                                                       

NONCONVERTIBLE BONDS -                                                  
CONTINUED                                                               

MOODY'S RATINGS (UNAUDITED) (C)        PRINCIPAL AMOUNT  VALUE (NOTE 1) 

UTILITIES - CONTINUED                                                   

ELECTRIC UTILITY - CONTINUED                                            

Massachusetts Electric Co.       A1    $ 2,000,000       $ 2,023,000    
6.78% 11/20/06                                                          

Philadelphia Electric Co.        Baa1   10,000,000        10,182,600    
6.625% 3/1/03                                                           

                                                          23,103,430    

GAS - 1.1%                                                              

Columbia Gas System, Inc.:                                              

6.39% 11/28/00                   A3     3,000,000         3,023,250     

6.61% 11/28/02                   A3     1,000,000         1,015,560     

Enserch Corp. 6.25% 1/1/03       Baa2   4,375,000         4,395,869     

Sonat, Inc. 9.5% 8/15/99         Baa1   3,238,000         3,295,863     

Southwest Gas Corp. 9.75%        Baa2   3,020,000         3,302,763     
6/15/02                                                                 

                                                          15,033,305    

TELEPHONE SERVICES - 0.5%                                               

MCI WorldCom, Inc. 8.875%        Baa2   2,014,000         2,167,688     
1/15/06                                                                 

Pacific Bell 8.7% 6/15/01        A1     3,850,000         4,099,480     

                                                          6,267,168     

TOTAL UTILITIES                                           52,011,496    

TOTAL NONCONVERTIBLE BONDS                                294,542,216   
(Cost $297,729,145)                                                     

U.S. GOVERNMENT AND                                                     
GOVERNMENT AGENCY                                                       
OBLIGATIONS - 40.8%                                                     

U.S. GOVERNMENT AGENCY                                                  
OBLIGATIONS - 9.2%                                                      

Fannie Mae:                                                             

6.5% 7/16/07                     Aaa    8,835,000         9,151,116     

6.64% 7/2/07                     Aaa    10,500,000        10,933,125    

7.49% 3/2/05                     Aaa    1,050,000         1,139,576     

7.65% 3/10/05                    Aaa    2,000,000         2,186,240     

9.2% 9/11/00                     Aaa    2,500,000         2,636,325     

Federal Agricultural Mortgage                                           
Corp.:                                                                  

6.92% 8/10/02                    Aaa    1,040,000         1,081,111     

7.44% 5/25/00                    Aaa    500,000           511,795       

Federal Farm Credit Bank:                                               

5.95% 5/18/05                    Aaa    3,000,000         3,021,570     

5.97% 3/11/05                    Aaa    5,000,000         5,039,050     

6.22% 10/12/04                   Aaa    18,110,000        18,483,428    

U.S. GOVERNMENT AND                                                     
GOVERNMENT AGENCY                                                       
OBLIGATIONS - CONTINUED                                                 

MOODY'S RATINGS (UNAUDITED) (C)        PRINCIPAL AMOUNT  VALUE (NOTE 1) 

U.S. GOVERNMENT AGENCY                                                  
OBLIGATIONS - CONTINUED                                                 

Federal Home Loan Bank:                                                 

4.96% 10/7/05                    Aaa   $ 4,100,000       $ 3,907,177    

5.125% 2/26/02                   Aaa    3,000,000         2,993,190     

7.31% 6/16/04                    Aaa    2,040,000         2,183,432     

Federal National Mortgage                                               
Association:                                                            

0% 4/8/03                        Aaa    1,000,000         800,940       

0% 10/8/04                       Aaa    1,000,000         727,660       

Freddie Mac:                                                            

5% 2/15/01                       Aaa    10,000,000        9,927,870     

8% 1/26/05                       Aaa    1,000,000         1,110,000     

Government Loan Trusts           Aaa    2,609,001         2,849,290     
(assets of Trust guaranteed                                             
by U.S. Government through                                              
Agency for International                                                
Development)  8.5% 4/1/06                                               

Government Trust Certificates                                           
(assets of Trust guaranteed                                             
by U.S. Government through                                              
Defense Security Assistance                                             
Agency):                                                                

Class 1-C, 9.25% 11/15/01        Aaa    483,103           508,277       

Class 2-E 9.4% 5/15/02           Aaa    1,223,123         1,279,753     

Class T-3, 9.625% 5/15/02        Aaa    1,576,199         1,649,178     

Guaranteed Export Trust                                                 
Certificates (assets of                                                 
Trust guaranteed by U.S.                                                
Government through                                                      
Export-Import Bank):                                                    

Series 1993 C, 5.2% 10/15/04     Aaa    1,080,489         1,064,349     

Series 1993 D, 5.23% 5/15/05     Aaa    500,000           491,465       

Series 1994 C, 6.61% 9/15/99     Aaa    47,430            47,497        

Series 1995-A, 6.28% 6/15/04     Aaa    8,774,118         8,884,013     

Series 1995-B, 6.13% 6/15/04     Aaa    11,000,000        11,095,975    

Guaranteed Trade Trust           Aaa    3,750,000         3,764,250     
Certificates (assets of                                                 
Trust guaranteed by U.S.                                                
Government through                                                      
Export-Import Bank) Series                                              
1997-A,  6.104% 7/15/03                                                 

Overseas Private Investment                                             
Corp.  U.S. Government                                                  
guaranteed  participation                                               
certificate:                                                            

Series 1994-195, 6.08%           Aaa    1,363,425         1,383,372     
8/15/04 (callable)                                                      

Series 1998-196A, 5.926%         -      2,795,016         2,827,299     
6/15/05                                                                 

Private Export Funding Corp.:                                           

secured 5.48% 9/15/03            Aaa    1,625,000         1,628,401     

secured 5.65% 3/15/03            Aaa    1,433,700         1,432,023     

secured 5.8% 2/1/04              Aaa    1,900,000         1,903,382     

U.S. GOVERNMENT AND                                                     
GOVERNMENT AGENCY                                                       
OBLIGATIONS - CONTINUED                                                 

MOODY'S RATINGS (UNAUDITED) (C)        PRINCIPAL AMOUNT  VALUE (NOTE 1) 

U.S. GOVERNMENT AGENCY                                                  
OBLIGATIONS - CONTINUED                                                 

Private Export Funding Corp.:                                           
- continued                                                             

secured 6.86% 4/30/04            Aaa   $ 750,750         $ 769,715      

5.31% 11/15/03 (a)               Aaa    5,000,000         4,849,950     

U.S. Department of Housing       Aaa    1,000,000         1,088,730     
and Urban Development                                                   
government guaranteed                                                   
participation certificates                                              
Series 1995 A,  8.27% 8/1/03                                            

TOTAL U.S. GOVERNMENT AGENCY                              123,350,524   
OBLIGATIONS                                                             

U.S. TREASURY OBLIGATIONS -                                             
31.6%                                                                   

U.S. Treasury Bond:                                                     

6.125% 11/15/27                  Aaa    9,000,000         9,414,810     

6.5% 11/15/26                    Aaa    18,600,000        20,361,234    

8% 11/15/21                      Aaa    26,610,000        33,694,913    

8.125% 5/15/21                   Aaa    7,000,000         8,951,250     

8.75% 8/15/20                    Aaa    33,145,000        44,756,025    

8.875% 8/15/17                   Aaa    11,750,000        15,730,313    

9% 11/15/18                      Aaa    9,855,000         13,450,498    

10.75% 8/15/05                   Aaa    5,000,000         6,422,650     

12% 8/15/13                      Aaa    17,300,000        25,236,375    

U.S. Treasury Notes:                                                    

5.375% 6/30/00                   Aaa    150,000,000       150,467,999   

5.75% 11/15/00                   Aaa    18,000,000        18,163,080    

6% 7/31/02                       Aaa    31,700,000        32,413,250    

7% 7/15/06                       Aaa    41,500,000        45,377,760    

TOTAL U.S. TREASURY                                       424,440,157   
OBLIGATIONS                                                             

TOTAL U.S. GOVERNMENT AND                                 547,790,681   
GOVERNMENT  AGENCY OBLIGATIONS                                          
(Cost $558,245,956)                                                     

U.S. GOVERNMENT AGENCY -                                                
MORTGAGE SECURITIES - 25.4%                                             

FANNIE MAE - 17.3%                                                      

5.5% 1/1/09 to 4/1/11            Aaa    8,547,653         8,344,513     

6% 3/1/11 to 2/1/29              Aaa    38,792,014        37,413,322    

6.5% 11/1/08 to 2/1/29           Aaa    65,308,323        65,176,158    

U.S. GOVERNMENT AGENCY -                                                
MORTGAGE SECURITIES -                                                   
CONTINUED                                                               

MOODY'S RATINGS (UNAUDITED) (C)        PRINCIPAL AMOUNT  VALUE (NOTE 1) 

FANNIE MAE - CONTINUED                                                  

6.5% 3/1/29                      Aaa   $ 26,000,000      $ 25,813,125   

7% 6/1/23 to 3/1/29              Aaa    62,059,120        62,807,953    

7.5% 11/1/07 to 4/1/28           Aaa    4,794,691         4,926,100     

8% 3/1/24 to 8/1/28              Aaa    4,668,092         4,860,561     

8.5% 6/1/17 to 3/1/28            Aaa    18,256,122        19,219,151    

9.5% 12/1/09 to 9/1/21           Aaa    2,625,168         2,816,675     

10.75% 9/1/10 to 5/1/14          Aaa    175,478           191,786       

11.25% 5/1/14                    Aaa    32,048            35,649        

11.5% 8/1/14                     Aaa    97,173            108,258       

12.5% 1/1/15                     Aaa    39,755            45,248        

13.5% 8/1/14 to 11/1/14          Aaa    12,687            14,956        

14% 3/1/12 to 9/1/13             Aaa    117,846           137,357       

TOTAL FANNIE MAE                                          231,910,812   

FREDDIE MAC - 1.2%                                                      

6.5% 10/1/07                     Aaa    523,624           527,625       

7% 6/1/99 to 7/1/01              Aaa    1,040,794         1,046,058     

7.5% 10/1/27 to 4/1/28           Aaa    7,062,173         7,254,123     

8% 7/1/16 to 2/1/28              Aaa    2,655,401         2,764,124     

8.5% 9/1/19                      Aaa    16,884            17,884        

9% 11/1/01 to 10/1/16            Aaa    314,359           329,357       

9.5% 10/1/08 to 9/1/18           Aaa    709,597           744,406       

10% 6/1/20                       Aaa    75,225            81,595        

10.5% 1/1/01 to 2/1/19           Aaa    355,178           389,140       

11% 1/1/06 to 9/1/20             Aaa    1,976,909         2,212,629     

11.5% 8/1/13 to 10/1/15          Aaa    143,602           161,307       

11.75% 9/1/13                    Aaa    39,813            44,710        

12% 2/1/13 to 7/1/15             Aaa    44,906            51,407        

12.75% 8/1/12 to 10/1/13         Aaa    137,486           159,836       

13.5% 12/1/14                    Aaa    280,340           331,320       

TOTAL FREDDIE MAC                                         16,115,521    

GOVERNMENT NATIONAL MORTGAGE                                            
ASSOCIATION - 6.9%                                                      

6% 12/15/08 to 4/15/09           Aaa    1,797,587         1,797,587     

6.5% 6/15/23 to 6/15/24          Aaa    6,492,176         6,462,503     

7% 12/15/22 to 12/15/28          Aaa    35,214,995        35,710,658    

U.S. GOVERNMENT AGENCY -                                                
MORTGAGE SECURITIES -                                                   
CONTINUED                                                               

MOODY'S RATINGS (UNAUDITED) (C)        PRINCIPAL AMOUNT  VALUE (NOTE 1) 

GOVERNMENT NATIONAL MORTGAGE                                            
ASSOCIATION - CONTINUED                                                 

7.5% 2/15/17 to 8/15/28          Aaa   $ 24,648,702      $ 25,370,793   

8% 11/15/16 to 8/15/27           Aaa    10,349,517        10,793,414    

9% 7/15/18                       Aaa    20,782            22,336        

9.5% 1/15/18 to 3/15/23          Aaa    3,127,311         3,362,749     

10% 6/15/13 to 9/15/25           Aaa    2,771,978         3,012,861     

10.5% 5/20/16 to 1/20/18         Aaa    1,908,397         2,080,255     

11% 2/15/10 to 8/15/19           Aaa    2,735,241         3,052,443     

11.5% 2/15/13 to 8/15/13         Aaa    1,821             2,049         

12% 2/15/16                      Aaa    807,643           915,140       

TOTAL GOVERNMENT NATIONAL                                 92,582,788    
MORTGAGE ASSOCIATION                                                    

TOTAL U.S. GOVERNMENT AGENCY                              340,609,121   
- MORTGAGE SECURITIES                                                   
(Cost $340,616,048)                                                     

ASSET-BACKED SECURITIES - 1.7%                                          

BankAmerica Manufacturing        Aaa    2,390,000         2,390,747     
Housing Contract 6.2% 4/10/09                                           

Boatmens Auto Trust 6.35%        A2     430,000           430,086       
3/25/02                                                                 

Case Equipment Loan Trust        Aaa    1,000,000         1,010,156     
6.45% 8/18/03                                                           

Cit Marine Trust 5.8% 4/15/10    Aaa    5,000,000         4,962,500     

CS First Boston Mortgage         Aaa    5,000,000         5,066,407     
Securities Corp.  7% 3/15/27                                            

Green Tree Financial Corp.       Aaa    250,526           250,759       
6.45% 5/15/27                                                           

Green Tree Lease Finance LLC     A      5,000,000         4,956,550     
6.66% 10/20/04                                                          

Key Auto Finance Trust 6.65%     Baa3   500,261           503,935       
10/15/03                                                                

KeyCorp Auto Grantor Trust       A3     16,448            16,450        
5.8% 7/15/00                                                            

Olympic Automobile               Aaa    776,516           777,487       
Receivables Trust  6.125%                                               
11/15/04                                                                

Premier Auto Trust 6% 5/6/00     Aaa    96,054            96,084        

Union Acceptance Corp. 7.075%    Baa2   89,182            89,321        
7/10/02                                                                 

WFS Financial Owner Trust        Aaa    2,370,000         2,389,256     
6.9% 12/20/03                                                           

TOTAL ASSET-BACKED SECURITIES                             22,939,738    
(Cost $22,987,645)                                                      

COMMERCIAL MORTGAGE                                                     
SECURITIES - 3.6%                                                       

MOODY'S RATINGS (UNAUDITED) (C)        PRINCIPAL AMOUNT  VALUE (NOTE 1) 

Allied Capital Commercial        Aaa   $ 3,166,252       $ 3,168,231    
Mortgage Trust sequential                                               
pay Series 1998-1 Class A,                                              
6.31% 1/25/28 (a)                                                       

Commercial Resecuritization      Aaa    4,000,000         3,898,125     
Trust  6.74% 1/1/09 (a)                                                 

Equitable Life Assurance         Aaa    16,000,000        16,683,520    
Society of the United States                                            
(The) sequential pay Series                                             
174  Class A1, 7.24% 5/15/06                                            
(a)                                                                     

First Union-Lehman Brothers      Aa2    15,000,000        15,023,438    
Commercial MortgageTr                                                   
sequential pay Series                                                   
1997-C2 Class B, 6.79%                                                  
11/18/29                                                                

GS Mortgage Securities Corp.                                            
II:                                                                     

Series 1997-GL Class A2-B,       Aaa    3,000,000         3,081,990     
6.86% 7/13/30                                                           

7.1634% 11/13/13 (a)             Baa2   6,000,000         5,974,800     

TOTAL COMMERCIAL MORTGAGE                                 47,830,104    
SECURITIES                                                              
(Cost $48,052,272)                                                      

FOREIGN GOVERNMENT AND                                                  
GOVERNMENT AGENCY                                                       
OBLIGATIONS (D) - 1.5%                                                  

Korean Republic 8.875% 4/15/08   Baa3   4,240,000         4,489,100     

Newfoundland Province 11.625%    Baa1   4,000,000         5,454,000     
10/15/07                                                                

Quebec Province yankee 7.5%      A2     10,000,000        10,908,500    
7/15/23                                                                 

TOTAL FOREIGN GOVERNMENT AND                              20,851,600    
GOVERNMENT AGENCY OBLIGATIONS                                           
(Cost $21,057,560)                                                      

CASH EQUIVALENTS - 5.1%                                                 

                                        MATURITY AMOUNT                 

Investments in repurchase               68,696,811         68,669,000   
agreements (U.S. Treasury                                               
obligations), in a joint                                                
trading account at 4.86%,                                               
dated 2/26/99 due 3/1/99                                                

TOTAL INVESTMENT IN                                      $ 1,343,232,460
SECURITIES - 100%                                                       
(Cost $1,357,357,626)                                                   

LEGEND                                                                          
(a) Security exempt from registration under Rule 144A of the                    
Securities Act of 1933.  These securities may be resold in                      
transactions exempt from registration, normally to qualified                    
institutional buyers. At the period end, the value of these securities          
amounted to $104,322,176 or 8.1% of net assets.                                 

(b) The coupon rate shown on floating or adjustable rate securities             
represents the rate at period end.                                              

(c) Standard & Poor's credit ratings are used in the absence of a               
rating by Moody's Investors Service, Inc.                                       

(d) For foreign government obligations not individually rated by S&P            
or Moody's, the ratings listed are assigned to securities by FMR, the           
fund's investment adviser, based principally on S&P and Moody's                 
ratings of the sovereign credit of the issuing government.                      

OTHER INFORMATION                                                               

The composition of long-term debt holdings as a percentage of total             
value of investments in securities, is as follows (ratings are                  
unaudited):                                                                     

MOODY'S RATINGS          S&P RATINGS                                            

Aaa, Aa, A        80.7%  AAA, AA, A    75.1%                                    

Baa               13.6%  BBB           13.0%                                    

Ba                0.0%   BB            0.0%                                     

B                 0.0%   B             0.0%                                     

Caa               0.0%   CCC           0.0%                                     

Ca, C             0.0%   CC, C         0.0%                                     

D             0.0%            

The percentage not rated by Moody's or S&P amounted to 0.2%. FMR has            
determined that unrated debt securities that are lower quality account          
for 0.0% of the total value of investment in securities.                        

INCOME TAX INFORMATION                                                          

At February 28, 1999, the aggregate cost of investment securities for           
income tax purposes was $1,357,526,861. Net unrealized depreciation             
aggregated $14,294,401, of which $4,528,488 related to appreciated              
investment securities and $18,822,889 related to depreciated                    
investment securities.                                                          

The fund hereby designates approximately $2,477,000 as capital gain             
dividend for the purpose of the dividend paid deduction.                        

FINANCIAL STATEMENTS                                                            

STATEMENT OF ASSETS AND LIABILITIES                                             
                         FEBRUARY 28, 1999

ASSETS                                                                          

Investment in securities, at                  $ 1,343,232,460                   
value (including repurchase                                                     
agreements of $68,669,000)                                                      
(cost $1,357,357,626) - See                                                     
accompanying schedule                                                           

Cash                                           329,598                          

Receivable for investments                     36,506,975                       
sold                                                                            

Receivable for fund shares                     2,459,165                        
sold                                                                            

Interest receivable                            13,212,417                       

TOTAL ASSETS                                  1,395,740,615                   

LIABILITIES                                                                     

Payable for investments         $ 97,796,585                                    
purchased                                                                       

Payable for fund shares          2,746,473                                      
redeemed                                                                        

Distributions payable            217,771                                        

Accrued management fee           36,582                                         

Other payables and accrued       422,707                                        
expenses                                                                        

TOTAL LIABILITIES                             101,220,118                     

NET ASSETS                                    $ 1,294,520,497                   

Net Assets consist of:                                                          

Paid in capital                               $ 1,297,886,133                   

Undistributed net investment                   671,154                          
income                                                                          

Accumulated undistributed net                  10,088,376                       
realized gain (loss)  on                                                        
investments                                                                     

Net unrealized appreciation                    (14,125,166)                     
(depreciation) on investments                                                   

NET ASSETS, for 119,896,406                   $ 1,294,520,497                   
shares outstanding                                                              

NET ASSET VALUE, offering                      $10.80                           
price and redemption price                                                      
per share ($1,294,520,497                                                       
(divided by) 119,896,406                                                        
shares)                                                                         

STATEMENT OF OPERATIONS                                                         
        YEAR ENDED FEBRUARY 28, 1999

INVESTMENT INCOME                             $ 70,581,360                      
Interest                                                                        

EXPENSES                                                                        

Management fee                  $ 3,396,909                                     

Transfer agent fees              1,975,304                                      

Accounting fees and expenses     302,244                                        

Non-interested trustees'         6,558                                          
compensation                                                                    

Custodian fees and expenses      82,618                                         

Registration fees                236,518                                        

Audit                            47,406                                         

Legal                            5,416                                          

Miscellaneous                    2,842                                          

Total expenses before           6,055,815                                     
reductions                                                                      

Expense reductions              (2,750,407)   3,305,408                       

NET INVESTMENT INCOME                          67,275,952                       

REALIZED AND UNREALIZED GAIN                   21,138,494                       
(LOSS)                                                                          
Net realized gain (loss) on                                                     
investment securities                                                           

Change in net unrealized                       (28,341,323)                     
appreciation (depreciation)                                                     
on investment securities                                                        

NET GAIN (LOSS)                                (7,202,829)                      

NET INCREASE (DECREASE) IN                    $ 60,073,123                      
NET ASSETS RESULTING  FROM                                                      
OPERATIONS                                                                      

                                                        [Enlarge/Download Table]

                                                                                           
STATEMENT OF CHANGES IN NET ASSETS                                                         
                                 YEAR ENDED FEBRUARY 28, 1999  YEAR ENDED FEBRUARY 28, 1998

INCREASE (DECREASE) IN NET                                                                 
ASSETS                                                                                     

Operations Net investment        $ 67,275,952                  $ 44,140,856                
income                                                                                     

 Net realized gain (loss)         21,138,494                    1,098,669                  

 Change in net unrealized         (28,341,323)                  16,816,828                 
appreciation (depreciation)                                                                

 NET INCREASE (DECREASE) IN       60,073,123                    62,056,353                 
NET ASSETS RESULTING  FROM                                                                 
OPERATIONS                                                                                 

Distributions to shareholders     (66,591,808)                  (43,795,995)               
from net investment income                                                                 

Share transactions Net            932,426,505                   449,415,394                
proceeds from sales of shares                                                              

 Reinvestment of distributions    63,154,893                    40,059,028                 

 Cost of shares redeemed          (509,618,506)                 (261,038,455)              

 NET INCREASE (DECREASE) IN       485,962,892                   228,435,967                
NET ASSETS RESULTING  FROM                                                                 
SHARE TRANSACTIONS                                                                         

  TOTAL INCREASE (DECREASE)       479,444,207                   246,696,325                
IN NET ASSETS                                                                              

NET ASSETS                                                                                 

 Beginning of period              815,076,290                   568,379,965                

 End of period (including        $ 1,294,520,497               $ 815,076,290               
under (over) distribution of                                                               
 net investment income of                                                                  
$671,154 and $(2,972),                                                                     
respectively)                                                                              

OTHER INFORMATION                                                                          
Shares                                                                                     

 Sold                             85,262,371                    41,971,450                 

 Issued in reinvestment of        5,779,048                     3,766,217                  
distributions                                                                              

 Redeemed                         (46,605,481)                  (24,486,211)               

 Net increase (decrease)          44,435,938                    21,251,456                 


                                                        [Enlarge/Download Table]

                                                                                      
FINANCIAL HIGHLIGHTS                                                                  
YEARS ENDED FEBRUARY 28,       1999         1998       1997       1996 E     1995     

SELECTED PER-SHARE DATA                                                               

Net asset value, beginning     $ 10.800     $ 10.480   $ 10.710   $ 10.250   $ 10.830 
of period                                                                             

Income from Investment          .690 B       .738 B     .739 B     .755       .718    
Operations Net investment                                                             
income                                                                                

Net realized and  unrealized    (.003)       .316       (.235)     .460       (.542)  
gain (loss)                                                                           

Total from investment           .687         1.054      .504       1.215      .176    
operations                                                                            

Less Distributions                                                                    

From net investment  income     (.687)       (.734)     (.734)     (.755)     (.756)  

Net asset value, end  of       $ 10.800     $ 10.800   $ 10.480   $ 10.710   $ 10.250 
period                                                                                

TOTAL RETURN A                  6.48%        10.41%     4.93%      12.13%     1.90%   

RATIOS AND SUPPLEMENTAL DATA                                                          

Net assets, end of period      $ 1,294,520  $ 815,076  $ 568,380  $ 475,646  $ 354,682
(000 omitted)                                                                         

Ratio of expenses to average    .32%  C      .32%  C    .32%  C    .32%  C    .32%  C 
net assets                                                                            

Ratio of expenses to  average   .31% D       .31% D     .31% D     .31% D     .32%    
net assets  after expense                                                             
reductions                                                                            

Ratio of net investment         6.35%        6.98%      7.05%      7.11%      7.58%   
income to average  net assets                                                         

Portfolio turnover rate         184%         97%        65%        128%       73%     


A THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT              
BEEN REDUCED DURING THE PERIODS SHOWN.                                          

B NET INVESTMENT INCOME PER SHARE HAS BEEN CALCULATED BASED ON AVERAGE          
SHARES OUTSTANDING DURING THE PERIOD.                                           

C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE           
PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD              
HAVE BEEN HIGHER.                                                               

D FMR OR THE FUND HAS ENTERED INTO VARYING ARRANGEMENTS WITH THIRD              
PARTIES WHO EITHER PAID OR REDUCED A PORTION OF THE FUND'S EXPENSES.            

E FOR THE YEAR ENDED FEBRUARY 29.                                               

NOTES TO FINANCIAL STATEMENTS                                                   
For the period ended February 28, 1999                                          

1. SIGNIFICANT ACCOUNTING POLICIES.                                             

Fidelity U.S. Bond Index Fund (the fund) is a fund of Fidelity Concord          
Street Trust (the trust) and is authorized to issue an unlimited                
number of shares. The trust is registered under the Investment Company          
Act of 1940, as amended (the 1940 Act), as an open-end management               
investment company organized as a Massachusetts business trust. The             
financial statements have been prepared in conformity with generally            
accepted accounting principles which require management to make                 
certain estimates and assumptions at the date of the financial                  
statements. The following summarizes the significant accounting                 
policies of the fund:                                                           

SECURITY VALUATION. Securities are valued based upon a computerized             
matrix system and/or appraisals by a pricing service, both of which             
consider market transactions and dealer-supplied valuations.                    
Securities (including restricted securities) for which market                   
quotations are not readily available are valued at their fair value as          
determined in good faith under consistently applied procedures under            
the general supervision of the Board of Trustees. Short-term                    
securities with remaining maturities of sixty days or less for which            
quotations are not readily available are valued at amortized cost or            
original cost plus accrued interest, both of which approximate current          
value.                                                                          

INCOME TAXES. As a qualified regulated investment company under                 
Subchapter M of the Internal Revenue Code, the fund is not subject to           
income taxes to the extent that it distributes substantially all of             
its taxable income for its fiscal year. The schedule of investments             
includes information regarding income taxes under the caption "Income           
Tax Information."                                                               

INVESTMENT INCOME. Interest income, which includes accretion of                 
original issue discount, is accrued as earned.                                  

EXPENSES. Most expenses of the trust can be directly attributed to a            
fund. Expenses which cannot be directly attributed are apportioned              
among the funds in the trust.                                                   

DISTRIBUTIONS TO SHAREHOLDERS. Distributions are declared daily and             
paid monthly from net investment income. Distributions from realized            
gains, if any, are recorded on the ex-dividend date.                            

Income and capital gain distributions are determined in accordance              
with income tax regulations which may differ from generally accepted            
accounting principles. These differences, which may result in                   
distribution reclassifications, are primarily due to differing                  
treatments for paydown gains/losses on certain securities, market               
discount and losses deferred due to wash sales and excise tax                   
regulations. The fund also utilized earnings and profits distributed            
to shareholders on redemption of shares as a part of the dividends              
paid deduction for income tax purposes.                                         

Permanent book and tax basis differences relating to shareholder                
distributions will result in reclassifications to paid in capital.              
Undistributed net investment income and accumulated undistributed net           
realized gain (loss) on investments may include temporary book and tax          
basis differences that will reverse in a subsequent period. Any                 
taxable income or gain remaining at fiscal year end is distributed in           
the following year.                                                             

1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED                                  

SECURITY TRANSACTIONS. Security transactions are accounted for as of            
trade date. Gains and losses on securities sold are determined on the           
basis of identified cost.                                                       

2. OPERATING POLICIES.                                                          

JOINT TRADING ACCOUNT. Pursuant to an Exemptive Order issued by the             
Securities and Exchange Commission, the fund, along with other                  
affiliated entities of Fidelity Management & Research Company (FMR),            
may transfer uninvested cash balances into one or more joint trading            
accounts. These balances are invested in one or more repurchase                 
agreements for U.S. Treasury or Federal Agency obligations.                     

REPURCHASE AGREEMENTS. The underlying U.S. Treasury or Federal Agency           
securities are transferred to an account of the fund, or to the Joint           
Trading Account, at a bank custodian. The securities are                        
marked-to-market daily and maintained at a value at least equal to the          
principal amount of the repurchase agreement (including accrued                 
interest). FMR, the fund's investment adviser, is responsible for               
determining that the value of the underlying securities remains in              
accordance with the market value requirements stated above.                     

DELAYED DELIVERY TRANSACTIONS. The fund may purchase or sell                    
securities on a delayed delivery basis. Payment and delivery may take           
place a month or more after the date of the transaction. The price of           
the underlying securities and the date when the securities will be              
delivered and paid for are fixed at the time the transaction is                 
negotiated. The fund may receive compensation for interest forgone in           
the purchase of a delayed delivery security. With respect to purchase           
commitments, the fund identifies securities as segregated in its                
records with a value at least equal to the amount of the commitment.            
Losses may arise due to changes in the market value of the underlying           
securities or if the counterparty does not perform under the contract.          

RESTRICTED SECURITIES. The fund is permitted to invest in securities            
that are subject to legal or contractual restrictions on resale. These          
securities generally may be resold in transactions exempt from                  
registration or to the public if the securities are registered.                 
Disposal of these securities may involve time-consuming negotiations            
and expense, and prompt sale at an acceptable price may be difficult.           
At the end of the period, the fund had no investments in restricted             
securities (excluding 144A issues).                                             

3. PURCHASES AND SALES OF INVESTMENTS.                                          

Purchases and sales of securities, other than short-term securities,            
aggregated $2,402,164,343 and $1,925,043,880, respectively, of which            
U.S. government and government agency obligations aggregated                    
$2,024,225,623 and $1,676,695,817, respectively.                                

4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.                                 

MANAGEMENT FEE. As the fund's investment adviser, FMR receives a fee            
that is computed daily at an annual rate of .32% of the fund's average          
net assets.                                                                     

SUB-ADVISER FEE. FMR, on behalf of the fund, has entered into a                 
sub-advisory agreement(effective 1/1/99) with Fidelity Investments              
Money Management, Inc. (FIMM), a wholly owned subsidiary of FMR. For            
its services, FIMM receives a fee from FMR of 50% of the management             
fee payable to FMR. The fee is paid prior to any voluntary expense              
reimbursements which may be in effect.                                          

TRANSFER AGENT FEES. Fidelity Investments Institutional Operations              
Company, Inc. (FIIOC), an affiliate of FMR, is the fund's transfer,             
dividend disbursing and shareholder servicing agent. FIIOC receives             
account fees and asset-based fees that vary according to account size           
and type of account. FIIOC pays for typesetting, printing and mailing           
of all shareholder reports, except proxy statements. For the period,            
the transfer agent fees were equivalent to an annual rate of .19% of            
average net assets.                                                             

ACCOUNTING FEES. Fidelity Service Company, Inc. (FSC), an affiliate of          
FMR, maintains the fund's accounting records. The fee is based on the           
level of average net assets for the month plus out-of-pocket expenses.          

5. INTERFUND LENDING PROGRAM.                                                   

The fund participated in the interfund lending program as a lender.             
The maximum loan and the average daily loan balances during the period          
for which the loans were outstanding amounted to $29,310,000 and                
$24,531,000, respectively. The weighted average interest rate was               
5.44%. Interest earned from the interfund lending program amounted to           
$14,829 and is included in interest income on the Statement of                  
Operations.                                                                     

6. EXPENSE REDUCTIONS.                                                          

FMR voluntarily agreed to reimburse the fund's operating expenses               
(excluding interest, taxes, brokerage commissions and extraordinary             
expenses) above an annual rate of .32% of average net assets. For the           
period, the reimbursement reduced the expenses by $2,663,652.                   
In addition, the fund has entered into arrangements with its custodian          
and transfer agent whereby credits realized as a result of uninvested           
cash balances were used to reduce a portion of the fund's expenses.             
During the period, the fund's custodian and transfer agent fees were            
reduced by $6,795 and $79,960, respectively, under these arrangements.          

7. BENEFICIAL INTEREST.                                                         

At the end of the period, two shareholders were each record owners of           
more than 10% of the total outstanding shares of the fund, totaling             
18%.                                                                            

REPORT OF INDEPENDENT ACCOUNTANTS                                               

To the Trustees of Fidelity Concord Street Trust and the Shareholders           
of Fidelity U.S. Bond Index Fund:                                               

In our opinion, the accompanying statement of assets and liabilities,           
including the schedule of investments, and the related statements of            
operations and of changes in net assets and the financial highlights            
present fairly, in all material respects, the financial position of             
Fidelity U.S. Bond Index Fund (a fund of Fidelity Concord Street                
Trust) at February 28, 1999, and the results of its operations, the             
changes in its net assets and the financial highlights for the periods          
indicated, in conformity with generally accepted accounting                     
principles. These financial statements and financial highlights                 
(hereafter referred to as "financial statements") are the                       
responsibility of the Fidelity U.S. Bond Index Fund's management; our           
responsibility is to express an opinion on these financial statements           
based on our audits. We conducted our audits of these financial                 
statements in accordance with generally accepted auditing standards             
which require that we plan and perform the audit to obtain reasonable           
assurance about whether the financial statements are free of material           
misstatement. An audit includes examining, on a test basis, evidence            
supporting the amounts and disclosures in the financial statements,             
assessing the accounting principles used and significant estimates              
made by management, and evaluating the overall financial statement              
presentation. We believe that our audits, which included confirmation           
of securities at February 28, 1999 by correspondence with the                   
custodian and brokers, provide a reasonable basis for the opinion               
expressed above.                                                                

/s/PricewaterhouseCoopers LLP                                                   
PricewaterhouseCoopers LLP                                                      

Boston, Massachusetts                                                           
April 15, 1999                                                                  

DISTRIBUTIONS                                                                   

The Board of Trustees of U.S. Bond Index Fund voted to pay on April 5,          
1999 to shareholders of record at the opening of business on April 1,           
1999, a distribution of $.06 per share derived from capital gains               
realized from sales of portfolio securities.                                    

A total of 34.26% of the dividends distributed during the fiscal year           
was derived from interest on U.S. Government securities which is                
generally exempt from state income tax.                                         

The fund will notify shareholders in January 2000 of the applicable             
percentage for use in preparing 1999 income tax returns.                        

OF SPECIAL NOTE                                                                 

INTRODUCING FIDELITY'S NEW, REORGANIZED PROSPECTUS                              

Recently, the SEC issued new disclosure requirements for all mutual             
fund prospectuses. While Fidelity could have complied by simply                 
following the new requirements, we saw a different opportunity. We saw          
the chance to create a brand new prospectus: one that is better                 
organized, easier to use and more informative than ever.                        

The new format of the Fidelity mutual fund prospectus puts the                  
information you need to make informed investment decisions right at             
your fingertips. In the opening pages, you will find the SEC-mandated           
summary that highlights the fund's investment objectives, strategies            
and risks. There's also an easy-to-read performance chart and fee               
table right up front.                                                           

Inside, you will find additional features we've introduced to make the          
fund prospectus a more useful tool. In our new Shareholder Information          
section, for example, we have provided practical, beneficial                    
information - from how to buy or sell shares, key contact information,          
investment services, ways to set up your account and more - all in one          
convenient location.                                                            

We invite you to spend a moment and review our new prospectus. It is            
designed to help make your investment decision easier, no matter which          
of the Fidelity funds you invest in.                                            

INVESTMENT ADVISER                                                              
Fidelity Management & Research Company                                          
Boston, MA                                                                      

INVESTMENT SUB-ADVISER                                                          
Fidelity Investments                                                            
Money Management, Inc.                                                          
Merrimack, NH                                                                   

OFFICERS                                                                        
Edward C. Johnson 3d, PRESIDENT                                                 
Robert C. Pozen, SENIOR VICE PRESIDENT                                          
Fred L. Henning, Jr., VICE PRESIDENT                                            
Dwight D. Churchill, VICE PRESIDENT                                             
Thomas J. Silvia, VICE PRESIDENT                                                
Eric D. Roiter, SECRETARY                                                       
Richard A. Silver, TREASURER                                                    
Matthew N. Karstetter, DEPUTY TREASURER                                         
Stanley N. Griffith, ASSISTANT                                                  
VICE PRESIDENT                                                                  
John H. Costello, ASSISTANT TREASURER                                           
Leonard M. Rush, ASSISTANT TREASURER                                            
Thomas J. Simpson, ASSISTANT TREASURER                                          

BOARD OF TRUSTEES                                                               
Ralph F. Cox *                                                                  
Phyllis Burke Davis *                                                           
Robert M. Gates *                                                               
Edward C. Johnson 3d                                                            
E. Bradley Jones *                                                              
Donald J. Kirk *                                                                
Peter S. Lynch                                                                  
Marvin L. Mann *                                                                
William O. McCoy  *                                                             
Gerald C. McDonough *                                                           
Robert C. Pozen                                                                 
Thomas R. Williams *                                                            

ADVISORY BOARD                                                                  
J. Gary Burkhead                                                                
Abigail P. Johnson                                                              

* INDEPENDENT TRUSTEES                                                          

UBI-PRO-0499  74571                                                             
1.701176.101                                                                    

GENERAL DISTRIBUTOR                                                             
Fidelity Distributors Corporation                                               
Boston, MA                                                                      

TRANSFER AND SHAREHOLDER SERVICING AGENT                                        
Fidelity Investments Institutional Operations Company, Inc.                     
Boston, MA                                                                      

CUSTODIAN                                                                       
The Bank of New York                                                            
New York, NY                                                                    

(fidelity_logo_graphic)(registered trademark)                                   
Corporate Headquarters                                                          
82 Devonshire St., Boston, MA 02109                                             
www.fidelity.com                                                                

CONTENTS                                                                        

PERFORMANCE            A-2   How the fund has done over                         
time.                 

FUND TALK              A-4   The manager's review of fund                       
   performance, strategy and
outlook.              

INVESTMENT CHANGES     A-7   A summary of the major shifts                      
   in the fund's investments
   over the past six months.

INVESTMENTS            A-8   A complete list of the fund's                      
investments with their
market values.        

FINANCIAL STATEMENTS   A-28  Statements of assets and                           
      liabilities, operations, and
    changes in net assets,  as
       well as financial highlights.

NOTES                  A-32  Notes to the financial                             
statements.           

REPORT OF INDEPENDENT  A-37  The auditors' opinion.                             
ACCOUNTANTS                                                                     

DISTRIBUTIONS          A-38                                                     

OF SPECIAL NOTE        A-39                                                     

PERFORMANCE: THE BOTTOM LINE                                                    

There are several ways to evaluate a fund's historical performance.             
You can look at the total percentage change in value, the average               
annual percentage change or the growth of a hypothetical $100,000               
investment. Total return reflects the change in the value of an                 
investment, assuming reinvestment of the fund's dividend income and             
capital gains (the profits earned upon the sale of securities that              
have grown in value). If Fidelity had not reimbursed certain fund               
expenses, the total returns would have been lower.                              

CUMULATIVE TOTAL RETURNS                                                        

PERIODS ENDED FEBRUARY 28, 1999    PAST 1 YEAR  PAST 5 YEARS  PAST 10 YEARS     

Spartan US Equity Index            19.50%       191.66%       444.37%           

S&P 500 (registered trademark)     19.74%       194.91%       459.21%           

S&P 500 Index Objective Funds      19.21%       188.79%       431.46%           

CUMULATIVE TOTAL RETURNS show the fund's performance in percentage              
terms over a set period - in this case, one year, five years or 10              
years. For example, if you had invested $1,000 in a fund that had a 5%          
return over the past year, the value of your investment would be                
$1,050. You can compare the fund's returns to the performance of the            
Standard & Poor's 500 Index - a market capitalization-weighted index            
of common stocks. To measure how the fund's performance stacked up              
against its peers, you can compare it to the S&P 500 index objective            
funds average, which reflects the performance of mutual funds with              
similar objectives tracked by Lipper Inc. The past one year average             
represents a peer group of 99 mutual funds. These benchmarks include            
reinvested dividends and capital gains, if any, and exclude the effect          
of sales charges.                                                               

AVERAGE ANNUAL TOTAL RETURNS                                                    

PERIODS ENDED FEBRUARY 28, 1999    PAST 1 YEAR  PAST 5 YEARS  PAST 10 YEARS     

Spartan US Equity Index            19.50%       23.87%        18.46%            

S&P 500                            19.74%       24.15%        18.78%            

S&P 500 Index Objective Funds      19.21%       23.63%        18.17%            

AVERAGE ANNUAL TOTAL RETURNS take the fund's cumulative return and              
show you what would have happened if the fund had performed at a                
constant rate each year. (Note: Lipper calculates average annual total          
returns by annualizing each fund's total return, then taking an                 
arithmetic average. This may produce a different figure than that               
obtained by averaging the cumulative total returns and annualizing the          
result.)                                                                        

$100,000 OVER 10 YEARS                                                          
Spartan U.S. Equity Index   S&P 500                   
00650                       SP001                     
1989/02/28     100000.00                   100000.00                        
1989/03/31     102318.73                   102330.00                        
1989/04/30     107708.66                   107640.93                        
1989/05/31     112020.60                   112000.38                        
1989/06/30     111284.29                   111361.98                        
1989/07/31     121409.26                   121417.97                        
1989/08/31     123669.30                   123797.76                        
1989/09/30     123130.64                   123290.19                        
1989/10/31     120311.55                   120429.86                        
1989/11/30     122766.89                   122886.63                        
1989/12/31     125588.63                   125835.91                        
1990/01/31     117110.46                   117392.32                        
1990/02/28     118601.13                   118906.68                        
1990/03/31     121682.15                   122057.71                        
1990/04/30     118677.65                   119006.26                        
1990/05/31     130226.18                   130609.37                        
1990/06/30     129286.59                   129721.23                        
1990/07/31     128813.71                   129306.12                        
1990/08/31     116991.60                   117616.85                        
1990/09/30     111191.04                   111888.91                        
1990/10/31     110714.23                   111407.79                        
1990/11/30     117866.32                   118604.73                        
1990/12/31     121025.04                   121913.80                        
1991/01/31     126328.92                   127229.24                        
1991/02/28     135297.31                   136326.13                        
1991/03/31     138581.52                   139625.22                        
1991/04/30     138872.86                   139960.33                        
1991/05/31     144796.81                   146006.61                        
1991/06/30     138173.53                   139319.51                        
1991/07/31     144529.71                   145811.80                        
1991/08/31     147952.27                   149267.54                        
1991/09/30     145421.86                   146774.77                        
1991/10/31     147391.01                   148741.55                        
1991/11/30     141385.10                   142747.27                        
1991/12/31     157527.71                   159077.55                        
1992/01/31     154513.79                   156118.71                        
1992/02/29     156523.07                   158148.25                        
1992/03/31     153404.07                   155064.36                        
1992/04/30     157853.50                   159623.26                        
1992/05/31     158662.48                   160405.41                        
1992/06/30     156232.24                   158015.37                        
1992/07/31     162644.38                   164478.20                        
1992/08/31     159285.64                   161106.40                        
1992/09/30     161115.10                   163007.45                        
1992/10/31     161524.80                   163577.98                        
1992/11/30     167055.77                   169155.99                        
1992/12/31     169112.45                   171236.60                        
1993/01/31     170454.62                   172674.99                        
1993/02/28     172725.97                   175023.37                        
1993/03/31     176353.66                   178716.36                        
1993/04/30     171989.04                   174391.43                        
1993/05/31     176586.56                   179065.12                        
1993/06/30     177011.38                   179584.41                        
1993/07/31     176275.59                   178866.07                        
1993/08/31     183002.86                   185645.09                        
1993/09/30     181532.50                   184215.63                        
1993/10/31     185232.93                   188028.89                        
1993/11/30     183435.57                   186242.62                        
1993/12/31     185677.29                   188496.15                        
1994/01/31     191913.12                   194905.02                        
1994/02/28     186644.91                   189623.09                        
1994/03/31     178427.08                   181355.53                        
1994/04/30     180703.87                   183676.88                        
1994/05/31     183634.20                   186689.18                        
1994/06/30     179151.72                   182115.29                        
1994/07/31     185047.03                   188088.68                        
1994/08/31     192470.74                   195800.31                        
1994/09/30     187758.13                   191003.20                        
1994/10/31     191930.53                   195300.78                        
1994/11/30     184903.32                   188187.92                        
1994/12/31     187706.07                   190978.75                        
1995/01/31     192479.20                   195930.83                        
1995/02/28     200027.40                   203566.25                        
1995/03/31     205825.43                   209573.49                        
1995/04/30     211856.69                   215745.43                        
1995/05/31     220237.09                   224368.78                        
1995/06/30     225302.16                   229580.86                        
1995/07/31     232714.89                   237193.76                        
1995/08/31     233276.46                   237789.12                        
1995/09/30     243050.41                   247823.82                        
1995/10/31     242147.71                   246939.09                        
1995/11/30     252754.37                   257779.72                        
1995/12/31     257492.27                   262744.55                        
1996/01/31     266276.89                   271688.38                        
1996/02/29     268786.79                   274206.93                        
1996/03/31     271434.36                   276847.54                        
1996/04/30     275213.51                   280928.28                        
1996/05/31     282226.05                   288173.42                        
1996/06/30     283384.14                   289271.36                        
1996/07/31     270791.85                   276491.35                        
1996/08/31     276452.60                   282322.55                        
1996/09/30     291947.51                   298211.66                        
1996/10/31     299957.20                   306436.34                        
1996/11/30     322593.29                   329599.86                        
1996/12/31     316029.81                   323070.49                        
1997/01/31     335730.37                   343255.94                        
1997/02/28     338310.20                   345947.06                        
1997/03/31     324292.21                   331732.10                        
1997/04/30     343554.11                   351536.50                        
1997/05/31     364472.26                   372938.05                        
1997/06/30     380647.26                   389645.67                        
1997/07/31     410923.32                   420649.78                        
1997/08/31     387889.77                   397084.98                        
1997/09/30     408944.60                   418833.32                        
1997/10/31     395356.82                   404844.29                        
1997/11/30     413473.86                   423584.53                        
1997/12/31     420449.31                   430857.48                        
1998/01/31     425137.00                   435622.76                        
1998/02/28     455546.86                   467039.87                        
1998/03/31     478693.33                   490956.98                        
1998/04/30     483480.84                   495896.01                        
1998/05/31     474966.71                   487371.56                        
1998/06/30     494216.02                   507168.59                        
1998/07/31     488967.49                   501767.25                        
1998/08/31     418295.45                   429221.74                        
1998/09/30     445039.98                   456717.68                        
1998/10/31     481177.28                   493867.10                        
1998/11/30     510332.12                   523800.38                        
1998/12/31     540187.77                   553981.76                        
1999/01/31     562060.71                   577149.28                        
1999/02/26     544365.75                   559211.48                        
IMATRL PRASUN   SHR__CHT 19990228 19990309 112456 R00000000000123               

$100,000 OVER 10 YEARS: Let's say hypothetically that $100,000 was              
invested in Spartan US Equity Index Fund on February 28, 1989. As the           
chart shows, by February 28, 1999, the value of the investment would            
have grown to $544,366 - a 444.37% increase on the initial investment.          
For comparison, look at how the Standard & Poor's 500 Index did over            
the same period. With dividends and capital gains, if any, reinvested,          
the same $100,000 would have grown to $559,211 - a 459.21% increase.            

(checkmark)UNDERSTANDING                                                        
PERFORMANCE                                                                     

How a fund did yesterday is                                                     
no guarantee of how it will do                                                  
tomorrow. The stock market,                                                     
for example, has a history of                                                   
long-term growth and                                                            
short-term volatility. In turn, the                                             
share price and return of a                                                     
fund that invests in stocks will                                                
vary. That means if you sell                                                    
your shares during a market                                                     
downturn, you might lose                                                        
money. But if you can ride out                                                  
the market's ups and downs,                                                     
you may have a gain.                                                            

FUND TALK: THE MANAGER'S OVERVIEW                                               

(photograph of Frank Salerno)                                                   

An interview with Frank Salerno, Portfolio Manager of Spartan                   
U.S. Equity Index Fund for Bankers Trust, sub-adviser of the fund               

Q. HOW DID THE FUND PERFORM, FRANK?                                             

A. For the 12 months that ended February 28, 1999, the fund posted a            
total return of 19.50%. The fund's performance compares well with the           
19.74% return for the Standard & Poor's 500 Index and the S&P 500               
index objective funds average tracked by Lipper Inc., which returned            
19.21% during the same period.                                                  

Q. HOW WOULD YOU CHARACTERIZE THE MARKET ENVIRONMENT DURING THE                 
PERIOD?                                                                         

A. During the first half of the 12-month period, fund performance               
suffered in response to extreme volatility and uncertainty in global            
markets. While financial conditions remained positive on the home               
front amidst low interest rates, consistently non-existent signs of             
inflation and strong consumer spending, U.S. investors became                   
increasingly concerned about the impact of the Asian crisis and                 
problems in emerging markets. During the six-month period that ended            
August 31, 1998, the fund and the S&P 500 posted total returns of               
-8.18% and -8.10%, respectively. This gloomy environment, however, was          
quickly reversed in the last few months of 1998 as the Federal Reserve          
Board stepped in and cut interest rates three times in an effort to             
restore confidence and liquidity to the markets. While the                      
large-cap-oriented S&P 500 index enjoyed the bulk of the gains, by the          
end of 1998 the market had staged an impressive comeback. For the               
fourth consecutive calendar year, the S&P 500 barreled ahead with a             
20%-plus gain. Despite some concerns over Brazil's currency                     
devaluation and jitters about corporate earnings, the beat went on in           
1999 as most U.S. stock indexes advanced.                                       

Q. LET'S TALK ABOUT THE PERFORMANCE OF SOME OF THE FUND'S INDUSTRY              
SECTORS. AT APPROXIMATELY 20%, THE TECHNOLOGY SECTOR WAS THE FUND'S             
LARGEST INDUSTRY WEIGHTING AND CONTRIBUTED SIGNIFICANTLY TO                     
PERFORMANCE. WHY DID THIS SECTOR PERFORM SO WELL DURING THE PERIOD?             

A. While technology companies such as Microsoft, Dell and Intel faced           
a host of challenges during the period, ranging from the Year 2000              
(Y2K) problem to the Asian crisis, these stocks continued to surge              
ahead with strong financial results and impressive returns. Many                
computer software and hardware companies, as well as a range of other           
technology stocks, posted strong results as demand for computers                
remained solid and Internet commerce skyrocketed.                               

Q. THE SECOND LARGEST SECTOR WEIGHTING FOR THE INDEX AND FUND WAS               
FINANCE. HOW DID THESE STOCKS PERFORM?                                          

A. Financial stocks were among the best performers early in the                 
period, spurred by a number of megamergers, such as Travelers Group             
with Citicorp, Nationsbank with BankAmerica and Norwest with Wells              
Fargo. In the third quarter of 1998, however, investors purged the              
majority of financial services shares, fearing not just an earnings             
stumble but a potential global financial meltdown. Nevertheless, it             
turned out that the selling was overdone as financial stocks were the           
primary beneficiaries following the three interest-rate cuts by the             
Federal Reserve Board.                                                          

Q. HEALTH CARE STOCKS PERFORMED WELL. CAN YOU PROVIDE SOME BACKGROUND           
ON THIS GROUP?                                                                  

A. With the exception of HMOs and hospital stocks, the health care              
sector - at roughly 12% of the fund's investments - performed well.             
Investors continued to bid up prices for many drug, biotechnology and           
medical equipment stocks due to their favorable growth prospects. The           
major factors for the bullish outlook are an aging population with              
increasing demand for health care products and an increasing supply of          
innovative, effective and safe new drugs. Most importantly, the                 
favorable business outlook for these companies was combined with                
strong corporate earnings.                                                      

Q. WE'VE TALKED ABOUT INDUSTRY SECTORS. CAN YOU TELL US ABOUT SOME              
SPECIFIC STOCKS THAT HELPED AND DETRACTED FROM FUND PERFORMANCE?                

A. Microsoft, the fund's largest holding, essentially doubled in value          
during the period. Despite the negative publicity surrounding the               
Justice Department's antitrust suit, the stock performed extremely              
well in response to robust earnings growth. The fund's second-largest           
holding, General Electric, also contributed solidly to total return as          
the company produced strong earnings growth and a dividend increase.            
On the negative side, the fund held approximately 5% of its                     
investments in energy stocks at the end of the period. With energy              
prices hitting a 12-year low, the majority of these stocks hurt fund            
performance. Energy service companies such as Schlumberger, which are           
the most sensitive to energy prices, were the most significant                  
detractors.                                                                     

Q. WHAT'S YOUR OUTLOOK, FRANK?                                                  

A. Since the beginning of this bull market that began sometime in               
1990, the S&P 500 has risen nearly 300%. What makes this rally                  
remarkable is that while the S&P 500 has risen approximately 100% over          
the past three years, the S&P 500's earnings have risen just 20%                
during that same time. This situation tells me that one of two things           
may be true. Either we are experiencing an unprecedented economic boom          
or we may be in the midst of a speculative bubble. While the market             
was helped by falling interest rates and the economy remained healthy           
last year, I think there are  a number of hurdles that could trip up            
the market in 1999. First, with stock valuations at record high                 
levels, any earnings disappointments could result in weakness for the           
broader market. Second, the possibility of deflation could hurt                 
corporate profits and the markets. Finally, the potential Y2K computer          
glitch could make investors nervous. Whether none or all of the                 
aforementioned scenarios have an impact on stock prices, it seems               
global excess capacity and ongoing weakness overseas could provide a            
difficult backdrop in which to produce significant earnings growth in           
1999.                                                                           

THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO               
MANAGER ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON           
THE COVER AND DO NOT NECESSARILY REPRESENT THE VIEWS OF FIDELITY OR             
ANY OTHER PERSON IN THE FIDELITY ORGANIZATION. ANY SUCH VIEWS ARE               
SUBJECT TO CHANGE AT ANY TIME BASED UPON MARKET OR OTHER CONDITIONS             
AND FIDELITY DISCLAIMS ANY RESPONSIBILITY TO UPDATE SUCH VIEWS. THESE           
VIEWS MAY NOT BE RELIED ON AS INVESTMENT ADVICE AND, BECAUSE                    
INVESTMENT DECISIONS FOR A FIDELITY FUND ARE BASED ON NUMEROUS                  
FACTORS, MAY NOT BE RELIED ON AS AN INDICATION OF TRADING INTENT ON             
BEHALF OF ANY FIDELITY FUND.                                                    

(checkmark)FUND FACTS                                                           

GOAL: total return that                                                         
corresponds to that of the                                                      
Standard & Poor's 500 Index                                                     

START DATE: February 17,                                                        
1988                                                                            

SIZE: as of February 28,                                                        
1999, more than $15 billion                                                     

MANAGER: Frank Salerno,                                                         
since 1997                                                                      

FRANK SALERNO ON CHANGES                                                        
TO THE S&P 500:                                                                 

"The S&P 500 is an index of 500                                                 
stocks chosen to be a                                                           
representation of the broader                                                   
market. Periodically, companies will                                            
be added or deleted from the index.                                             
Usually, this is based on such events                                           
as acquisitions, spin-offs or shifts                                            
in asset size."                                                                 
Here are some of the changes to the                                             
index in the past few months                                                    
involving some well-known                                                       
companies:                                                                      

(solid bullet) January 12, 1999: HBO & Co.                                      
was removed and replaced by                                                     
McKesson HBOC after it was                                                      
acquired by McKesson.                                                           

NOTE TO SHAREHOLDERS:                                                           

On November 30, 1998, Bankers                                                   
Trust Corporation entered into an                                               
Agreement and Plan of Merger                                                    
with Deutsche Bank AG. The                                                      
merger is contingent upon various                                               
regulatory approvals. At a meeting                                              
held on March 18, 1999, the fund's                                              
Board of Trustees approved a new                                                
sub-advisory agreement among                                                    
the fund, Fidelity Management &                                                 
Research Co. and Bankers Trust                                                  
or its successor by merger that                                                 
would be effective at the time of                                               
the merger. This agreement will                                                 
be presented to the fund's                                                      
shareholders for approval.                                                      

INVESTMENT CHANGES                                                              

                                                                [Download Table]

                                                                                  
TOP TEN STOCKS AS OF FEBRUARY                                                     
28, 1999                                                                          

                               % OF FUND'S INVESTMENTS  % OF FUND'S INVESTMENTS IN
                                                        THESE STOCKS 6 MONTHS AGO 

Microsoft Corp.                 3.7                      3.1                      

General Electric Co.            3.2                      3.4                      

Intel Corp.                     2.0                      1.6                      

Merck & Co., Inc.               1.9                      1.8                      

Wal-Mart Stores, Inc.           1.9                      1.7                      

Pfizer, Inc.                    1.7                      1.6                      

Exxon Corp.                     1.6                      2.1                      

International Business          1.6                      1.4                      
Machines Corp.                                                                    

Coca-Cola Co. (The)             1.6                      2.1                      

Cisco Systems, Inc.             1.5                      1.1                      

TOP TEN MARKET SECTORS AS OF                                                      
FEBRUARY 28, 1999                                                                 

                               % OF FUND'S INVESTMENTS  % OF FUND'S INVESTMENTS IN
                                                        THESE MARKET SECTORS 6    
                                                        MONTHS AGO                

TECHNOLOGY                      19.4                     15.5                     

FINANCE                         15.9                     16.4                     

HEALTH                          12.3                     12.4                     

UTILITIES                       11.1                     10.9                     

NONDURABLES                     8.3                      9.8                      

RETAIL & WHOLESALE              6.5                      5.8                      

INDUSTRIAL MACHINERY &          5.2                      5.7                      
EQUIPMENT                                                                         

ENERGY                          5.1                      7.2                      

MEDIA & LEISURE                 4.8                      4.4                      

BASIC INDUSTRIES                3.3                      4.0                      


INVESTMENTS FEBRUARY 28, 1999                                                   

Showing Percentage of Total Value of Investment in Securities                   

                                                                [Download Table]

                                                                               
COMMON STOCKS - 97.8%                                                          

                                 SHARES                   VALUE (NOTE 1) (000S)

AEROSPACE & DEFENSE - 1.5%                                                     

AEROSPACE & DEFENSE - 1.2%                                                     

AlliedSignal, Inc.                844,541                 $ 34,943             

Boeing Co.                        1,536,171                54,630              

Goodrich (B.F.) Co.               106,519                  3,635               

Lockheed Martin Corp.             593,230                  22,357              

Rockwell International Corp.      294,161                  13,072              

Textron, Inc.                     238,489                  18,602              

United Technologies Corp.         353,578                  43,799              

                                                           191,038             

DEFENSE ELECTRONICS - 0.2%                                                     

Northrop Grumman Corp.            115,268                  7,183               

Raytheon Co. Class B              522,936                  27,944              

                                                           35,127              

SHIP BUILDING & REPAIR - 0.1%                                                  

General Dynamics Corp.            193,742                  11,709              

TOTAL AEROSPACE & DEFENSE                                  237,874             

BASIC INDUSTRIES - 3.3%                                                        

CHEMICALS & PLASTICS - 1.7%                                                    

Air Products & Chemicals,         341,740                  10,978              
Inc.                                                                           

Ashland, Inc.                     91,924                   4,091               

Avery Dennison Corp.              169,991                  9,126               

Dow Chemical Co.                  340,051                  33,453              

du Pont (E.I.) de Nemours &       1,721,015                88,310              
Co.                                                                            

Eastman Chemical Co.              115,727                  5,461               

Engelhard Corp.                   204,693                  3,646               

FMC Corp. (a)                     51,072                   2,614               

Great Lakes Chemical Corp.        87,411                   3,404               

Hercules, Inc.                    182,771                  5,060               

Monsanto Co.                      958,752                  43,683              

Morton International, Inc.        231,057                  8,347               

Nalco Chemical Co.                105,957                  2,980               

PPG Industries, Inc.              265,023                  13,798              

Praxair, Inc.                     237,310                  8,291               

Raychem Corp.                     140,412                  3,203               

Rohm & Haas Co.                   247,383                  7,731               

Sealed Air Corp. (a)              130,405                  6,618               

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

BASIC INDUSTRIES - CONTINUED                                                   

CHEMICALS & PLASTICS -                                                         
CONTINUED                                                                      

Union Carbide Corp.               226,902                 $ 9,984              

W.R. Grace & Co. (a)              110,658                  1,487               

                                                           272,265             

IRON & STEEL - 0.2%                                                            

Aeroquip-Vickers, Inc.            41,933                   2,374               

Allegheny Teledyne, Inc.          279,540                  5,766               

Bethlehem Steel Corp. (a)         187,226                  1,650               

Nucor Corp.                       126,811                  5,651               

USX-U.S. Steel Group              177,025                  4,481               

Worthington Industries, Inc.      126,606                  1,606               

                                                           21,528              

METALS & MINING - 0.3%                                                         

Alcan Aluminium Ltd.              326,632                  7,929               

Alcoa, Inc.                       547,218                  22,162              

ASARCO, Inc.                      66,211                   935                 

Cyprus Amax Minerals Co.          201,370                  2,265               

Freeport-McMoRan Copper &         188,465                  1,779               
Gold, Inc. Class B                                                             

Inco Ltd.                         210,767                  2,642               

Phelps Dodge Corp.                90,223                   4,376               

Reynolds Metals Co.               126,032                  5,388               

                                                           47,476              

PACKAGING & CONTAINERS - 0.2%                                                  

Ball Corp.                        37,607                   1,575               

Bemis Co., Inc.                   69,234                   2,358               

Corning, Inc.                     355,385                  19,013              

Crown Cork & Seal Co., Inc.       209,119                  5,803               

Owens-Illinois, Inc. (a)          227,491                  5,446               

Tupperware Corp.                  87,582                   1,533               

                                                           35,728              

PAPER & FOREST PRODUCTS - 0.9%                                                 

Boise Cascade Corp.               98,826                   3,070               

Champion International Corp.      144,845                  5,359               

Fort James Corp.                  335,565                  10,025              

Georgia-Pacific Corp.             138,309                  10,131              

International Paper Co.           479,102                  20,122              

Kimberly-Clark Corp.              849,740                  40,150              

Louisiana-Pacific Corp.           182,284                  3,349               

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

BASIC INDUSTRIES - CONTINUED                                                   

PAPER & FOREST PRODUCTS -                                                      
CONTINUED                                                                      

Mead Corp.                        152,144                 $ 4,631              

Potlatch Corp.                    41,416                   1,437               

Temple-Inland, Inc.               80,871                   4,847               

Union Camp Corp.                  102,623                  6,863               

Westvaco Corp.                    143,820                  3,218               

Weyerhaeuser Co.                  298,266                  16,628              

Willamette Industries, Inc.       161,301                  5,877               

                                                           135,707             

TOTAL BASIC INDUSTRIES                                     512,704             

CONSTRUCTION & REAL ESTATE -                                                   
0.3%                                                                           

BUILDING MATERIALS - 0.2%                                                      

Armstrong World Industries,       62,807                   3,089               
Inc.                                                                           

Crane Co.                         99,186                   2,721               

Fortune Brands, Inc.              275,889                  8,311               

Masco Corp.                       521,504                  13,689              

Owens-Corning                     77,574                   2,468               

Sherwin-Williams Co.              256,070                  6,162               

                                                           36,440              

CONSTRUCTION - 0.1%                                                            

Centex Corp.                      89,556                   3,297               

Fleetwood Enterprises, Inc.       47,652                   1,546               

Kaufman & Broad Home Corp.        66,778                   1,503               

Pulte Corp.                       69,126                   1,663               

                                                           8,009               

ENGINEERING - 0.0%                                                             

EG & G, Inc.                      71,658                   1,899               

Fluor Corp.                       115,029                  4,048               

Foster Wheeler Corp.              60,386                   755                 

                                                           6,702               

TOTAL CONSTRUCTION & REAL                                  51,151              
ESTATE                                                                         

DURABLES - 2.5%                                                                

AUTOS, TIRES, & ACCESSORIES -                                                  
1.8%                                                                           

AutoZone, Inc. (a)                235,935                  8,258               

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

DURABLES - CONTINUED                                                           

AUTOS, TIRES, & ACCESSORIES -                                                  
CONTINUED                                                                      

Cooper Tire & Rubber Co.          141,804                 $ 2,801              

Cummins Engine Co., Inc.          61,025                   2,502               

Dana Corp.                        268,321                  10,129              

Danaher Corp.                     196,600                  9,486               

Eaton Corp.                       110,563                  7,670               

Ford Motor Co.                    1,723,532                102,227             

General Motors Corp.              1,002,584                82,776              

Genuine Parts Co.                 286,260                  8,570               

Goodyear Tire & Rubber Co.        232,192                  10,739              

ITT Industries, Inc.              172,184                  6,726               

Johnson Controls, Inc.            128,668                  7,913               

NACCO Industries, Inc. Class A    9,614                    846                 

Navistar International Corp.      76,256                   3,279               
(a)                                                                            

PACCAR, Inc.                      124,447                  5,211               

Pep Boys-Manny, Moe & Jack        84,900                   1,549               

Snap-On, Inc.                     89,941                   2,541               

TRW, Inc.                         210,112                  9,928               

                                                           283,151             

CONSUMER DURABLES - 0.3%                                                       

Minnesota Mining &                608,574                  45,073              
Manufacturing Co.                                                              

CONSUMER ELECTRONICS - 0.2%                                                    

Black & Decker Corp.              147,252                  7,179               

Maytag Corp.                      140,857                  7,897               

Newell Co.                        281,474                  11,963              

Whirlpool Corp.                   109,238                  4,752               

                                                           31,791              

TEXTILES & APPAREL - 0.2%                                                      

Fruit of the Loom, Inc. Class     98,147                   1,245               
A (a)                                                                          

Liz Claiborne, Inc.               95,425                   3,215               

NIKE, Inc. Class B                306,338                  16,427              

Reebok International Ltd. (a)     72,827                   1,174               

Russell Corp.                     52,433                   1,022               

Springs Industries, Inc.          17,530                   583                 
Class A                                                                        

VF Corp.                          181,056                  8,713               

                                                           32,379              

TOTAL DURABLES                                             392,394             

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

ENERGY - 5.1%                                                                  

ENERGY SERVICES - 0.5%                                                         

Baker Hughes, Inc.                467,406                 $ 8,413              

Halliburton Co.                   711,579                  20,102              

Helmerich & Payne, Inc.           75,920                   1,238               

McDermott International, Inc.     88,175                   1,758               

Rowan Companies, Inc. (a)         129,119                  1,114               

Schlumberger Ltd.                 836,400                  40,618              

                                                           73,243              

OIL & GAS - 4.6%                                                               

Amerada Hess Corp.                134,267                  6,092               

Anadarko Petroleum Corp.          223,908                  6,157               

Apache Corp.                      149,417                  2,979               

Atlantic Richfield Co.            476,164                  26,010              

Burlington Resources, Inc.        299,505                  9,696               

Chevron Corp.                     978,115                  75,193              

Coastal Corp. (The)               322,928                  10,334              

Exxon Corp.                       3,725,282                247,964             

Kerr-McGee Corp.                  107,609                  3,074               

Mobil Corp.                       1,196,045                99,496              

Occidental Petroleum Corp.        549,442                  8,276               

Oryx Energy Co. (a)               153,929                  1,597               

Phillips Petroleum Co.            377,660                  14,611              

Royal Dutch Petroleum Co. (NY     3,292,638                144,464             
Registry Gilder 1.25)                                                          

Sunoco, Inc.                      129,151                  3,931               

Texaco, Inc.                      850,698                  39,611              

Union Pacific Resources           392,963                  3,512               
Group, Inc.                                                                    

Unocal Corp.                      384,503                  10,838              

USX-Marathon Group                422,985                  8,751               

                                                           722,586             

TOTAL ENERGY                                               795,829             

FINANCE - 15.9%                                                                

BANKS - 6.8%                                                                   

Bank of New York Co., Inc.        1,217,558                42,538              

Bank One Corp.                    1,831,724                98,455              

BankAmerica Corp.                 2,629,103                171,713             

BankBoston Corp.                  483,500                  19,552              

Bankers Trust Corp.               67,737                   5,893               

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

FINANCE - CONTINUED                                                            

BANKS - CONTINUED                                                              

BB&T Corp.                        417,500                 $ 15,813             

Capital One Financial Corp.       101,800                  12,992              

Chase Manhattan Corp.             1,317,058                104,871             

Comerica, Inc.                    227,431                  15,067              

Fifth Third Bancorp               423,389                  27,970              

First Union Corp.                 1,555,383                82,921              

Firstar Corp.                     374,100                  31,331              

Huntington Bancshares, Inc.       291,936                  9,269               

KeyCorp                           661,016                  21,318              

Mellon Bank Corp.                 418,744                  28,318              

Mercantile Bancorp., Inc.         218,800                  9,983               

Morgan (JP) & Co., Inc.           279,990                  31,201              

National City Corp.               525,704                  36,734              

Northern Trust Corp.              162,200                  14,497              

PNC Financial Corp.               482,514                  25,121              

Regions Financial Corp.           312,100                  11,860              

Republic of New York Corp.        148,626                  6,735               

SouthTrust Corp.                  242,200                  9,703               

State Street Corp.                232,363                  17,819              

Summit Bancorp                    264,300                  10,209              

SunTrust Banks, Inc.              519,131                  35,268              

Synovus Finanical Corp.           369,450                  8,798               

U.S. Bancorp                      1,162,896                37,576              

Union Planters Corp.              191,300                  8,644               

Wachovia Corp.                    296,635                  25,233              

Wells Fargo & Co.                 2,525,704                92,820              

                                                           1,070,222           

CREDIT & OTHER FINANCE - 2.9%                                                  

American Express Co.              704,219                  76,408              

Associates First Capital          1,043,384                42,387              
Corp. Class A                                                                  

Citigroup, Inc.                   3,458,504                203,187             

Countrywide Credit                173,543                  6,573               
Industries, Inc.                                                               

Fleet Financial Group, Inc.       882,776                  37,904              

Household International, Inc.     740,062                  30,065              

MBNA Corp.                        1,235,344                29,957              

Providian Financial Corp.         222,055                  22,677              

Transamerica Corp.                183,038                  13,282              

                                                           462,440             

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

FINANCE - CONTINUED                                                            

FEDERAL SPONSORED CREDIT - 1.1%                                                

Fannie Mae                        1,574,135               $ 110,189            

Freddie Mac                       1,030,675                60,681              

SLM Holding Corp.                 246,100                  10,552              

                                                           181,422             

INSURANCE - 3.5%                                                               

Aetna, Inc.                       232,432                  17,214              

Allstate Corp.                    1,269,544                47,608              

American General Corp.            373,994                  27,395              

American International Group,     1,887,904                215,103             
Inc.                                                                           

Aon Corp.                         273,653                  16,128              

Chubb Corp. (The)                 245,876                  14,691              

CIGNA Corp.                       324,783                  25,495              

Cincinnati Financial Corp.        241,300                  8,461               

Conseco, Inc.                     499,874                  14,965              

Hartford Financial Services       351,058                  18,979              
Group, Inc.                                                                    

Jefferson-Pilot Corp.             156,059                  10,583              

Lincoln National Corp.            156,212                  14,791              

Loews Corp.                       166,010                  12,980              

Marsh & McLennan Companies,       400,774                  28,380              
Inc.                                                                           

MBIA, Inc.                        138,004                  8,496               

MGIC Investment Corp.             165,038                  5,622               

Progressive Corp.                 122,971                  15,802              

Provident Companies, Inc.         195,800                  6,412               

SAFECO Corp.                      207,009                  8,319               

St. Paul Companies, Inc. (The)    357,378                  11,570              

Torchmark Corp.                   202,177                  6,722               

UNUM Corp.                        221,832                  9,927               

                                                           545,643             

SAVINGS & LOANS - 0.3%                                                         

Golden West Financial Corp.       76,178                   7,156               

Washington Mutual, Inc.           938,931                  37,557              

                                                           44,713              

SECURITIES INDUSTRY - 1.3%                                                     

Bear Stearns Companies, Inc.      175,665                  7,521               

Franklin Resources, Inc.          408,000                  12,980              

Lehman Brothers Holdings,         189,800                  10,059              
Inc.                                                                           

Merrill Lynch & Co., Inc.         527,185                  40,461              

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

FINANCE - CONTINUED                                                            

SECURITIES INDUSTRY - CONTINUED                                                

Morgan Stanley, Dean Witter &     882,780                 $ 79,892             
Co.                                                                            

Schwab (Charles) Corp.            624,897                  46,594              

                                                           197,507             

TOTAL FINANCE                                              2,501,947           

HEALTH - 12.3%                                                                 

DRUGS & PHARMACEUTICALS - 8.6%                                                 

Allergan, Inc.                    112,877                  9,199               

ALZA Corp. Class A. (a)           149,751                  7,853               

American Home Products Corp.      1,980,636                117,848             

Amgen, Inc. (a)                   394,546                  49,269              

Bristol-Myers Squibb Co.          1,538,945                193,811             

Lilly (Eli) & Co.                 1,663,452                157,508             

Merck & Co., Inc.                 3,643,594                297,864             

Pfizer, Inc.                      2,001,047                264,013             

Pharmacia & Upjohn, Inc.          796,876                  43,430              

Schering-Plough Corp.             2,235,204                125,032             

Sigma-Aldrich Corp.               147,015                  3,878               

Warner-Lambert Co.                1,278,758                88,314              

                                                           1,358,019           

MEDICAL EQUIPMENT & SUPPLIES                                                   
- 3.3%                                                                         

Abbott Laboratories               2,310,938                107,314             

Bard (C.R.), Inc.                 84,074                   4,740               

Bausch & Lomb, Inc.               83,869                   5,058               

Baxter International, Inc.        441,212                  31,050              

Becton, Dickinson & Co.           391,912                  13,129              

Biomet, Inc.                      171,631                  6,297               

Boston Scientific Corp. (a)       583,630                  15,466              

Cardinal Health, Inc.             404,428                  29,195              

Guidant Corp.                     449,794                  25,638              

Johnson & Johnson                 2,062,021                176,045             

Mallinckrodt, Inc.                107,710                  3,332               

McKesson HBOC, Inc.               421,274                  28,647              

Medtronic, Inc.                   904,748                  63,898              

Millipore Corp.                   64,443                   1,796               

Pall Corp.                        184,313                  3,905               

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

HEALTH - CONTINUED                                                             

MEDICAL EQUIPMENT & SUPPLIES                                                   
- CONTINUED                                                                    

St. Jude Medical, Inc. (a)        116,094                 $ 2,917              

U.S. Surgical Corp. rights        289                      -                   
6/30/00 (a)                                                                    

                                                           518,427             

MEDICAL FACILITIES MANAGEMENT                                                  
- 0.4%                                                                         

Columbia/HCA Healthcare Corp.     947,733                  16,941              

HCR Manor Care, Inc. (a)          159,900                  3,578               

HEALTHSOUTH Corp. (a)             676,627                  7,866               

Humana, Inc. (a)                  252,406                  4,417               

Tenet Healthcare Corp. (a)        454,148                  8,941               

United HealthCare Corp.           286,321                  14,119              

                                                           55,862              

TOTAL HEALTH                                               1,932,308           

INDUSTRIAL MACHINERY &                                                         
EQUIPMENT - 5.2%                                                               

ELECTRICAL EQUIPMENT - 3.7%                                                    

Emerson Electric Co.              702,765                  40,365              

General Electric Co.              5,011,450                502,711             

General Instrument Corp. (a)      242,784                  7,101               

Grainger (W.W.), Inc.             139,750                  6,219               

Harris Corp.                      140,882                  4,385               

Honeywell, Inc.                   187,388                  13,105              

Scientific-Atlanta, Inc.          115,823                  3,757               

                                                           577,643             

INDUSTRIAL MACHINERY &                                                         
EQUIPMENT - 1.2%                                                               

Briggs & Stratton Corp.           35,346                   1,725               

Case Corp.                        134,404                  2,621               

Caterpillar, Inc.                 554,456                  25,262              

Cooper Industries, Inc.           190,668                  8,342               

Deere & Co.                       363,333                  11,876              

Dover Corp.                       329,904                  11,217              

Harnischfeger Industries,         65,667                   505                 
Inc.                                                                           

Illinois Tool Works, Inc.         381,458                  26,225              

Ingersoll-Rand Co.                247,004                  11,733              

Milacron, Inc.                    49,470                   881                 

Parker-Hannifin Corp.             172,821                  6,416               

Stanley Works                     128,585                  3,126               

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

INDUSTRIAL MACHINERY &                                                         
EQUIPMENT - CONTINUED                                                          

INDUSTRIAL MACHINERY &                                                         
EQUIPMENT - CONTINUED                                                          

Tenneco, Inc.                     253,881                 $ 7,601              

Timken Co.                        78,835                   1,394               

Tyco International Ltd.           1,010,535                75,222              

                                                           194,146             

POLLUTION CONTROL - 0.3%                                                       

Browning-Ferris Industries,       250,889                  7,903               
Inc.                                                                           

Waste Management, Inc.            937,119                  45,802              

                                                           53,705              

TOTAL INDUSTRIAL MACHINERY &                               825,494             
EQUIPMENT                                                                      

MEDIA & LEISURE - 4.8%                                                         

BROADCASTING - 2.0%                                                            

CBS Corp.                         1,068,770                39,411              

Clear Channel Communications,     411,242                  24,675              
Inc. (a)                                                                       

Comcast Corp. Class A             515,219                  36,548              
(special)                                                                      

MediaOne Group, Inc.              956,149                  52,110              

Tele-Communications, Inc.         720,448                  45,253              
(TCI Group) Series A (a)                                                       

Time Warner, Inc.                 1,720,396                110,966             

                                                           308,963             

ENTERTAINMENT - 1.2%                                                           

Carnival Corp.                    935,800                  41,643              

Disney (Walt) Co.                 3,128,079                110,069             

King World Productions, Inc.      95,066                   2,513               
(a)                                                                            

Viacom, Inc. Class B              430,233                  38,022              
(non-vtg.) (a)                                                                 

                                                           192,247             

LEISURE DURABLES & TOYS - 0.1%                                                 

Brunswick Corp.                   130,016                  2,771               

Hasbro, Inc.                      193,774                  7,170               

Mattel, Inc.                      488,430                  12,882              

                                                           22,823              

LODGING & GAMING - 0.1%                                                        

Harrah's Entertainment, Inc.      190,970                  3,187               
(a)                                                                            

Hilton Hotels Corp.               402,488                  6,364               

Mirage Resorts, Inc. (a)          278,709                  5,435               

                                                           14,986              

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

MEDIA & LEISURE - CONTINUED                                                    

PUBLISHING - 0.6%                                                              

American Greetings Corp.          103,735                 $ 2,457              
Class A                                                                        

Dow Jones & Co., Inc.             109,850                  5,163               

Gannet, Inc.                      427,040                  27,117              

Harcourt General, Inc.            82,483                   3,779               

Knight-Ridder, Inc.               113,944                  5,719               

McGraw-Hill Companies, Inc.       147,662                  16,160              

Meredith Corp.                    66,549                   2,246               

New York Times Co. (The)          277,184                  8,593               
Class A                                                                        

Times Mirror Co. Class A          97,610                   5,448               

Tribune Co.                       175,938                  11,667              

                                                           88,349              

RESTAURANTS - 0.8%                                                             

Darden Restaurants, Inc.          208,595                  4,589               

Marriott International, Inc.      367,358                  13,225              
Class A                                                                        

McDonald's Corp.                  1,036,182                88,075              

Tricon Global Restaurants,        232,045                  14,387              
Inc. (a)                                                                       

Wendy's International, Inc.       188,181                  4,505               

                                                           124,781             

TOTAL MEDIA & LEISURE                                      752,149             

NONDURABLES - 8.3%                                                             

AGRICULTURE - 0.0%                                                             

Pioneer Hi-Bred                   281,787                  6,604               
International, Inc.                                                            

BEVERAGES - 2.8%                                                               

Anheuser-Busch Companies,         731,374                  56,087              
Inc.                                                                           

Brown-Forman Corp. Class B        68,352                   4,507               

Coca-Cola Co. (The)               3,804,717                243,264             

Coca-Cola Enterprises, Inc.       606,200                  18,792              

Coors (Adolph) Co. Class B        52,280                   3,114               

PepsiCo, Inc.                     2,223,353                83,654              

Seagram Co. Ltd.                  569,523                  26,402              

                                                           435,820             

FOODS - 1.6%                                                                   

Archer-Daniels-Midland Co.        896,602                  13,561              

Bestfoods                         433,700                  20,357              

Campbell Soup Co.                 686,172                  27,576              

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

NONDURABLES - CONTINUED                                                        

FOODS - CONTINUED                                                              

ConAgra, Inc.                     752,588                 $ 22,672             

General Mills, Inc.               251,888                  20,324              

Heinz (H.J.) Co.                  581,384                  31,649              

Hershey Foods Corp.               178,271                  11,097              

Kellogg Co.                       598,946                  22,161              

Quaker Oats Co.                   205,471                  11,224              

Ralston Purina Co.                454,630                  12,247              

Sara Lee Corp.                    1,359,688                36,967              

Sysco Corp.                       500,896                  14,150              

Wrigley (Wm.) Jr. Co.             135,919                  12,640              

                                                           256,625             

HOUSEHOLD PRODUCTS - 2.8%                                                      

Alberto-Culver Co. Class B        67,212                   1,613               

Avon Products, Inc.               416,610                  17,341              

Clorox Co.                        194,991                  23,070              

Colgate-Palmolive Co.             439,708                  37,320              

Gillette Co.                      1,694,848                90,886              

International Flavors &           155,639                  6,410               
Fragrances, Inc.                                                               

Procter & Gamble Co.              2,022,602                181,023             

Rubbermaid, Inc.                  253,338                  8,376               

Unilever NV (NY shares)           961,216                  69,628              

                                                           435,667             

TOBACCO - 1.1%                                                                 

Philip Morris Companies, Inc.     3,712,147                145,238             

RJR Nabisco Holdings Corp.        512,700                  14,003              

UST, Inc.                         282,044                  8,338               

                                                           167,579             

TOTAL NONDURABLES                                          1,302,295           

PRECIOUS METALS - 0.1%                                                         

Barrick Gold Corp.                580,349                  10,258              

Battle Mountain Gold Co.          287,395                  970                 

Homestake Mining Co.              306,340                  2,814               

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

PRECIOUS METALS - CONTINUED                                                    

Newmont Mining Corp.              296,978                 $ 5,123              

Placer Dome, Inc.                 320,673                  3,509               

                                                           22,674              

RETAIL & WHOLESALE - 6.5%                                                      

APPAREL STORES - 0.5%                                                          

Gap, Inc.                         867,581                  56,122              

Limited, Inc. (The)               324,778                  11,530              

TJX Companies, Inc.               495,330                  14,148              

                                                           81,800              

DRUG STORES - 0.6%                                                             

CVS Corp.                         567,296                  30,067              

Longs Drug Stores Corp.           64,280                   2,326               

Rite Aid Corp.                    413,996                  17,129              

Walgreen Co.                      1,480,756                47,384              

                                                           96,906              

GENERAL MERCHANDISE STORES -                                                   
3.1%                                                                           

Consolidated Stores Corp. (a)     165,800                  4,176               

Costco Companies, Inc. (a)        340,916                  27,380              

Dayton Hudson Corp.               690,194                  43,180              

Dillards, Inc. Class A            162,100                  4,032               

Dollar General Corp.              332,200                  9,945               

Federated Department Stores,      312,118                  11,880              
Inc. (a)                                                                       

K mart Corp. (a)                  708,253                  12,394              

Kohls Corp. (a)                   236,600                  16,325              

May Department Stores Co.         354,779                  21,021              
(The)                                                                          

Nordstrom, Inc.                   226,760                  9,127               

Penney (J.C.) Co., Inc.           422,710                  15,270              

Sears, Roebuck & Co.              573,664                  23,305              

Wal-Mart Stores, Inc.             3,396,013                293,331             

                                                           491,366             

GROCERY STORES - 0.9%                                                          

Albertson's, Inc.                 382,224                  21,787              

American Stores Co.               402,899                  13,598              

Great Atlantic & Pacific Tea,     57,945                   1,829               
Inc.                                                                           

Kroger Co. (a)                    417,193                  26,987              

Meyer (Fred), Inc. (a)            239,300                  15,375              

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

RETAIL & WHOLESALE - CONTINUED                                                 

GROCERY STORES - CONTINUED                                                     

Safeway, Inc. (a)                 747,300                 $ 43,157             

Supervalu, Inc.                   178,256                  4,289               

Winn-Dixie Stores, Inc.           211,958                  9,286               

                                                           136,308             

RETAIL & WHOLESALE,                                                            
MISCELLANEOUS - 1.4%                                                           

Circuit City Stores, Inc. -       152,627                  8,280               
Circuit City Group                                                             

Home Depot, Inc.                  2,309,596                137,854             

IKON Office Solutions, Inc.       199,712                  2,821               

Lowe's Companies, Inc.            528,820                  31,366              

Staples, Inc. (a)                 730,950                  21,494              

Tandy Corp.                       147,816                  8,222               

Toys R Us, Inc. (a)               409,772                  5,788               

                                                           215,825             

TOTAL RETAIL & WHOLESALE                                   1,022,205           

SERVICES - 0.6%                                                                

ADVERTISING - 0.2%                                                             

Interpublic Group of              197,090                  14,745              
Companies, Inc.                                                                

Omnicom Group, Inc.               249,100                  16,503              

                                                           31,248              

LEASING & RENTAL - 0.0%                                                        

Ryder Systems, Inc.               157,398                  4,250               

PRINTING - 0.1%                                                                

Deluxe Corp.                      130,425                  4,418               

Donnelley (R.R.) & Sons Co.       199,525                  6,834               

Moore Corp. Ltd.                  115,158                  1,211               

                                                           12,463              

SERVICES - 0.3%                                                                

Block (H&R), Inc.                 172,583                  7,831               

Cendant Corp. (a)                 1,257,658                20,830              

Dun & Bradstreet Corp.            248,698                  8,518               

Ecolab, Inc.                      160,900                  6,416               

Jostens, Inc.                     48,025                   1,126               

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

SERVICES - CONTINUED                                                           

SERVICES - CONTINUED                                                           

National Service Industries,      78,020                  $ 2,506              
Inc.                                                                           

Service Corp. International       377,741                  5,808               

                                                           53,035              

TOTAL SERVICES                                             100,996             

TECHNOLOGY - 19.4%                                                             

COMMUNICATIONS EQUIPMENT - 3.6%                                                

3Com Corp. (a)                    530,344                  16,673              

Andrew Corp. (a)                  133,032                  2,012               

Ascend Communications, Inc.       320,500                  24,658              
(a)                                                                            

Cabletron Systems, Inc. (a)       238,686                  1,939               

Cisco Systems, Inc. (a)           2,425,566                237,251             

Lucent Technologies, Inc.         2,020,856                205,243             

Northern Telecom Ltd.             1,015,415                59,128              

Tellabs, Inc. (a)                 295,240                  23,638              

                                                           570,542             

COMPUTER SERVICES & SOFTWARE                                                   
- 6.6%                                                                         

Adobe Systems, Inc.               109,982                  4,427               

America Online, Inc.              1,423,800                126,629             

Autodesk, Inc.                    93,101                   3,736               

Automatic Data Processing,        961,478                  38,219              
Inc.                                                                           

BMC Software, Inc.                334,600                  13,677              

Ceridian Corp. (a)                99,720                   7,142               

Computer Associates               828,466                  34,796              
International, Inc.                                                            

Computer Sciences Corp.           231,678                  15,436              

Compuware Corp. (a)               299,000                  16,725              

Electronic Data Systems Corp.     769,200                  35,768              

Equifax, Inc.                     200,133                  7,555               

First Data Corp.                  646,436                  24,726              

IMS Health, Inc.                  501,726                  17,811              

Microsoft Corp. (a)               3,824,136                574,095             

Momentum Business                 7,322                    63                  
Applications Inc (a)                                                           

Novell, Inc. (a)                  568,977                  11,024              

Oracle Corp. (a)                  1,488,867                83,190              

Parametric Technology Corp.       456,632                  7,021               
(a)                                                                            

Paychex, Inc.                     259,000                  10,975              

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

TECHNOLOGY - CONTINUED                                                         

COMPUTER SERVICES & SOFTWARE                                                   
- CONTINUED                                                                    

PeopleSoft, Inc.                  369,100                 $ 6,967              

Shared Medical Systems Corp.      34,888                   1,779               

                                                           1,041,761           

COMPUTERS & OFFICE EQUIPMENT                                                   
- 5.5%                                                                         

Apple Computer, Inc. (a)          213,069                  7,417               

Compaq Computer Corp.             2,614,102                92,147              

Data General Corp. (a)            71,588                   989                 

Dell Computer Corp. (a)           1,933,128                154,892             

EMC Corp. (a)                     771,748                  79,008              

Gateway 2000, Inc. (a)            228,400                  16,602              

Hewlett-Packard Co.               1,582,780                105,156             

International Business            1,441,158                244,997             
Machines Corp.                                                                 

Pitney Bowes, Inc.                408,542                  25,815              

Seagate Technology, Inc. (a)      381,195                  11,031              

Silicon Graphics, Inc. (a)        249,855                  3,982               

Sun Microsystems, Inc. (a)        584,030                  56,833              

Unisys Corp. (a)                  364,908                  10,879              

Xerox Corp.                       1,034,250                57,078              

                                                           866,826             

ELECTRONIC INSTRUMENTS - 0.3%                                                  

Applied Materials, Inc. (a)       548,864                  30,531              

KLA-Tencor Corp. (a)              147,628                  7,649               

Perkin-Elmer Corp.                75,248                   7,130               

Tektronix, Inc.                   69,917                   1,363               

Thermo Electron Corp. (a)         215,024                  2,970               

                                                           49,643              

ELECTRONICS - 3.2%                                                             

Advanced Micro Devices, Inc.      203,201                  3,632               
(a)                                                                            

AMP, Inc.                         362,065                  19,257              

Intel Corp.                       2,554,599                306,392             

LSI Logic Corp. (a)               188,413                  4,887               

Micron Technology, Inc. (a)       373,464                  21,521              

Motorola, Inc.                    926,827                  65,110              

National Semiconductor Corp.      242,976                  2,551               
(a)                                                                            

Solectron Corp. (a)               381,000                  17,026              

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

TECHNOLOGY - CONTINUED                                                         

ELECTRONICS - CONTINUED                                                        

Texas Instruments, Inc.           583,010                 $ 51,997             

Thomas & Betts Corp.              68,798                   2,868               

                                                           495,241             

PHOTOGRAPHIC EQUIPMENT - 0.2%                                                  

Eastman Kodak Co.                 498,552                  32,998              

Polaroid Corp.                    72,952                   1,742               

                                                           34,740              

TOTAL TECHNOLOGY                                           3,058,753           

TRANSPORTATION - 0.9%                                                          

AIR TRANSPORTATION - 0.3%                                                      

AMR Corp. (a)                     270,786                  15,012              

Delta Air Lines, Inc.             232,440                  14,135              

Southwest Airlines Co.            499,008                  15,033              

US Airways Group, Inc. (a)        134,286                  6,362               

                                                           50,542              

RAILROADS - 0.4%                                                               

Burlington Northern Santa Fe      733,814                  24,308              
Corp.                                                                          

CSX Corp.                         319,325                  12,534              

Norfolk Southern Corp.            562,119                  15,774              

Union Pacific Corp.               388,751                  18,223              

                                                           70,839              

TRUCKING & FREIGHT - 0.2%                                                      

FDX Corp. (a)                     235,358                  22,477              

Laidlaw, Inc.                     462,994                  3,562               

                                                           26,039              

TOTAL TRANSPORTATION                                       147,420             

UTILITIES - 11.1%                                                              

CELLULAR - 0.7%                                                                

AirTouch Communications, Inc.     889,858                  81,033              
(a)                                                                            

Nextel Communications, Inc.       420,500                  12,641              
Class A (a)                                                                    

Sprint Corp. Series 1 (PCS        671,587                  21,491              
Group)                                                                         

                                                           115,165             

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

UTILITIES - CONTINUED                                                          

ELECTRIC UTILITY - 2.1%                                                        

AES Corp. (a)                     256,600                 $ 9,542              

Ameren Corp.                      191,524                  7,146               

American Electric Power Co.,      306,394                  12,754              
Inc.                                                                           

Baltimore Gas & Electric Co.      194,288                  4,979               

Carolina Power & Light Co.        197,928                  7,892               

Central & South West Corp.        317,693                  7,883               

CINergy Corp.                     210,851                  6,154               

Consolidated Edison, Inc.         357,236                  16,701              

Dominion Resources, Inc.          341,834                  13,203              

DTE Energy Co.                    228,410                  9,022               

Duke Energy Corp.                 582,684                  33,140              

Edison International              535,930                  13,666              

Entergy Corp.                     418,641                  11,827              

FirstEnergy Corp.                 312,328                  9,136               

FPL Group, Inc.                   310,231                  15,958              

GPU, Inc.                         159,969                  6,379               

New Century Energies, Inc.        160,000                  6,490               

Niagara Mohawk Power Corp. (a)    187,049                  2,736               

Northern States Power Co.         180,416                  4,657               

PacifiCorp                        517,291                  9,279               

PECO Energy Co.                   390,456                  13,837              

PG&E Corp.                        625,545                  19,705              

PP&L Resources, Inc.              204,887                  5,225               

Public Service Enterprise         345,321                  13,122              
Group, Inc.                                                                    

Reliant Energy, Inc.              410,555                  11,008              

Southern Co.                      1,128,469                28,282              

Texas Utilities Co.               462,399                  19,623              

Unicom Corp.                      342,314                  12,174              

                                                           331,520             

GAS - 0.6%                                                                     

Columbia Gas System, Inc.         121,051                  6,113               

Consolidated Natural Gas Co.      145,803                  8,010               

Eastern Enterprises Co.           54,734                   2,104               

Enron Corp.                       513,928                  33,405              

NICOR, Inc.                       75,608                   2,887               

ONEOK, Inc.                       47,034                   1,267               

Peoples Energy Corp.              61,681                   2,093               

Sempra Energy                     337,363                  7,085               

COMMON STOCKS - CONTINUED                                                      

                                 SHARES                   VALUE (NOTE 1) (000S)

UTILITIES - CONTINUED                                                          

GAS - CONTINUED                                                                

Sonat, Inc.                       159,975                 $ 4,049              

Williams Companies, Inc.          642,602                  23,776              

                                                           90,789              

TELEPHONE SERVICES - 7.7%                                                      

ALLTEL Corp.                      387,205                  23,184              

Ameritech Corp.                   1,719,816                112,433             

AT&T Corp.                        2,707,151                222,325             

Bell Atlantic Corp.               2,393,158                137,457             

BellSouth Corp.                   3,027,198                140,008             

Frontier Corp.                    273,711                  9,836               

GTE Corp.                         1,470,848                95,421              

MCI WorldCom, Inc. (a)            2,833,058                233,727             

SBC Communications, Inc.          2,952,212                156,098             

Sprint Corp. (FON Group)          529,475                  45,436              

U.S. WEST, Inc.                   729,586                  38,896              

                                                           1,214,821           

TOTAL UTILITIES                                            1,752,295           

TOTAL COMMON STOCKS                                        15,408,488          
(Cost $8,936,365)                                                              


                                                        [Enlarge/Download Table]

                                                                                                            
U.S. TREASURY OBLIGATIONS -                                                                                 
2.2%                                                                                                        

                                   PRINCIPAL AMOUNT (000S)                                                  

U.S. Treasury Bills, yield at     $ 341,118                 339,048                                         
date of purchase 4.17% to                                                                                   
4.72% 3/4/99 to 4/22/99 (b)                                                                                 
(Cost $339,179)                                                                                             

TOTAL INVESTMENT IN                                        $ 15,747,536                                     
SECURITIES - 100%                                                                                           
(Cost $9,275,544)                                                                                           

FUTURES CONTRACTS                                                                                           

                           EXPIRATION DATE      UNDERLYING FACE AMOUNT (000S)  UNREALIZED GAIN/(LOSS) (000S)

PURCHASED                                                                                                   

1,111 S&P 500 Stock Index  Mar. 1999            $ 343,160                      $ 8,190                      
Contracts                                                                                                   

THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF TOTAL                                                
INVESTMENT IN SECURITIES - 2.2%                                                                             

LEGEND                                                                          
(a) Non-income producing                                                        

(b) Security or a portion of the security was pledged to cover margin           
requirements for future contracts. At the period end, the value of              
securities pledged amounted to $24,700,000.                                     

INCOME TAX INFORMATION                                                          

At February 28, 1999, the aggregate cost of investment securities for           
income tax purposes was $9,313,010,000. Net unrealized appreciation             
aggregated $6,434,526,000, of which $6,862,225,000 related to                   
appreciated investment securities and $427,699,000 related to                   
depreciated investment securities.                                              

The fund hereby designates approximately $96,796,000 as a capital gain          
dividend for the purpose of the dividend paid deduction.                        

FINANCIAL STATEMENTS                                                            

STATEMENT OF ASSETS AND LIABILITIES                                             
AMOUNTS IN THOUSANDS (EXCEPT                                                    
PER-SHARE AMOUNTS)                           FEBRUARY                           
                  28, 1999

ASSETS                                                                          

Investment in securities, at             $ 15,747,536                           
value (cost $9,275,544) -                                                       
See accompanying schedule                                                       

Cash                                      874                                   

Receivable for fund shares                39,438                                
sold                                                                            

Dividends receivable                      20,152                                

Interest receivable                       92                                    

Other receivables                         27                                    

Investment of cash collateral             546,061                               
received for securities                                                         
loaned                                                                          

TOTAL ASSETS                             16,354,180                           

LIABILITIES                                                                     

Payable for investments        $ 9,671                                          
purchased                                                                       

Payable for fund shares         27,935                                          
redeemed                                                                        

Accrued management fee          223                                             

Payable for daily variation     1,808                                           
on futures contracts                                                            

Other payables and accrued      2,794                                           
expenses                                                                        

Collateral on securities        546,061                                         
loaned, at value                                                                

TOTAL LIABILITIES                        588,492                              

NET ASSETS                               $ 15,765,688                           

Net Assets consist of:                                                          

Paid in capital                          $ 9,246,522                            

Undistributed net investment              32,602                                
income                                                                          

Accumulated undistributed net             6,382                                 
realized gain (loss) on                                                         
investments and foreign                                                         
currency transactions                                                           

Net unrealized appreciation               6,480,182                             
(depreciation) on                                                               
investments and assets and                                                      
liabilities in foreign                                                          
currencies                                                                      

NET ASSETS, for 355,852                  $ 15,765,688                           
shares outstanding                                                              

NET ASSET VALUE, offering                 $44.30                                
price and redemption price                                                      
per share ($15,765,688                                                          
(divided by) 355,852 shares)                                                    

STATEMENT OF OPERATIONS                                                         
AMOUNTS IN THOUSANDS           YEAR                                             
     ENDED FEBRUARY 28, 1999

INVESTMENT INCOME                            $ 185,140                          
Dividends                                                                       

Interest (including income on                 12,585                            
securities loaned of $949)                                                      

TOTAL INCOME                                 197,725                          

EXPENSES                                                                        

Management fee and               $ 31,837                                       
sub-advisory fee                                                                

Transfer agent fees               21,465                                        

Accounting fees                   871                                           

Non-interested trustees'          58                                            
compensation                                                                    

Registration fees                 995                                           

Audit                             86                                            

Legal                             69                                            

Interest                          23                                            

Reports to shareholders           214                                           

Miscellaneous                     41                                            

Total expenses before            55,659                                       
reductions                                                                      

Expense reductions               (31,744)    23,915                           

NET INVESTMENT INCOME                         173,810                           

REALIZED AND UNREALIZED GAIN                                                    
(LOSS)                                                                          
Net realized gain (loss) on:                                                    

Investment securities            16,085                                       

Foreign currency transactions    3                                            

Futures contracts                5,302       21,390                           

Change in net unrealized                                                        
appreciation (depreciation)                                                     
on:                                                                             

Investment securities            2,117,686                                    

Futures contracts                (1,119)     2,116,567                        

NET GAIN (LOSS)                               2,137,957                         

NET INCREASE (DECREASE) IN                   $ 2,311,767                        
NET ASSETS RESULTING  FROM                                                      
OPERATIONS                                                                      

                                                        [Enlarge/Download Table]

                                                                                           
STATEMENT OF CHANGES IN NET ASSETS                                                         
AMOUNTS IN THOUSANDS             YEAR ENDED FEBRUARY 28, 1999  YEAR ENDED FEBRUARY 28, 1998

INCREASE (DECREASE) IN NET                                                                 
ASSETS                                                                                     

Operations Net investment        $ 173,810                     $ 142,525                   
income                                                                                     

 Net realized gain (loss)         21,390                        154,362                    

 Change in net unrealized         2,116,567                     2,266,714                  
appreciation (depreciation)                                                                

 NET INCREASE (DECREASE) IN       2,311,767                     2,563,601                  
NET ASSETS RESULTING  FROM                                                                 
OPERATIONS                                                                                 

Distributions to shareholders     (168,721)                     (136,471)                  
From net investment income                                                                 

 From net realized gain           (103,340)                     (64,494)                   

 TOTAL DISTRIBUTIONS              (272,061)                     (200,965)                  

Share transactions Net            7,293,000                     5,531,225                  
proceeds from sales of shares                                                              

 Reinvestment of distributions    268,490                       197,180                    

 Cost of shares redeemed          (5,012,488)                   (3,401,121)                

 NET INCREASE (DECREASE) IN       2,549,002                     2,327,284                  
NET ASSETS RESULTING  FROM                                                                 
SHARE TRANSACTIONS                                                                         

  TOTAL INCREASE (DECREASE)       4,588,708                     4,689,920                  
IN NET ASSETS                                                                              

NET ASSETS                                                                                 

 Beginning of period              11,176,980                    6,487,060                  

 End of period (including        $ 15,765,688                  $ 11,176,980                
undistributed net investment                                                               
income of $32,602 and                                                                      
$27,227, respectively)                                                                     

OTHER INFORMATION                                                                          
Shares                                                                                     

 Sold                             179,538                       167,395                    

 Issued in reinvestment of        6,834                         6,139                      
distributions                                                                              

 Redeemed                         (125,415)                     (103,521)                  

 Net increase (decrease)          60,957                        70,013                     


                                                                [Download Table]

                                                                              
FINANCIAL HIGHLIGHTS                                                          
YEARS ENDED FEBRUARY 28,         1999      1998      1997     1996  E  1995   

SELECTED PER-SHARE DATA                                                       

Net asset value, beginning       $ 37.90   $ 28.85   $ 23.56  $ 18.02  $ 17.36
of period                                                                     

Income from Investment                                                        
Operations                                                                    

Net investment income             .53 B     .55 B     .51 B    .48      .43   

Net realized and unrealized       6.74      9.29      5.47     5.63     .77   
gain (loss)                                                                   

Total from investment             7.27      9.84      5.98     6.11     1.20  
operations                                                                    

Less Distributions                                                            

 From net investment income       (.53)     (.54)     (.49)    (.46)    (.43) 

From net realized gain            (.34)     (.25)     (.20)    (.11)    (.07) 

In excess of net realized gain    -         -         -        -        (.04) 

Total distributions               (.87)     (.79)     (.69)    (.57)    (.54) 

Net asset value, end of period   $ 44.30   $ 37.90   $ 28.85  $ 23.56  $ 18.02

TOTAL RETURN A                    19.50%    34.65%    25.87%   34.37%   7.17% 

RATIOS AND SUPPLEMENTAL DATA                                                  

Net assets, end of period        $ 15,766  $ 11,177  $ 6,487  $ 4,113  $ 2,235
(in millions)                                                                 

Ratio of expenses to average      .19% C    .20% C    .28% C   .28% C   .28% C
net assets                                                                    

Ratio of expenses to average      .18% D    .19% D    .26% D   .25% D   .28%  
net assets after expense                                                      
reductions                                                                    

Ratio of net investment           1.33%     1.66%     2.00%    2.34%    2.65% 
income to average net assets                                                  

Portfolio turnover rate           4%        2%        3%       1%       11%   


A THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT              
BEEN REDUCED DURING THE PERIODS SHOWN.                                          

B NET INVESTMENT INCOME PER SHARE HAS BEEN CALCULATED BASED ON AVERAGE          
SHARES OUTSTANDING DURING THE PERIOD.                                           

C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE           
PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD              
HAVE BEEN HIGHER.                                                               

D FMR OR THE FUND HAS ENTERED INTO VARYING ARRANGEMENTS WITH THIRD              
PARTIES WHO EITHER PAID OR REDUCED A PORTION OF THE FUND'S EXPENSES.            

E FOR THE YEAR ENDED FEBRUARY 29.                                               

NOTES TO FINANCIAL STATEMENTS                                                   
For the period ended February 28, 1999                                          

1. SIGNIFICANT ACCOUNTING POLICIES.                                             

Spartan U.S. Equity Index Fund (the fund) is a fund of Fidelity                 
Concord Street Trust (the trust) and is authorized to issue an                  
unlimited number of shares. The trust is registered under the                   
Investment Company Act of 1940, as amended, as an open-end management           
investment company organized as a Massachusetts business trust. The             
financial statements have been prepared in conformity with generally            
accepted accounting principles which require management to make                 
certain estimates and assumptions at the date of the financial                  
statements. The following summarizes the significant accounting                 
policies of the fund:                                                           

SECURITY VALUATION. Securities for which exchange quotations are                
readily available are valued at the last sale price, or if no sale              
price, at the closing bid price. Securities for which exchange                  
quotations are not readily available (and in certain cases debt                 
securities which trade on an exchange) are valued primarily using               
dealer-supplied valuations or at their fair value as determined in              
good faith under consistently applied procedures under the general              
supervision of the Board of Trustees. Short-term securities with                
remaining maturities of sixty days or less for which quotations are             
not readily available are valued at amortized cost or original cost             
plus accrued interest, both of which approximate current value.                 

FOREIGN CURRENCY TRANSLATION. The accounting records of the fund are            
maintained in U.S. dollars. Investment securities and other assets and          
liabilities denominated in a foreign currency are translated into U.S.          
dollars at the prevailing rates of exchange at period end. Purchases            
and sales of securities, income receipts and expense payments are               
translated into U.S. dollars at the prevailing exchange rate on the             
respective dates of the transactions.                                           

Net realized gains and losses on foreign currency transactions                  
represent net gains and losses from sales and maturities of foreign             
currency contracts, disposition of foreign currencies, the difference           
between the amount of net investment income accrued and the U.S.                
dollar amount actually received, and gains and losses between trade             
and settlement date on purchases and sales of securities. The effects           
of changes in foreign currency exchange rates on investments in                 
securities are included with the net realized and unrealized gain or            
loss on investment securities.                                                  

INCOME TAXES. As a qualified regulated investment company under                 
Subchapter M of the Internal Revenue Code, the fund is not subject to           
income taxes to the extent that it distributes substantially all of             
its taxable income for its fiscal year. The schedule of investments             
includes information regarding income taxes under the caption "Income           
Tax Information."                                                               

INVESTMENT INCOME. Dividend income is recorded on the ex-dividend               
date, except certain dividends from foreign securities where the                
ex-dividend date may have passed, are recorded as soon as the fund is           
informed of the ex-dividend date. Non-cash dividends included in                
dividend income, if any, are recorded at the fair market value of the           
securities                                                                      

1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED                                  

INVESTMENT INCOME - CONTINUED                                                   

received. Interest income, which includes accretion of original issue           
discount, is accrued as earned. Investment income is recorded net of            
foreign taxes withheld where recovery of such taxes is uncertain.               

EXPENSES. Most expenses of the trust can be directly attributed to a            
fund. Expenses which cannot be directly attributed are apportioned              
among the funds in the trust.                                                   

DEFERRED TRUSTEE COMPENSATION. Under a Deferred Compensation Plan (the          
Plan) non-interested Trustees must defer receipt of a portion of, and           
may elect to defer receipt of an additional portion of, their annual            
compensation. Deferred amounts are treated as though equivalent dollar          
amounts had been invested in shares of the fund or are invested in a            
cross-section of other Fidelity funds. Deferred amounts remain in the           
fund until distributed in accordance with the Plan.                             

DISTRIBUTIONS TO SHAREHOLDERS. Distributions are recorded on the                
ex-dividend date.                                                               

Income and capital gain distributions are determined in accordance              
with income tax regulations which may differ from generally accepted            
accounting principles. These differences, which may result in                   
distribution reclassifications, are primarily due to differing                  
treatments for futures transactions, market discount and losses                 
deferred due to wash sales and excise tax regulations. The fund also            
utilized earnings and profits distributed to shareholders on                    
redemption of shares as a part of the dividends paid deduction for              
income tax purposes.                                                            

Permanent book and tax basis differences relating to shareholder                
distributions will result in reclassifications to paid in capital.              
Undistributed net investment income and accumulated undistributed net           
realized gain (loss) on investments and foreign currency transactions           
may include temporary book and tax basis differences which will                 
reverse in a subsequent period. Any taxable income or gain remaining            
at fiscal year end is distributed in the following year.                        

SECURITY TRANSACTIONS. Security transactions are accounted for as of            
trade date. Gains and losses on securities sold are determined on the           
basis of identified cost.                                                       

2. OPERATING POLICIES.                                                          

FOREIGN CURRENCY CONTRACTS. The fund generally uses foreign currency            
contracts to facilitate transactions in foreign-denominated                     
securities. Losses may arise from changes in the value of the foreign           
currency or if the counterparties do not perform under the contracts'           
terms. The U.S. dollar value of foreign currency contracts is                   
determined using contractual currency exchange rates established at             
the time of each trade.                                                         

INTERFUND LENDING PROGRAM. Pursuant to an Exemptive Order issued by             
the Securities and Exchange Commission, the fund, along with other              
registered investment companies having management contracts with FMR,           
may participate in an interfund lending program. This program provides          
an                                                                              

2. OPERATING POLICIES - CONTINUED                                               

INTERFUND LENDING PROGRAM - CONTINUED                                           

alternative credit facility allowing the fund to borrow from, or lend           
money to, other participating funds.                                            

FUTURES CONTRACTS. The fund may use futures contracts to manage its             
exposure to the stock market. Buying futures tends to increase the              
fund's exposure to the underlying instrument, while selling futures             
tends to decrease the fund's exposure to the underlying instrument or           
hedge other fund investments. Futures contracts involve, to varying             
degrees, risk of loss in excess of the futures variation margin                 
reflected in the Statement of Assets and Liabilities. The underlying            
face amount at value of any open futures contracts at period end is             
shown in the schedule of investments under the caption "Futures                 
Contracts." This amount reflects each contract's exposure to the                
underlying instrument at period end. Losses may arise from changes in           
the value of the underlying instruments or if the counterparties do             
not perform under the contracts' terms. Gains (losses) are realized             
upon the expiration or closing of the futures contracts. Futures                
contracts are valued at the settlement price established each day by            
the board of trade or exchange on which they are traded.                        

3. PURCHASES AND SALES OF INVESTMENTS.                                          

Purchases and sales of securities, other than short-term securities,            
aggregated $2,915,542,000 and $535,964,000, respectively.                       

The market value of futures contracts opened and closed during the              
period amounted to $3,601,792,000 and $3,507,068,000, respectively.             

4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.                                 

MANAGEMENT FEE. As the fund's investment adviser, Fidelity Management           
& Research Company (FMR) receives a fee that is computed daily at an            
annual rate of .24% of the fund's average net assets.                           

SUB-ADVISER FEE. FMR and the fund have entered into a sub-advisory              
agreement with Bankers Trust Company (Bankers Trust). Bankers Trust             
receives a sub-advisory fee for providing investment management,                
securities lending and custodial services to the fund. For these                
services, FMR pays Bankers Trust fees at an annual rate of 0.006% of            
the fund's average net assets. In addition, the fund pays Bankers               
Trust fees equal to 40% of net income from the fund's securities                
lending program. For the period, the fund paid Bankers Trust $380,000.          
This fee is included in the caption "Management fee and sub-advisory            
fee" on the Statement of Operations.                                            

On March 11, 1999, Bankers Trust announced that it had reached an               
agreement with the United States Attorney's Office to resolve an                
investigation concerning inappropriate transfers of unclaimed funds             
and related recordkeeping problems that occurred between 1994 and               
early 1996. Pursuant to its agreement with the U.S. Attorney's Office,          

4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - CONTINUED                      

SUB-ADVISER FEE - CONTINUED                                                     

Bankers Trust pleaded guilty to misstating entries in the bank's books          
and records. As a result of the plea, absent an order from the SEC,             
Bankers Trust would not be able to continue to provide investment               
advisory services to the fund. The SEC has granted a temporary order            
to permit Bankers Trust and its affiliates to continue to provide               
investment advisory services to registered investment companies. There          
is no assurance that the SEC will grant a permanent order.                      

TRANSFER AGENT FEES. Fidelity Investments Institutional Operations              
Company, Inc. (FIIOC), an affiliate of FMR, is the fund's transfer,             
dividend disbursing and shareholder servicing agent. FIIOC receives             
account fees and asset-based fees that vary according to account size           
and type of account. FIIOC pays for typesetting, printing and mailing           
of all shareholder reports, except proxy statements. For the period,            
the transfer agent fees were equivalent to an annual rate of .16% of            
average net assets.                                                             

ACCOUNTING FEES. Fidelity Service Company, Inc., an affiliate of FMR,           
maintains the fund's accounting records. The fee is based on the level          
of average net assets for the month plus out-of-pocket expenses.                

5. SECURITY LENDING.                                                            

The fund loaned securities to certain brokers who paid the fund                 
negotiated lenders' fees. These fees are included in interest income.           
The fund receives U.S. Treasury obligations and/or cash as collateral           
against the loaned securities, in an amount at least equal to 102% of           
the market value of the loaned securities at the inception of each              
loan. This collateral must be maintained at not less than 100% of the           
market value of the loaned securities during the period of the loan.            
The market value of the loaned securities is determined at the close            
of business of the fund and any additional required collateral is               
delivered to the fund on the next business day. At period end, the              
value of the securities loaned amounted to $532,864,000. The fund               
received cash collateral of $546,061,000 which was invested in the              
Bankers Trust Institutional Daily Asset Fund. The fund also received            
non-cash collateral of $9,600,000 which represents U.S. Treasury                
obligations.                                                                    

6. BANK BORROWINGS.                                                             

The fund is permitted to have bank borrowings for temporary or                  
emergency purposes to fund shareholder redemptions. The fund has                
established borrowing arrangements with certain banks. The interest             
rate on the borrowings is the bank's base rate, as revised from time            
to time. The maximum loan and the average daily loan balance during             
the period for which the loan was outstanding amounted to $37,205,000           
and $17,666,000, respectively. The weighted average interest rate was           
5.63%. Interest expense includes $14,000 paid under the bank borrowing          
program.                                                                        

7. INTERFUND LENDING PROGRAM.                                                   

The fund participated in the interfund lending program as a borrower.           
The maximum loan and the average daily loan balance during the period           
for which the loan was outstanding amounted to $37,166,000 and                  
$29,500,000, respectively. The weighted average interest rate was               
5.87%. Interest expense includes $9,000 paid under the interfund                
lending program.                                                                

8. EXPENSE REDUCTIONS.                                                          

FMR voluntarily agreed to reimburse the fund's operating expenses               
(excluding interest, taxes, brokerage commissions, extraordinary                
expenses and sub-advisory fees paid by the fund associated with                 
securities lending) above an annual rate of .19% of average net                 
assets. For the period, the reimbursement reduced expenses by                   
$30,350,000.                                                                    

In addition, the fund has entered into arrangements with its custodian          
and transfer agent whereby credits realized as a result of uninvested           
cash balances were used to reduce a portion of the fund's expenses.             
During the period, fees were reduced by $47,000 and $1,347,000 by the           
fund's custodian and transfer agent, respectively, under these                  
arrangements.                                                                   

REPORT OF INDEPENDENT ACCOUNTANTS                                               

To the Trustees of Fidelity Concord Street Trust and the Shareholders           
of Spartan U.S. Equity Index Fund:                                              

In our opinion, the accompanying statement of assets and liabilities,           
including the schedule of investments, and the related statements of            
operations and of changes in net assets and the financial highlights            
present fairly, in all material respects, the financial position of             
Spartan U.S. Equity Index Fund (a fund of Fidelity Concord Street               
Trust) at February 28, 1999, and the results of its operations, the             
changes in its net assets and the financial highlights for the periods          
indicated, in conformity with generally accepted accounting                     
principles. These financial statements and financial highlights                 
(hereafter referred to as "financial statements") are the                       
responsibility of the Spartan U.S. Equity Index Fund's management; our          
responsibility is to express an opinion on these financial statements           
based on our audits. We conducted our audits of these financial                 
statements in accordance with generally accepted auditing standards             
which require that we plan and perform the audit to obtain reasonable           
assurance about whether the financial statements are free of material           
misstatement. An audit includes examining, on a test basis, evidence            
supporting the amounts and disclosures in the financial statements,             
assessing the accounting principles used and significant estimates              
made by management, and evaluating the overall financial statement              
presentation. We believe that our audits, which included confirmation           
of securities at February 28, 1999 by correspondence with the                   
custodian and brokers, provide a reasonable basis for the opinion               
expressed above.                                                                

/s/PricewaterhouseCoopers LLP                                                   
PricewaterhouseCoopers LLP                                                      

Boston, Massachusetts                                                           
April 15, 1999                                                                  

DISTRIBUTIONS                                                                   

The Board of Trustees of Spartan U.S. Equity Index Fund voted to pay            
on April 5, 1999, to shareholders of record at the opening of business          
on April 1, 1999, a distribution of $.13 per share derived from                 
capital gains realized from sales of portfolio securities.                      

A total of 95.41% of the dividends distributed during the fiscal year           
qualifies for the dividends-received deduction for corporate                    
shareholders.                                                                   

The fund will notify shareholders in January 2000 of the applicable             
percentage for use in preparing 1999 income tax returns.                        

The fund hereby designates 100% of the long-term capital gain                   
dividends distributed during the fiscal year as 20%-rate capital gain           
dividends.                                                                      

OF SPECIAL NOTE                                                                 

INTRODUCING FIDELITY'S NEW, REORGANIZED PROSPECTUS                              

Recently, the SEC issued new disclosure requirements for all mutual             
fund prospectuses. While Fidelity could have complied by simply                 
following the new requirements, we saw a different opportunity. We saw          
the chance to create a brand new prospectus: one that is better                 
organized, easier to use and more informative than ever.                        

The new format of the Fidelity mutual fund prospectus puts the                  
information you need to make informed investment decisions right at             
your fingertips. In the opening pages, you will find the SEC-mandated           
summary that highlights the fund's investment objectives, strategies            
and risks. There's also an easy-to-read performance chart and fee               
table right up front.                                                           

Inside, you will find additional features we've introduced to make the          
fund prospectus a more useful tool. In our new Shareholder Information          
section, for example, we have provided practical, beneficial                    
information - from how to buy or sell shares, key contact information,          
investment services, ways to set up your account and more - all in one          
convenient location.                                                            

We invite you to spend a moment and review our new prospectus. It is            
designed to help make your investment decision easier, no matter which          
of the Fidelity funds you invest in.                                            

INVESTMENT ADVISER                                                              
Fidelity Management & Research Company                                          
Boston, MA                                                                      

INVESTMENT SUB-ADVISER                                                          
Bankers Trust Company                                                           
New York, NY                                                                    

OFFICERS                                                                        
Edward C. Johnson 3d, PRESIDENT                                                 
Robert C. Pozen, SENIOR VICE PRESIDENT                                          
Robert A. Lawrence, VICE PRESIDENT                                              
Eric D. Roiter, SECRETARY                                                       
Richard A. Silver, TREASURER                                                    
Matthew N. Karstetter, DEPUTY TREASURER                                         
John H. Costello, ASSISTANT TREASURER                                           
Leonard M. Rush, ASSISTANT TREASURER                                            

BOARD OF TRUSTEES                                                               
Ralph F. Cox *                                                                  
Phyllis Burke Davis *                                                           
Robert M. Gates *                                                               
Edward C. Johnson 3d                                                            
E. Bradley Jones *                                                              
Donald J. Kirk *                                                                
Peter S. Lynch                                                                  
Marvin L. Mann *                                                                
William O. McCoy *                                                              
Gerald C. McDonough *                                                           
Robert C. Pozen                                                                 
Thomas R. Williams *                                                            
ADVISORY BOARD                                                                  
J. Gary Burkhead                                                                
Abigail P. Johnson                                                              
GENERAL DISTRIBUTOR                                                             
Fidelity Distributors Corporation                                               
Boston, MA                                                                      

* INDEPENDENT TRUSTEES                                                          

(registered trademark)                                                          

TRANSFER AND SHAREHOLDER SERVICING AGENT                                        
Fidelity Investments Institutional                                              
Operations Company, Inc.                                                      
Boston, MA                                                                      

CUSTODIAN                                                                       
Bankers Trust Company                                                           
New York, NY                                                                    

(fidelity_logo_graphic)(registered trademark)                                   
Corporate Headquarters                                                          
www.fidelity.com                                                                

SPARTAN(REGISTERED TRADEMARK) TOTAL MARKET INDEX                                
SPARTAN(REGISTERED TRADEMARK) EXTENDED MARKET INDEX                             
SPARTAN(REGISTERED TRADEMARK) INTERNATIONAL INDEX                               
FUNDS                                                                           

ANNUAL REPORT                                                                   
FOR THE YEAR ENDING                                                             
FEBRUARY 28, 1999                                                               
AND                                                                             
PROSPECTUS                                                                      
DATED APRIL 21,1999                                                             

(2_FIDELITY_LOGOS)(REGISTERED TRADEMARK)                                        

CONTENTS                                                                        

PRESIDENT'S MESSAGE              A-3   NED JOHNSON ON INVESTING                 
         STRATEGIES.

SPARTAN TOTAL MARKET INDEX FUND  A-4   PERFORMANCE                              

                A-5   FUND TALK: THE MANAGER'S
      OVERVIEW

          A-6   INVESTMENT CHANGES

   A-7   INVESTMENTS

            A-33  FINANCIAL STATEMENTS

SPARTAN EXTENDED MARKET INDEX    A-35  PERFORMANCE                              
FUND                                                                            

                A-36  FUND TALK: THE MANAGER'S
      OVERVIEW

          A-37  INVESTMENT CHANGES

   A-38  INVESTMENTS

            A-77  FINANCIAL STATEMENTS

SPARTAN INTERNATIONAL INDEX      A-79  PERFORMANCE                              
FUND                                                                            

                A-80  FUND TALK: THE MANAGER'S
      OVERVIEW

          A-81  INVESTMENT CHANGES

   A-82  INVESTMENTS

            A-91  FINANCIAL STATEMENTS

NOTES                            A-93  NOTES TO THE FINANCIAL                   
         STATEMENTS.

REPORT OF INDEPENDENT            A-96  THE AUDITORS' OPINION                    
ACCOUNTANTS                                                                     

DISTRIBUTIONS                    A-97                                           

OF SPECIAL NOTE                  A-98                                           

PROSPECTUS                       P-1                                            

Third party marks appearing herein are the property of their                    
respective owners.                                                              

All other marks appearing herein are registered or unregistered                 
trademarks or service marks of FMR Corp. or an affiliated company.              

This report is printed on recycled paper using soy-based inks.                  

THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO               
MANAGER ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON           
THE COVER AND DO NOT NECESSARILY REPRESENT THE VIEWS OF FIDELITY OR             
ANY OTHER PERSON IN THE FIDELITY ORGANIZATION. ANY SUCH VIEWS ARE               
SUBJECT TO CHANGE AT ANY TIME BASED UPON MARKET OR OTHER CONDITIONS             
AND FIDELITY DISCLAIMS ANY RESPONSIBILITY TO UPDATE SUCH VIEWS. THESE           
VIEWS MAY NOT BE RELIED ON AS INVESTMENT ADVICE AND, BECAUSE                    
INVESTMENT DECISIONS FOR A FIDELITY FUND ARE BASED ON NUMEROUS                  
FACTORS, MAY NOT BE RELIED ON AS AN INDICATION OF TRADING INTENT ON             
BEHALF OF ANY FIDELITY FUND.                                                    

THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE                   
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE                
FUNDS. THIS REPORT IS NOT AUTHORIZED FOR                                        
DISTRIBUTION TO PROSPECTIVE INVESTORS IN THE FUNDS UNLESS PRECEDED OR           
ACCOMPANIED BY AN EFFECTIVE PROSPECTUS.                                         

MUTUAL FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED            
BY, ANY DEPOSITORY INSTITUTION. SHARES ARE NOT                                  
INSURED BY THE FDIC, FEDERAL RESERVE BOARD OR ANY OTHER AGENCY, AND             
ARE SUBJECT TO INVESTMENT RISKS, INCLUDING                                      
POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.                                     
NEITHER THE FUNDS NOR FIDELITY DISTRIBUTORS CORPORATION IS A BANK.              
FOR MORE INFORMATION ON ANY FIDELITY FUND, INCLUDING CHARGES AND                
EXPENSES, CALL 1-800-544-8888 FOR A FREE PROSPECTUS. READ IT CAREFULLY          
BEFORE YOU INVEST OR SEND MONEY.                                                

PRESIDENT'S MESSAGE                                                             

(photograph of Edward C. Johnson 3d)                                            

DEAR SHAREHOLDER:                                                               

February proved to be a challenging month for the U.S. stock and bond           
markets. Instances of profit worries and brisk selling in the                   
technology sector hampered the equity markets at times. Financial               
shares, however, turned in their strongest performance in recent                
months. Meanwhile, bond markets were unsettled by strong economic data          
and Federal Reserve Chairman Alan Greenspan's concerns that the Fed's           
rate cuts last fall may have overstimulated the economy.                        

While it's impossible to predict the future direction of the markets            
with any degree of certainty, there are certain basic principles that           
can help investors plan for their future needs.                                 

First, investors are encouraged to take a long-term view of their               
portfolios. If you can afford to leave your money invested through the          
inevitable up and down cycles of the financial markets, you will                
greatly reduce your vulnerability to any single decline. We know from           
experience, for example, that stock prices have gone up over longer             
periods of time, have significantly outperformed other types of                 
investments and have stayed ahead of inflation.                                 

Second, you can further manage your investing risk through                      
diversification. A stock mutual fund, for instance, is already                  
diversified, because it invests in many different companies. You can            
increase your diversification further by investing in a number of               
different stock funds, or in such other investment categories as                
bonds. If you have a short investment time horizon, you might want to           
consider moving some of your investment into a money market fund,               
which seeks income and a stable share price by investing in                     
high-quality, short-term investments. Of course, it's important to              
remember that an investment in a money market fund is not insured or            
guaranteed by the Federal Deposit Insurance Corporation or any other            
government agency. Although money market funds seek to preserve the             
value of your investment at $1.00 per share, it is possible to lose             
money by investing in these types of funds.                                     

Finally, no matter what your time horizon or portfolio diversity, it            
makes good sense to follow a regular investment plan, investing a               
certain amount of money in a fund at the same time each month or                
quarter and periodically reviewing your overall portfolio. By doing             
so, you won't get caught up in the excitement of a rapidly rising               
market, nor will you buy all your shares at market highs. While this            
strategy - known as dollar cost averaging - won't assure a profit or            
protect you from a loss in a declining market, it should help you               
lower the average cost of your purchases. Of course, you should                 
consider your financial ability to continue your purchases through              
periods of low price levels before undertaking such a strategy.                 

If you have questions, please call us at 1-800-544-8888, or visit our           
web site at www.fidelity.com. We are available 24 hours a day, seven            
days a week to provide you the information you need to make the                 
investments that are right for you.                                             

Best regards,                                                                   
Edward C. Johnson 3d                                                            

SPARTAN TOTAL MARKET INDEX FUND                                                 
PERFORMANCE: THE BOTTOM LINE                                                    

There are several ways to evaluate a fund's historical performance.             
You can look at the total percentage change in value, the average               
annual percentage change or the growth of a hypothetical $10,000                
investment. Total return reflects the change in the value of an                 
investment, assuming reinvestment of the fund's dividend income and             
capital gains (the profits earned upon the sale of securities that              
have grown in value) and the effect of the 0.50% purchase fee. If               
Fidelity had not reimbursed certain fund expenses, the total returns            
would have been lower.                                                          

CUMULATIVE TOTAL RETURNS                                                        

PERIODS ENDED FEBRUARY 28,     PAST 1 YEAR  LIFE OF FUND                        
1999                                                                            

SPARTAN TOTAL MARKET INDEX     14.61%       27.77%                              

SPARTAN TOTAL MARKET INDEX     14.04%       27.13%                              
(INCL. 0.50% PURCHASE FEE)                                                      

Wilshire 5000                  14.34%       25.99%                              

Growth & Income Funds Average  6.49%        n/a                                 

CUMULATIVE TOTAL RETURNS show the fund's performance in percentage              
terms over a set period - in this case, one year or since the fund              
started on November 5, 1997. For example, if you had invested $1,000            
in a fund that had a 5% return over the past year, the value of your            
investment would be $1,050. You can compare the fund's return to the            
performance of the Wilshire 5000 Index - a market                               
capitalization-weighted index of approximately 7,000 U.S. equity                
securities. The index contains all actively traded common stocks with           
readily available price data traded on the New York Stock Exchange,             
American Stock Exchange, and NASDAQ. To measure how the fund's                  
performance stacked up against its peers, you can compare it to the             
Growth & Income Funds Average, which reflects the performance of                
mutual funds with similar objectives tracked by Lipper Inc. The past            
one year average represents a peer group of 801 mutual funds. These             
benchmarks include reinvested dividends and capital gains, if any, and          
exclude the effect of sales charges.                                            

AVERAGE ANNUAL TOTAL RETURNS                                                    

PERIODS ENDED FEBRUARY 28,     PAST 1 YEAR  LIFE OF FUND                        
1999                                                                            

SPARTAN TOTAL MARKET INDEX     14.61%       20.48%                              

SPARTAN TOTAL MARKET INDEX     14.04%       20.02%                              
(INCL. 0.50% PURCHASE FEE)                                                      

Wilshire 5000                  14.34%       19.21%                              

Growth & Income Funds Average  6.49%        n/a                                 

AVERAGE ANNUAL TOTAL RETURNS take the fund's cumulative return and              
show you what would have happened if the fund had performed at a                
constant rate each year.                                                        

$10,000 OVER LIFE OF FUND                                                       
SPARTAN TOTAL MKT INDEX     WILSHIRE 5000             
00397                       WA006                     
1997/11/05       9950.00                    10000.00                        
1997/11/30      10077.36                    10030.36                        
1997/12/31      10269.29                    10215.72                        
1998/01/31      10345.15                    10271.23                        
1998/02/28      11091.79                    11018.99                        
1998/03/31      11658.76                    11570.45                        
1998/04/30      11769.78                    11707.79                        
1998/05/31      11451.78                    11396.26                        
1998/06/30      11862.36                    11795.86                        
1998/07/31      11596.69                    11537.41                        
1998/08/31       9773.26                     9740.66                        
1998/09/30      10437.42                    10376.94                        
1998/10/31      11238.45                    11148.95                        
1998/11/30      11946.89                    11850.99                        
1998/12/31      12737.00                    12609.36                        
1999/01/31      13187.83                    13072.95                        
1999/02/26      12712.63                    12599.06                        
IMATRL PRASUN   SHR__CHT 19990228 19990309 112353 R00000000000019               

$10,000 OVER LIFE OF FUND: Let's say hypothetically that $10,000 was            
invested in Spartan Total Market Index Fund on November 5, 1997, when           
the fund started, and the current 0.50% purchase fee was paid. As the           
chart shows, by February 28, 1999, the value of the investment would            
have been $12,713 - a 27.13% increase on the initial investment. For            
comparison, look at how the Wilshire 5000 Index did over the same               
period. With dividends and capital gains, if any, reinvested, the same          
$10,000 investment would have been $12,599 - a 25.99% increase.                 

(checkmark)UNDERSTANDING PERFORMANCE                                            

How a fund did yesterday is no guarantee of how                                 
it will do tomorrow. The stock market, for example,                             
has a history of long-term growth and short-term                                
volatility. In turn, the share price and return of a                            
fund that invests in stocks will vary. That means if                            
you sell your shares during a market downturn,                                  
you might lose money. But if you can ride out the                               
market's ups and downs, you may have a gain.                                    

SPARTAN TOTAL MARKET INDEX FUND                                                 
FUND TALK: THE MANAGER'S OVERVIEW                                               

(photograph of Frank Salerno)                                                   

An interview with Frank Salerno, Portfolio Manager of Spartan Total             
Market Index Fund for Bankers Trust, sub-adviser of the fund                    

Q. HOW DID THE FUND PERFORM, FRANK?                                             

A. For the 12 months that ended February 28, 1999, the fund posted a            
total return of 14.61% (figure does not include the purchase fee).              
Fund performance compared well with the 14.34% return for the Wilshire          
5000 Index. The fund also compares its performance to the Lipper Inc.           
growth & income funds average, which returned 6.49% during the same             
12-month period.                                                                

Q. HOW WOULD YOU CHARACTERIZE THE MARKET ENVIRONMENT DURING THE                 
PERIOD?                                                                         

A. During the first half of the 12-month period, fund performance               
suffered in response to extreme volatility and uncertainty in global            
markets. While financial conditions remained positive on the home               
front amidst low interest rates, consistently non-existent signs of             
inflation and strong consumer spending, U.S. investors became                   
increasingly concerned about the impact of the Asian crisis and                 
problems in emerging markets. During the six-month period that ended            
August 31, 1998, the fund and the Wilshire 5000 Index posted total              
returns of -11.89% and -11.60%, respectively. This bearish                      
environment, however, was quickly reversed in the last few months of            
1998 when the Federal Reserve Board cut interest rates three times in           
an effort to restore confidence and liquidity to the markets. In                
response, the market staged an impressive comeback and the Standard &           
Poor's 500 ended 1998 with its fourth consecutive year of 20%-plus              
gains. Despite some concerns over Brazil's currency devaluation and             
jitters about corporate earnings, the beat went on in 1999, as most             
U.S. stock indexes continued their advance.                                     

Q. AT APPROXIMATELY 19%, THE TECHNOLOGY SECTOR WAS THE FUND'S LARGEST           
INDUSTRY WEIGHTING AND CONTRIBUTED SIGNIFICANTLY TO PERFORMANCE. WHY            
DID THIS SECTOR PERFORM SO WELL?                                                

A. While technology companies such as Microsoft, Intel and Dell faced           
a host of challenges during the period, ranging from the Year 2000              
(Y2K) problem to the Asian crisis, these stocks continued to surge              
ahead with strong financial results and impressive returns. Many                
computer software and hardware companies, as well as a range of other           
technology stocks, posted strong results as demand for computers                
remained solid and Internet commerce skyrocketed.                               

Q. THE SECOND LARGEST SECTOR WEIGHTING FOR THE FUND AND INDEX WAS               
FINANCE. HOW DID THESE STOCKS PERFORM?                                          

A. Financial stocks were among the best performers early in the                 
period, spurred by a number of megamergers, such as Travelers Group             
with Citicorp, Nationsbank with BankAmerica and Norwest with Wells              
Fargo. In the third quarter of 1998, however, investors purged the              
majority of financial services shares, fearing not just an earnings             
stumble but a potential global financial meltdown. Nevertheless, the            
selling was overdone, as financial stocks were the primary                      
beneficiaries following the three interest-rate cuts by the Federal             
Reserve Board.                                                                  

Q. WHAT'S YOUR OUTLOOK, FRANK?                                                  

A. While the market was helped by falling interest rates and the                
economy remained healthy last year, I think there a number of hurdles           
that could trip up the market in 1999. First, with stock valuations at          
record high-levels, any earnings disappointments could result in                
weakness for the broader market. Second, there is the possibility that          
deflation could hurt corporate profits and the market. Finally, the             
potential Y2K computer glitch could make investors nervous. Whether             
none or all of these scenarios impact stock prices, it seems global             
excess capacity and ongoing weakness overseas could provide a                   
difficult backdrop in which to produce earnings growth in 1999.                 

THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO               
MANAGER ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON           
THE COVER. THE MANAGER'S VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED          
ON MARKET AND OTHER CONDITIONS. FOR MORE INFORMATION, SEE PAGE A-2.             
NOTE TO SHAREHOLDERS:                                                           

On November 30, 1998, Bankers Trust Corporation entered into an                 
Agreement and Plan of Merger with Deutsche Bank AG. The merger is               
contingent upon various regulatory approvals. At a meeting held on              
March 18, 1999, the fund's Board of Trustees approved a new                     
sub-advisory agreement among the fund, Fidelity Management & Research           
Co. and Bankers Trust or its successor by merger that would be                  
effective at the time of the merger. This agreement will be presented           
to the fund's shareholders for approval.                                        

Shares purchased after April 28, 1999 will no longer be subject to a            
0.50% purchase fee. However, the fund will deduct a short-term trading          
fee of 0.50% from the redemption amount if you sell shares purchased            
after April 28, 1999 after holding them for less than 90 days. The fee          
is paid to the fund, and is designed to offset the brokerage                    
commissions, market impact, and other costs associated with                     
fluctuations in fund asset levels and cash flow caused by short-term            
shareholder trading.                                                            

(checkmark)FUND FACTS                                                           

GOAL: total return that corresponds to that of                                  
the Wilshire 5000 Index                                                         

FUND NUMBER: 397                                                                

TRADING SYMBOL: FSTMX                                                           

START DATE: November 5, 1997                                                    

SIZE: as of February 28, 1999, more                                             
than $213 million                                                               

MANAGER: Frank Salerno, since inception                                         
SPARTAN TOTAL MARKET INDEX FUND                                                 

INVESTMENT CHANGES                                                              

                                                                [Download Table]

                                                                                  
TOP TEN STOCKS AS OF FEBRUARY                                                     
28, 1999                                                                          

                               % OF FUND'S INVESTMENTS  % OF FUND'S INVESTMENTS IN
                                                        THESE STOCKS  6 MONTHS AGO

Microsoft Corp.                 2.9                      2.2                      

General Electric Co.            2.5                      2.5                      

Intel Corp.                     1.5                      1.1                      

Merck & Co., Inc.               1.5                      1.3                      

Wal-Mart Stores, Inc.           1.5                      1.2                      

Pfizer, Inc.                    1.3                      1.1                      

Exxon Corp.                     1.2                      1.5                      

Coca-Cola Co. (The)             1.2                      1.5                      

International Business          1.2                      1.0                      
Machines Corp.                                                                    

Cisco Systems, Inc.             1.2                      0.8                      

TOP TEN MARKET SECTORS AS OF                                                      
FEBRUARY 28, 1999                                                                 

                               % OF FUND'S INVESTMENTS  % OF FUND'S INVESTMENTS IN
                                                        THESE MARKET SECTORS 6    
                                                        MONTHS AGO                

TECHNOLOGY                      19.2                     14.5                     

FINANCE                         16.4                     16.3                     

HEALTH                          11.1                     10.7                     

UTILITIES                       10.7                     10.0                     

NONDURABLES                     6.7                      7.7                      

RETAIL & WHOLESALE              6.1                      5.5                      

MEDIA & LEISURE                 5.7                      5.1                      

INDUSTRIAL MACHINERY  &         4.3                      4.5                      
EQUIPMENT                                                                         

ENERGY                          3.8                      5.1                      

BASIC INDUSTRIES                3.3                      3.9                      


SPARTAN TOTAL MARKET INDEX FUND                                                 

INVESTMENTS FEBRUARY 28, 1999                                                   

Showing Percentage of Total Value of Investment in Securities                   

COMMON STOCKS - 96.0%                                                           

                       SHARES                 VALUE (NOTE 1)

AEROSPACE & DEFENSE - 1.5%                                                      

AEROSPACE & DEFENSE - 1.2%                                                      

AAR Corp.                         150                   $ 2,269                 

Alliant Techsystems, Inc. (a)     608                    48,146                 

AlliedSignal, Inc.                9,000                  372,375                

Aviall, Inc. (a)                  1,200                  16,575                 

BE Aerospace, Inc. (a)            1,500                  22,125                 

Boeing Co.                        15,500                 551,219                

Cordant Technologies, Inc.        500                    19,469                 

Goodrich (B.F.) Co.               1,570                  53,576                 

Gulfstream Aerospace Corp. (a)    900                    40,275                 

Harsco Corp.                      900                    25,256                 

Kellstrom Industries, Inc. (a)    800                    12,950                 

Lockheed Martin Corp.             7,200                  271,350                

Orbital Sciences Corp. (a)        1,400                  38,675                 

Precision Castparts Corp.         400                    14,850                 

Rockwell International Corp.      3,800                  168,863                

Sundstrand Corp.                  1,500                  101,531                

Textron, Inc.                     3,100                  241,800                

United Technologies Corp.         3,300                  408,788                

Wyman-Gordon Co. (a)              500                    4,031                  

                                           2,414,123

DEFENSE ELECTRONICS - 0.2%                                                      

Litton Industries, Inc. (a)       1,100                  61,738                 

Northrop Grumman Corp.            1,400                  87,238                 

Raytheon Co. Class B              6,200                  331,313                

Stanford Telecommunications,      100                    1,203                  
Inc. (a)                                                                        

                                         481,492

SHIP BUILDING & REPAIR - 0.1%                                                   

Avondale Industries, Inc.         1,000                  30,875                 

General Dynamics Corp.            2,600                  157,138                

Halter Marine Group, Inc. (a)     200                    800                    

Newport News Shipbuilding,        1,600                  46,300                 
Inc.                                                                            

                                         235,113

TOTAL AEROSPACE & DEFENSE                                3,130,728              

BASIC INDUSTRIES - 3.3%                                                         

CHEMICALS & PLASTICS - 1.7%                                                     

Air Products & Chemicals,         4,700                  150,988                
Inc.                                                                            

Airgas, Inc. (a)                  100                    900                    

Albemarle Corp.                   240                    5,670                  

Arch Chemicals, Inc. (a)          100                    1,900                  

Ashland, Inc.                     2,000                  89,000                 

Atmi, Inc. (a)                    100                    2,275                  

Avery Dennison Corp.              2,500                  134,219                

Cabot Corp.                       300                    7,556                  

Catalytica, Inc. (a)              500                    7,125                  

Crompton & Knowles Corp.          2,000                  37,000                 

Cytec Industries, Inc. (a)        400                    10,725                 

Dow Chemical Co.                  3,800                  373,825                

du Pont (E.I.) de Nemours &       17,600                 903,100                
Co.                                                                             

                       SHARES                 VALUE (NOTE 1)

Eastman Chemical Co.              1,900                 $ 89,656                

Engelhard Corp.                   2,400                  42,750                 

Ethyl Corp.                       400                    1,950                  

Ferro Corp.                       150                    3,206                  

FMC Corp. (a)                     900                    46,069                 

Fuller (H.B.) Co.                 200                    8,475                  

Geon Co.                          200                    4,563                  

Georgia Gulf Corp.                200                    3,025                  

Great Lakes Chemical Corp.        1,700                  66,194                 

Hanna (M.A.) Co.                  200                    2,200                  

Hercules, Inc.                    1,900                  52,606                 

IMC Global, Inc.                  2,900                  57,819                 

International Specialty           100                    881                    
Products, Inc. (a)                                                              

Lubrizol Corp.                    1,000                  19,063                 

Lyondell Petrochemical Co.        1,100                  14,713                 

Millennium Chemicals, Inc.        2,200                  39,738                 

Minerals Technologies, Inc.       600                    25,763                 

Monsanto Co.                      9,500                  432,844                

Morton International, Inc.        2,800                  101,150                

Nalco Chemical Co.                2,400                  67,500                 

NL Industries, Inc.               200                    1,938                  

Olin Corp.                        200                    2,538                  

OM Group, Inc.                    500                    14,531                 

PPG Industries, Inc.              3,400                  177,013                

Praxair, Inc.                     3,300                  115,294                

Raychem Corp.                     2,100                  47,906                 

Rohm & Haas Co.                   3,800                  118,750                

Schulman (A.), Inc.               1,000                  16,500                 

Scotts Co. Class A (a)            200                    6,475                  

Sealed Air Corp. (a)              1,760                  89,320                 

Solutia, Inc.                     3,100                  55,219                 

Synetic, Inc. (a)                 100                    4,394                  

Terra Industries, Inc.            400                    1,975                  

Union Carbide Corp.               2,800                  123,200                

USEC, Inc.                        1,700                  24,119                 

Valhi, Inc.                       600                    6,900                  

Valspar Corp.                     200                    6,500                  

W.R. Grace & Co. (a)              900                    12,094                 

Wellman, Inc.                     100                    931                    

Witco Corp.                       300                    5,081                  

                                           3,635,126

IRON & STEEL - 0.2%                                                             

Aeroquip-Vickers, Inc.            800                    45,300                 

AK Steel Holding Corp.            2,100                  45,806                 

Allegheny Teledyne, Inc.          1,829                  37,723                 

Bethlehem Steel Corp. (a)         704                    6,204                  

Birmingham Steel Corp.            100                    413                    

Cleveland-Cliffs, Inc.            200                    7,413                  

LTV Corp.                         500                    2,750                  

Mueller Industries, Inc. (a)      500                    10,563                 

National Steel Corp. Class B      400                    3,300                  

NS Group, Inc. (a)                200                    788                    

Nucor Corp.                       2,100                  93,581                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

BASIC INDUSTRIES - CONTINUED                                                    

IRON & STEEL - CONTINUED                                                        

Oregon Steel Mills, Inc.          100                   $ 956                   

Quanex Corp.                      100                    1,750                  

Steel Dynamics, Inc. (a)          500                    7,875                  

Titan International, Inc.         100                    744                    

USX-U.S. Steel Group              2,600                  65,813                 

WHX Corp. (a)                     100                    869                    

Worthington Industries, Inc.      2,500                  31,719                 

                                         363,567

METALS & MINING - 0.3%                                                          

AFC Cable Systems, Inc. (a)       600                    19,875                 

Alcoa, Inc.                       5,600                  226,800                

ASARCO, Inc.                      1,800                  25,425                 

Belden, Inc.                      800                    14,450                 

Cable Design Technology Corp.     150                    1,941                  
(a)                                                                             

Commonwealth Industries, Inc.     100                    1,081                  

Commscope, Inc. (a)               1,800                  33,413                 

Cyprus Amax Minerals Co.          3,900                  43,875                 

Encore Wire Corp. (a)             300                    2,831                  

Freeport-McMoRan Copper &         4,900                  46,244                 
Gold, Inc. Class B                                                              

General Cable Corp.               900                    16,931                 

International FiberCom, Inc.      1,600                  11,300                 
(a)                                                                             

Kaiser Aluminum Corp. (a)         100                    500                    

Martin Marietta Materials,        1,200                  61,575                 
Inc.                                                                            

Phelps Dodge Corp.                1,600                  77,600                 

Reynolds Metals Co.               1,800                  76,950                 

Ryerson Tull, Inc. (NEW) (a)      711                    12,976                 

Superior Telecom, Inc.            500                    14,156                 

Titanium Metals Corp.             400                    2,825                  

                                         690,748

PACKAGING & CONTAINERS - 0.2%                                                   

Ball Corp.                        1,200                  50,250                 

Bemis Co., Inc.                   1,500                  51,094                 

Corning, Inc.                     3,400                  181,900                

Crown Cork & Seal Co., Inc.       2,800                  77,700                 

Owens-Illinois, Inc. (a)          2,100                  50,269                 

Sonoco Products Co.               2,350                  57,575                 

Tupperware Corp.                  1,300                  22,750                 

                                         491,538

PAPER & FOREST PRODUCTS - 0.9%                                                  

American Pad & Paper Co. (a)      100                    156                    

Boise Cascade Corp.               900                    27,956                 

Bowater, Inc.                     1,500                  63,188                 

Caraustar Industries, Inc.        900                    23,063                 

Champion International Corp.      2,300                  85,100                 

Chesapeake Corp.                  100                    3,150                  

Consolidated Papers, Inc.         600                    13,350                 

Fort James Corp.                  2,600                  77,675                 

Georgia-Pacific Corp.             1,700                  124,525                

Georgia-Pacific Corp. (Timber     1,600                  32,600                 
Group)                                                                          

                       SHARES                 VALUE (NOTE 1)

International Paper Co.           5,600                 $ 235,200               

Kimberly-Clark Corp.              8,042                  379,985                

Louisiana-Pacific Corp.           2,300                  42,263                 

Mail-Well, Inc. (a)               1,500                  21,188                 

Mead Corp.                        2,800                  85,225                 

Pentair, Inc.                     300                    11,363                 

Potlatch Corp.                    100                    3,469                  

Rayonier, Inc.                    900                    36,844                 

Smurfit-Stone Container Corp.     3,698                  66,795                 
(a)                                                                             

Temple-Inland, Inc.               1,100                  65,931                 

The St. Joe Co.                   600                    12,938                 

Union Camp Corp.                  1,300                  86,938                 

Unisource Worldwide, Inc.         1,000                  7,000                  

Westvaco Corp.                    400                    8,950                  

Weyerhaeuser Co.                  3,900                  217,425                

Willamette Industries, Inc.       1,000                  36,438                 

Workflow Management, Inc. (a)     900                    6,356                  

                                           1,775,071

TOTAL BASIC INDUSTRIES                                   6,956,050              

CONSTRUCTION & REAL ESTATE -                                                    
1.7%                                                                            

BUILDING MATERIALS - 0.4%                                                       

Aavid Thermal Technologies,       300                    4,256                  
Inc. (a)                                                                        

American Residential              100                    363                    
Services, Inc. (a)                                                              

American Standard Companies,      1,100                  36,919                 
Inc. (a)                                                                        

Armstrong World Industries,       1,200                  59,025                 
Inc.                                                                            

Centex Construction Products,     700                    24,981                 
Inc.                                                                            

Crane Co.                         300                    8,231                  

Dal-Tile International, Inc.      2,000                  18,375                 
(a)                                                                             

Fastenal Co.                      700                    26,600                 

Fortune Brands, Inc.              4,000                  120,500                

Hussmann International, Inc.      400                    5,650                  

Industrial Holdings, Inc. (a)     100                    863                    

Johns Manville Corp.              1,100                  19,319                 

Lafarge Corp.                     400                    12,750                 

Lone Star Industries, Inc.        900                    29,700                 

Masco Corp.                       6,200                  162,750                

Owens-Corning                     1,400                  44,538                 

ROHN Industries, Inc. (a)         300                    600                    

RPM, Inc.                         1,225                  16,920                 

Sherwin-Williams Co.              4,200                  101,063                

Southdown, Inc.                   376                    17,743                 

T.J. International, Inc.          200                    4,325                  

Tecumseh Products Co. Class A     1,000                  49,250                 

Texas Industries, Inc.            300                    7,388                  

USG Corp.                         1,300                  65,163                 

Vulcan Materials Co.              500                    67,375                 

Watsco, Inc. Class A              150                    1,753                  

York International Corp.          1,200                  43,500                 

                                         949,900

CONSTRUCTION - 0.1%                                                             

American Homestar Corp. (a)       200                    1,475                  

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

CONSTRUCTION & REAL ESTATE -                                                    
CONTINUED                                                                       

CONSTRUCTION - CONTINUED                                                        

Beazer Homes USA, Inc. (a)        700                   $ 15,225                

Centex Corp.                      1,500                  55,219                 

Clayton Homes, Inc.               875                    10,828                 

D.R. Horton, Inc.                 2,125                  33,867                 

Engle Homes, Inc.                 200                    2,350                  

Fleetwood Enterprises, Inc.       1,200                  38,925                 

Granite Construction, Inc.        600                    14,738                 

Kaufman & Broad Home Corp.        300                    6,750                  

NCI Building Systems, Inc. (a)    500                    11,500                 

Oakwood Homes Corp.               200                    3,225                  

Pulte Corp.                       1,300                  31,281                 

Standard Pacific Corp.            1,400                  17,325                 

Toll Brothers, Inc. (a)           800                    15,700                 

Vistana, Inc. (a)                 200                    2,188                  

Walter Industries, Inc. (a)       500                    6,125                  

Webb (Del E.) Corp.               200                    4,500                  

                                         271,221

ENGINEERING - 0.1%                                                              

Able Telcom Holding Corp. (a)     600                    4,163                  

Apogee Enterprises, Inc.          300                    2,625                  

DSP Group, Inc. (a)               200                    2,825                  

EG & G, Inc.                      900                    23,850                 

Fluor Corp.                       2,100                  73,894                 

Foster Wheeler Corp.              200                    2,500                  

ICF Kaiser International,         300                    281                    
Inc. (a)                                                                        

IDM Environmental Corp. (a)       100                    34                     

MasTec, Inc. (a)                  100                    2,513                  

Probusiness Services, Inc. (a)    400                    13,300                 

Sylvan Learning Systems (a)       1,500                  49,875                 

                                         175,860

REAL ESTATE - 0.1%                                                              

Bluegreen Corp. (a)               400                    2,575                  

Catellus Development Corp. (a)    2,800                  40,425                 

CB Richard Ellis Services,        800                    13,000                 
Inc. (a)                                                                        

Fairfield Communities, Inc.       300                    2,456                  
(a)                                                                             

Insignia Financial Group,         333                    4,350                  
Inc. (a)                                                                        

Merry Land Properties, Inc.       50                     275                    
(a)                                                                             

Pierce Leahy Corp. (a)            100                    2,475                  

Price Enterprises, Inc.           84                     420                    

Rouse Co. (The)                   1,500                  35,063                 

Stewart Enterprises, Inc.         3,300                  49,500                 
Class A                                                                         

Vornado Operating Co. (a)         60                     412                    

                                         150,951

REAL ESTATE INVESTMENT TRUSTS                                                   
- 1.0%                                                                          

AMB Property Corp.                2,600                  54,600                 

Apartment Investment &            1,631                  63,813                 
Management Co. Class A                                                          

Archstone Communities Trust       3,400                  66,513                 

Arden Realty Group, Inc.          1,700                  39,738                 

AvalonBay Communities, Inc.       2,500                  78,906                 

                       SHARES                 VALUE (NOTE 1)

Boston Properties, Inc.           2,200                 $ 71,088                

Brandywine Realty Trust           100                    1,644                  

Camden Property Trust (SBI)       975                    23,888                 

Capstead Mortgage Corp.           400                    1,975                  

CarrAmerica Realty Corp.          600                    12,900                 

Colonial Properties Trust         600                    14,738                 
(SBI)                                                                           

Cornerstone Properties, Inc.      500                    7,563                  

Crescent Real Estate Equities     3,700                  77,238                 
Co.                                                                             

Developers Diversified Realty     1,600                  25,400                 
Corp.                                                                           

Duke Realty Investments, Inc.     2,400                  52,350                 

Equity Inns, Inc.                 100                    944                    

Equity Office Properties Trust    5,540                  142,655                

Equity Residential Properties     3,030                  124,230                
Trust (SBI)                                                                     

FelCor Lodging Trust, Inc.        1,268                  29,957                 

First Industrial Realty           1,500                  38,813                 
Trust, Inc.                                                                     

First Union Real Estate           100                    413                    
Equity & Mortgage Investments                                                   

Gables Residential Trust (SBI)    100                    2,313                  

General Growth Properties,        500                    16,875                 
Inc.                                                                            

Glenborough Realty Trust,         200                    3,613                  
Inc.                                                                            

Glimcher Realty Trust (SBI)       100                    1,481                  

Highwoods Properties, Inc.        1,400                  33,513                 

Hospitality Properties Trust      1,900                  48,925                 
(SBI)                                                                           

Host Marriott Corp.               3,100                  33,519                 

HRPT Properties Trust             5,000                  68,438                 

Imperial Credit Commercial        1,000                  9,063                  
Mortgage Investment Corp.                                                       

Indymac Mortgage Holdings,        2,400                  25,500                 
Inc.                                                                            

Irvine Apartments                 1,200                  39,450                 
Communities, Inc.                                                               

JDN Realty Corp.                  150                    3,150                  

Kilroy Realty Corp.               200                    4,313                  

Kimco Realty Corp.                2,100                  79,669                 

Liberty Property Trust (SBI)      1,600                  35,000                 

Mack-Cali Realty Corp.            2,200                  63,663                 

Meditrust Corp. unit              3,496                  42,826                 

Mills Corp.                       200                    3,638                  

Nationwide Health Properties,     2,100                  37,800                 
Inc.                                                                            

New Plan Excel Realty Trust       1,800                  37,350                 

Ocwen Asset Investment Corp.      300                    1,556                  

Patriot American Hospitality,     3,812                  20,728                 
Inc. unit                                                                       

Post Properties, Inc.             1,000                  35,688                 

Prentiss Properties Trust         800                    16,000                 
(SBI)                                                                           

Prison Realty Corp. (a)           650                    12,959                 

ProLogis Trust                    3,300                  68,475                 

Public Storage, Inc.              1,500                  38,250                 

Reckson Associates Realty         300                    6,375                  
Corp.                                                                           

Redwood Trust, Inc.               100                    1,413                  

Simon Property Group, Inc.        4,300                  109,381                

Spieker Properties, Inc.          2,100                  75,075                 

Starwood Financial Trust          500                    25,000                 

Starwood Hotels & Resorts         3,583                  111,073                
Worldwide, Inc.                                                                 

Sunstone Hotel Investors,         100                    800                    
Inc.                                                                            

Thornburg Mortgage Asset          100                    944                    
Corp.                                                                           

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

CONSTRUCTION & REAL ESTATE -                                                    
CONTINUED                                                                       

REAL ESTATE INVESTMENT TRUSTS                                                   
- CONTINUED                                                                     

Trinet Corporate Realty           100                   $ 2,519                 
Trust, Inc.                                                                     

United Dominion Realty Trust,     1,400                  13,825                 
Inc.                                                                            

Vornado Realty Trust              2,300                  79,063                 

Walden Residential                100                    1,669                  
Properties, Inc.                                                                

Westfield America, Inc.           400                    7,050                  

                                           2,147,308

TOTAL CONSTRUCTION & REAL                                3,695,240              
ESTATE                                                                          

DURABLES - 2.9%                                                                 

AUTOS, TIRES, & ACCESSORIES -                                                   
1.8%                                                                            

Arvin Industries, Inc.            500                    18,125                 

AutoZone, Inc. (a)                3,300                  115,500                

Aviation Sales Co. (a)            700                    31,719                 

Bandag, Inc.                      300                    9,506                  

Borg-Warner Automotive, Inc.      600                    26,138                 

Breed Technologies, Inc. (a)      200                    813                    

Casey's General Stores, Inc.      2,500                  32,188                 

Cooper Tire & Rubber Co.          900                    17,775                 

Copart, Inc. (a)                  800                    14,000                 

CSK Auto Corp. (a)                900                    30,881                 

Cummins Engine Co., Inc.          1,000                  41,000                 

Dana Corp.                        2,256                  85,164                 

Danaher Corp.                     2,071                  99,926                 

Dura Automotive Systems, Inc.     600                    17,063                 
Class A (a)                                                                   

Eaton Corp.                       1,700                  117,938                

Excel Industries, Inc.            1,000                  23,625                 

Federal Signal Corp.              700                    16,406                 

Federal-Mogul Corp.               800                    39,350                 

Ford Motor Co.                    19,000                 1,126,938              

General Motors Corp.              10,200                 842,138                

Gentex Corp. (a)                  2,200                  47,713                 

Genuine Parts Co.                 3,400                  101,788                

Getty Petroleum Marketing,        100                    219                    
Inc. (a)                                                                        

Goodyear Tire & Rubber Co.        3,200                  148,000                

Intermet Corp.                    100                    1,250                  

ITT Industries, Inc.              2,500                  97,656                 

Johnson Controls, Inc.            1,900                  116,850                

Johnstown America Industries,     100                    1,688                  
Inc. (a)                                                                        

Kroll-O'Gara Co. (a)              900                    27,788                 

Lear Corp. (a)                    1,600                  56,500                 

Mascotech, Inc.                   200                    3,025                  

Meritor Automotive, Inc.          300                    4,763                  

Miller Industries, Inc. (a)       200                    1,075                  

Navistar International Corp.      1,200                  51,600                 
(a)                                                                             

O'Reilly Automotive, Inc. (a)     600                    26,363                 

OmniQuip International, Inc.      200                    2,175                  

PACCAR, Inc.                      1,900                  79,563                 

Pep Boys-Manny, Moe & Jack        2,400                  43,800                 

                       SHARES                 VALUE (NOTE 1)

Republic Industries, Inc. (a)     6,500                 $ 79,625                

Snap-On, Inc.                     1,000                  28,250                 

SPX Corp.                         772                    44,101                 

Standard Products Co.             100                    1,500                  

Tower Automotive, Inc. (a)        1,300                  24,213                 

TRW, Inc.                         2,600                  122,850                

Ugly Duckling Corp. (a)           100                    519                    

United Auto Group, Inc. (a)       200                    1,475                  

Wabash National Corp.             300                    3,694                  

                                           3,824,236

CONSUMER DURABLES - 0.3%                                                        

Blyth Industries, Inc. (a)        1,000                  27,000                 

Department 56, Inc. (a)           200                    6,638                  

Dupont Photomasks, Inc. (a)       200                    7,850                  

Libbey, Inc.                      800                    23,850                 

Minnesota Mining &                7,000                  518,438                
Manufacturing Co.                                                               

SAF T LOK, Inc. (a)               800                    1,525                  

Samsonite Corp. (a)               146                    867                    

Sola International, Inc. (a)      700                    7,525                  

                                         593,693

CONSUMER ELECTRONICS - 0.3%                                                     

Black & Decker Corp.              2,000                  97,500                 

General Motors Corp. Class H      2,300                  108,531                
(a)                                                                             

Harman International              800                    30,600                 
Industries, Inc.                                                                

Maytag Corp.                      2,000                  112,125                

Movado Group, Inc.                100                    2,138                  

Newell Co.                        3,400                  144,500                

Odetics, Inc. Class B (a)         400                    3,350                  

Recoton Corp. (a)                 600                    8,400                  

Sunbeam Corp.                     500                    2,906                  

U.S. Industries, Inc.             1,300                  21,125                 

Whirlpool Corp.                   1,900                  82,650                 

                                         613,825

HOME FURNISHINGS - 0.1%                                                         

Applied Power, Inc. Class A       1,500                  36,188                 

Ethan Allen Interiors, Inc.       1,000                  45,000                 

Furniture Brands                  1,900                  40,613                 
International, Inc. (a)                                                         

Heilig-Meyers Co.                 300                    1,950                  

Knoll, Inc. (a)                   100                    1,913                  

La-Z-Boy, Inc.                    600                    11,175                 

Leggett & Platt, Inc.             2,200                  46,063                 

Linens'n Things, Inc. (a)         1,200                  43,200                 

Miller (Herman), Inc.             1,700                  28,900                 

Restoration Hardware, Inc.        1,000                  20,625                 

                                         275,627

TEXTILES & APPAREL - 0.4%                                                       

Active Apparel Group, Inc. (a)    1,000                  3,313                  

Ashworth, Inc. (a)                400                    1,888                  

BEBE Stores, Inc. (a)             600                    18,675                 

Bluefly, Inc. (a)                 800                    10,300                 

Burlington Industries, Inc.       100                    619                    
(a)                                                                             

Collins & Aikman Corp.            100                    506                    

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

DURABLES - CONTINUED                                                            

TEXTILES & APPAREL - CONTINUED                                                  

Columbia Sportswear Co. (a)       100                   $ 1,200                 

Donna Karan International,        100                    625                    
Inc. (a)                                                                        

Fruit of the Loom, Inc. Class     1,200                  15,225                 
A (a)                                                                           

Interface, Inc. Class A           3,100                  29,547                 

Jones Apparel Group, Inc. (a)     1,700                  47,494                 

Kellwood Co.                      1,200                  30,675                 

Liz Claiborne, Inc.               1,100                  37,056                 

Mohawk Industries, Inc. (a)       400                    13,000                 

Nautica Enterprises, Inc. (a)     2,000                  30,000                 

NIKE, Inc. Class B                4,000                  214,500                

Nine West Group, Inc. (a)         300                    6,731                  

North Face, Inc. (a)              1,300                  16,738                 

Pacific Sunwear of                1,000                  28,500                 
California, Inc. (a)                                                            

Polo Ralph Lauren Corp. Class     1,700                  33,894                 
A (a)                                                                           

Reebok International Ltd. (a)     2,000                  32,250                 

Russell Corp.                     1,700                  33,150                 

Shaw Industries, Inc.             1,288                  28,256                 

Sport-Haley, Inc. (a)             100                    988                    

Springs Industries, Inc.          400                    13,300                 
Class A                                                                         

St. John Knits, Inc.              200                    5,338                  

Stride Rite Corp.                 800                    8,250                  

Tarrant Apparel Group (a)         500                    19,313                 

Timberland Co. Class A (a)        400                    24,150                 

Unifi, Inc.                       400                    4,825                  

Unitog Co.                        800                    30,800                 

Vans, Inc. (a)                    200                    1,350                  

VF Corp.                          1,700                  81,813                 

Warnaco Group, Inc. Class A       1,200                  27,000                 

WestPoint Stevens, Inc. Class     900                    22,950                 
A (a)                                                                           

Wolverine World Wide, Inc.        1,200                  11,925                 

                                         886,144

TOTAL DURABLES                                           6,193,525              

ENERGY - 3.8%                                                                   

ENERGY SERVICES - 0.5%                                                          

Atwood Oceanics, Inc. (a)         200                    3,363                  

Baker Hughes, Inc.                6,450                  116,100                

BJ Services Co. (a)               2,300                  32,344                 

CAL Dive International, Inc.      500                    7,188                  
(a)                                                                             

Diamond Offshore Drilling,        2,800                  57,925                 
Inc.                                                                            

ENSCO International, Inc.         800                    7,100                  

Global Industries Ltd. (a)        3,000                  15,188                 

Global Marine, Inc. (a)           1,000                  7,750                  

Halliburton Co.                   6,300                  177,975                

Helmerich & Payne, Inc.           1,500                  24,469                 

Key Energy Group, Inc. (a)        300                    1,106                  

Marine Drilling Companies,        1,000                  6,375                  
Inc. (a)                                                                        

Maverick Tube Corp. (a)           100                    563                    

McDermott International, Inc.     300                    5,981                  

Nabors Industries, Inc. (a)       2,900                  33,350                 

                       SHARES                 VALUE (NOTE 1)

Newpark Resources, Inc. (a)       1,200                 $ 6,300                 

Noble Drilling Corp. (a)          1,100                  13,613                 

Oceaneering International,        100                    1,000                  
Inc. (a)                                                                        

Offshore Logistics, Inc. (a)      100                    872                    

Parker Drilling Co. (a)           400                    1,000                  

Patterson Energy, Inc. (a)        1,000                  2,813                  

Pool Energy Services Co. (a)      1,200                  12,188                 

Pride International, Inc. (a)     1,200                  6,000                  

R&B Falcon Corp. (a)              5,180                  28,490                 

Rowan Companies, Inc. (a)         500                    4,313                  

Schlumberger Ltd.                 9,072                  440,559                

SEACOR SMIT, Inc. (a)             500                    19,688                 

Smith International, Inc.         200                    4,863                  

Superior Energy Services,         100                    275                    
Inc. (a)                                                                        

Tidewater, Inc.                   1,400                  26,338                 

Transocean Offshore, Inc.         2,600                  53,625                 

Varco International, Inc. (a)     300                    2,325                  

Zapata Corp.                      500                    4,813                  

                                           1,125,852

OIL & GAS - 3.3%                                                                

Amerada Hess Corp.                2,000                  90,750                 

American International            100                    100                    
Petroleum Corp. (a)                                                             

Anadarko Petroleum Corp.          2,300                  63,250                 

Apache Corp.                      2,800                  55,825                 

Atlantic Richfield Co.            5,800                  316,825                

Barrett Resources Corp. (a)       600                    9,863                  

Bellwether Exploration Co. (a)    100                    338                    

Benton Oil & Gas Co. (a)          100                    306                    

Burlington Resources, Inc.        3,600                  116,550                

Chevron Corp.                     11,100                 853,313                

Coastal Corp. (The)               4,200                  134,400                

Coho Energy, Inc. (a)             300                    178                    

Comstock Resources, Inc. (a)      100                    281                    

Conoco, Inc. Class A              2,400                  48,750                 

Cooper Cameron Corp. (a)          600                    13,875                 

Devon Energy Corp.                1,200                  28,125                 

EEX Corp. (a)                     333                    2,019                  

Enron Oil & Gas Co.               3,700                  61,050                 

Evergreen Resources, Inc. (a)     500                    7,844                  

Exxon Corp.                       38,800                 2,582,625              

Forcenergy, Inc. (a)              300                    263                    

Friede Goldman International,     600                    6,413                  
Inc. (a)                                                                        

Frontier Oil Corp. (a)            100                    525                    

Gothic Energy Corp. (a)           200                    100                    

Gulf Island Fabrication, Inc.     300                    1,950                  
(a)                                                                             

Harken Energy Corp. (a)           1,100                  1,650                  

Houston Exploration Co. (a)       100                    1,544                  

IRI International Corp. (a)       500                    1,563                  

KCS Energy, Inc.                  100                    131                    

Kelley Oil & Gas Corp. (a)        200                    106                    

Kerr-McGee Corp.                  1,600                  45,700                 

Louis Dreyfus Natural Gas         200                    2,388                  
Corp. (a)                                                                       

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

ENERGY - CONTINUED                                                              

OIL & GAS - CONTINUED                                                           

Mobil Corp.                       12,100                $ 1,006,569             

Murphy Oil Corp.                  400                    13,675                 

National Energy Group, Inc.       500                    63                     
(a)                                                                             

National-Oilwell, Inc. (a)        200                    1,775                  

Newfield Exploration Co. (a)      800                    13,000                 

Noble Affiliates, Inc.            1,600                  36,200                 

Nuevo Energy Co. (a)              300                    2,100                  

Occidental Petroleum Corp.        3,500                  52,719                 

Ocean Energy, Inc. (a)            1,728                  7,344                  

Oryx Energy Co. (a)               2,900                  30,088                 

Panaco, Inc. (a)                  100                    103                    

Patina Oil & Gas Corp.            100                    288                    

PennzEnergy Co.                   2,100                  19,688                 

Pennzoil-Quaker State Co.         2,792                  34,726                 

Phillips Petroleum Co.            5,000                  193,438                

Pioneer Natural Resources Co.     3,300                  17,119                 

Pogo Producing Co.                300                    2,775                  

Range Resources Corp.             100                    194                    

Resource America, Inc. Class A    1,200                  12,975                 

Santa Fe Energy Resources,        4,400                  23,100                 
Inc. (a)                                                                        

Seagull Energy Corp. (a)          500                    2,375                  

Seven Seas Petroleum, Inc. (a)    500                    2,000                  

Snyder Oil Corp.                  2,000                  20,875                 

St. Mary Land & Exploration       300                    4,688                  
Co.                                                                             

Sunoco, Inc.                      1,900                  57,831                 

Swift Energy Co. (a)              300                    1,800                  

Tesoro Petroleum Corp. (a)        600                    4,800                  

Texaco, Inc.                      9,300                  433,031                

Titan Exploration, Inc. (a)       100                    466                    

Tom Brown, Inc. (a)               1,000                  9,688                  

Tosco Corp.                       2,300                  47,581                 

Ultramar Diamond Shamrock         1,500                  29,625                 
Corp.                                                                           

UNIFAB International, Inc. (a)    100                    681                    

Union Pacific Resources           5,900                  52,731                 
Group, Inc.                                                                     

Unocal Corp.                      5,000                  140,938                

USX-Marathon Group                3,900                  80,681                 

Valero Energy Corp.               600                    10,538                 

Vastar Resources, Inc.            1,800                  69,300                 

Veritas DGC, Inc. (a)             600                    5,663                  

Vintage Petroleum, Inc.           300                    1,331                  

Weatherford International,        680                    11,560                 
Inc. (a)                                                                        

                                           6,904,722

TOTAL ENERGY                                             8,030,574              

FINANCE - 16.4%                                                                 

BANKS - 6.5%                                                                    

Advanta Corp.                     1,000                  11,688                 

AmSouth Bancorp.                  2,850                  133,950                

Associated Banc-Corp.             2,225                  69,114                 

BancWest Corp.                    300                    11,756                 

                       SHARES                 VALUE (NOTE 1)

Bank of Commerce                  300                   $ 5,663                 

Bank of New York Co., Inc.        11,300                 394,794                

Bank One Corp.                    18,167                 976,476                

BankAmerica Corp.                 27,372                 1,787,734              

BankBoston Corp.                  4,400                  177,925                

BB&T Corp.                        5,632                  213,312                

Capital One Financial Corp.       900                    114,863                

CCB Financial Corp.               1,100                  57,131                 

Centura Banks, Inc.               900                    57,600                 

Chase Manhattan Corp.             13,200                 1,051,050              

City National Corp.               600                    19,350                 

CNB Bancshares, Inc.              1,213                  48,747                 

Colonial Bancgroup, Inc.          400                    4,950                  

Comerica, Inc.                    3,200                  212,000                

Commerce Bancshares, Inc.         1,540                  62,755                 

Community First Bankshares,       1,400                  27,300                 
Inc.                                                                            

Compass Bancshares, Inc.          1,700                  62,263                 

Cullen Frost Bankers, Inc.        1,000                  47,313                 

Fifth Third Bancorp               4,901                  323,772                

First American Corp.              2,217                  89,927                 

First Security Corp.              4,600                  85,387                 

First Tennessee National          3,000                  114,188                
Corp.                                                                           

First Union Corp.                 15,205                 810,617                

First Virginia Banks, Inc.        700                    33,381                 

Firstar Corp.                     4,182                  350,243                

Firstmerit Corp.                  300                    7,331                  

Fulton Financial Corp.            125                    2,766                  

Hibernia Corp. Class A            4,700                  76,081                 

HUBCO, Inc.                       1,785                  58,570                 

Huntington Bancshares, Inc.       4,510                  143,193                

Imperial Bancorp                  1,404                  25,623                 

KeyCorp                           7,800                  251,550                

Keystone Financial, Inc.          1,800                  65,025                 

M&T Bank Corp.                    112                    53,284                 

Mainstreet Financial Corp.        400                    17,900                 

Marshall & Ilsley Corp.           2,300                  128,800                

Mellon Bank Corp.                 4,900                  331,363                

Mercantile Bancorp., Inc.         3,300                  150,563                

Mercantile Bankshares Corp.       2,000                  72,875                 

Morgan (JP) & Co., Inc.           2,500                  278,594                

National City Corp.               5,810                  405,974                

National Commmerce Bancorp        3,300                  68,475                 

North Fork Bancorp, Inc.          2,478                  54,516                 

Northern Trust Corp.              2,200                  196,625                

Pacific Century Financial         900                    19,744                 
Corp.                                                                           

Peoples Heritage Financial        3,432                  58,344                 
Group, Inc.                                                                     

PNC Financial Corp.               5,500                  286,344                

Popular, Inc.                     1,200                  39,825                 

Provident Financial Group,        1,300                  50,700                 
Inc.                                                                            

R&G Financial Corp. Class B       200                    3,725                  

Regions Financial Corp.           4,558                  173,204                

Republic of New York Corp.        2,700                  122,344                

Riggs National Corp.              700                    12,950                 

Silicon Valley Bancshares (a)     1,400                  26,863                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

FINANCE - CONTINUED                                                             

BANKS - CONTINUED                                                               

SouthTrust Corp.                  3,600                 $ 144,225               

State Street Corp.                3,100                  237,731                

Summit Bancorp                    3,700                  142,913                

SunTrust Banks, Inc.              5,628                  382,352                

Synovus Finanical Corp.           2,900                  69,056                 

Trustmark Corp.                   400                    8,475                  

U.S. Bancorp                      12,800                 413,600                

Union Planters Corp.              2,887                  130,456                

UnionBanCal Corp.                 1,900                  59,731                 

United Bankshares, Inc.           600                    14,475                 

US Trust Corp.                    600                    44,925                 

UST Corp.                         841                    17,608                 

Valley National Bancorp           325                    8,328                  

Wachovia Corp.                    3,663                  311,584                

Wells Fargo & Co.                 25,100                 922,425                

Westamerica Bancorp.              1,600                  53,600                 

Western Bancorp                   1,100                  33,894                 

Whitney Holding Corp.             100                    3,275                  

Wilmington Trust Corp.            100                    5,669                  

Zions Bancorp                     1,768                  113,152                

                                            13,655,874

CREDIT & OTHER FINANCE - 2.7%                                                   

Aames Financial Corp.             2,900                  5,981                  

Actrade International Ltd. (a)    500                    7,156                  

Allied Capital Corp.              1,300                  22,913                 

American Express Co.              7,000                  759,500                

AmeriCredit Corp. (a)             2,700                  30,038                 

AMRESCO, Inc.                     2,300                  21,778                 

Arcadia Financial Ltd. (a)        300                    1,144                  

Associates First Capital          12,610                 512,281                
Corp. Class A                                                                   

Cash America International,       400                    5,050                  
Inc.                                                                            

CIT Group, Inc. Class A           3,500                  103,250                

Citigroup, Inc.                   36,269                 2,130,804              

Coast Federal Litigation          200                    1,363                  
Contingent Payment Rights                                                       
Trust rights 12/31/00 (a)                                                       

Concord EFS, Inc. (a)             2,250                  71,859                 

Consumer Portfolio Services,      100                    375                    
Inc. (a)                                                                        

ContiFinancial Corp. (a)          400                    1,400                  

Countrywide Credit                2,600                  98,475                 
Industries, Inc.                                                                

Credit Acceptance Corp. (a)       200                    1,200                  

Doral Financial Corp.             1,200                  22,725                 

Equitable Companies (The),        3,300                  222,956                
Inc.                                                                            

Finova Group, Inc.                1,400                  71,138                 

First Alliance Corp. (a)          400                    1,450                  

FIRSTPLUS Financial Group,        2,400                  3,300                  
Inc. (a)                                                                        

Fleet Financial Group, Inc.       8,830                  379,138                

Franchise Mortgage Acceptance     300                    2,513                  
Co. (a)                                                                         

Greenpoint Financial Corp.        2,100                  64,444                 

Headlands Mortgage Co. (a)        1,000                  18,875                 

HealthCare Financial              500                    13,063                 
Partners, Inc. (a)                                                              

                       SHARES                 VALUE (NOTE 1)

Heller Financial, Inc. Class A    900                   $ 21,769                

Household International, Inc.     7,519                  305,459                

IMC Mortgage Co. (a)              400                    163                    

Imperial Credit Industries (a)    700                    6,038                  

Life Financial Corp. (a)          200                    775                    

Long Beach Financial Corp. (a)    400                    3,800                  

MBNA Corp.                        11,900                 288,575                

Mercury Finance Co. (a)           2,800                  280                    

Metris Companies, Inc.            695                    29,885                 

Old Kent Financial Corp.          1,940                  85,117                 

Providian Financial Corp.         2,050                  209,356                

Resource Bancshares Mortgage      1,105                  15,470                 
Group, Inc.                                                                     

Southern Pacific Funding          600                    -                      
Corp. (a)                                                                       

Transamerica Corp.                2,800                  203,175                

United Companies Financial        300                    131                    
Corp.                                                                           

                                           5,744,162

FEDERAL SPONSORED CREDIT - 0.9%                                                 

Fannie Mae                        16,200                 1,134,000              

Freddie Mac                       10,300                 606,413                

SLM Holding Corp.                 2,250                  96,469                 

                                           1,836,882

INSURANCE - 4.3%                                                                

20th Century Industries, Inc.     300                    5,738                  

Aetna, Inc.                       2,700                  199,969                

AFLAC, Inc.                       3,700                  163,263                

Alfa Corp.                        100                    1,675                  

Allmerica Financial Corp.         1,600                  85,400                 

Allstate Corp.                    12,200                 457,500                

Ambac Financial Group, Inc.       1,700                  95,200                 

American Annuity Group, Inc.      200                    4,338                  

American Bankers Insurance        1,300                  62,400                 
Group, Inc.                                                                     

American Financial Group,         300                    11,081                 
Inc.                                                                            

American General Corp.            3,429                  251,174                

American International Group,     19,666                 2,240,695              
Inc.                                                                            

Amerin Corp. (a)                  1,400                  30,275                 

Amerus Life Holdings, Inc.        867                    18,207                 

Aon Corp.                         2,100                  123,769                

Argonaut Group, Inc.              200                    4,963                  

ARM Financial Group, Inc.         600                    9,338                  
Class A                                                                         

Atlantic American Corp. (a)       100                    419                    

Berkley (W.R.) Corp.              1,100                  31,488                 

Berkshire Hathaway, Inc.          21                     1,493,100              
Class A (a)                                                                     

Capital Re Corp.                  1,200                  20,100                 

Chicago Title Corp.               300                    10,519                 

ChoicePoint, Inc. (a)             100                    5,200                  

Chubb Corp. (The)                 3,200                  191,200                

CIGNA Corp.                       2,800                  219,800                

Cincinnati Financial Corp.        3,100                  108,694                

CMAC Investments Corp.            1,000                  41,313                 

CNA Financial Corp. (a)           2,000                  67,875                 

Commerce Group, Inc.              100                    2,675                  

Conseco, Inc.                     4,140                  123,941                

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

FINANCE - CONTINUED                                                             

INSURANCE - CONTINUED                                                           

Delphi Financial Group, Inc.      704                   $ 33,748                
Class A                                                                         

Enhance Financial Services        1,100                  26,056                 
Group, Inc.                                                                     

Envoy Corp. (a)                   500                    24,250                 

Erie Indemnity Co. Class A        300                    8,138                  

Everest Reinsurance Holdings,     1,700                  56,419                 
Inc.                                                                            

Executive Risk, Inc.              500                    35,125                 

Fidelity National Financial,      451                    9,020                  
Inc.                                                                            

Financial Security Assurance      1,200                  63,375                 
Holdings Ltd.                                                                   

First American Financial          1,000                  23,438                 
Corp.                                                                           

First Health Group Corp. (a)      2,200                  35,200                 

FPIC Insurance Group, Inc. (a)    500                    21,688                 

Fremont General Corp.             800                    15,800                 

Frontier Insurance Group,         1,830                  24,019                 
Inc.                                                                            

Harleysville Group, Inc.          100                    2,050                  

Hartford Financial Services       4,400                  237,875                
Group, Inc.                                                                     

Hartford Life, Inc. Class A       900                    52,200                 

HCC Insurance Holdings, Inc.      300                    5,213                  

Healthcare Recoveries, Inc.       400                    3,325                  
(a)                                                                             

Healthplan Services Corp.         100                    844                    

Horace Mann Educators Corp.       600                    14,063                 

HSB Group, Inc.                   400                    14,800                 

INSpire Insurance Solutions,      700                    11,375                 
Inc. (a)                                                                        

Jefferson-Pilot Corp.             1,800                  122,062                

LandAmerica Financial Group,      300                    10,781                 
Inc.                                                                            

Lincoln National Corp.            2,000                  189,375                

Loews Corp.                       2,300                  179,831                

Marsh & McLennan Companies,       4,650                  329,278                
Inc.                                                                            

MBIA, Inc.                        993                    61,132                 

Medical Assurance, Inc.           300                    8,888                  

Mercury General Corp.             700                    24,413                 

MGIC Investment Corp.             2,400                  81,750                 

NAC Re Corp.                      900                    48,656                 

Nationwide Financial              1,100                  49,981                 
Services, Inc.  Class A                                                         

Ohio Casualty Corp.               1,200                  48,450                 

Old Republic International        2,850                  53,616                 
Corp.                                                                           

Orion Capital Corp.               1,000                  33,063                 

Penncorp Financial Group,         1,100                  756                    
Inc.                                                                            

PMI Group, Inc.                   1,100                  47,438                 

Presidential Life Corp.           100                    1,781                  

Progressive Corp.                 900                    115,650                

Protective Life Corp.             386                    13,317                 

Provident Companies, Inc.         2,300                  75,325                 

Reinsurance Group of America,     600                    38,663                 
Inc.                                                                            

Reliance Group Holdings, Inc.     600                    6,188                  

Reliastar Financial Corp.         1,900                  86,213                 

SAFECO Corp.                      3,200                  128,600                

Selective Insurance Group,        200                    3,644                  
Inc.                                                                            

St. Paul Companies, Inc. (The)    4,206                  136,169                

Stewart Information Services      200                    6,663                  
Corp.                                                                           

                       SHARES                 VALUE (NOTE 1)

TIG Holdings, Inc.                2,100                 $ 33,600                

Torchmark Corp.                   2,900                  96,425                 

Transatlantic Holdings, Inc.      800                    59,750                 

Travelers Property Casualty       2,000                  75,875                 
Corp.  Class A                                                                  

UICI (a)                          600                    13,800                 

Unitrin, Inc.                     1,000                  65,375                 

UNUM Corp.                        2,700                  120,825                

Vesta Insurance Group Corp.       400                    2,125                  

                                           9,168,788

SAVINGS & LOANS - 0.6%                                                          

Astoria Financial Corp.           1,875                  84,961                 

Bank Plus Corp. (a)               1,100                  4,813                  

Bank United Corp. Class A         1,300                  51,350                 

BankUnited Financial Corp.        500                    3,531                  
Class A (a)                                                                     

Bay View Capital Corp.            400                    7,975                  

CFS Bancorp, Inc.                 800                    8,200                  

Charter One Financial, Inc.       4,009                  115,509                

Commercial Federal Corp.          2,350                  51,259                 

Dime Bancorp, Inc.                600                    14,850                 

Golden State Bancorp, Inc.        1,136                  20,235                 

Golden West Financial Corp.       1,300                  122,119                

Independence Community Bank       3,400                  51,850                 
Corp.                                                                           

Ocwen Financial Corp. (a)         300                    2,400                  

People's Bank                     100                    2,800                  

Peoples Bancorp, Inc.             1,200                  11,700                 

Provident Bancshares Corp.        415                    10,686                 

Queens County Bancorp, Inc.       900                    26,156                 

Reliance BanCorp, Inc.            300                    9,188                  

Republic Security Financial       4,600                  41,113                 
Corp.                                                                           

Roslyn Bancorp, Inc.              4,960                  80,910                 

Seacoast Financial Services       638                    6,260                  
Corp.                                                                           

Security First Technologies       300                    19,688                 
Corp. (a)                                                                       

Sovereign Bancorp, Inc.           5,434                  66,567                 

St. Paul Bancorp, Inc.            1,500                  32,813                 

Sterling Financial Corp. (a)      100                    1,738                  

TCF Financial Corp.               2,800                  67,375                 

Washington Federal, Inc.          1,221                  27,473                 

Washington Mutual, Inc.           8,440                  337,600                

Webster Financial Corp.           1,868                  57,091                 

Westernbank Puerto Rico           200                    3,075                  

                                           1,341,285

SECURITIES INDUSTRY - 1.4%                                                      

Acacia Research Corp. (a)         400                    1,500                  

Alliance Capital Management LP    1,500                  37,219                 

Ameritrade Holding Corp.          1,600                  78,000                 
Class A (a)                                                                     

Bear Stearns Companies, Inc.      2,295                  98,255                 

Donaldson Lufkin & Jenrette,      1,600                  91,200                 
Inc.                                                                            

E Trade Group, Inc. (a)           2,200                  101,200                

Edwards (A.G.), Inc.              2,300                  74,894                 

Franklin Resources, Inc.          4,700                  149,519                

Friedman, Billings, Ramsey        300                    1,744                  
Group, Inc. Class A (a)                                                         

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

FINANCE - CONTINUED                                                             

SECURITIES INDUSTRY - CONTINUED                                                 

Hambrecht & Quist Group (a)       1,000                 $ 26,625                

JB Oxford Holdings, Inc. (a)      1,900                  19,119                 

Jefferies Group, Inc.             600                    23,663                 

Leap Wireless International,      1,400                  8,313                  
Inc. (a)                                                                        

Legg Mason, Inc.                  1,200                  33,975                 

Lehman Brothers Holdings,         1,500                  79,500                 
Inc.                                                                            

Market Guide, Inc. (a)            300                    3,225                  

Merrill Lynch & Co., Inc.         5,400                  414,450                

MIPS Technologies, Inc. (a)       1,000                  37,250                 

Morgan Stanley, Dean Witter &     9,100                  823,550                
Co.                                                                             

National Discount Brokers         1,000                  25,938                 
Group, Inc. (a)                                                                 

NVEST L.P.                        100                    2,394                  

PaineWebber Group, Inc.           1,650                  61,669                 

PIMCO Advisors Holdings LP        1,167                  33,551                 
Unit                                                                            

Pioneer Group, Inc.               1,000                  16,313                 

Price (T. Rowe) Associates,       2,800                  86,275                 
Inc.                                                                            

Raymond James Financial, Inc.     250                    4,563                  

Schwab (Charles) Corp.            6,200                  462,287                

Security Capital Group, Inc.      2,100                  25,725                 
Class B (a)                                                                     

Siebert Financial Corp.           700                    19,644                 

Southwest Securities Group,       800                    23,050                 
Inc.                                                                            

United Asset Management Corp.     2,000                  45,375                 

Waddell & Reed Financial,         679                    12,816                 
Inc. Class A                                                                    

                                           2,922,801

TOTAL FINANCE                                            34,669,792             

HEALTH - 11.1%                                                                  

DRUGS & PHARMACEUTICALS - 7.4%                                                  

Advanced Tissue Sciences,         400                    1,100                  
Inc. (a)                                                                        

Agouron Pharmaceuticals, Inc.     600                    34,238                 
(a)                                                                             

Algos Pharmaceutical Corp. (a)    300                    9,000                  

Alkermes, Inc. (a)                700                    19,644                 

Allergan Specialty                15                     146                    
Therapeutics, Inc. Class A                                                      

Allergan, Inc.                    1,400                  114,100                

Alpharma, Inc. Class A            1,100                  41,663                 

ALZA Corp. Class A. (a)           1,900                  99,631                 

American Home Products Corp.      20,800                 1,237,600              

Amgen, Inc. (a)                   3,900                  487,013                

Andrx Corp. (a)                   500                    33,938                 

Anesta Corp. (a)                  600                    11,888                 

Arqule, Inc. (a)                  400                    2,325                  

Aviron (a)                        900                    19,294                 

AXYS Pharmaceuticals, Inc. (a)    335                    1,549                  

Barr Laboratories, Inc. (a)       600                    22,200                 

Bio-Technology General Corp.      600                    3,731                  
(a)                                                                             

Biogen, Inc. (a)                  900                    86,513                 

Biomatrix, Inc. (a)               300                    20,850                 

BioTime, Inc. (a)                 200                    3,225                  

BioTime, Inc. rights 3/9/99       200                    127                    
(a)                                                                             

                       SHARES                 VALUE (NOTE 1)

Bristol-Myers Squibb Co.          15,900                $ 2,002,406             

Cambrex Corp.                     800                    19,150                 

Celgene Corp. (a)                 100                    1,294                  

Cell Genesys, Inc. (a)            100                    613                    

Centocor, Inc. (a)                1,500                  62,344                 

Cephalon, Inc. (a)                200                    1,538                  

Chattem, Inc. (a)                 400                    12,050                 

Chiron Corp. (a)                  3,800                  80,038                 

Columbia Laboratories, Inc.       100                    500                    
(a)                                                                             

COR Therapeutics, Inc. (a)        100                    981                    

Coulter Pharmaceutical, Inc.      300                    6,113                  
(a)                                                                             

Creative Biomolecules, Inc.       100                    269                    
(a)                                                                             

Curative Health Services,         100                    1,125                  
Inc. (a)                                                                        

Cytyc Corp. (a)                   200                    3,625                  

Depotech Corp. (a)                100                    281                    

Dura Pharmaceuticals, Inc. (a)    1,500                  21,094                 

EntreMed, Inc. (a)                200                    3,738                  

Enzo Biochem, Inc.                105                    1,155                  

Enzon, Inc. (a)                   1,200                  16,650                 

Forest Laboratories, Inc. (a)     1,500                  74,156                 

GelTex Pharmaceuticals, Inc.      1,200                  20,625                 
(a)                                                                             

Genentech, Inc. (special) (a)     2,500                  199,531                

Genzyme Corp.:                                                                  

(General Division)                1,700                  76,500                 

(Molecular Oncology) (a)          118                    450                    

Geron Corp. (a)                   900                    9,506                  

Gilead Sciences, Inc. (a)         900                    37,125                 

Gliatech, Inc. (a)                300                    8,100                  

Guilford Pharmaceuticals,         300                    3,806                  
Inc. (a)                                                                        

Hemispherx Biopharma, Inc. (a)    800                    4,550                  

Herbalife International, Inc.     33                     441                    
Class A                                                                         

Human Genome Sciences, Inc.       400                    11,950                 
(a)                                                                             

ICN Pharmaceuticals, Inc.         500                    10,938                 

ICOS Corp. (a)                    1,200                  29,400                 

IDEC Pharmaceuticals Corp. (a)    600                    25,988                 

Idexx Laboratories, Inc. (a)      900                    20,138                 

IGEN International, Inc. (a)      200                    6,050                  

Immunex Corp. (a)                 700                    99,050                 

Incyte Pharmaceuticals, Inc.      700                    19,644                 
(a)                                                                             

Inhale Therapeutic Systems,       600                    16,500                 
Inc. (a)                                                                        

Integrated Process Equipment      200                    2,250                  
Corp. (a)                                                                       

Isis Pharmaceuticals Co. (a)      300                    3,619                  

Jones Pharma, Inc.                1,000                  28,125                 

King Pharmaceuticals, Inc. (a)    1,400                  33,775                 

Kos Pharmaceuticals, Inc. (a)     300                    1,781                  

Ligand Pharmaceuticals, Inc.      600                    5,888                  
Class B (a)                                                                     

Lilly (Eli) & Co.                 17,500                 1,657,031              

Medicis Pharmaceutical Corp.      750                    28,313                 
Class A (a)                                                                     

Medimmune, Inc. (a)               800                    44,000                 

Merck & Co., Inc.                 38,400                 3,139,200              

Microvision, Inc. (a)             100                    1,438                  

Millennium Pharmaceuticals,       1,100                  34,169                 
Inc. (a)                                                                        

Mylan Laboratories, Inc.          2,800                  76,475                 

Nature's Sunshine Products,       100                    1,225                  
Inc.                                                                            

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

HEALTH - CONTINUED                                                              

DRUGS & PHARMACEUTICALS -                                                       
CONTINUED                                                                       

NBTY, Inc. (a)                    2,400                 $ 14,400                

NeoRX Corp. (a)                   700                    1,094                  

NeoTherapeutics, Inc. (a)         300                    2,419                  

NeXstar Pharmeceuticals, Inc.     100                    1,381                  
(a)                                                                             

Organogenesis, Inc. (a)           250                    3,438                  

PAREXEL International Corp.       1,100                  22,894                 
(a)                                                                             

PathoGenesis Corp. (a)            700                    32,069                 

Pfizer, Inc.                      20,800                 2,744,300              

Pharmaceutical Product            1,000                  34,750                 
Development, Inc. (a)                                                           

Pharmacopeia, Inc. (a)            100                    950                    

Pharmacyclics, Inc. (a)           200                    3,800                  

Protein Design Labs, Inc. (a)     200                    3,300                  

Pure World, Inc.                  330                    1,588                  

Quintiles Transnational Corp.     1,800                  77,625                 
(a)                                                                             

Rexall Sundown, Inc. (a)          700                    10,019                 

Roberts Pharmaceutical Corp.      600                    13,575                 
(a)                                                                             

Sangstat Medical Corp. (a)        900                    20,138                 

Schering-Plough Corp.             23,200                 1,297,750              

Scios, Inc. (a)                   400                    3,700                  

Sepracor, Inc. (a)                500                    62,375                 

Sequus Pharmaceuticals, Inc.      800                    16,350                 
(a)                                                                             

Serologicals Corp. (a)            550                    9,831                  

Sigma-Aldrich Corp.               2,700                  71,213                 

SonoSight, Inc. (a)               33                     390                    

Sugen, Inc. (a)                   400                    6,975                  

Technical Chemicals &             100                    134                    
Products, Inc. (a)                                                              

Texas Biotechnology Corp. (a)     100                    425                    

Theragenics Corp. (a)             600                    4,088                  

Trimeris, Inc. (a)                1,200                  18,675                 

Twinlab Corp. (a)                 1,200                  10,238                 

Vertex Pharmaceuticals, Inc.      600                    14,100                 
(a)                                                                             

Vical, Inc. (a)                   400                    5,100                  

ViroPharma, Inc. (a)              1,100                  9,144                  

Vivus, Inc. (a)                   200                    519                    

Warner-Lambert Co.                13,000                 897,813                

Watson Pharmaceuticals, Inc.      1,139                  55,028                 
(a)                                                                             

Zonagen, Inc. (a)                 200                    5,525                  

                                            15,693,589

MEDICAL EQUIPMENT & SUPPLIES                                                    
- 3.1%                                                                          

Abbott Laboratories               23,700                 1,100,569              

ADAC Laboratories (a)             1,300                  23,238                 

AmeriSource Health Corp.          700                    52,238                 
Class A (a)                                                                     

Ballard Medical Products          1,500                  35,906                 

Bard (C.R.), Inc.                 1,000                  56,375                 

Bausch & Lomb, Inc.               1,400                  84,438                 

Baxter International, Inc.        4,000                  281,500                

Becton, Dickinson & Co.           4,900                  164,150                

Bergen Brunswig Corp. Class A     1,400                  34,213                 

Bindley Western Industries,       666                    17,524                 
Inc.                                                                            

Biomet, Inc.                      2,500                  91,719                 

                       SHARES                 VALUE (NOTE 1)

Boston Scientific Corp. (a)       5,600                 $ 148,400               

Cardinal Health, Inc.             4,668                  336,971                

Closure Medical Corp. (a)         600                    17,475                 

Coherent, Inc. (a)                200                    2,988                  

CONMED Corp. (a)                  400                    12,350                 

Cooper Companies, Inc. (a)        100                    1,463                  

Cyberonics, Inc. (a)              200                    1,763                  

Cygnus, Inc. (a)                  100                    575                    

Datascope Corp.                   300                    7,838                  

Dentsply International, Inc.      1,900                  48,450                 

Eclipse Surgical Technologies     300                    3,375                  
(a)                                                                             

Guidant Corp.                     4,500                  256,500                

Haemonetics Corp. (a)             100                    1,669                  

Heartport, Inc. (a)               200                    1,325                  

Henry Schein, Inc. (a)            1,400                  35,875                 

Hillenbrand Industries, Inc.      1,000                  41,875                 

Hologic, Inc. (a)                 200                    2,013                  

I-Stat Corp. (a)                  100                    1,075                  

Imatron, Inc. (a)                 1,500                  2,063                  

Interpore International (a)       100                    453                    

Invacare Corp.                    1,100                  26,125                 

Johnson & Johnson                 21,300                 1,818,488              

Mallinckrodt, Inc.                1,600                  49,500                 

McKesson HBOC, Inc.               4,757                  323,476                

Medtronic, Inc.                   9,084                  641,558                

Mentor Corp.                      600                    9,225                  

Millipore Corp.                   400                    11,150                 

MiniMed, Inc. (a)                 400                    34,100                 

NCS HealthCare, Inc. (a)          700                    9,931                  

Neoprobe Corp. (a)                100                    125                    

Novoste Corp. (a)                 500                    12,813                 

Oakley, Inc. (a)                  400                    3,325                  

Ocular Sciences, Inc. (a)         500                    12,250                 

Omnicare, Inc.                    2,100                  50,269                 

Osteotech, Inc. (a)               500                    27,063                 

Pall Corp.                        2,700                  57,206                 

Patterson Dental Co. (a)          1,200                  48,600                 

Perclose, Inc. (a)                600                    25,350                 

Perrigo Co. (a)                   3,000                  25,125                 

PharMerica, Inc. (a)              3,336                  18,765                 

PLC Systems, Inc. (a)             400                    1,600                  

Priority Healthcare Corp. (a)     700                    27,256                 

Priority Healthcare Corp.         298                    11,603                 
Class A (a)                                                                     

PSS World Medical, Inc. (a)       2,400                  27,300                 

Quigley Corp. (a)                 200                    1,025                  

Resmed, Inc. (a)                  600                    18,600                 

Respironics, Inc. (a)             500                    6,406                  

Sabratek Corp. (a)                900                    16,988                 

Schick Technologies, Inc. (a)     1,800                  8,550                  

Sonus Pharmaceuticals, Inc.       200                    1,475                  
(a)                                                                             

Spacelabs Medical, Inc. (a)       500                    8,875                  

St. Jude Medical, Inc. (a)        472                    11,859                 

Steris Corp. (a)                  1,200                  39,450                 

Stryker Corp.                     900                    42,525                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

HEALTH - CONTINUED                                                              

MEDICAL EQUIPMENT & SUPPLIES                                                    
- CONTINUED                                                                     

Sybron International, Inc. (a)    500                   $ 12,281                

Techne Corp. (a)                  1,100                  27,500                 

Teleflex, Inc.                    200                    7,113                  

Thermo Cardiosystems, Inc. (a)    100                    944                    

Uromed Corp. (a)                  20                     31                     

VISX, Inc. (a)                    800                    49,400                 

Wesley Jessen Visioncare,         400                    10,400                 
Inc. (a)                                                                        

Xomed Surgical Products, Inc.     650                    23,644                 
(a)                                                                             

Zila, Inc. (a)                    4,300                  17,603                 

                                           6,443,238

MEDICAL FACILITIES MANAGEMENT                                                   
- 0.6%                                                                          

Advance Paradigm, Inc. (a)        300                    10,819                 

Alternative Living Services,      500                    10,250                 
Inc. (a)                                                                        

American Healthcorp, Inc. (a)     100                    1,125                  

American HomePatient, Inc. (a)    300                    731                    

Amsurg Corp. Class A (a)          9                      79                     

Apria Healthcare Group, Inc.      400                    3,575                  
(a)                                                                             

ARV Assisted Living, Inc. (a)     100                    463                    

Beverly Enterprises, Inc. (a)     1,000                  5,188                  

Columbia/HCA Healthcare Corp.     9,900                  176,963                

Compdent Corp. (a)                200                    2,550                  

Concentra Managed Care, Inc.      1,800                  19,125                 
(a)                                                                             

Covance, Inc. (a)                 1,700                  46,856                 

Coventry Health Care, Inc. (a)    300                    3,216                  

Foundation Health Systems,        1,900                  15,200                 
Inc.  Class A (a)                                                               

Genesis Health Ventures, Inc.     800                    4,400                  
(a)                                                                             

HCR Manor Care, Inc. (a)          1,300                  29,088                 

Health Management Associates,     6,350                  82,153                 
Inc. Class A (a)                                                                

HEALTHSOUTH Corp. (a)             5,419                  62,996                 

Humana, Inc. (a)                  1,600                  28,000                 

IMPATH, Inc. (a)                  300                    7,556                  

Integrated Health Services,       2,200                  13,063                 
Inc.                                                                            

Laser Vision Centers, Inc. (a)    700                    19,513                 

Lincare Holdings, Inc. (a)        1,600                  57,000                 

Mariner Post-Acute Network,       1,100                  2,406                  
Inc. (a)                                                                        

Medical Resources, Inc. (a)       66                     149                    

Medquist, Inc. (a)                500                    17,094                 

Mid-Atlantic Medical              200                    1,563                  
Services, Inc. (a)                                                              

NovaCare, Inc. (a)                300                    638                    

Orthodontic Centers of            700                    10,500                 
America, Inc. (a)                                                               

Oxford Health Plans, Inc. (a)     400                    7,575                  

PacifiCare Health Systems,        1,000                  72,250                 
Inc.  Class B (a)                                                               

Pediatrix Medical Group (a)       600                    18,525                 

Phycor, Inc. (a)                  1,800                  9,788                  

PhyMatrix Corp. (a)               200                    363                    

Physician Reliance Network,       300                    2,719                  
Inc. (a)                                                                        

Province Healthcare Co. (a)       1,400                  21,263                 

Quest Diagnostics, Inc. (a)       100                    2,138                  

                       SHARES                 VALUE (NOTE 1)

Quorum Health Group, Inc. (a)     1,700                 $ 15,725                

Renal Care Group, Inc. (a)        1,650                  32,691                 

Res-Care, Inc. (a)                200                    4,750                  

Sun Healthcare Group, Inc. (a)    2,900                  3,988                  

Sunrise Assisted Living, Inc.     500                    19,313                 
(a)                                                                             

Tenet Healthcare Corp. (a)        6,300                  124,031                

Total Renal Care Holdings,        1,667                  14,795                 
Inc. (a)                                                                        

Trigon Healthcare, Inc. (a)       1,000                  35,063                 

United HealthCare Corp.           2,500                  123,281                

Universal Health Services,        1,200                  48,750                 
Inc. Class B (a)                                                                

Urologix, Inc. (a)                200                    725                    

Ventas, Inc.                      400                    3,225                  

Wellpoint Health Networks,        900                    70,988                 
Inc. (a)                                                                        

                                           1,264,205

TOTAL HEALTH                                             23,401,032             

HOLDING COMPANIES - 0.0%                                                        

Leucadia National Corp. (a)       500                    14,906                 

Triarc Companies, Inc. Class      100                    1,588                  
A (a)                                                                           

                                        16,494

INDUSTRIAL MACHINERY &                                                          
EQUIPMENT - 4.3%                                                                

ELECTRICAL EQUIPMENT - 3.1%                                                     

Adtran, Inc. (a)                  400                    8,200                  

Advanced Lighting                 1,000                  7,250                  
Technologies, Inc. (a)                                                          

American Power Conversion         1,100                  39,463                 
Corp. (a)                                                                       

Anicom, Inc. (a)                  100                    694                    

ANTEC Corp. (a)                   1,300                  36,238                 

Avid Technology, Inc. (a)         700                    20,519                 

BMC Industries, Inc.              300                    1,463                  

California Microwave, Inc. (a)    100                    1,013                  

Cymer, Inc. (a)                   900                    20,588                 

Emerson Electric Co.              7,843                  450,482                

General Electric Co.              52,803                 5,296,801              

General Instrument Corp. (a)      2,100                  61,425                 

Genlyte Group, Inc. (a)           300                    5,428                  

Grainger (W.W.), Inc.             2,000                  89,000                 

Harris Corp.                      2,300                  71,588                 

Honeywell, Inc.                   2,500                  174,844                

Hubbell, Inc. Class B             2,100                  78,225                 

Hughes Supply, Inc.               100                    2,019                  

IEC Electronics Corp. (a)         100                    394                    

L-3 Communications Holdings,      900                    38,588                 
Inc. (a)                                                                        

Littelfuse, Inc. (a)              800                    13,650                 

MagneTek, Inc. (a)                100                    1,088                  

Omnipoint Corp. (a)               700                    8,138                  

Ortel Corp. (a)                   300                    2,400                  

Pinnacle Systems (a)              500                    17,906                 

Powerwave Technologies, Inc.      800                    18,800                 
(a)                                                                             

Rofin Sinar Technologies,         300                    2,438                  
Inc. (a)                                                                        

Roper Industries, Inc.            100                    2,213                  

Scientific-Atlanta, Inc.          1,600                  51,900                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

INDUSTRIAL MACHINERY &                                                          
EQUIPMENT - CONTINUED                                                           

ELECTRICAL EQUIPMENT -                                                          
CONTINUED                                                                       

Sensormatic Electronics Corp.     400                   $ 4,200                 
(a)                                                                             

SLI, Inc. (a)                     350                    7,831                  

Smith (A.O.) Corp. Class B        150                    3,197                  

Spectrian Corp. (a)               800                    9,350                  

VWR Scientific Products Corp.     200                    4,638                  
(a)                                                                             

Zoltek Companies, Inc. (a)        100                    859                    

                                           6,552,830

INDUSTRIAL MACHINERY &                                                          
EQUIPMENT - 0.9%                                                                

AGCO Corp.                        1,600                  10,500                 

Astec Industries, Inc. (a)        600                    16,500                 

Briggs & Stratton Corp.           800                    39,050                 

Brooks Automation, Inc. (a)       800                    17,500                 

Case Corp.                        2,100                  40,950                 

Caterpillar, Inc.                 6,300                  287,044                

Coltec Industries, Inc. (a)       1,200                  21,600                 

Cooper Industries, Inc.           2,400                  105,000                

CUNO, Inc. (a)                    400                    6,025                  

Deere & Co.                       3,900                  127,481                

Dover Corp.                       4,600                  156,400                

DT Industries, Inc.               300                    3,300                  

Exide Corp.                       1,200                  18,000                 

Flow International Corp. (a)      600                    5,438                  

Flowserve Corp.                   800                    13,250                 

FSI International, Inc. (a)       100                    975                    

Harnischfeger Industries,         1,500                  11,531                 
Inc.                                                                            

Illinois Tool Works, Inc.         4,400                  302,500                

Ingersoll-Rand Co.                2,600                  123,500                

Ionics, Inc. (a)                  200                    5,575                  

JLG Industries, Inc.              200                    2,813                  

JLK Direct Distrution, Inc.       300                    3,169                  
Class A (a)                                                                     

Kaydon Corp.                      700                    21,350                 

Kennametal, Inc.                  1,000                  20,813                 

Kuhlman Corp.                     800                    30,700                 

Manitowoc Co., Inc.               100                    3,688                  

Mark IV Industries, Inc.          2,500                  37,656                 

Milacron, Inc.                    200                    3,563                  

Mitcham Industries, Inc. (a)      100                    331                    

MSC Industrial Direct, Inc.       1,000                  17,875                 
(a)                                                                             

Nordson Corp.                     700                    41,650                 

Parker-Hannifin Corp.             2,100                  77,963                 

Plasma-Therm, Inc. (a)            100                    353                    

PRI Automation, Inc.              800                    24,000                 

Robotic Vision Systems, Inc.      100                    303                    
(a)                                                                             

Stanley Works                     1,400                  34,038                 

Stewart & Stevenson Services,     600                    5,025                  
Inc.                                                                            

Tenneco, Inc.                     3,800                  113,763                

Timken Co.                        1,300                  22,994                 

UCAR International, Inc. (a)      1,500                  23,813                 

Ultratech Stepper, Inc. (a)       1,000                  15,781                 

United States Filter Corp. (a)    2,275                  55,880                 

                       SHARES                 VALUE (NOTE 1)

UNOVA, Inc. (a)                   300                   $ 4,350                 

Valmont Industries, Inc.          700                    8,247                  

Veeco Instruments, Inc. (a)       400                    15,300                 

                                           1,897,537

POLLUTION CONTROL - 0.3%                                                        

Allied Waste Industries, Inc.     2,425                  47,288                 
(a)                                                                             

Browning-Ferris Industries,       3,800                  119,700                
Inc.                                                                            

Casella Waste Systems, Inc.       1,100                  23,100                 
Class A (a)                                                                     

Flanders Corp. (a)                300                    1,031                  

Ogden Corp.                       200                    4,888                  

Republic Services, Inc. Class     2,000                  34,875                 
A (a)                                                                           

Safety-Kleen Corp. (a)            460                    6,411                  

Superior Services, Inc. (a)       1,700                  34,159                 

Waste Management, Inc.            8,652                  422,867                

WasteMasters, Inc. (a)            700                    175                    

                                         694,494

TOTAL INDUSTRIAL MACHINERY &                             9,144,861              
EQUIPMENT                                                                       

MEDIA & LEISURE - 5.7%                                                          

BROADCASTING - 2.3%                                                             

American Tower Corp. Class A      1,800                  48,263                 
(a)                                                                             

Cablevision Systems Corp.         1,500                  97,500                 
Class A (a)                                                                     

Capstar Broadcasting Corp.        1,500                  30,281                 
Class A (a)                                                                     

CBS Corp.                         10,700                 394,563                

CD Radio, Inc. (a)                500                    10,875                 

Chancellor Media Corp. (a)        1,100                  48,125                 

Chris-Craft Industries, Inc.      1,000                  42,375                 

Clear Channel Communications,     4,500                  270,000                
Inc. (a)                                                                        

Comcast Corp. Class A             5,500                  390,156                
(special)                                                                       

Cox Communications, Inc.          3,900                  275,925                
Class A (a)                                                                     

Cox Radio, Inc. Class A (a)       700                    30,888                 

E.W. Scripps Co. Class A          900                    36,900                 

EchoStar Communications Corp.     400                    19,600                 
Class A ((a)                                                                  

Emmis Broadcasting Class A (a)    700                    32,419                 

Hearst-Argyle Television,         800                    21,100                 
Inc. (a)                                                                        

Heftel Broadcasting Corp.         1,000                  41,250                 
Class A (a)                                                                     

Infinity Broadcasting Corp.       2,800                  66,500                 
Class A (a)                                                                     

Jacor Communications, Inc.        1,200                  83,700                 
Class A (a)                                                                     

Jones Intercable, Inc. Class      700                    28,350                 
A (a)                                                                           

MediaOne Group, Inc.              9,900                  539,550                

Metro One Telecommunications,     1,000                  13,750                 
Inc. (a)                                                                        

Metromedia International          300                    1,744                  
Group, Inc. (a)                                                                 

NTL, Inc. (a)                     1,200                  93,225                 

PanAmSat Corp. (a)                100                    3,588                  

Paxson Communications Corp.       400                    3,300                  
(a)                                                                             

Pegasus Communications Corp.      800                    19,500                 
(a)                                                                             

Sinclair Broadcast Group,         1,900                  28,144                 
Inc.  Class A (a)                                                               

TCA Cable TV, Inc.                1,500                  66,188                 

TCI Satellite Entertainment,      4,300                  3,494                  
Inc.  Class A (a)                                                               

Tel-Com Wireless Cable TV         700                    6,147                  
Corp. (a)                                                                       

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

MEDIA & LEISURE - CONTINUED                                                     

BROADCASTING - CONTINUED                                                        

Tele-Communications, Inc.         8,400                 $ 527,625               
(TCI Group) Series A (a)                                                        

Time Warner, Inc.                 19,300                 1,244,850              

U.S. Satellite Broadcasting       2,200                  35,475                 
Co., Inc.  Class A (a)                                                          

United International              1,100                  50,600                 
Holdings, Inc.  Class A (a)                                                     

United Video Satellite Group,     1,500                  43,219                 
Inc.  Class A (a)                                                               

Univision Communications,         1,500                  61,125                 
Inc.  Class A (a)                                                               

USA Networks, Inc. (a)            2,412                  95,877                 

ValueVision International,        1,800                  15,638                 
Inc. (a)                                                                        

Westwood One, Inc. (a)            1,000                  24,375                 

Young Broadcasting, Inc.          500                    20,250                 
Class A (a)                                                                     

                                           4,866,434

ENTERTAINMENT - 1.3%                                                            

Alliance Gaming Corp. (a)         28                     159                    

American Classic Voyages Co.      100                    2,325                  
(a)                                                                             

AMF Bowling, Inc. (a)             400                    1,825                  

Bally Total Fitness Holding       700                    15,750                 
Corp. (a)                                                                       

Carmike Cinemas, Inc. Class A     200                    3,150                  
(a)                                                                             

Carnival Corp.                    10,300                 458,350                

Cedar Fair LP (depository         100                    2,494                  
unit)                                                                           

Disney (Walt) Co.                 32,300                 1,136,556              

Family Golf Centers, Inc. (a)     1,500                  8,953                  

Florida Panthers Holdings,        100                    1,019                  
Inc.  Class A (a)                                                               

Fox Entertainment Group, Inc.     2,000                  52,000                 
(a)                                                                             

Image Entertainment, Inc. (a)     700                    5,425                  

International Speedway Corp.      300                    13,650                 
Class A                                                                         

K-Tel International, Inc. (a)     500                    4,969                  

King World Productions, Inc.      1,300                  34,369                 
(a)                                                                             

Kushner Locke Co. (a)             1,500                  13,969                 

MGM Grand, Inc. (a)               1,390                  52,473                 

Park Place Entertainment          7,100                  53,250                 
Corp. (a)                                                                       

Pixar (a)                         400                    16,450                 

Platinum Entertainment, Inc.      400                    2,725                  
(a)                                                                             

Premier Parks, Inc. (a)           800                    23,300                 

Rentrak Corp. (a)                 400                    1,200                  

SFX Entertainment, Inc. Class     700                    42,788                 
A (a)                                                                           

Speedway Motorsports, Inc. (a)    200                    7,138                  

Spelling Entertainment Group,     500                    3,594                  
Inc. (a)                                                                        

Tele-Communications, Inc.         6,900                  191,044                
(TCI Ventures Group) Series                                                     
A (a)                                                                           

Ticketmaster Online               400                    14,450                 
CitySearch, Inc. (a)                                                            

Viacom, Inc. Class B              5,700                  503,738                
(non-vtg.) (a)                                                                  

Visual Data Corp. (a)             1,000                  12,875                 

Zomax Optical Media, Inc. (a)     1,000                  13,031                 

                                           2,693,019

                       SHARES                 VALUE (NOTE 1)

LEISURE DURABLES & TOYS - 0.3%                                                  

Arctic Cat, Inc.                  200                   $ 1,550                 

Authentic Fitness Corp.           100                    1,575                  

Brunswick Corp.                   2,100                  44,756                 

Callaway Golf Co.                 1,200                  13,050                 

Champion Enterprises, Inc. (a)    1,200                  23,625                 

Coachmen Industries, Inc.         300                    6,075                  

Coleman, Inc. (a)                 300                    2,813                  

Harley-Davidson, Inc.             2,000                  115,625                

Hasbro, Inc.                      2,900                  107,300                

JAKKS Pacific, Inc. (a)           1,100                  18,356                 

K2, Inc.                          100                    881                    

Mattel, Inc.                      5,400                  142,425                

National R.V. Holdings, Inc.      300                    6,619                  
(a)                                                                             

Polaris Industries, Inc.          1,100                  31,075                 

Silicon Gaming, Inc. (a)          100                    75                     

T-HQ, Inc. (a)                    300                    5,963                  

West Marine, Inc. (a)             200                    1,888                  

                                         523,651

LODGING & GAMING - 0.2%                                                         

Anchor Gaming (a)                 400                    16,025                 

Aztar Corp. (a)                   300                    1,463                  

Boyd Gaming Corp. (a)             300                    1,238                  

Circus Circus Enterprises,        3,000                  51,375                 
Inc. (a)                                                                        

Extended Stay America, Inc.       500                    4,375                  
(a)                                                                             

Gtech Holdings Corp. (a)          400                    9,050                  

Harrah's Entertainment, Inc.      700                    11,681                 
(a)                                                                             

Hilton Hotels Corp.               2,600                  41,113                 

International Game Technology     2,500                  47,500                 
Corp.                                                                           

Lodgian, Inc. (a)                 300                    1,219                  

MeriStar Hospitality Corp.        1,000                  17,813                 

Mirage Resorts, Inc. (a)          4,500                  87,750                 

Primadonna Resorts, Inc. (a)      400                    4,850                  

Prime Hospitality Corp. (a)       1,600                  16,400                 

Promus Hotel Corp. (a)            2,100                  73,894                 

Station Casinos, Inc. (a)         300                    3,000                  

Suburban Lodges of America,       200                    1,550                  
Inc. (a)                                                                        

Sunterra Corp. (a)                500                    6,125                  

Trump Hotels & Casino             700                    2,800                  
Resorts, Inc. (a)                                                               

WMS Industries, Inc.              1,300                  10,238                 

                                         409,459

PUBLISHING - 0.8%                                                               

American Greetings Corp.          1,000                  23,688                 
Class A                                                                         

Applied Graphics                  860                    7,740                  
Technologies, Inc. (a)                                                          

Banta Corp.                       1,200                  25,575                 

Belo (A.H.) Corp. Class A         1,500                  27,188                 

Central Newspapers, Inc.          600                    21,000                 
Class A                                                                         

CMP Media, Inc. Class A (a)       600                    18,000                 

Dow Jones & Co., Inc.             2,100                  98,700                 

Gannet, Inc.                      5,100                  323,850                

Gibson Greetings, Inc. (a)        400                    3,313                  

Harcourt General, Inc.            1,500                  68,719                 

Harte Hanks Communications,       400                    10,350                 
Inc.                                                                            

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

MEDIA & LEISURE - CONTINUED                                                     

PUBLISHING - CONTINUED                                                          

Hollinger International, Inc.     3,400                 $ 42,075                
Class A                                                                         

Houghton Mifflin Co.              900                    38,700                 

Journal Register Co. (a)          300                    3,938                  

Knight-Ridder, Inc.               2,000                  100,375                

Lee Enterprises, Inc.             200                    5,525                  

McClatchy Co., The Class A        100                    3,200                  

McGraw-Hill Companies, Inc.       1,900                  207,931                

Meredith Corp.                    200                    6,750                  

New York Times Co. (The)          2,900                  89,900                 
Class A                                                                         

PRIMEDIA, Inc. (a)                200                    2,663                  

Pulitzer Publishing Co.           200                    15,975                 

Reader's Digest Association,      2,100                  71,400                 
Inc.  Class A (non-vtg.)                                                        

Scholastic Corp. (a)              500                    24,625                 

Times Mirror Co. Class A          1,700                  94,881                 

Tribune Co.                       2,400                  159,150                

Washington Post Co. Class B       200                    109,975                

Wiley (JOHN) & Sons, Inc.         900                    40,106                 
Class A                                                                         

World Color Press, Inc. (a)       600                    14,888                 

Ziff-Davis, Inc. (a)              2,300                  38,669                 

                                           1,698,849

RESTAURANTS - 0.8%                                                              

Applebee's International,         1,300                  33,719                 
Inc.                                                                            

Avado Brands, Inc.                800                    5,450                  

Bob Evans Farms, Inc.             1,300                  28,031                 

Boston Chicken, Inc. (a)          400                    264                    

Brinker International, Inc.       400                    11,575                 
(a)                                                                             

Buffets, Inc. (a)                 2,700                  27,169                 

CBRL Group, Inc.                  2,000                  37,500                 

CEC Entertainment, Inc. (a)       300                    9,000                  

Cheesecake Factory, Inc. (a)      1,250                  25,625                 

CKE Restaurants, Inc.             1,111                  29,511                 

Darden Restaurants, Inc.          2,000                  44,000                 

Dave & Busters, Inc. (a)          100                    1,969                  

Einstein/Noah Bagel Corp. (a)     100                    144                    

Fine Host Corp. (a)               500                    148                    

Foodmaker, Inc. (a)               1,200                  27,600                 

Koo Koo Roo Enterprises, Inc.     1,100                  567                    
(a)                                                                             

Landry's Seafood Restaurants,     1,800                  12,263                 
Inc. (a)                                                                        

Lone Star Steakhouse Saloon       200                    1,813                  
(a)                                                                             

Marriott International, Inc.      3,400                  122,400                
Class A                                                                         

McDonald's Corp.                  10,500                 892,500                

O Charleys, Inc. (a)              150                    2,213                  

Outback Steakhouse, Inc. (a)      1,400                  61,425                 

Papa John's International,        1,100                  47,575                 
Inc. (a)                                                                        

Planet Hollywood                  500                    1,219                  
International, Inc.  Class A                                                    
(a)                                                                             

Rainforest Cafe, Inc. (a)         250                    1,359                  

Rock Bottom Restaurants, Inc.     100                    875                    
(a)                                                                             

Ryan's Family Steak Houses,       1,200                  13,650                 
Inc. (a)                                                                        

Sonic Corp. (a)                   150                    3,600                  

                       SHARES                 VALUE (NOTE 1)

Starbucks Corp. (a)               1,500                 $ 79,313                

Tricon Global Restaurants,        2,900                  179,800                
Inc. (a)                                                                        

Wendy's International, Inc.       3,400                  81,388                 

                                           1,783,665

TOTAL MEDIA & LEISURE                                    11,975,077             

NONDURABLES - 6.7%                                                              

AGRICULTURE - 0.1%                                                              

Delta & Pine Land Co.             200                    6,475                  

Michael Foods, Inc.               500                    9,250                  

Northland Cranberries, Inc.       100                    753                    
Class A                                                                         

Pioneer Hi-Bred                   4,800                  112,500                
International, Inc.                                                             

                                         128,978

BEVERAGES - 2.0%                                                                

Anheuser-Busch Companies,         7,300                  559,819                
Inc.                                                                            

Beringer Wine Estates             600                    24,188                 
Holdings, Inc. Class B (a)                                                      

Brown-Forman Corp. Class B        600                    39,563                 

Canandaigua Brands, Inc.          700                    37,363                 
Class A (a)                                                                     

Celestial Seasonings, Inc. (a)    200                    5,775                  

Coca-Cola Co. (The)               40,000                 2,557,500              

Coca-Cola Enterprises, Inc.       5,700                  176,700                

Coors (Adolph) Co. Class B        600                    35,738                 

M & F Worldwide Corp. (a)         100                    913                    

Mondavi (Robert) Corp. Class      500                    17,188                 
A (a)                                                                           

PepsiCo, Inc.                     22,800                 857,850                

Whitman Corp.                     2,300                  43,700                 

                                           4,356,297

FOODS - 1.8%                                                                    

Agribrands International,         240                    7,440                  
Inc.                                                                            

American Italian Pasta Co.        200                    5,100                  
Class A (a)                                                                     

Archer-Daniels-Midland Co.        11,530                 174,391                

Bestfoods                         5,300                  248,769                

Campbell Soup Co.                 8,100                  325,519                

Chiquita Brands                   800                    6,900                  
International, Inc.                                                             

ConAgra, Inc.                     6,900                  207,863                

Corn Products International,      1,200                  28,200                 
Inc.                                                                            

Dean Foods Co.                    700                    25,506                 

Dole Food, Inc.                   1,700                  53,550                 

Earthgrains Co.                   1,600                  39,300                 

Flowers Industries, Inc.          1,400                  34,125                 

Gardenburger, Inc. (a)            400                    4,400                  

General Mills, Inc.               2,900                  233,994                

Heinz (H.J.) Co.                  6,600                  359,288                

Hershey Foods Corp.               2,800                  174,300                

Hormel Foods Corp.                400                    14,400                 

IBP, Inc.                         1,800                  40,500                 

International Home Foods,         1,300                  20,313                 
Inc. (a)                                                                        

International Multifoods          100                    2,163                  
Corp.                                                                           

Interstate Bakeries Corp.         1,600                  38,400                 

Kellogg Co.                       7,300                  270,100                

Lancaster Colony Corp.            1,350                  37,125                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

NONDURABLES - CONTINUED                                                         

FOODS - CONTINUED                                                               

Lance, Inc.                       600                   $ 9,900                 

McCormick & Co., Inc.             2,300                  65,838                 
(non-vtg.)                                                                      

Nabisco Holdings Corp. Class A    1,500                  66,563                 

Quaker Oats Co.                   2,800                  152,950                

Ralcorp Holdings, Inc. (a)        680                    12,113                 

Ralston Purina Co.                6,200                  167,013                

Sara Lee Corp.                    13,800                 375,188                

Smithfield Foods, Inc. (a)        1,400                  36,794                 

Suiza Foods Corp. (a)             700                    25,900                 

Sysco Corp.                       6,600                  186,450                

Tyson Foods, Inc.                 3,100                  63,550                 

Universal Foods Corp.             200                    4,538                  

Vlasic Foods International,       650                    7,922                  
Inc. (a)                                                                        

Wrigley (Wm.) Jr. Co.             2,200                  204,600                

                                           3,730,965

HOUSEHOLD PRODUCTS - 1.9%                                                       

Alberto-Culver Co. Class B        300                    7,200                  

American Safety Razor Co. (a)     500                    6,844                  

Aptargroup, Inc.                  1,000                  27,375                 

Avon Products, Inc.               4,800                  199,800                

Brady (W.H.) Co. Class A          700                    16,713                 

Clorox Co.                        2,179                  257,803                

Colgate-Palmolive Co.             4,300                  364,963                

Dial Corp.                        2,600                  75,888                 

Enamelon, Inc. (a)                200                    1,125                  

Estee Lauder Companies, Inc.      1,300                  112,856                

French Fragrances, Inc. (a)       200                    1,313                  

Gillette Co.                      17,400                 933,075                

International Flavors &           2,100                  86,494                 
Fragrances, Inc.                                                                

Premark International, Inc.       300                    9,581                  

Procter & Gamble Co.              21,000                 1,879,500              

Revlon, Inc. Class A (a)          900                    12,713                 

Rubbermaid, Inc.                  3,300                  109,106                

Safeskin Corp. (a)                1,500                  34,875                 

Ultralife Batteries, Inc. (a)     600                    3,113                  

USA Detergents, Inc. (a)          300                    1,950                  

Windmere-Durable Holdings,        500                    2,500                  
Inc. (a)                                                                        

York Group, Inc.                  400                    3,600                  

                                           4,148,387

TOBACCO - 0.9%                                                                  

Dimon, Inc.                       500                    2,188                  

General Cigar Holdings, Inc.      300                    2,194                  
Class A (a)                                                                     

Philip Morris Companies, Inc.     38,500                 1,506,313              

RJR Nabisco Holdings Corp.        5,800                  158,413                

Schweitzer-Mauduit                200                    2,350                  
International, Inc.                                                             

Universal Corp.                   1,200                  32,625                 

UST, Inc.                         4,400                  130,075                

                                           1,834,158

TOTAL NONDURABLES                                        14,198,785             

                       SHARES                 VALUE (NOTE 1)

PRECIOUS METALS - 0.1%                                                          

Battle Mountain Gold Co.          4,100                 $ 13,838                

Coeur d'Alene Mines Corp. (a)     900                    4,781                  

Echo Bay Mines Ltd. (a)           1,700                  3,078                  

Getchell Gold Corp. (a)           1,000                  25,938                 

Homestake Mining Co.              6,900                  63,394                 

Newmont Mining Corp.              4,045                  69,776                 

Royal Oak Mines, Inc. (a)         900                    137                    

Stillwater Mining Co. (a)         600                    13,763                 

TOTAL PRECIOUS METALS                                    194,705                

RETAIL & WHOLESALE - 6.1%                                                       

APPAREL STORES - 0.7%                                                           

Abercrombie & Fitch Co. Class     1,137                  86,412                 
A (a)                                                                           

AnnTaylor Stores Corp. (a)        400                    15,125                 

Cato Corp. Class A                400                    3,800                  

Charming Shoppes, Inc. (a)        4,600                  15,525                 

Chicos Fas, Inc. (a)              300                    7,388                  

Claire's Stores, Inc.             1,800                  39,713                 

Dress Barn, Inc. (a)              1,000                  13,000                 

Footstar, Inc. (a)                900                    22,950                 

Gap, Inc.                         9,050                  585,422                

Goody's Family Clothing (a)       1,100                  11,103                 

Gymboree Corp. (a)                500                    5,250                  

International Isotopes, Inc.      100                    1,150                  
(a)                                                                             

Intimate Brands, Inc. Class A     4,700                  184,769                

Just for Feet, Inc. (a)           1,600                  16,350                 

Limited, Inc. (The)               4,025                  142,888                

Men's Wearhouse, Inc. (The)       700                    20,563                 
(a)                                                                             

Paul Harris Stores, Inc. (a)      100                    650                    

Payless ShoeSource, Inc. (a)      1,000                  54,875                 

Ross Stores, Inc.                 1,300                  59,475                 

Stage Stores, Inc. (a)            700                    5,075                  

Talbots, Inc.                     100                    2,419                  

TJX Companies, Inc.               4,400                  125,675                

Venator Group, Inc. (a)           700                    3,456                  

Wet Seal, Inc. Class A (a)        600                    23,288                 

                                           1,446,321

APPLIANCE STORES - 0.0%                                                         

Cellstar Corp. (a)                1,500                  17,063                 

Hirsch International Corp.        400                    1,150                  
Class A (a)                                                                     

                                        18,213

DRUG STORES - 0.5%                                                              

CVS Corp.                         5,686                  301,358                

Duane Reade, Inc. (a)             700                    21,175                 

General Nutrition Companies,      1,500                  20,063                 
Inc. (a)                                                                        

Genovese Drug Stores, Inc.        700                    16,888                 
Class A                                                                         

Longs Drug Stores Corp.           600                    21,713                 

Perfumania, Inc. (a)              1,300                  6,500                  

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

RETAIL & WHOLESALE - CONTINUED                                                  

DRUG STORES - CONTINUED                                                         

Rite Aid Corp.                    3,800                 $ 157,225               

Walgreen Co.                      15,100                 483,200                

                                           1,028,122

GENERAL MERCHANDISE STORES -                                                    
2.6%                                                                            

99 Cents Only Stores (a)          656                    31,037                 

Ames Department Stores, Inc.      700                    21,000                 
(a)                                                                             

BJ's Wholesale Club, Inc. (a)     1,300                  56,631                 

Consolidated Stores Corp. (a)     1,294                  32,593                 

Cost Plus, Inc. (a)               100                    3,544                  

Costco Companies, Inc. (a)        3,100                  248,969                

Dayton Hudson Corp.               6,600                  412,913                

Dillards, Inc. Class A            2,800                  69,650                 

Dollar General Corp.              2,125                  63,617                 

Dollar Tree Stores, Inc. (a)      950                    38,000                 

Elder Beerman Stores Corp. (a)    500                    3,953                  

Family Dollar Stores, Inc.        1,300                  26,000                 

Federated Department Stores,      4,200                  159,863                
Inc. (a)                                                                        

Hot Topic, Inc. (a)               200                    2,825                  

K mart Corp. (a)                  8,900                  155,750                

Kohls Corp. (a)                   2,100                  144,900                

May Department Stores Co.         4,500                  266,625                
(The)                                                                           

Michaels Stores, Inc. (a)         500                    8,563                  

Neiman-Marcus Group, Inc. (a)     100                    2,588                  

Nordstrom, Inc.                   2,400                  96,600                 

Party City Corp. (a)              450                    4,922                  

Penney (J.C.) Co., Inc.           3,300                  119,213                

Saks, Inc. (a)                    2,931                  105,333                

Sears, Roebuck & Co.              5,300                  215,313                

Shopko Stores, Inc. (a)           100                    3,150                  

Stein Mart, Inc. (a)              400                    3,650                  

Wal-Mart Stores, Inc.             36,200                 3,126,775              

                                           5,423,977

GROCERY STORES - 0.8%                                                           

Albertson's, Inc.                 4,700                  267,900                

American Stores Co.               4,100                  138,375                

Central Garden & Pet Co. (a)      1,400                  23,800                 

Fleming Companies, Inc.           2,100                  15,488                 

Food Lion, Inc. Class A           8,400                  80,062                 

Great Atlantic & Pacific Tea,     1,200                  37,875                 
Inc.                                                                            

Hain Food Group, Inc. (a)         100                    1,913                  

Hannaford Brothers Co.            1,100                  51,700                 

Kroger Co. (a)                    3,700                  239,344                

Meyer (Fred), Inc. (a)            2,590                  166,408                

Performance Food Group Co. (a)    100                    2,600                  

Safeway, Inc. (a)                 7,300                  421,575                

Supervalu, Inc.                   2,700                  64,969                 

U.S. Foodservice (a)              1,277                  59,301                 

United Natural Foods, Inc. (a)    300                    7,538                  

Whole Foods Market, Inc. (a)      1,100                  33,963                 

                       SHARES                 VALUE (NOTE 1)

Wild Oats Markets, Inc. (a)       550                   $ 14,713                

Winn-Dixie Stores, Inc.           2,400                  105,150                

                                           1,732,674

RETAIL & WHOLESALE,                                                             
MISCELLANEOUS - 1.5%                                                            

Action Performance Companies,     700                    25,113                 
Inc. (a)                                                                        

AgriBioTech, Inc. (a)             1,000                  4,375                  

Audio Book Club, Inc. (a)         800                    7,550                  

Barnes & Noble, Inc. (a)          600                    17,738                 

Bed Bath & Beyond, Inc. (a)       1,800                  52,988                 

Best Buy Co., Inc. (a)            1,500                  139,125                

Beyond.com Corp. (a)              1,300                  33,800                 

Big Entertainment, Inc. (a)       1,200                  13,875                 

Boise Cascade Office Products     300                    3,600                  
Corp.                                                                           

Books-A-Million, Inc. (a)         900                    10,069                 

Borders Group, Inc. (a)           1,000                  13,813                 

Brylane, Inc. (a)                 100                    2,163                  

Cannondale Corp. (a)              100                    1,263                  

CDnow, Inc.                       800                    12,900                 

Circuit City Stores, Inc. -       1,200                  65,100                 
Circuit  City Group                                                             

Cole National Corp. Class A       100                    1,600                  
(a)                                                                             

Corporate Express, Inc. (a)       3,834                  20,608                 

Creative Computers, Inc. (a)      500                    16,313                 

Cyberian Outpost, Inc. (a)        1,500                  25,594                 

CyberShop International, Inc.     1,600                  11,900                 
(a)                                                                             

Daisytek International Corp.      900                    17,156                 
(a)                                                                             

dELiA*s, Inc. (a)                 900                    15,019                 

DM Management Co. (a)             300                    3,900                  

E4L, Inc. (a)                     100                    565                    

Eagle Hardware & Garden, Inc.     1,100                  41,319                 
(a)                                                                             

Elcom International, Inc. (a)     100                    375                    

Fingerhut Companies, Inc.         1,400                  34,388                 

Finish Line, Inc. Class A (a)     700                    8,444                  

Friedmans, Inc. Class A (a)       200                    2,100                  

Gadzooks, Inc. (a)                500                    4,000                  

Genesis Direct, Inc. (a)          3,000                  11,813                 

Good Guys, Inc. (a)               400                    1,438                  

Guitar Center, Inc. (a)           800                    13,350                 

Handleman Co. (a)                 700                    9,056                  

Home Depot, Inc.                  23,600                 1,408,625              

IKON Office Solutions, Inc.       1,000                  14,125                 

ImaginOn, Inc. (a)                1,500                  8,906                  

Lets Talk Cellular &              200                    838                    
Wireless, Inc. (a)                                                              

Lowe's Companies, Inc.            5,200                  308,425                

Micro Warehouse, Inc. (a)         500                    9,875                  

Multiple Zones International,     1,200                  12,450                 
Inc. (a)                                                                        

N2K, Inc. (a)                     800                    10,250                 

Navarre Corp. (a)                 900                    14,400                 

Office Depot, Inc. (a)            3,300                  117,769                

Officemax, Inc. (a)               3,000                  23,250                 

ONSALE, Inc. (a)                  400                    14,600                 

PC Connection, Inc.               1,500                  23,625                 

PEAPOD, Inc. (a)                  500                    4,125                  

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

RETAIL & WHOLESALE - CONTINUED                                                  

RETAIL & WHOLESALE,                                                             
MISCELLANEOUS - CONTINUED                                                       

Petco Animal Supplies, Inc.       300                   $ 2,419                 
(a)                                                                             

PETsMART, Inc. (a)                800                    6,300                  

Pier 1 Imports, Inc.              3,150                  27,169                 

School Specialty, Inc.            1,200                  26,475                 

Sharper Image Corp. (a)           1,100                  16,088                 

Shop At Home, Inc. (a)            2,200                  31,075                 

SkyMall, Inc. (a)                 700                    10,106                 

Spiegel, Inc. Class A (a)         800                    5,700                  

Sports Authority, Inc. (a)        800                    5,150                  

Staples, Inc. (a)                 6,875                  202,168                

Summit Technology, Inc. (a)       100                    613                    

Sunglass Hut International,       600                    5,813                  
Inc. (a)                                                                        

Tandy Corp.                       2,100                  116,813                

Tiffany & Co., Inc.               1,000                  57,188                 

Toys R Us, Inc. (a)               5,700                  80,513                 

U.S. Office Products Co.          363                    1,792                  

U.S.A. Floral Products, Inc.      1,000                  14,000                 
(a)                                                                             

Williams-Sonoma, Inc. (a)         900                    30,769                 

Wilmar Industries, Inc. (a)       100                    1,750                  

Zale Corp. (a)                    1,400                  46,375                 

                                           3,301,949

TOTAL RETAIL & WHOLESALE                                 12,951,256             

SERVICES - 1.4%                                                                 

ADVERTISING - 0.2%                                                              

ADVO, Inc. (a)                    100                    2,000                  

DoubleClick, Inc. (a)             500                    44,938                 

Getty Images, Inc. (a)            400                    7,650                  

HA-LO Industries, Inc. (a)        750                    8,016                  

Interpublic Group of              2,200                  164,588                
Companies, Inc.                                                                 

Lamar Advertising Co. Class A     1,150                  44,419                 
(a)                                                                             

Network Event Theater, Inc.       1,300                  22,181                 
(a)                                                                             

Omnicom Group, Inc.               2,100                  139,125                

Outdoor Systems, Inc. (a)         2,275                  63,558                 

TMP Worldwide, Inc. (a)           700                    39,375                 

Young & Rubicam, Inc.             700                    26,425                 

                                         562,275

EDUCATIONAL SERVICES - 0.1%                                                     

Apollo Group, Inc. Class A (a)    1,350                  40,584                 

Devry, Inc. (a)                   300                    7,538                  

Education Management Corp. (a)    1,400                  37,625                 

ITT Educational Services,         1,000                  36,438                 
Inc. (a)                                                                        

                                         122,185

LEASING & RENTAL - 0.1%                                                         

Avis Rent A Car, Inc. (a)         700                    16,056                 

Budget Group, Inc. Class A (a)    1,400                  16,363                 

Caribiner International, Inc.     200                    1,563                  
(a)                                                                             

Central Parking Corp.             1,000                  34,125                 

                       SHARES                 VALUE (NOTE 1)

Dollar Thrifty Automotive         500                   $ 5,938                 
Group, Inc. (a)                                                                 

GATX Corp.                        200                    6,913                  

Hertz Corp. Class A               1,000                  39,813                 

Hollywood Entertainment Corp.     900                    24,694                 
(a)                                                                             

Rent-A-Center, Inc. (a)           800                    20,300                 

Rent-Way, Inc. (a)                770                    17,421                 

Ryder Systems, Inc.               500                    13,500                 

United Rentals, Inc. (a)          600                    19,313                 

                                         215,999

PRINTING - 0.1%                                                                 

Consolidated Graphics, Inc.       300                    18,225                 
(a)                                                                             

Cyrk, Inc. (a)                    100                    644                    

Deluxe Corp.                      1,800                  60,975                 

Donnelley (R.R.) & Sons Co.       2,500                  85,625                 

Harland (John H.) Co.             500                    6,719                  

Paxar Corp. (a)                   200                    1,700                  

Reynolds & Reynolds Co. Class     400                    7,550                  
A                                                                               

United Stationers, Inc. (a)       1,600                  29,300                 

Valassis Communications, Inc.     900                    43,200                 
(a)                                                                             

Wallace Computer Services,        400                    9,050                  
Inc.                                                                            

                                         262,988

SERVICES - 0.9%                                                                 

Abacus Direct Corp. (a)           500                    33,875                 

ABR Information Services,         800                    14,100                 
Inc. (a)                                                                        

ACNielsen Corp. (a)               1,900                  49,400                 

Advanced Health Corp. (a)         400                    1,225                  

American Oncology Resources,      200                    2,000                  
Inc. (a)                                                                        

AmeriPath, Inc. (a)               1,600                  14,900                 

Amkor Technology, Inc.            3,900                  40,950                 

Analytical Surveys, Inc. (a)      200                    5,200                  

Assisted Living Concepts,         400                    1,900                  
Inc. (a)                                                                        

Automobile Protection Corp.       400                    4,300                  
(a)                                                                             

Billing Information Concepts      300                    3,009                  
Corp. (a)                                                                       

Block (H&R), Inc.                 1,500                  68,063                 

Boron LePore & Associates,        600                    7,575                  
Inc. (a)                                                                        

Building One Services Corp.       2,000                  33,000                 
(a)                                                                             

Cadiz, Inc. (a)                   200                    1,725                  

Catalina Marketing Corp. (a)      700                    45,063                 

CDI Corp. (a)                     100                    2,263                  

Cendant Corp. (a)                 12,580                 208,356                

Century Business Services,        1,500                  17,531                 
Inc. (a)                                                                        

CheckFree Holdings Corp. (a)      600                    20,550                 

Cintas Corp.                      1,400                  99,050                 

Coach USA, Inc. (a)               800                    18,800                 

Coinmach Laundry Corp. (a)        300                    3,094                  

Computer Horizons Corp. (a)       1,400                  20,913                 

Crestline Capital Corp.           130                    1,658                  

Data Processing Resources         1,000                  19,000                 
Corp. (a)                                                                       

Day Runner, Inc. (a)              300                    4,088                  

Dun & Bradstreet Corp.            2,400                  82,200                 

Ecolab, Inc.                      1,600                  63,800                 

Fonar Corp.                       200                    263                    

FYI, Inc. (a)                     400                    12,050                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

SERVICES - CONTINUED                                                            

SERVICES - CONTINUED                                                            

G & K Services, Inc. Class A      500                   $ 24,938                

Gartner Group, Inc. Class A       800                    17,950                 
(a)                                                                             

Greg Manning Auctions, Inc.       700                    6,038                  
(a)                                                                             

HCIA, Inc. (a)                    100                    388                    

Headway Corporate Resources       300                    1,538                  
(a)                                                                             

Interim Services, Inc. (a)        2,000                  38,000                 

International Telecom Data        1,000                  13,750                 
Systems, Inc.                                                                   

Iron Mountain, Inc. (a)           950                    29,094                 

Jostens, Inc.                     100                    2,344                  

Kelly Services, Inc. Class A      200                    5,100                  

Labor Ready, Inc. (a)             600                    16,912                 

Lason, Inc. (a)                   600                    32,513                 

Learning Tree International,      100                    838                    
Inc. (a)                                                                        

Manpower, Inc.                    400                    9,575                  

Medaphis Corp. (a)                400                    1,300                  

Media Arts Group, Inc. (a)        100                    1,363                  

Medpartners, Inc. (a)             700                    4,156                  

MemberWorks, Inc. (a)             100                    3,475                  

Metamor Worldwide, Inc. (a)       1,500                  28,313                 

Metzler Group, Inc. (a)           850                    36,125                 

Modis Professional Services,      1,100                  15,056                 
Inc. (a)                                                                        

Morrison Knudsen Corp. (a)        100                    969                    

National Processing, Inc. (a)     100                    606                    

National Service Industries,      800                    25,700                 
Inc.                                                                            

NCO Group, Inc. (a)               600                    18,750                 

NewsEdge Corp. (a)                300                    3,056                  

Norrell Corp.                     200                    3,175                  

NOVA Corp.                        1,557                  38,925                 

Olsten Corp.                      400                    2,475                  

Paymentech, Inc. (a)              100                    1,913                  

Pre-Paid Legal Services, Inc.     600                    17,250                 
(a)                                                                             

Precision Response Corp. (a)      100                    650                    

Premiere Technologies, Inc.       1,716                  15,659                 
(a)                                                                             

Profit Recovery Group             600                    19,800                 
International, Inc. (a)                                                         

Protection One, Inc. (a)          100                    813                    

RCM Technologies, Inc. (a)        200                    3,700                  

Regis Corp.                       600                    22,425                 

RemedyTemp, Inc. Class A (a)      200                    3,175                  

Renaissance Worldwide, Inc.       2,300                  14,375                 
(a)                                                                             

Robert Half International,        2,200                  79,200                 
Inc. (a)                                                                        

Romac International, Inc. (a)     1,127                  13,524                 

Rural/Metro Corp. (a)             200                    1,788                  

Service Corp. International       6,452                  99,200                 

ServiceMaster Co.                 5,850                  109,322                

Snyder Communications, Inc.       1,700                  58,225                 
(a)                                                                             

SOS Staffing Services, Inc.       300                    2,663                  
(a)                                                                             

Sotheby's Holdings, Inc.          400                    11,200                 
Class A                                                                         

Staffmark, Inc. (a)               900                    12,038                 

Teletech Holdings, Inc. (a)       300                    2,100                  

True North Communications         1,800                  41,963                 

                       SHARES                 VALUE (NOTE 1)

Tuboscope, Inc. (a)               200                   $ 1,075                 

Veterinary Centers of             500                    7,500                  
America, Inc. (a)                                                               

Wackenhut Corrections Corp.       100                    2,138                  
(a)                                                                             

Youth Services International,     100                    375                    
Inc. (a)                                                                        

Zebra Technologies Corp. (a)      180                    4,646                  

Zebra Technologies Corp.          1,200                  30,975                 
Class A (a)                                                                     

                                           1,860,015

TOTAL SERVICES                                           3,023,462              

TECHNOLOGY - 19.2%                                                              

COMMUNICATIONS EQUIPMENT - 2.8%                                                 

3Com Corp. (a)                    5,200                  163,475                

ACT Networks, Inc. (a)            300                    3,488                  

ADC Telecommunications, Inc.      1,700                  68,850                 
(a)                                                                             

Advanced Fibre                    800                    6,500                  
Communications, Inc. (a)                                                        

Andrew Corp. (a)                  2,600                  39,325                 

Applied Signal Technology,        100                    725                    
Inc. (a)                                                                        

Ascend Communications, Inc.       3,275                  251,970                
(a)                                                                             

Aspect Telecommunications         1,400                  10,763                 
Corp. (a)                                                                       

Brooktrout Technology, Inc.       300                    3,431                  
(a)                                                                             

C-Phone Corp. (a)                 500                    1,344                  

Cabletron Systems, Inc. (a)       1,000                  8,125                  

Carrier Access Corp. (a)          900                    35,550                 

Centigram Communications          100                    1,094                  
Corp. (a)                                                                       

Checkpoint Systems, Inc. (a)      300                    2,625                  

Ciena Corp. (a)                   1,200                  33,450                 

Cisco Systems, Inc. (a)           25,357                 2,480,232              

Com21, Inc. (a)                   1,000                  23,563                 

Comdial Corp. (a)                 100                    688                    

CustomTracks Corp. (a)            1,300                  10,400                 

Davox Corp. (a)                   300                    2,588                  

Dialogic Corp. (a)                800                    22,150                 

DSP Communications, Inc. (a)      1,000                  15,000                 

Dycom Industries, Inc. (a)        600                    23,813                 

Executone Information             4,800                  12,300                 
Systems, Inc. (a)                                                               

General DataComm Industries       100                    244                    
(a)                                                                             

Intermedia Communications,        1,300                  23,563                 
Inc. (a)                                                                        

InterVoice, Inc. (a)              800                    8,700                  

Level One Communications,         1,050                  35,175                 
Inc. (a)                                                                        

Lo Jack Corp. (a)                 100                    900                    

Lucent Technologies, Inc.         21,000                 2,132,813              

Metricom, Inc. (a)                100                    619                    

Mosaix, Inc. (a)                  100                    763                    

Natural MicroSystems Corp. (a)    100                    606                    

Network Equipment                 300                    2,681                  
Technologies, Inc. (a)                                                          

Osicom Technologies, Inc. (a)     100                    1,613                  

P-Com, Inc. (a)                   1,900                  12,053                 

Pairgain Technologies, Inc.       400                    3,450                  
(a)                                                                             

Periphonics Corp. (a)             100                    1,050                  

PictureTel Corp. (a)              300                    2,452                  

Plantronics, Inc. (a)             600                    36,300                 

Reltec Corp. (a)                  400                    8,700                  

Shiva Corp. (a)                   200                    1,194                  

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

TECHNOLOGY - CONTINUED                                                          

COMMUNICATIONS EQUIPMENT -                                                      
CONTINUED                                                                       

Symmetricom, Inc. (a)             100                   $ 675                   

Tekelec (a)                       2,200                  26,675                 

Tellabs, Inc. (a)                 2,844                  227,698                

Terayon Communication             800                    24,850                 
Systems, Inc. (a)                                                               

Ultrak, Inc. (a)                  100                    769                    

VTEL Corp. (a)                    100                    231                    

Westell Technologies, Inc.        1,700                  8,713                  
Class A (a)                                                                     

Xircom, Inc. (a)                  600                    20,400                 

Xylan Corp. (a)                   1,400                  37,100                 

                                           5,841,436

COMPUTER SERVICES & SOFTWARE                                                    
- 7.8%                                                                          

24/7 Media, Inc. (a)              1,100                  27,363                 

4Front Software                   100                    1,119                  
International, Inc. (a)                                                         

7Th Level, Inc. (a)               500                    1,375                  

AboveNet Communications, Inc.     900                    28,125                 
(a)                                                                             

Acceler8 Technology Corp. (a)     200                    813                    

Activision, Inc. (a)              1,600                  17,400                 

Acxiom Corp. (a)                  1,600                  38,300                 

Adept Technology, Inc. (a)        100                    663                    

Adobe Systems, Inc.               600                    24,150                 

Advantage Learning Systems,       400                    30,100                 
Inc. (a)                                                                        

Advent Software, Inc. (a)         400                    18,450                 

Affiliated Computer Services,     1,300                  60,125                 
Inc.  Class A (a)                                                               

Affymetrix, Inc. (a)              800                    31,000                 

Alternative Resources Corp.       100                    1,075                  
(a)                                                                             

Amazon.com, Inc. (a)              2,400                  307,500                

America Online, Inc.              14,600                 1,298,488              

American Management Systems,      1,000                  33,375                 
Inc. (a)                                                                        

American Software, Inc. Class     100                    263                    
A (a)                                                                           

Ansoft Corp. (a)                  100                    656                    

Ardent Software, Inc. (a)         800                    15,200                 

ARIS Corp. (a)                    1,000                  13,375                 

Aspect Development, Inc. (a)      1,200                  36,600                 

Aspen Technology, Inc. (a)        900                    11,531                 

At Home Corp. Series A (a)        1,800                  191,025                

Autodesk, Inc.                    600                    24,075                 

Automatic Data Processing,        9,600                  381,600                
Inc.                                                                            

Avant! Corp. (a)                  1,200                  20,700                 

AVT Corp. (a)                     300                    7,763                  

Aware, Inc. (a)                   700                    24,238                 

Axent Technolgies, Inc. (a)       880                    30,195                 

Banyan Systems, Inc. (a)          1,400                  14,088                 

BEA Systems, Inc. (a)             1,100                  18,838                 

Bisys Group, Inc. (The) (a)       900                    48,038                 

Black Box Corp. (a)               500                    16,125                 

BMC Software, Inc.                3,000                  122,625                

Boole & Babbage, Inc.             1,200                  32,250                 

Brio Technology, Inc. (a)         900                    16,650                 

broadcast.com, Inc. (a)           800                    67,050                 

BroadVision, Inc. (a)             700                    31,413                 

                       SHARES                 VALUE (NOTE 1)

CACI International, Inc.          100                   $ 1,650                 
Class A (a)                                                                     

Cadence Design Systems, Inc.      2,800                  67,375                 
(a)                                                                             

Cambridge Technology              600                    15,075                 
Partners, Inc. (a)                                                              

Ceridian Corp. (a)                1,200                  85,950                 

Ciber, Inc. (a)                   1,000                  25,125                 

Citrix Systems, Inc. (a)          500                    38,563                 

Clarify, Inc. (a)                 700                    18,988                 

CMGI, Inc. (a)                    700                    85,838                 

CNET, Inc. (a)                    400                    45,850                 

Command Systems, Inc. (a)         800                    2,050                  

Complete Business Solutions,      355                    10,029                 
Inc. (a)                                                                        

CompuCom Systems, Inc. (a)        200                    869                    

CompUSA, Inc. (a)                 500                    5,250                  

Computer Associates               8,200                  344,400                
International, Inc.                                                             

Computer Concepts Corp. (a)       600                    975                    

Computer Learning Centers,        400                    1,725                  
Inc. (a)                                                                        

Computer Management Sciences,     800                    22,200                 
Inc. (a)                                                                        

Computer Sciences Corp.           2,100                  139,913                

Compuware Corp. (a)               2,600                  145,438                

Concentric Network Corp. (a)      400                    17,550                 

Concord Communications, Inc.      400                    22,650                 
(a)                                                                             

Connect, Inc. (a)                 2,700                  10,294                 

Convergys Corp. (a)               2,300                  39,819                 

Corsair Communictions, Inc.       200                    925                    
(a)                                                                             

CSG Systems International,        500                    35,625                 
Inc. (a)                                                                        

Cybercash, Inc. (a)               800                    10,425                 

CyberOptics Corp. (a)             100                    1,369                  

Cylink Corp. (a)                  100                    406                    

DAOU Systems, Inc. (a)            200                    1,063                  

Data Broadcasting Corp. (a)       1,800                  27,450                 

Data Dimensions, Inc. (a)         200                    988                    

Data Transmission Network         400                    9,150                  
Corp. (a)                                                                       

Datastream Systems, Inc. (a)      400                    3,725                  

Datatec Systems, Inc. (a)         100                    331                    

Dendrite International, Inc.      800                    22,500                 
(a)                                                                             

Diamond Multimedia Systems,       300                    2,100                  
Inc. (a)                                                                        

DIDAX, Inc. (a)                   800                    6,900                  

Digi International, Inc. (a)      100                    650                    

DocuCorp International, Inc.      20                     106                    
(a)                                                                             

Documentum, Inc. (a)              1,000                  21,375                 

DSET Corp. (a)                    400                    4,800                  

DST Systems, Inc. (a)             1,510                  81,918                 

Earthlink Network, Inc. (a)       300                    18,056                 

EarthWeb, Inc. (a)                700                    26,513                 

eBay, Inc. (a)                    600                    200,400                

Eclipsys Corp. (a)                1,105                  34,048                 

Edify Corp. (a)                   100                    594                    

Egghead.com, Inc. (a)             900                    14,625                 

Electric Lightwave, Inc.          200                    1,575                  
Class A (a)                                                                     

Electronic Arts, Inc. (a)         500                    19,938                 

Electronic Data Systems Corp.     7,300                  339,450                

Electronics for Imaging, Inc.     400                    13,975                 
(a)                                                                             

Engineering Animation, Inc.       600                    27,150                 
(a)                                                                             

Equifax, Inc.                     3,200                  120,800                

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

TECHNOLOGY - CONTINUED                                                          

COMPUTER SERVICES & SOFTWARE                                                    
- CONTINUED                                                                     

Meta Group, Inc. (a)              650                   $ 14,544                

Excite, Inc. (a)                  700                    71,750                 

Exodus Communications, Inc.       500                    36,688                 
(a)                                                                             

First Data Corp.                  6,300                  240,975                

Fiserv, Inc. (a)                  1,900                  89,300                 

Forte Software, Inc. (a)          100                    525                    

Galileo International, Inc.       1,100                  55,550                 

General Magic, Inc. (a)           200                    981                    

Genesys Telecommunications        1,100                  18,563                 
Laboratories, Inc. (a)                                                          

GeoCities (a)                     700                    68,425                 

GeoTel Communications Corp.       500                    21,531                 
(a)                                                                             

Go2Net, Inc. (a)                  600                    35,100                 

Great Plains Software, Inc.       500                    21,000                 
(a)                                                                             

GT Interactive Software Corp.     300                    1,481                  
(a)                                                                             

Harbinger Corp. (a)               950                    6,175                  

Health Management Systems,        400                    2,125                  
Inc. (a)                                                                        

Healthdyne Information            1,800                  12,825                 
Enterprise, Inc. (a)                                                            

Henry (Jack) & Associates,        900                    32,400                 
Inc.                                                                            

HNC Software, Inc. (a)            1,100                  29,563                 

Hyperion Solutions Corp. (a)      1,395                  19,792                 

i2 Technologies, Inc. (a)         700                    17,456                 

IDT Corp. (a)                     1,200                  14,925                 

IDX Systems Corp. (a)             1,100                  26,125                 

IMR Global Corp. (a)              850                    15,406                 

IMS Health, Inc.                  4,800                  170,400                

Inacom Corp. (a)                  600                    9,300                  

Infonautics, Inc. (a)             2,000                  8,313                  

Information Advantage             700                    8,400                  
Software, Inc. (a)                                                              

Informix Corp. (a)                1,360                  11,900                 

Infoseek Corp. (a)                300                    21,469                 

Inktomi Corp. (a)                 600                    37,275                 

Inso Corp. (a)                    700                    4,878                  

Intelligroup, Inc. (a)            1,200                  19,275                 

International Network             700                    35,788                 
Services (a)                                                                    

InterVU, Inc. (a)                 300                    6,150                  

Intuit, Inc. (a)                  800                    79,150                 

ISS Group, Inc. (a)               700                    42,766                 

J.D. Edwards & Co. (a)            2,400                  37,950                 

JDA Software Group, Inc. (a)      1,300                  8,125                  

Keane, Inc. (a)                   600                    18,563                 

Learning Co., Inc. (The) (a)      980                    28,481                 

Legato Systems, Inc. (a)          600                    29,550                 

LHS Group, Inc. (a)               500                    21,500                 

Lycos, Inc. (a)                   600                    52,575                 

Macromedia, Inc. (a)              300                    9,169                  

Manugistics Group, Inc. (a)       500                    3,938                  

Mapics, Inc. (a)                  700                    7,569                  

Medical Manager Corp. (a)         500                    14,000                 

Mentor Graphics Corp. (a)         2,300                  32,200                 

                       SHARES                 VALUE (NOTE 1)

Mercury Interactive Corp. (a)     500                   $ 32,406                

MetaCreations Corp. (a)           100                    644                    

MicroAge, Inc. (a)                200                    1,694                  

Micromuse, Inc. (a)               900                    29,025                 

Microsoft Corp. (a)               40,300                 6,050,038              

MicroStrategy, Inc. Class A       700                    17,413                 
(a)                                                                             

Midway Games, Inc. (a)            239                    2,046                  

Momentum Business                 52                     449                    
Applications Inc (a)                                                            

National Computer Systems,        700                    22,422                 
Inc.                                                                            

National Data Corp.               1,000                  48,313                 

National Instrument Corp. (a)     800                    23,300                 

NCR Corp. (a)                     2,200                  90,063                 

NetGravity, Inc. (a)              1,300                  27,463                 

Netscape Communications Corp.     1,400                  108,413                
(a)                                                                             

NetSpeak Corp. (a)                300                    4,613                  

Network Solutions, Inc. Class     200                    36,300                 
A (a)                                                                           

Networks Associates, Inc. (a)     1,661                  78,067                 

New Era of Networks, Inc. (a)     600                    37,425                 

Novell, Inc. (a)                  4,400                  85,250                 

Oak Technology, Inc. (a)          300                    984                    

Object Design, Inc. (a)           100                    644                    

OnHealth Network Co. (a)          1,100                  12,100                 

Open Market, Inc. (a)             1,100                  14,300                 

Oracle Corp. (a)                  15,300                 854,888                

Orcad, Inc. (a)                   100                    700                    

Parametric Technology Corp.       3,100                  47,663                 
(a)                                                                             

Paychex, Inc.                     2,500                  105,938                

Peerless Systems Corp. (a)        200                    1,875                  

Pegasystems, Inc. (a)             100                    475                    

PeopleSoft, Inc.                  2,700                  50,963                 

Peregrine Systems, Inc. (a)       1,000                  25,625                 

Peritus Software Services,        900                    506                    
Inc. (a)                                                                        

Personnel Group of America,       500                    6,594                  
Inc. (a)                                                                        

Platinum Software Corp. (a)       438                    3,176                  

Platinum Technology, Inc. (a)     873                    11,567                 

Policy Management Systems         800                    29,250                 
Corp. (a)                                                                       

Polycom, Inc. (a)                 800                    16,200                 

Preview Travel, Inc. (a)          900                    18,338                 

Progress Software Corp. (a)       300                    9,225                  

PSINet, Inc. (a)                  600                    21,488                 

QRS Corp. (a)                     200                    9,963                  

Quadramed Corp. (a)               900                    13,950                 

Quickturn Design Systems,         1,300                  18,200                 
Inc. (a)                                                                        

Rainbow Technologies, Inc. (a)    150                    2,381                  

Rational Software Corp. (a)       900                    26,719                 

RealNetworks, Inc. (a)            700                    49,088                 

Remedy Corp. (a)                  1,000                  20,563                 

Sabre Group Holdings, Inc.        900                    35,325                 
Class A (a)                                                                     

Sapient Corp.                     700                    46,813                 

Secure Computing Corp. (a)        900                    16,988                 

Security Dynamics                 1,100                  20,350                 
Technologies, Inc. (a)                                                          

SEI Investments Co.               400                    39,600                 

Shared Medical Systems Corp.      600                    30,600                 

Siebel Systems, Inc. (a)          1,045                  45,980                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

TECHNOLOGY - CONTINUED                                                          

COMPUTER SERVICES & SOFTWARE                                                    
- CONTINUED                                                                     

Sportsline USA, Inc. (a)          900                   $ 40,500                

SPR, Inc. (a)                     300                    4,500                  

SPSS, Inc. (a)                    100                    1,963                  

Spyglass, Inc. (a)                700                    8,619                  

Stac Electronics                  100                    97                     

STB Systems, Inc. (a)             450                    2,925                  

Sterling Software, Inc. (a)       1,300                  33,150                 

Structural Dynamics Research      200                    3,900                  
Corp. (a)                                                                       

Summit Design, Inc. (a)           100                    350                    

SunGard Data Systems, Inc. (a)    1,168                  46,282                 

Sybase, Inc. (a)                  500                    4,063                  

Sykes Enterprises, Inc. (a)       1,300                  37,050                 

Symantec Corp. (a)                100                    1,806                  

Synopsys, Inc. (a)                665                    30,756                 

Syntel, Inc. (a)                  400                    3,850                  

Systems & Computer                900                    7,313                  
Technology Corp. (a)                                                            

Take-Two Interactive              1,700                  18,488                 
Software, Inc. (a)                                                              

TAVA Technologies, Inc. (a)       300                    1,856                  

TCSI Corp. (a)                    100                    202                    

Technology Solutions, Inc. (a)    1,850                  15,147                 

Telescan, Inc. (a)                1,100                  14,231                 

theglobe.com, Inc. (a)            600                    27,825                 

THINK New Ideas, Inc. (a)         200                    1,650                  

ThrustMaster, Inc. (a)            1,000                  13,000                 

Timberline Software Corp.         266                    3,957                  

Total System Services, Inc.       2,100                  47,775                 

Transaction Systems               1,000                  39,313                 
Architects, Inc.  Class A (a)                                                   

TSI International Software        400                    20,075                 
Ltd. (a)                                                                        

TSR, Inc. (a)                     100                    813                    

Unicomp, Inc. (a)                 100                    331                    

Unify Corp. (a)                   1,200                  15,225                 

USWEB Corp. (a)                   1,350                  45,478                 

Vantive Corp. (a)                 600                    6,900                  

Verio, Inc. (a)                   1,100                  31,213                 

VeriSign, Inc. (a)                500                    49,000                 

Veritas Software Corp. (a)        600                    42,600                 

Verity, Inc. (a)                  500                    19,313                 

Vertel Corp. (a)                  100                    178                    

Viasoft, Inc. (a)                 100                    481                    

Visio Corp. (a)                   1,200                  34,500                 

Visual Networks, Inc. (a)         1,000                  39,250                 

Walker Interactive Systems,       400                    2,125                  
Inc. (a)                                                                        

Wang Laboratories, Inc. (a)       1,700                  40,588                 

Wave Systems Corp. Class A (a)    1,100                  11,138                 

WavePhore, Inc. (a)               1,300                  9,100                  

Whittman-Hart, Inc. (a)           1,400                  43,838                 

Wind River Systems, Inc. (a)      1,650                  37,641                 

Xoom.com, Inc. (a)                600                    30,975                 

Xybernaut Corp. (a)               500                    2,047                  

                       SHARES                 VALUE (NOTE 1)

Yahoo!, Inc. (a)                  3,100                 $ 475,850               

Zitel Corp. (a)                   200                    569                    

                                            16,486,273

COMPUTERS & OFFICE EQUIPMENT                                                    
- 4.8%                                                                          

Adaptec, Inc. (a)                 1,300                  25,919                 

Advanced Digital Information      100                    1,700                  
Corp. (a)                                                                       

Alpha Microsystems (a)            800                    4,450                  

Apex PC Solutions, Inc. (a)       600                    14,700                 

Apple Computer, Inc. (a)          2,700                  93,994                 

Applied Magnetics Corp. (a)       200                    800                    

Aura Systems, Inc. (a)            700                    350                    

Auspex Systems, Inc. (a)          100                    1,006                  

Bell & Howell Co. (a)             900                    29,813                 

CDW Computer Centers, Inc. (a)    300                    20,888                 

CHS Electronics, Inc. (a)         2,100                  14,700                 

Comdisco, Inc.                    800                    9,600                  

Compaq Computer Corp.             27,261                 960,950                

Computer Network Technology       1,600                  19,000                 
Corp. (a)                                                                       

Comverse Technology, Inc. (a)     765                    54,889                 

Concurrent Computer Corp. (a)     1,100                  4,847                  

Cybex Corp.                       600                    15,525                 

Data General Corp. (a)            400                    5,525                  

Dell Computer Corp. (a)           20,400                 1,634,550              

Diebold, Inc.                     1,400                  40,863                 

Digital Lightwave, Inc. (a)       200                    763                    

Digital River, Inc. (a)           1,000                  38,500                 

Echelon Corp. (a)                 2,400                  16,350                 

EMC Corp. (a)                     7,900                  808,763                

Encad, Inc. (a)                   300                    1,388                  

Exabyte Corp. (a)                 100                    500                    

FileNET Corp. (a)                 200                    1,606                  

FOCUS Enhancements, Inc. (a)      100                    159                    

Fore Systems, Inc. (a)            1,800                  26,100                 

FVC.com, Inc. (a)                 1,000                  12,625                 

Gateway 2000, Inc. (a)            2,200                  159,913                

Genicom Corp. (a)                 100                    216                    

Globix Corp. (a)                  400                    10,175                 

Hewlett-Packard Co.               16,352                 1,086,386              

HMT Technology Corp. (a)          1,200                  8,288                  

Hutchinson Technology, Inc.       600                    18,675                 
(a)                                                                             

Imaging Technologies Corp. (a)    3,700                  7,169                  

Ingram Micro, Inc. Class A (a)    1,400                  30,800                 

Insight Enterprises, Inc. (a)     1,050                  24,413                 

Intergraph Corp. (a)              200                    1,106                  

International Business            14,900                 2,533,000              
Machines Corp.                                                                  

Iomega Corp. (a)                  2,500                  15,156                 

Itron, Inc. (a)                   100                    700                    

Komag, Inc. (a)                   1,500                  10,500                 

Kronos, Inc. (a)                  400                    16,925                 

Lexmark International Group,      1,000                  103,188                
Inc.  Class A (a)                                                               

Micron Electronics, Inc. (a)      1,600                  23,000                 

MICROS Systems, Inc. (a)          600                    16,725                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

TECHNOLOGY - CONTINUED                                                          

COMPUTERS & OFFICE EQUIPMENT                                                    
- CONTINUED                                                                     

MMC Networks, Inc. (a)            1,200                 $ 16,875                

MRV Communications, Inc. (a)      500                    3,344                  

MTI Technology Corp. (a)          200                    1,150                  

Network Appliance, Inc. (a)       1,400                  58,800                 

ObjectSoft Corp. (a)              3,500                  10,500                 

Pitney Bowes, Inc.                4,800                  303,300                

Planar Systems, Inc. (a)          100                    850                    

Pomeroy Computer Resources,       200                    4,525                  
Inc. (a)                                                                        

Programmer's Paradise, Inc.       1,200                  15,150                 
(a)                                                                             

Proxim, Inc. (a)                  800                    25,000                 

Quantum Corp. (a)                 3,526                  57,959                 

Radisys Corp. (a)                 200                    5,125                  

Read-Rite Corp. (a)               1,000                  8,500                  

Safeguard Scientifics, Inc.       1,000                  37,375                 
(a)                                                                             

SanDisk Corp. (a)                 900                    25,200                 

Scan-Optics, Inc. (a)             100                    419                    

SCI Systems, Inc. (a)             500                    15,469                 

SCM Microsystems, Inc. (a)        300                    24,900                 

Seagate Technology, Inc. (a)      3,300                  95,494                 

SED International Holdings,       100                    363                    
Inc. (a)                                                                        

SEEQ Technology, Inc. (a)         100                    256                    

Sequent Computer Systems,         1,900                  18,109                 
Inc. (a)                                                                        

Silicon Graphics, Inc. (a)        3,800                  60,563                 

Splash Technology Holdings,       100                    700                    
Inc. (a)                                                                        

Sun Microsystems, Inc. (a)        5,900                  574,144                

Symbol Technologies, Inc.         1,400                  74,200                 

Syquest Technology, Inc. (a)      1,100                  103                    

Tech Data Corp. (a)               1,800                  30,600                 

Telxon Corp.                      1,200                  7,650                  

Trident Microsystems, Inc. (a)    100                    550                    

Unisys Corp. (a)                  3,500                  104,344                

Western Digital Corp. (a)         500                    4,813                  

Xerox Corp.                       10,400                 573,950                

                                            10,087,438

ELECTRONIC INSTRUMENTS - 0.4%                                                   

Anadigics, Inc. (a)               400                    5,675                  

Applied Materials, Inc. (a)       5,700                  317,063                

Barringer Technologies, Inc.      100                    750                    
(a)                                                                             

Beckman Coulter, Inc.             1,100                  53,144                 

Cerprobe Corp. (a)                100                    1,500                  

Cholestech Corp. (a)              100                    300                    

Chromatics Color Sciences         500                    3,313                  
International, Inc. (a)                                                         

Cohu, Inc.                        100                    2,363                  

Credence Systems Corp. (a)        800                    16,900                 

Electro Scientific                200                    7,313                  
Industries, Inc. (a)                                                            

Helix Technology, Inc.            200                    3,938                  

KLA-Tencor Corp. (a)              1,100                  56,994                 

Kulicke & Soffa Industries,       900                    22,838                 
Inc. (a)                                                                        

LAM Research Corp. (a)            900                    26,606                 

Perkin-Elmer Corp.                919                    87,075                 

                       SHARES                 VALUE (NOTE 1)

Reliability, Inc. (a)             100                   $ 456                   

Sawtek, Inc. (a)                  900                    20,025                 

Silicon Valley Group, Inc. (a)    400                    5,325                  

Smart Modular Technologies,       1,400                  22,488                 
Inc. (a)                                                                        

Tektronix, Inc.                   300                    5,850                  

Teradyne, Inc. (a)                1,100                  52,388                 

Thermo Electron Corp. (a)         1,600                  22,100                 

Thermo Instrument Systems,        800                    11,850                 
Inc. (a)                                                                        

Trimble Navigation Ltd. (a)       100                    825                    

Varian Associates, Inc.           1,300                  41,600                 

Waters Corp. (a)                  800                    74,450                 

Zygo Corp. (a)                    200                    2,250                  

                                         865,379

ELECTRONICS - 3.2%                                                              

3Dfx Interactive, Inc. (a)        400                    4,350                  

8X8, Inc. (a)                     1,100                  4,813                  

Act Manufacturing, Inc. (a)       100                    1,513                  

Actel Corp. (a)                   800                    10,400                 

Advanced Micro Devices, Inc.      1,600                  28,600                 
(a)                                                                             

Altera Corp. (a)                  1,200                  58,350                 

American Xtal Technology,         1,300                  19,338                 
Inc. (a)                                                                        

AMP, Inc.                         4,157                  221,100                

Analog Devices, Inc. (a)          2,000                  50,125                 

Applied Micro Circuits Corp.      700                    27,475                 
(a)                                                                             

Arrow Electronics, Inc. (a)       1,500                  21,281                 

Artesyn Technologies, Inc. (a)    1,600                  23,700                 

Atmel Corp. (a)                   500                    8,594                  

Avnet, Inc.                       1,200                  47,625                 

AVX Corp.                         200                    2,738                  

Brightpoint, Inc. (a)             1,700                  25,288                 

Broadcom Corp. Class A            500                    30,094                 

Burr-Brown Corp. (a)              300                    6,075                  

C-Cube Microsystems, Inc. (a)     1,300                  24,375                 

Cidco, Inc. (a)                   700                    3,019                  

Cirrus Logic, Inc. (a)            200                    1,625                  

Conexant Systems, Inc. (a)        1,450                  24,650                 

Cree Research, Inc. (a)           400                    13,075                 

CTS Corp.                         800                    39,150                 

Cypress Semiconductor Corp.       400                    3,825                  
(a)                                                                             

Dallas Semiconductor Corp.        1,100                  38,913                 

Digital Microwave Corp. (a)       1,715                  13,666                 

DII Group, Inc. (a)               1,000                  23,375                 

Electroglas, Inc. (a)             200                    2,581                  

ESS Technology, Inc. (a)          200                    1,150                  

Etec Systems, Inc. (a)            600                    26,588                 

Exar Corp. (a)                    100                    1,519                  

Gatefield Corp. (a)               200                    156                    

General Semiconductor, Inc.       100                    650                    
(a)                                                                             

Hadco Corp. (a)                   400                    12,750                 

Harmonic Lightwaves, Inc. (a)     800                    19,100                 

hi/fn, Inc. (a)                   25                     669                    

Innovex, Inc.                     300                    4,538                  

Integrated Circuit Systems,       200                    3,725                  
Inc. (a)                                                                        

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

TECHNOLOGY - CONTINUED                                                          

ELECTRONICS - CONTINUED                                                         

Integrated Device Technology,     500                   $ 3,219                 
Inc. (a)                                                                        

Integrated Silicon Solution       100                    278                    
(a)                                                                             

Intel Corp.                       26,800                 3,214,325              

International Rectifier Corp.     400                    2,750                  
(a)                                                                             

KEMET Corp. (a)                   200                    2,200                  

Kent Electronics Corp. (a)        900                    10,238                 

Lattice Semiconductor Corp.       800                    31,900                 
(a)                                                                             

Linear Technology Corp.           1,800                  78,863                 

LSI Logic Corp. (a)               1,700                  44,094                 

Marshall Industries (a)           200                    2,850                  

Maxim Integrated Products,        2,600                  108,388                
Inc. (a)                                                                        

Methode Electronics, Inc.         100                    1,050                  
Class A                                                                         

Micrel, Inc. (a)                  700                    31,500                 

Micro Linear Corp. (a)            100                    500                    

Microchip Technology, Inc. (a)    1,000                  27,250                 

Micron Technology, Inc. (a)       3,800                  218,975                

Microsemi Corp. (a)               100                    1,050                  

Molex, Inc.                       3,450                  92,288                 

Motorola, Inc.                    9,300                  653,325                

National Semiconductor Corp.      1,400                  14,700                 
(a)                                                                             

NeoMagic Corp. (a)                1,500                  16,313                 

Photronics, Inc. (a)              700                    14,394                 

Pioneer Standard Electronics,     1,300                  10,075                 
Inc.                                                                            

Power Integrations, Inc. (a)      800                    19,300                 

QLogic Corp. (a)                  600                    34,875                 

Rambus, Inc. (a)                  400                    29,075                 

Reptron Electronics, Inc. (a)     100                    388                    

RF Micro Devices, Inc. (a)        500                    38,500                 

S3, Inc. (a)                      2,500                  22,031                 

Sanmina Corp. (a)                 1,018                  53,191                 

SDL, Inc. (a)                     500                    27,250                 

Semtech Corp. (a)                 500                    15,188                 

Sipex Corp. (a)                   900                    10,294                 

Solectron Corp. (a)               3,400                  151,938                

Speedfam International, Inc.      600                    9,788                  
(a)                                                                             

Standard Microsystems Corp.       100                    825                    
(a)                                                                             

Sterling Commerce, Inc. (a)       1,900                  49,400                 

Storage Technology Corp. (a)      1,400                  48,738                 

Telcom Semiconductor, Inc. (a)    100                    431                    

Texas Instruments, Inc.           6,000                  535,125                

Thomas & Betts Corp.              1,700                  70,869                 

Transwitch Corp. (a)              500                    17,375                 

Triquint Semiconductor, Inc.      100                    1,656                  
(a)                                                                             

Uniphase Corp. (a)                700                    61,688                 

Videoserver, Inc. (a)             100                    1,275                  

Vishay Intertechnology, Inc.      1,030                  13,326                 

Vitesse Semiconductor Corp.       800                    36,750                 
(a)                                                                             

VLSI Technology, Inc. (a)         1,500                  23,250                 

World Access, Inc. (a)            1,734                  13,655                 

                       SHARES                 VALUE (NOTE 1)

Xilinx, Inc. (a)                  900                   $ 62,775                

Zoran Corp. (a)                   100                    1,800                  

                                           6,781,839

PHOTOGRAPHIC EQUIPMENT - 0.2%                                                   

Eastman Kodak Co.                 5,800                  383,888                

Imation Corp. (a)                 1,700                  26,350                 

In Focus Systems, Inc. (a)        400                    3,300                  

Polaroid Corp.                    1,900                  45,363                 

                                         458,901

TOTAL TECHNOLOGY                                         40,521,266             

TRANSPORTATION - 1.1%                                                           

AIR TRANSPORTATION - 0.4%                                                       

AirTran Holdings, Inc. (a)        400                    1,350                  

Alaska Air Group, Inc. (a)        1,000                  50,688                 

America West Holding Corp.        1,600                  27,200                 
Class B (a)                                                                     

AMR Corp. (a)                     2,300                  127,506                

ASA Holdings, Inc.                200                    6,713                  

Atlantic Coast Airlines           700                    22,400                 
Holdings (a)                                                                    

Atlas Air, Inc. (a)               150                    4,519                  

Comair Holdings, Inc.             1,150                  43,269                 

Continental Airlines, Inc.        1,100                  38,088                 
Class B (a)                                                                     

Delta Air Lines, Inc.             2,900                  176,356                

Great Lakes Aviation Ltd. (a)     200                    513                    

Mesa Air Group, Inc. (a)          200                    1,363                  

Midway Airlines Corp. (a)         100                    1,288                  

Midwest Express Holdings,         300                    8,063                  
Inc. (a)                                                                        

Navigant International, Inc.      700                    3,938                  
(a)                                                                             

Northwest Airlines Corp.          800                    20,000                 
Class A (a)                                                                     

SkyWest, Inc.                     700                    22,006                 

Southwest Airlines Co.            4,375                  131,797                

Transportation World              1,400                  8,313                  
Airlines, Inc. (a)                                                              

Travel Services                   700                    10,675                 
International, Inc. (a)                                                         

UAL Corp. (a)                     1,300                  77,675                 

US Airways Group, Inc. (a)        900                    42,638                 

Viad Corp.                        600                    15,863                 

                                         842,221

RAILROADS - 0.4%                                                                

ABC Rail Products Corp. (a)       100                    1,413                  

Burlington Northern Santa Fe      8,700                  288,188                
Corp.                                                                           

CSX Corp.                         3,700                  145,225                

Kansas City Southern              1,200                  56,100                 
Industries, Inc.                                                                

Norfolk Southern Corp.            6,200                  173,988                

Trinity Industries, Inc.          600                    19,763                 

Union Pacific Corp.               4,500                  210,938                

Wisconsin Central                 700                    9,625                  
Transportation Corp. (a)                                                        

                                         905,240

SHIPPING - 0.0%                                                                 

Alexander & Baldwin, Inc.         400                    7,900                  

Hvide Marine, Inc. (a)            300                    1,369                  

Marine Transport Corp. (a)        10                     28                     

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

TRANSPORTATION - CONTINUED                                                      

SHIPPING - CONTINUED                                                            

OMI Corp. (a)                     100                   $ 156                   

Trico Marine Services, Inc.       400                    1,800                  
(a)                                                                             

                                        11,253

TRUCKING & FREIGHT - 0.3%                                                       

Air Express International         900                    15,806                 
Corp.                                                                           

Airborne Freight Corp.            1,300                  50,700                 

American Freightways Corp. (a)    300                    4,678                  

Arkansas Best Corp. (a)           300                    2,306                  

C.H. Robinson Worldwide, Inc.     1,200                  31,500                 

CNF Transportation, Inc.          1,200                  50,700                 

Consolidated Freightways          300                    4,350                  
Corp. (a)                                                                       

Eagle USA Airfreight, Inc. (a)    700                    20,213                 

Expeditors International of       600                    27,938                 
Washington, Inc.                                                                

FDX Corp. (a)                     2,280                  217,740                

Fritz Companies, Inc. (a)         100                    744                    

Hunt (J.B.) Transport             500                    11,750                 
Services, Inc.                                                                  

Landstar System, Inc. (a)         100                    3,772                  

M.S. Carriers, Inc. (a)           100                    2,700                  

Roadway Express, Inc.             500                    7,688                  

Swift Transportation Co.,         900                    26,944                 
Inc. (a)                                                                        

US Xpress Enterprises, Inc.       100                    1,600                  
(a)                                                                             

USFreightways Corp.               800                    25,500                 

Werner Enterprises, Inc.          700                    12,512                 

XTRA Corp.                        300                    11,963                 

Yellow Corp. (a)                  500                    8,938                  

                                         540,042

TOTAL TRANSPORTATION                                     2,298,756              

UTILITIES - 10.7%                                                               

CELLULAR - 0.8%                                                                 

Advanced Radio Telecom Corp.      200                    1,600                  
(a)                                                                             

AirTouch Communications, Inc.     8,900                  810,456                
(a)                                                                             

Applied Cellular Technology,      100                    275                    
Inc. (a)                                                                        

Associated Group, Inc. Class      1,100                  54,794                 
A (a)                                                                           

Cellnet Data Systems, Inc. (a)    400                    2,525                  

Cellular Communication of         300                    7,388                  
Puerto Rico, Inc.                                                               

Cellular Communications           500                    39,281                 
International, Inc. (a)                                                         

Century Telephone                 2,050                  126,588                
Enterprises, Inc.                                                               

CoreComm Ltd. (a)                 300                    11,213                 

Geotek Communications, Inc.       1,200                  26                     
(a)                                                                             

LCC International, Inc. (a)       200                    1,100                  

Nextel Communications, Inc.       4,000                  120,250                
Class A (a)                                                                     

Paging Network, Inc. (a)          600                    2,400                  

Powertel, Inc. (a)                100                    1,300                  

QUALCOMM, Inc.                    1,400                  102,200                

SkyTel Communications, Inc.       300                    5,400                  
(a)                                                                             

Sprint Corp. Series 1 (PCS        7,200                  230,400                
Group)                                                                          

                       SHARES                 VALUE (NOTE 1)

Telephone & Data Systems,         1,700                 $ 85,425                
Inc.                                                                            

Teligent, Inc. Class A (a)        600                    23,588                 

United States Cellular Corp.      2,100                  88,463                 
(a)                                                                             

Vanguard Cellular Systems,        1,500                  41,813                 
Inc.  Class A (a)                                                               

Western Wireless Corp. Class      1,400                  37,888                 
A (a)                                                                           

                                           1,794,373

ELECTRIC UTILITY - 2.5%                                                         

AES Corp. (a)                     2,200                  81,813                 

Allegheny Energy, Inc.            2,700                  80,156                 

Ameren Corp.                      1,500                  55,969                 

American Electric Power Co.,      4,100                  170,663                
Inc.                                                                            

Avista Corp.                      2,200                  36,025                 

Baltimore Gas & Electric Co.      3,100                  79,438                 

BEC Energy                        1,800                  65,588                 

Calenergy, Inc. (a)               1,700                  47,706                 

Carolina Power & Light Co.        1,300                  51,838                 

Central & South West Corp.        2,500                  62,031                 

CINergy Corp.                     4,100                  119,669                

Citizens Utilities Co. Class B    7,225                  55,091                 

CMS Energy Corp.                  2,800                  115,850                

Conectiv, Inc.                    600                    12,713                 

Consolidated Edison, Inc.         2,800                  130,900                

Dominion Resources, Inc.          3,800                  146,775                

DPL, Inc.                         1,150                  20,484                 

DQE, Inc.                         1,500                  57,281                 

DTE Energy Co.                    3,500                  138,250                

Duke Energy Corp.                 6,400                  364,000                

Eastern Utilities Associates      1,700                  48,344                 

Edison International              7,200                  183,600                

Energy East Corp.                 900                    48,263                 

Entergy Corp.                     3,400                  96,050                 

FirstEnergy Corp.                 5,457                  159,617                

Florida Progress Corp.            2,000                  80,250                 

FPL Group, Inc.                   3,700                  190,319                

GPU, Inc.                         2,800                  111,650                

Illinova Corp.                    1,100                  26,125                 

IPALCO Enterprises, Inc.          900                    43,144                 

Kansas City Power & Light Co.     1,700                  43,350                 

KTI, Inc. (a)                     300                    5,400                  

LG&E Energy Corp.                 1,600                  36,500                 

Midamerican Energy Holdings       1,500                  40,500                 
Co.                                                                             

Minnesota Power, Inc.             1,400                  56,263                 

Montana Power Co.                 1,200                  73,050                 

Nevada Power Co.                  900                    21,544                 

New Century Energies, Inc.        2,600                  105,463                

New England Electric System       1,800                  87,638                 

Niagara Mohawk Power Corp. (a)    5,400                  78,975                 

NIPSCO Industries, Inc.           800                    20,750                 

Northeast Utilities (a)           400                    5,975                  

Northern States Power Co.         2,500                  64,531                 

Northwestern Corp.                400                    9,625                  

OGE Energy Corp.                  400                    9,550                  

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

UTILITIES - CONTINUED                                                           

ELECTRIC UTILITY - CONTINUED                                                    

PacifiCorp                        7,200                 $ 129,150               

PECO Energy Co.                   3,000                  106,313                

PG&E Corp.                        7,500                  236,250                

Pinnacle West Capital Corp.       2,600                  93,925                 

Potomac Electric Power Co.        1,300                  31,688                 

PP&L Resources, Inc.              2,510                  64,005                 

Public Service Co. of New         1,200                  18,450                 
Mexico                                                                          

Public Service Enterprise         4,100                  155,800                
Group, Inc.                                                                     

Puget Sound Power & Light Co.     2,100                  50,663                 

Reliant Energy, Inc.              3,000                  80,438                 

SCANA Corp.                       700                    16,450                 

Sierra Pacific Resources          600                    20,588                 

Southern Co.                      9,500                  238,094                

TECO Energy, Inc.                 3,500                  75,688                 

Texas Utilities Co.               5,500                  233,406                

Unicom Corp.                      2,200                  78,238                 

Utilicorp United, Inc.            2,000                  68,750                 

Wisconsin Energy Corp.            3,400                  86,913                 

                                           5,323,525

GAS - 0.7%                                                                      

AGL Resources, Inc.               200                    3,813                  

Aquila Gas Pipeline Corp.         100                    875                    

Columbia Gas System, Inc.         2,200                  111,100                

Consolidated Natural Gas Co.      2,300                  126,356                

CTG Resources, Inc.               100                    2,300                  

Dynegy, Inc.                      800                    9,600                  

Eastern Enterprises Co.           600                    23,063                 

El Paso Energy Corp.              2,800                  102,025                

Enron Corp.                       6,000                  390,000                

Equitable Resources, Inc.         200                    5,175                  

K N Energy, Inc.                  2,600                  54,438                 

KeySpan Energy                    2,592                  68,688                 

MCN Energy Group, Inc.            1,500                  26,719                 

National Fuel Gas Co.             500                    20,156                 

NICOR, Inc.                       1,500                  57,281                 

ONEOK, Inc.                       200                    5,388                  

Questar Corp.                     1,300                  23,238                 

Sempra Energy                     2,902                  60,942                 

Sonat, Inc.                       2,800                  70,875                 

Washington Gas Light Co.          200                    4,788                  

Western Resources, Inc.           600                    16,913                 

Williams Companies, Inc.          7,999                  295,963                

                                           1,479,696

TELEPHONE SERVICES - 6.7%                                                       

Aliant Communications, Inc.       800                    31,900                 

Allegiance Telecom, Inc. (a)      1,800                  43,088                 

ALLTEL Corp.                      4,892                  292,909                

Ameritech Corp.                   17,500                 1,144,063              

AT&T Corp.                        28,853                 2,369,553              

Bell Atlantic Corp.               24,400                 1,401,475              

                       SHARES                 VALUE (NOTE 1)

BellSouth Corp.                   30,900                $ 1,429,125             

Cincinnati Bell, Inc.             2,300                  45,425                 

Commonwealth Telephone            100                    3,238                  
Enterprises, Inc. (a)                                                           

COMSAT Corp. Series 1             700                    20,475                 

e.spire Communications, Inc.      1,300                  7,150                  
(a)                                                                             

Frontier Corp.                    3,800                  136,563                

Global TeleSystems Group,         1,400                  77,700                 
Inc. (a)                                                                        

GST Telecommunications, Inc.      2,000                  14,000                 
(a)                                                                             

GTE Corp.                         14,900                 966,638                

Hyperion Telecommunications,      900                    10,125                 
Inc.  Class A (a)                                                               

ICG Communications, Inc. (a)      900                    16,931                 

ITC DeltaCom, Inc. (a)            600                    8,700                  

IXC Communications, Inc.          1,000                  52,000                 

Level 3 Communications, Inc.      4,700                  263,200                
(a)                                                                             

Mastech Corp. (a)                 1,500                  37,406                 

MCI WorldCom, Inc. (a)            29,442                 2,428,965              

McLeodUSA, Inc. Class A (a)       1,400                  53,900                 

Metromedia Fiber Network,         1,400                  60,900                 
Inc.  Class A (a)                                                               

NEXTLINK Communications, Inc.     800                    36,600                 
Class A (a)                                                                   

Pacific Gateway Exchange,         700                    17,500                 
Inc. (a)                                                                        

Primus Telecommunications         461                    5,042                  
Group, Inc. (a)                                                                 

Qwest Communications              5,170                  317,632                
International, Inc. (a)                                                         

RCN Corp. (a)                     1,600                  38,400                 

SBC Communications, Inc.          30,905                 1,634,102              

Source Media, Inc. (a)            400                    6,475                  

Sprint Corp. (FON Group)          6,500                  557,781                

STAR Telecommunications, Inc.     1,705                  22,165                 
(a)                                                                             

Tel-Save.com, Inc. (a)            2,100                  20,869                 

Telegroup, Inc. (a)               300                    56                     

Transaction Network Services,     600                    11,775                 
Inc. (a)                                                                        

U.S. WEST, Inc.                   8,479                  452,037                

U.S. LEC Corp. Class A            700                    10,106                 

Viatel, Inc. (a)                  400                    7,650                  

WinStar Communications, Inc.      600                    18,900                 
(a)                                                                             

                                            14,072,519

WATER - 0.0%                                                                    

American Water Works, Inc.        400                    12,100                 

United Water Resources, Inc.      100                    1,925                  

                                        14,025

TOTAL UTILITIES                                          22,684,138             

TOTAL COMMON STOCKS                                      203,085,741            
(Cost $187,180,591)                                                             

PREFERRED STOCKS - 0.0%                                                         

                       SHARES                 VALUE (NOTE 1)

CONVERTIBLE PREFERRED STOCKS                                                    
- 0.0%                                                                          

CONSTRUCTION & REAL ESTATE -                                                    
0.0%                                                                            

REAL ESTATE INVESTMENT TRUSTS                                                   
- 0.0%                                                                          

Kimco Realty Corp. Series D       36                    $ 891                   
$1.875                                                                          

NONCONVERTIBLE PREFERRED                                                        
STOCKS - 0.0%                                                                   

CONSTRUCTION & REAL ESTATE -                                                    
0.0%                                                                            

REAL ESTATE - 0.0%                                                              

Price Enterprises, Inc.           100                    1,463                  
Series A $1.40                                                                  

TOTAL PREFERRED STOCKS                                   2,354                  
(Cost $2,352)                                                                   

                                                        [Enlarge/Download Table]

                                                                                                   
U.S. TREASURY OBLIGATIONS -                                                                        
4.0%                                                                                               

                                                    PRINCIPAL AMOUNT                               

U.S. Treasury Bills, yield at                       $ 8,542,000               8,493,222            
date of purchase 4.24% to                                                                          
4.7% 3/4/99 to 4/22/99 (b)                                                                         
(Cost $8,493,907)                                                                                  

TOTAL INVESTMENT IN                                                         $ 211,581,317          
SECURITIES - 100%                                                                                  
(Cost $195,676,850)                                                                                

FUTURES CONTRACTS                                                                                  

                               EXPIRATION DATE      UNDERLYING FACE AMOUNT   UNREALIZED GAIN/(LOSS)

PURCHASED                                                                                          

32 S&P 500 Stock Index         Mar. 1999            $ 9,884,000              $ 72,127              
Contracts                                                                                          

THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF TOTAL                                       
INVESTMENT IN SECURITIES - 4.7%                                                                    


LEGEND                                                                          
(a) Non-income producing                                                        

(b) Security or a portion of the security was pledged to cover margin           
requirements for futures contracts. At the period end, the value of             
securities pledged amounted to $1,060,000.                                      

OTHER INFORMATION                                                               

Purchases and sales of securities, other than short-term securities,            
aggregated $161,533,213 and  $3,622,307, respectively.                          

The market value of futures contracts opened and closed during the              
period amounted to $181,228,281 and $178,006,156, respectively.                 

The fund participated in the security lending program. At period end,           
the value of securities loaned amounted to $42,076,244. The fund                
received cash collateral of $44,045,157 which was invested in the               
Bankers Trust Institutional Daily Asset Fund. The fund also received            
non-cash collateral of $208,550 which represents U.S. Treasury                  
obligations.                                                                    

INCOME TAX INFORMATION                                                          

At February 28, 1999, the aggregate cost of investment securities for           
income tax purposes was $195,759,517. Net unrealized appreciation               
aggregated $15,821,800, of which $28,761,849 related to appreciated             
investment securities and $12,940,049 related to depreciated                    
investment securities.                                                          

The fund hereby designates approximately $492,000 as a capital gain             
dividend for the purpose of the dividend paid deduction.                        

A total of 68% of the dividends distributed during the fiscal year              
qualifies for the dividends received deductions for corporate                   
shareholders.                                                                   

The fund will notify shareholders in January 2000 of the applicable             
percentage for use in preparing 1999 income tax returns.                        

SPARTAN TOTAL MARKET INDEX FUND                                                 
FINANCIAL STATEMENTS                                                            

STATEMENT OF ASSETS AND LIABILITIES                                             
                   FEBRUARY 28, 1999

ASSETS                                                                          

Investment in securities, at                 $ 211,581,317                      
value  (cost $195,676,850) -                                                    
See accompanying schedule                                                     

Cash                                          10,994                            

Receivable for investments                    32,117                            
sold                                                                            

Receivable for fund shares                    1,829,776                         
sold                                                                            

Dividends receivable                          233,351                           

Interest receivable                           10,467                            

Purchase fees receivable                      9,319                             

Investment of cash collateral                 44,045,157                        
received for securities                                                         
loaned                                                                          

Receivable from investment                    6,548                             
adviser for expense                                                             
reductions                                                                      

TOTAL ASSETS                                 257,759,046                      

LIABILITIES                                                                     

Payable for fund shares         $ 287,959                                       
redeemed                                                                        

Payable for daily variation      47,010                                         
on  futures contracts                                                           

Other payables and  accrued      93,782                                         
expenses                                                                        

Collateral on securities         44,045,157                                     
loaned,  at value                                                               

TOTAL LIABILITIES                            44,473,908                       

NET ASSETS                                   $ 213,285,138                      

Net Assets consist of:                                                          

Paid in capital                              $ 196,451,978                      

Undistributed net investment                  472,562                           
income                                                                          

Accumulated undistributed net                 384,004                           
realized gain (loss) on                                                         
investments                                                                     

Net unrealized appreciation                   15,976,594                        
(depreciation) on investments                                                   

NET ASSETS, for 6,814,626                    $ 213,285,138                      
shares outstanding                                                              

NET ASSET VALUE, offering                     $31.30                            
price  and redemption price                                                     
per share ($213,285,138                                                         
(divided by) 6,814,626                                                          
shares) A                                                                       

A OFFERING PRICE PER SHARE DOES NOT INCLUDE THE EFFECT OF THE PURCHASE          
FEE.                                                                            

STATEMENT OF OPERATIONS                                                         
    YEAR ENDED FEBRUARY 28, 1999

INVESTMENT INCOME                            $ 1,308,709                        
Dividends                                                                       

Interest (including income on                 346,869                           
securities loaned of $56,115)                                                   

TOTAL INCOME                                 1,655,578                        

EXPENSES                                                                        

Management fee and              $ 259,373                                       
sub-advisory fees                                                               

Transfer agent fees              150,265                                        

Accounting fees                  68,663                                         

Non-interested trustees'         304                                            
compensation                                                                    

Registration fees                140,306                                        

Audit                            38,588                                         

Legal                            568                                            

Miscellaneous                    173                                            

Total expenses before           658,240                                       
reductions                                                                      

Expense reductions              (389,407)    268,833                          

NET INVESTMENT INCOME                         1,386,745                         

REALIZED AND UNREALIZED GAIN                                                    
(LOSS)                                                                          
Net realized gain (loss) on:                                                    

Investment securities           45,288                                        

Futures contracts               897,827      943,115                          

Change in net unrealized                                                        
appreciation (depreciation)                                                     
on:                                                                             

Investment securities           13,650,337                                    

Futures contracts               (13,702)     13,636,635                       

NET GAIN (LOSS)                               14,579,750                        

NET INCREASE (DECREASE) IN                   $ 15,966,495                       
NET ASSETS RESULTING FROM                                                       
OPERATIONS                                                                      

                                                        [Enlarge/Download Table]

                                                                                          
STATEMENT OF CHANGES IN NET ASSETS                                                        
INCREASE (DECREASE) IN NET       YEAR ENDED FEBRUARY 28, 1999  NOVEMBER 5, 1997           
ASSETS                                                         (COMMENCEMENT  OF          
                                                               OPERATIONS) TO FEBRUARY 28,
                                                               1998                       

Operations Net investment        $ 1,386,745                   $ 125,196                  
income                                                                                    

 Net realized gain (loss)         943,115                       230,371                   

 Change in net unrealized         13,636,635                    2,339,959                 
appreciation (depreciation)                                                               

 NET INCREASE (DECREASE) IN       15,966,495                    2,695,526                 
NET ASSETS RESULTING FROM                                                                 
OPERATIONS                                                                                

Distributions to shareholders     (994,904)                     (56,554)                  
From net investment income                                                                

 From net realized gain           (762,761)                     -                         

 TOTAL DISTRIBUTIONS              (1,757,665)                   (56,554)                  

Share transactions Net            199,132,653                   42,880,647                
proceeds from sales of shares                                                             

 Reinvestment of distributions    1,689,270                     56,508                    

 Cost of shares redeemed          (41,593,739)                  (6,952,594)               

 NET INCREASE (DECREASE) IN       159,228,184                   35,984,561                
NET ASSETS RESULTING FROM                                                                 
SHARE TRANSACTIONS                                                                        

Purchase fees                     1,006,563                     218,028                   

  TOTAL INCREASE (DECREASE)       174,443,577                   38,841,561                
IN NET ASSETS                                                                             

NET ASSETS                                                                                

 Beginning of period              38,841,561                    -                         

 End of period (including        $ 213,285,138                 $ 38,841,561               
undistributed net investment                                                              
income of $472,562 and                                                                    
$75,013, respectively)                                                                    

OTHER INFORMATION                                                                         
Shares                                                                                    

 Sold                             6,798,202                     1,666,819                 

 Issued in reinvestment of        56,636                        2,259                     
distributions                                                                             

 Redeemed                         (1,438,525)                   (270,765)                 

 Net increase (decrease)          5,416,313                     1,398,313                 


FINANCIAL HIGHLIGHTS                                                            
YEARS ENDED FEBRUARY 28,         1999       1998 E                              

SELECTED PER-SHARE DATA                                                         

Net asset value, beginning of    $ 27.78    $ 25.00                             
period                                                                          

Income from Investment                                                          
Operations                                                                      

Net investment income D           .41        .15                                

Net realized and unrealized       3.33       2.45                               
gain (loss)                                                                     

Total from investment             3.74       2.60                               
operations                                                                      

Less Distributions                                                              

From net investment income       (.23)      (.08)                             

From net realized gain            (.28)      -                                  

Total distributions               (.51)      (.08)                              

Purchase fees added to paid       .29        .26                                
in capital                                                                      

Net asset value, end of period   $ 31.30    $ 27.78                             

TOTAL RETURN B, C                 14.61%     11.48%                             

RATIOS AND SUPPLEMENTAL DATA                                                    

Net assets, end of period        $ 213,285  $ 38,842                            
(000 omitted)                                                                   

Ratio of expenses to average      .27% F     .25% A, F                          
net assets                                                                      

Ratio of net investment           1.40%      1.91% A                            
income to average net assets                                                    

Portfolio turnover rate           4%         7% A                               

A ANNUALIZED                                                                    

B TOTAL RETURNS FOR PERIODS OF                                                  
LESS THAN ONE YEAR ARE NOT ANNUALIZED.                                          

C THE TOTAL RETURNS WOULD HAVE BEEN                                             
LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED                                     
DURING THE PERIODS SHOWN.                                                       

D NET INVESTMENT INCOME PER SHARE HAS BEEN CALCULATED                           
BASED ON AVERAGE SHARES OUTSTANDING DURING THE                                  
PERIOD.                                                                         

E FOR THE PERIOD NOVEMBER 5, 1997                                               
(COMMENCEMENT OF OPERATIONS) TO FEBRUARY 28, 1998.                              

F FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S                               
EXPENSES DURING THE PERIOD.  WITHOUT THIS REIMBURSEMENT,                        
THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER.                                

SPARTAN EXTENDED MARKET INDEX FUND                                              
PERFORMANCE: THE BOTTOM LINE                                                    

There are several ways to evaluate a fund's historical performance.             
You can look at the total percentage change in value, the average               
annual percentage change or the growth of a hypothetical $10,000                
investment. Total return reflects the change in the value of an                 
investment, assuming reinvestment of the fund's dividend income and             
capital gains (the profits earned upon the sale of securities that              
have grown in value) and the effect of the 0.75% purchase fee. If               
Fidelity had not reimbursed certain fund expenses, the total returns            
would have been lower.                                                          

CUMULATIVE TOTAL RETURNS                                                        

PERIODS ENDED FEBRUARY 28,     PAST 1 YEAR  LIFE OF FUND                        
1999                                                                            

SPARTAN EXTENDED MARKET INDEX  -1.33%       5.96%                               

SPARTAN EXTENDED MARKET INDEX  -2.07%       5.17%                               
(INCL. 0.75% PURCHASE FEE)                                                      

Wilshire 4500                  -1.64%       4.10%                               

Growth & Income Funds Average  6.49%        n/a                                 

CUMULATIVE TOTAL RETURNS show the fund's performance in percentage              
terms over a set period - in this case, one year or since the fund              
started on November 5, 1997. For example, if you had invested $1,000            
in a fund that had a 5% return over the past year, the value of your            
investment would be $1,050. You can compare the fund's return to the            
performance of the Wilshire 4500 Index - a market                               
capitalization-weighted index of approximately 6,500 U.S. equity                
securities. The Wilshire 4500 includes all the stocks in the Wilshire           
5000 except for stocks included in the S&P 500. To measure how the              
fund's performance stacked up against its peers, you can compare it to          
the Growth & Income Funds Average, which reflects the performance of            
mutual funds with similar objectives tracked by Lipper Inc. The past            
one year average represents a peer group of 801 mutual funds. These             
benchmarks include reinvested dividends and capital gains, if any, and          
exclude the effect of sales charges.                                            

AVERAGE ANNUAL TOTAL RETURNS                                                    

PERIODS ENDED FEBRUARY 28,     PAST 1 YEAR  LIFE OF FUND                        
1999                                                                            

SPARTAN EXTENDED MARKET INDEX  -1.33%       4.50%                               

SPARTAN EXTENDED MARKET INDEX  -2.07%       3.91%                               
(INCL. 0.75% PURCHASE FEE)                                                      

Wilshire 4500                  -1.64%       3.10%                               

Growth & Income Funds Average  6.49%        n/a                                 

AVERAGE ANNUAL TOTAL RETURNS take the fund's cumulative return and              
show you what would have happened if the fund had performed at a                
constant rate each year.                                                        

$10,000 OVER LIFE OF FUND                                                       
SPARTAN EXT MKT INDEX       WILSHIRE 4500             
00398                       WA008                     
1997/11/05       9925.00                    10000.00                        
1997/11/30       9786.05                     9736.03                        
1997/12/31      10029.23                     9974.27                        
1998/01/31       9909.78                     9831.84                        
1998/02/28      10658.29                    10583.68                        
1998/03/31      11191.80                    11130.96                        
1998/04/30      11311.03                    11271.99                        
1998/05/31      10781.39                    10745.37                        
1998/06/30      10961.95                    10912.78                        
1998/07/31      10336.01                    10294.57                        
1998/08/31       8301.71                     8299.79                        
1998/09/30       8935.67                     8898.95                        
1998/10/31       9461.30                     9404.68                        
1998/11/30      10087.24                     9989.75                        
1998/12/31      10963.39                    10835.18                        
1999/01/31      11106.78                    11009.19                        
1999/02/26      10516.83                    10410.18                        
IMATRL PRASUN   SHR__CHT 19990228 19990309 112158 R00000000000019               

$10,000 OVER LIFE OF FUND: Let's say hypothetically that $10,000 was            
invested in Spartan Extended Market Index Fund on November 5, 1997,             
when the fund started, and the current 0.75% purchase fee was paid. As          
the chart shows, by February 28, 1999, the value of the investment              
would have been $10,517 - a 5.17% increase on the initial investment.           
For comparison, look at how the Wilshire 4500 Index did over the same           
period. With dividends and capital gains, if any, reinvested, the same          
$10,000 investment would have been $10,410 - a 4.10% increase.                  

(checkmark)UNDERSTANDING PERFORMANCE                                            

How a fund did yesterday is no guarantee of how                                 
it will do tomorrow. The stock market, for example,                             
has a history of long-term growth and short-term                                
volatility. In turn, the share price and return of a                            
fund that invests in stocks will vary. That means if                            
you sell your shares during a market downturn,                                  
you might lose money. But if you can ride out the                               
market's ups and downs, you may have a gain.                                    

SPARTAN EXTENDED MARKET INDEX FUND                                              
FUND TALK: THE MANAGER'S OVERVIEW                                               

(photograph of Frank Salerno)                                                   

An interview with Frank Salerno, Portfolio Manager of Spartan Extended          
Market Index Fund for Bankers Trust, sub-adviser of the fund                    

Q. HOW DID THE FUND PERFORM, FRANK?                                             

A. For the 12 months that ended February 28, 1999, the fund posted a            
total return of -1.33% (figure does not include the purchase fee).              
Fund performance compared well with the -1.64% return for the Wilshire          
4500 Index during the same period. The fund also compares its                   
performance to the Lipper Inc. growth & income funds average, which             
returned 6.49% during the same 12 month period.                                 

Q. HOW WOULD YOU CHARACTERIZE THE MARKET ENVIRONMENT DURING THE                 
PERIOD?                                                                         

A. During the first half of the year, fund performance suffered in              
response to extreme volatility and uncertainty in global markets.               
While financial conditions remained positive on the home front amidst           
low interest rates, consistently non-existent signs of inflation and            
strong consumer spending, U.S. investors became increasingly concerned          
about the impact of the Asian crisis and problems in Russia and Latin           
America. During the six-month period that ended August 31, 1998, the            
fund and the Wilshire 4500 Index posted total returns of -22.11% and            
-21.58%, respectively. This gloomy environment, however, was quickly            
reversed in the last few months of 1998 when the Federal Reserve Board          
stepped in and cut interest rates three times in an effort to restore           
confidence and liquidity to the markets. In response, the market, most          
notably large-cap stocks, staged an impressive comeback by the end of           
1998. Despite some concerns over Brazil's currency devaluation and              
jitters about corporate earnings, the beat went on in 1999, as most             
U.S. stock indexes continued their advance.                                     

Q. AT APPROXIMATELY 19%, TECHNOLOGY WAS THE FUND'S LARGEST INDUSTRY             
WEIGHTING. HOW DID THIS SECTOR FARE?                                            

A. Many computer software and hardware companies, as well as a range            
of other technology stocks, posted strong results, as demand for                
computers remained solid and Internet commerce skyrocketed. However,            
because the Wilshire 4500 Index does not include stocks from the                
Standard & Poor's 500, the fund did not benefit from the strong                 
performance of large-cap technology stocks such as Microsoft, Dell and          
Intel. About 80% of the fund's performance is driven by medium- and             
small-cap stocks, which lagged larger-cap stocks during this volatile           
period. Some of the fund's larger holdings included Internet companies          
Yahoo! and Amazon.com, which posted mixed results late in the period            
due to investor concerns about high valuations.                                 

Q. THE FINANCE SECTOR WAS THE SECOND LARGEST INDUSTRY WEIGHTING. HOW            
DID THESE STOCKS PERFORM?                                                       

A. Financial stocks were among the hardest hit by the effects of a              
global economic crisis during a difficult third quarter in 1998. While          
the financial sector staged a recovery in the fourth quarter of 1998            
and early 1999, larger-cap financial stocks were the primary                    
beneficiaries of three interest-rate cuts by the Fed. The fund's                
holdings in companies such as UnionBanCal and SouthTrust posted                 
lackluster results.                                                             

Q. WHAT'S YOUR OUTLOOK?                                                         

A. While the market was helped by falling interest rates and the                
economy remained healthy last year, I think there are a number of               
hurdles that could trip up the market in 1999. First, with stock                
valuations at record-high levels, any earnings disappointments could            
result in weakness for the broader market. Second, there is a                   
possibility that deflation could hurt the markets and corporate                 
profits. Finally, the potential Y2K computer glitch could make                  
investors nervous. Whether none or all of these scenarios impact stock          
prices, it seems global excess capacity and ongoing weakness overseas           
could provide a difficult backdrop in which to produce earnings growth          
in 1999.                                                                        

THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO               
MANAGER ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON           
THE COVER. THE MANAGER'S VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED          
ON MARKET AND OTHER CONDITIONS. FOR MORE INFORMATION, SEE PAGE A-2.             
NOTE TO SHAREHOLDERS:                                                           

On November 30, 1998, Bankers Trust Corporation entered into an                 
Agreement and Plan of Merger with Deutsche Bank AG. The merger is               
contingent upon various regulatory approvals. At a meeting held on              
March 18, 1999, the fund's Board of Trustees approved a new                     
sub-advisory agreement among the fund, Fidelity Management & Research           
Co. and Bankers Trust or its successor by merger that would be                  
effective at the time of the merger. This agreement will be presented           
to the fund's shareholders for approval.                                        

Shares purchased after April 28, 1999 will no longer be subject to a            
0.75% purchase fee. However, the fund will deduct a short-term trading          
fee of 0.75% from the redemption amount if you sell shares purchased            
after April 28, 1999 after holding them for less than 90 days. This             
fee is paid to the fund, and is designed to offset the brokerage                
commissions, market impact, and other costs associated with                     
fluctuations in fund asset levels and cash flow caused by short-term            
shareholder trading.                                                            

(checkmark)FUND FACTS                                                           

GOAL: total return that corresponds to that of                                  
the Wilshire 4500 Index                                                         

FUND NUMBER: 398                                                                

TRADING SYMBOL: FSEMX                                                           

START DATE: November 5, 1997                                                    

SIZE: as of February 28, 1999, more than                                        
$62 million                                                                     

MANAGER: Frank Salerno, since inception                                         
SPARTAN EXTENDED MARKET INDEX FUND                                              

INVESTMENT CHANGES                                                              

                                                                [Download Table]

                                                                                   
TOP TEN STOCKS AS OF FEBRUARY                                                      
28, 1999                                                                           

                                % OF FUND'S INVESTMENTS  % OF FUND'S INVESTMENTS IN
                                                         THESE STOCKS 6 MONTHS AGO 

Berkshire Hathaway, Inc.         3.8                      3.2                      
Class A                                                                            

Yahoo!, Inc.                     1.1                      0.3                      

Qwest Communications             0.8                      0.4                      
International, Inc.                                                                

Amazon.com, Inc.                 0.7                      0.2                      

Cox Communications, Inc.         0.7                      0.4                      
Class A                                                                            

Level 3 Communications, Inc.     0.6                      0.4                      

Equitable Companies (The), Inc.  0.6                      0.5                      

eBay, Inc.                       0.5                      0.0                      

At Home Corp. Series A           0.5                      0.2                      

AFLAC, Inc.                      0.4                      0.3                      

TOP TEN MARKET SECTORS AS OF                                                       
FEBRUARY 28, 1999                                                                  

                                % OF FUND'S INVESTMENTS  % OF FUND'S INVESTMENTS IN
                                                         THESE MARKET SECTORS 6    
                                                         MONTHS AGO                

TECHNOLOGY                       19.5                     15.0                     

FINANCE                          19.3                     19.8                     

UTILITIES                        8.7                      8.7                      

MEDIA & LEISURE                  8.1                      7.6                      

HEALTH                           7.7                      8.0                      

CONSTRUCTION & REAL ESTATE       7.3                      8.0                      

RETAIL & WHOLESALE               5.0                      5.3                      

SERVICES                         4.8                      4.6                      

DURABLES                         3.8                      4.4                      

BASIC INDUSTRIES                 3.2                      3.6                      


SPARTAN EXTENDED MARKET INDEX FUND                                              

INVESTMENTS FEBRUARY 28, 1999                                                   

Showing Percentage of Total Value of Investment in Securities                   

COMMON STOCKS - 98.7%                                                           

                       SHARES                 VALUE (NOTE 1)

AEROSPACE & DEFENSE - 1.1%                                                      

AEROSPACE & DEFENSE - 0.8%                                                      

AAR Corp.                         850                   $ 12,856                

Advanced Aerodynamics &           600                    1,838                  
Structures, Inc. Class A (a)                                                    

Advanced Technical Products,      100                    763                    
Inc. (a)                                                                        

Alliant Techsystems, Inc. (a)     408                    32,309                 

Aviall, Inc. (a)                  1,000                  13,813                 

Banner Aerospace, Inc. (a)        160                    1,490                  

BE Aerospace, Inc. (a)            700                    10,325                 

Cordant Technologies, Inc.        1,100                  42,831                 

Curtiss-Wright Corp.              100                    3,756                  

Fairchild Corp. Class A (a)       324                    3,908                  

GenCorp, Inc.                     600                    12,038                 

Gulfstream Aerospace Corp. (a)    1,700                  76,075                 

Harsco Corp.                      1,100                  30,869                 

Howmet International, Inc. (a)    1,700                  27,413                 

Kellstrom Industries, Inc. (a)    600                    9,713                  

Moog, Inc. Class A (a)            100                    3,188                  

OEA, Inc.                         1,600                  17,800                 

Orbital Sciences Corp. (a)        900                    24,863                 

Precision Castparts Corp.         700                    25,988                 

Primex Technologies, Inc.         200                    8,313                  

Sequa Corp. Class A (a)           300                    14,119                 

Simula, Inc. (a)                  100                    606                    

Sturm Ruger & Co., Inc.           400                    3,750                  

Sundstrand Corp.                  1,500                  101,531                

United Industrial Corp.           100                    869                    

Wyman-Gordon Co. (a)              1,800                  14,513                 

                                         495,537

DEFENSE ELECTRONICS - 0.2%                                                      

Alpha Industries, Inc. (a)        900                    18,338                 

Cubic Corp.                       100                    1,838                  

Ducommun, Inc. (a)                150                    1,875                  

Flir Systems, Inc. (a)            600                    11,025                 

Frequency Electronics, Inc.       150                    1,125                  

Litton Industries, Inc. (a)       1,000                  56,125                 

Nichols Research Corp. (a)        700                    12,338                 

REMEC, Inc. (a)                   800                    13,750                 

Scott Technologies, Inc.          1,000                  16,188                 
Class A (a)                                                                     

Stanford Telecommunications,      100                    1,203                  
Inc. (a)                                                                        

                                         133,805

SHIP BUILDING & REPAIR - 0.1%                                                   

Avondale Industries, Inc.         700                    21,613                 

Dril-Quip, Inc. (a)               400                    5,100                  

Halter Marine Group, Inc. (a)     800                    3,200                  

Newport News Shipbuilding,        1,300                  37,619                 
Inc.                                                                            

                                        67,532

TOTAL AEROSPACE & DEFENSE                                696,874                

                       SHARES                 VALUE (NOTE 1)

BASIC INDUSTRIES - 3.2%                                                         

CHEMICALS & PLASTICS - 1.4%                                                     

Airgas, Inc. (a)                  1,100                 $ 9,900                 

Albemarle Corp.                   1,440                  34,020                 

Arch Chemicals, Inc. (a)          650                    12,350                 

Atmi, Inc. (a)                    300                    6,825                  

Bush Boake Allen, Inc. (a)        200                    6,388                  

Cabot Corp.                       1,100                  27,706                 

Carbide/Graphite Group, Inc.      200                    2,425                  
(The) (a)                                                                       

Catalytica, Inc. (a)              1,100                  15,675                 

ChemFirst, Inc.                   300                    5,700                  

Crompton & Knowles Corp.          2,200                  40,700                 

Cytec Industries, Inc. (a)        900                    24,131                 

Eco Soil Systems, Inc. (a)        500                    3,031                  

Ethyl Corp.                       1,200                  5,850                  

Ferro Corp.                       1,000                  21,375                 

First Years, Inc. (The)           200                    3,050                  

Foamex International, Inc.        800                    7,700                  

Fuller (H.B.) Co.                 500                    21,188                 

Furon Co.                         200                    2,375                  

General Chemical Group, Inc.      1,000                  15,375                 

Geon Co.                          1,000                  22,813                 

Georgia Gulf Corp.                500                    7,563                  

Gundle/SLT Environmental,         100                    394                    
Inc. (a)                                                                        

Hanna (M.A.) Co.                  1,500                  16,500                 

Hawkins Chemicals, Inc.           100                    1,006                  

IMC Global, Inc.                  2,080                  41,470                 

International Specialty           1,100                  9,694                  
Products, Inc. (a)                                                              

Isolyser, Inc. (a)                1,000                  2,125                  

Ivex Packaging Corp. (a)          500                    7,563                  

Lamson & Sessions Co. (a)         100                    488                    

Lawter International, Inc.        500                    3,563                  

Leading Edge Packaging, Inc.      100                    75                     
(a)                                                                             

Lubrizol Corp.                    1,800                  34,313                 

Lydall, Inc. (a)                  200                    1,900                  

Lyondell Petrochemical Co.        2,000                  26,750                 

MacDermid, Inc.                   600                    22,500                 

McWhorter Technologies, Inc.      100                    1,456                  
(a)                                                                             

Millennium Chemicals, Inc.        2,300                  41,544                 

Minerals Technologies, Inc.       600                    25,763                 

Mississippi Chemical Corp.        300                    3,075                  

Myers Industries, Inc.            200                    3,900                  

NL Industries, Inc.               1,100                  10,656                 

O'Sullivan Corp.                  200                    1,725                  

Oil-Dri Corp. of America          100                    1,525                  

Olin Corp.                        1,300                  16,494                 

OM Group, Inc.                    500                    14,531                 

Park Electrochemical Corp.        100                    2,713                  

Schulman (A.), Inc.               1,200                  19,800                 

Scotts Co. Class A (a)            700                    22,663                 

Solutia, Inc.                     3,200                  57,000                 

Spartech Corp.                    300                    7,088                  

Stepan Co.                        100                    2,363                  

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

BASIC INDUSTRIES - CONTINUED                                                    

CHEMICALS & PLASTICS -                                                          
CONTINUED                                                                       

Synalloy Corp.                    100                   $ 850                   

Synetic, Inc. (a)                 500                    21,969                 

Synthetech, Inc. (a)              100                    509                    

Terra Industries, Inc.            1,100                  5,431                  

Tredegar Industries, Inc.         355                    9,075                  

Tuscarora Plastics, Inc.          100                    1,375                  

Uniroyal Technology Corp. (a)     100                    838                    

USEC, Inc.                        2,300                  32,631                 

Valhi, Inc.                       1,700                  19,550                 

Valspar Corp.                     1,300                  42,250                 

Viskase Companies, Inc. (a)       100                    400                    

Wellman, Inc.                     1,600                  14,900                 

Witco Corp.                       1,200                  20,325                 

                                         866,880

IRON & STEEL - 0.4%                                                             

AK Steel Holding Corp.            1,600                  34,900                 

Ampco-Pittsburgh Corp.            100                    938                    

Atchison Casting Corp. (a)        100                    975                    

Barnes Group, Inc.                200                    3,813                  

Birmingham Steel Corp.            2,300                  9,488                  

Carpenter Technology Corp.        1,000                  25,938                 

Citation Corp. (a)                100                    1,019                  

Cleveland-Cliffs, Inc.            600                    22,238                 

Cold Metal Products, Inc. (a)     100                    238                    

Commercial Metals Co.             700                    15,969                 

Fansteel, Inc. (a)                100                    525                    

Gibraltar Steel Corp.             100                    2,000                  

Huntco, Inc. Class A              100                    425                    

Insteel Industries, Inc.          100                    613                    

Keystone Consolidated             100                    750                    
Industries, Inc. (a)                                                            

LTV Corp.                         2,700                  14,850                 

Material Sciences Corp. (a)       200                    1,438                  

Mueller Industries, Inc. (a)      600                    12,675                 

National Steel Corp. Class B      1,700                  14,025                 

Northwest Pipe Co. (a)            100                    1,475                  

NS Group, Inc. (a)                300                    1,181                  

Oregon Steel Mills, Inc.          400                    3,825                  

Park-Ohio Holdings Corp. (a)      100                    1,545                  

Quanex Corp.                      800                    14,000                 

Roanoke Electric Steel Corp.      150                    2,034                  

Rouge Industries, Inc. Class A    200                    1,988                  

Schnitzer Steel Industries,       100                    1,388                  
Inc. Class A                                                                    

SEMX Corp. (a)                    100                    206                    

Shiloh Industries, Inc. (a)       100                    1,225                  

SPS Technologies, Inc. (a)        200                    8,250                  

Steel Dynamics, Inc. (a)          700                    11,025                 

Steel Technologies, Inc.          100                    802                    

Sun Hydraulics Corp.              100                    913                    

Titan International, Inc.         300                    2,231                  

Webco Industries, Inc. (a)        100                    556                    

                       SHARES                 VALUE (NOTE 1)

Whittaker Corp. (a)               100                   $ 2,013                 

WHX Corp. (a)                     700                    6,081                  

                                         223,555

METALS & MINING - 0.4%                                                          

AFC Cable Systems, Inc. (a)       200                    6,625                  

Amcol International Corp.         350                    3,325                  

Belden, Inc.                      1,000                  18,063                 

Brush Wellman, Inc.               800                    11,500                 

Cable Design Technology Corp.     350                    4,528                  
(a)                                                                             

Castle A.M. & Co.                 200                    2,725                  

Century Aluminum Co.              300                    1,650                  

Commonwealth Industries, Inc.     500                    5,406                  

Commscope, Inc. (a)               1,100                  20,419                 

Encore Wire Corp. (a)             450                    4,247                  

General Cable Corp.               1,150                  21,634                 

IMCO Recycling, Inc.              200                    2,513                  

International FiberCom, Inc.      1,000                  7,063                  
(a)                                                                             

Kaiser Aluminum Corp. (a)         600                    3,000                  

Martin Marietta Materials,        1,300                  66,706                 
Inc.                                                                            

Matthews International Corp.      600                    17,175                 
Class A                                                                         

MAXXAM, Inc. (a)                  100                    5,850                  

Metals USA, Inc. (a)              300                    2,738                  

Olympic Steel, Inc. (a)           500                    4,188                  

Optical Cable Corp. (a)           500                    5,875                  

Reliance Steel & Aluminum Co.     600                    15,338                 

RTI International Metals,         300                    3,188                  
Inc. (a)                                                                        

Ryerson Tull, Inc. (a)            664                    12,118                 

Special Metals Corp. (a)          200                    1,425                  

Superior Telecom, Inc.            531                    15,034                 

Titanium Metals Corp.             900                    6,356                  

Wolverine Tube, Inc.              700                    13,913                 

                                         282,602

PACKAGING & CONTAINERS - 0.2%                                                   

Alltrista Corp. (a)               100                    2,400                  

BWAY Corp. (a)                    100                    1,288                  

EarthShell Corp. (a)              2,600                  24,213                 

Gaylord Container Corp. Class     700                    4,725                  
A (a)                                                                           

Greif Brothers Corp. Class A      300                    8,438                  

Shorewood Packaging Corp. (a)     400                    7,275                  

Silgan Holdings, Inc. (a)         500                    11,094                 

Sonoco Products Co.               2,650                  64,925                 

U.S. Can Corp. (a)                200                    3,188                  

                                         127,546

PAPER & FOREST PRODUCTS - 0.8%                                                  

Albany International Corp.        1,225                  24,041                 
Class A                                                                         

American Bank Note                700                    1,750                  
Holographics, Inc. (a)                                                          

American Pad & Paper Co. (a)      400                    625                    

Bowater, Inc.                     1,000                  42,125                 

Buckeye Technologies, Inc. (a)    500                    6,469                  

Caraustar Industries, Inc.        800                    20,500                 

Chesapeake Corp.                  400                    12,600                 

Consolidated Papers, Inc.         2,300                  51,175                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

BASIC INDUSTRIES - CONTINUED                                                    

PAPER & FOREST PRODUCTS -                                                       
CONTINUED                                                                       

Georgia-Pacific Corp. (Timber     2,300                 $ 46,863                
Group)                                                                          

Glatfelter (P.H.) Co.             300                    3,206                  

Longview Fibre Co.                700                    7,919                  

Mail-Well, Inc. (a)               1,300                  18,363                 

PalEx, Inc. (a)                   100                    906                    

Pentair, Inc.                     600                    22,725                 

Pope & Talbot, Inc.               100                    694                    

Precept Business Services,        600                    9,900                  
Inc. (a)                                                                        

Rayonier, Inc.                    1,000                  40,938                 

Rock-Tenn Co. Class A             600                    10,350                 

Smurfit-Stone Container Corp.     4,500                  81,281                 
(a)                                                                             

The St. Joe Co.                   1,900                  40,969                 

U.S. Timberlands Co. L P          1,100                  14,438                 

Unisource Worldwide, Inc.         2,600                  18,200                 

Wausau-Mosinee Paper Corp.        840                    13,335                 

Workflow Management, Inc. (a)     1,301                  9,188                  

                                         498,560

TOTAL BASIC INDUSTRIES                                   1,999,143              

CONSTRUCTION & REAL ESTATE -                                                    
7.3%                                                                            

BUILDING MATERIALS - 1.2%                                                       

Aaon, Inc. (a)                    100                    856                    

Aavid Thermal Technologies,       500                    7,094                  
Inc. (a)                                                                        

ACX Technologies, Inc. (a)        400                    4,975                  

American Precision                100                    969                    
Industries, Inc. (a)                                                            

American Residential              200                    725                    
Services, Inc. (a)                                                              

American Standard Companies,      1,500                  50,344                 
Inc. (a)                                                                        

American Woodmark Corp.           100                    3,513                  

Barnett, Inc. (a)                 600                    6,263                  

Carlisle Companies, Inc.          400                    16,550                 

Centex Construction Products,     700                    24,981                 
Inc.                                                                            

Dal-Tile International, Inc.      1,900                  17,456                 
(a)                                                                             

Drew Industries, Inc. (a)         100                    1,206                  

Elcor Corp.                       550                    17,325                 

Fastenal Co.                      900                    34,200                 

Florida Rock Industries, Inc.     200                    5,600                  

Giant Cement Holding, Inc. (a)    600                    11,775                 

Hexcel Corp. (a)                  500                    4,219                  

Hussmann International, Inc.      800                    11,300                 

ICC Technologies, Inc. (a)        900                    4,781                  

Industrial Holdings, Inc. (a)     100                    863                    

Johns Manville Corp.              3,800                  66,738                 

Justin Industries, Inc.           300                    3,206                  

Kaynar Technologies, Inc. (a)     400                    11,200                 

Lafarge Corp.                     1,200                  38,250                 

Lilly Industries, Inc. Class A    300                    5,119                  

Lone Star Industries, Inc.        600                    19,800                 

Mestek, Inc. (a)                  100                    1,956                  

Mobile Mini, Inc. (a)             500                    6,000                  

                       SHARES                 VALUE (NOTE 1)

Nortek, Inc. (a)                  100                   $ 2,600                 

Penn Engineering &                100                    1,981                  
Manufacturing Corp.                                                             
(non-vtg.)                                                                      

Raytech Corp. (a)                 100                    300                    

Republic Group, Inc.              100                    1,519                  

Robbins & Myers, Inc.             200                    3,300                  

Rock of Ages Corp. Class A (a)    600                    7,500                  

ROHN Industries, Inc. (a)         700                    1,400                  

RPM, Inc.                         1,525                  21,064                 

Selas Corp. of America            100                    594                    

Shaw Group (a)                    100                    1,369                  

Southdown, Inc.                   664                    31,333                 

T.J. International, Inc.          400                    8,650                  

Tecumseh Products Co. Class A     800                    39,400                 

Texas Industries, Inc.            700                    17,238                 

Thermo TerraTech, Inc. (a)        200                    1,000                  

United Dominion Industries        1,479                  28,593                 
Ltd.                                                                            

Universal Forest Products,        100                    2,006                  
Inc.                                                                            

USG Corp.                         1,400                  70,175                 

Vulcan Materials Co.              700                    94,325                 

Watsco, Inc. Class A              300                    3,506                  

West Pharmaceutical Services,     179                    5,918                  
Inc.                                                                            

York International Corp.          1,200                  43,500                 

                                         764,535

CONSTRUCTION - 0.7%                                                             

American Buildings Co. (a)        100                    2,025                  

American Homestar Corp. (a)       500                    3,688                  

Avatar Holdings, Inc. (a)         800                    15,350                 

Beazer Homes USA, Inc. (a)        600                    13,050                 

Castle & Cooke, Inc. (a)          610                    9,455                  

Cavalier Homes, Inc.              300                    3,000                  

Clayton Homes, Inc.               2,475                  30,628                 

Crossman Communities, Inc. (a)    600                    15,000                 

D.R. Horton, Inc.                 1,750                  27,891                 

Emcor Group, Inc. (a)             400                    6,650                  

Engle Homes, Inc.                 600                    7,050                  

Granite Construction, Inc.        800                    19,650                 

Jacobs Engineering Group,         900                    35,606                 
Inc. (a)                                                                        

Lennar Corp.                      900                    20,869                 

M.D.C. Holdings, Inc.             900                    16,031                 

M/I Schottenstein Homes, Inc.     200                    3,463                  

Modtech Holdings, Inc.            425                    6,003                  

Monaco Coach Corp. (a)            300                    9,338                  

NCI Building Systems, Inc. (a)    500                    11,500                 

NVR, Inc. (a)                     400                    17,200                 

Oakwood Homes Corp.               900                    14,513                 

Palm Harbor Homes, Inc. (a)       250                    6,250                  

Robertson Ceco Corp. (a)          100                    800                    

Ryland Group, Inc.                700                    17,850                 

Schuler Homes, Inc. (a)           100                    806                    

Skyline Corp.                     100                    2,925                  

Southern Energy Homes, Inc.       200                    1,094                  
(a)                                                                             

Standard Pacific Corp.            1,300                  16,088                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

CONSTRUCTION & REAL ESTATE -                                                    
CONTINUED                                                                       

CONSTRUCTION - CONTINUED                                                        

Toll Brothers, Inc. (a)           1,400                 $ 27,475                

U.S. Home Corp. (a)               700                    24,150                 

Vistana, Inc. (a)                 900                    9,844                  

Walter Industries, Inc. (a)       1,600                  19,600                 

Webb (Del E.) Corp.               800                    18,000                 

                                         432,842

ENGINEERING - 0.2%                                                              

Able Telcom Holding Corp. (a)     400                    2,775                  

AmeriLink Corp. (a)               100                    788                    

Apogee Enterprises, Inc.          800                    7,000                  

Arguss Holdings, Inc. (a)         100                    1,469                  

Comfort Systems USA, Inc. (a)     900                    12,150                 

DSP Group, Inc. (a)               200                    2,825                  

Harding Lawson Associates         100                    591                    
Group, Inc. (a)                                                                 

ICF Kaiser International,         400                    375                    
Inc. (a)                                                                        

IDM Environmental Corp. (a)       700                    241                    

MasTec, Inc. (a)                  400                    10,050                 

NFO Worldwide, Inc. (a)           300                    3,544                  

Primark Corp. (a)                 94                     1,921                  

Probusiness Services, Inc. (a)    450                    14,963                 

Service Experts, Inc. (a)         700                    8,794                  

Stone & Webster, Inc.             100                    2,675                  

Sylvan Learning Systems (a)       950                    31,588                 

URS Corp. (a)                     800                    15,700                 

VSI Holdings, Inc. (a)            100                    550                    

Xceed, Inc.                       600                    5,700                  

                                         123,699

REAL ESTATE - 0.5%                                                              

American Realty Trust, Inc.       100                    1,675                  

Bluegreen Corp. (a)               800                    5,150                  

BridgeStreet Accomodations,       100                    456                    
Inc. (a)                                                                        

Catellus Development Corp. (a)    3,100                  44,756                 

CB Richard Ellis Services,        800                    13,000                 
Inc. (a)                                                                        

Fairfield Communities, Inc.       1,400                  11,463                 
(a)                                                                             

Forest City Enterprises, Inc.     400                    8,600                  
Class A                                                                         

Getty Realty Corp.                100                    1,375                  

Grubb & Ellis Co. (a)             200                    1,313                  

Homestead Village, Inc. (a)       400                    1,375                  

Hovnanian Enterprises, Inc.       100                    681                    
Class A (a)                                                                     

Insignia Financial Group,         866                    11,312                 
Inc. (a)                                                                        

Kaiser Ventures, Inc. (a)         100                    925                    

Lasalle Partners, Inc. (a)        700                    21,831                 

LNR Property Corp.                300                    5,513                  

Merry Land Properties, Inc.       65                     358                    
(a)                                                                             

Newhall Land & Farming Co.        1,000                  23,313                 
(CA)                                                                            

Omega Worldwide, Inc. (a)         66                     297                    

Pierce Leahy Corp. (a)            200                    4,950                  

Price Enterprises, Inc.           757                    3,785                  

Rouse Co. (The)                   2,200                  51,425                 

                       SHARES                 VALUE (NOTE 1)

Silverleaf Resorts, Inc. (a)      100                   $ 775                   

Stewart Enterprises, Inc.         2,200                  33,000                 
Class A                                                                         

Stratus Properties, Inc. (a)      100                    350                    

Trammell Crow Co. (a)             1,000                  15,500                 

Trendwest Resorts, Inc. (a)       800                    12,800                 

Vornado Operating Co. (a)         81                     557                    

Wellsford Real Properties,        225                    2,138                  
Inc. (a)                                                                        

                                         278,673

REAL ESTATE INVESTMENT TRUSTS                                                   
- 4.7%                                                                          

Alexandria Real Estate            100                    2,925                  
Equities, Inc.                                                                  

AMB Property Corp.                2,700                  56,700                 

American Health Properties,       300                    5,719                  
Inc.                                                                            

American Real Estate Partners     200                    1,788                  
L.P. (a)                                                                        

Amli Residential Properties       200                    3,988                  
Trust (SBI)                                                                     

Annaly Mortgage Management,       100                    925                    
Inc.                                                                            

Apartment Investment &            1,817                  71,090                 
Management Co. Class A                                                          

Archstone Communities Trust       3,700                  72,381                 

Arden Realty Group, Inc.          1,800                  42,075                 

Associated Estates Realty         200                    2,088                  
Corp.                                                                           

AvalonBay Communities, Inc.       2,014                  63,567                 

Banyan Strategic Realty Trust     100                    500                    
(SBI)                                                                           

Bedford Property Investors,       100                    1,588                  
Inc.                                                                            

Boston Properties, Inc.           1,800                  58,163                 

Boykin Lodging Co.                300                    3,956                  

Bradley Real Estate, Inc.         200                    3,825                  
(SBI)                                                                           

Brandywine Realty Trust           600                    9,863                  

BRE Properties, Inc. Class A      800                    19,400                 

Burnham Pacific Properties,       200                    2,013                  
Inc.                                                                            

Camden Property Trust (SBI)       1,651                  40,450                 

Capital Automotive                900                    10,688                 

Capstead Mortgage Corp.           2,200                  10,863                 

CarrAmerica Realty Corp.          1,800                  38,700                 

CBL & Associates Properties,      900                    22,444                 
Inc.                                                                            

CenterPoint Properties Trust      600                    19,238                 

CenterTrust Retail                200                    1,988                  
Properties, Inc.                                                                

Chateau Communities, Inc.         400                    11,275                 

Chelsea GCA Realty, Inc.          200                    6,113                  

Colonial Properties Trust         800                    19,650                 
(SBI)                                                                           

Commercial Net Lease Realty,      200                    2,475                  
Inc.                                                                            

Cornerstone Properties, Inc.      1,500                  22,688                 

Cousins Properties, Inc.          500                    14,469                 

Crescent Real Estate Equities     2,900                  60,538                 
Co.                                                                             

Criimi Mae, Inc.                  300                    881                    

Crown America Realty Trust        400                    2,975                  

Developers Diversified Realty     2,400                  38,100                 
Corp.                                                                           

Duke Realty Investments, Inc.     2,600                  56,713                 

Dynex Capital, Inc.               600                    1,875                  

Eastgroup Properties, Inc.        200                    3,500                  

Equity Inns, Inc.                 1,000                  9,438                  

Equity Office Properties Trust    5,562                  143,222                

Equity Residential Properties     2,989                  122,549                
Trust (SBI)                                                                     

Essex Property Trust, Inc.        100                    2,825                  

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

CONSTRUCTION & REAL ESTATE -                                                    
CONTINUED                                                                       

REAL ESTATE INVESTMENT TRUSTS                                                   
- CONTINUED                                                                     

Federal Realty Investment         500                   $ 11,031                
Trust (SBI)                                                                     

FelCor Lodging Trust, Inc.        1,905                  45,006                 

First Industrial Realty           1,400                  36,225                 
Trust, Inc.                                                                     

First Union Real Estate           200                    825                    
Equity & Mortgage Investments                                                   

Franchise Finance Corp. of        400                    8,800                  
America                                                                         

Gables Residential Trust (SBI)    1,100                  25,438                 

General Growth Properties,        900                    30,375                 
Inc.                                                                            

Glenborough Realty Trust,         800                    14,450                 
Inc.                                                                            

Glimcher Realty Trust (SBI)       300                    4,444                  

Great Lakes (REIT), Inc.          200                    3,025                  

Health Care Property              400                    11,750                 
Investors, Inc.                                                                 

Health Care REIT, Inc.            300                    6,956                  

Healthcare Realty Trust, Inc.     1,066                  20,654                 

Highwoods Properties, Inc.        1,600                  38,300                 

Home Properties of N.Y., Inc.     800                    19,650                 

Hospitality Properties Trust      1,600                  41,200                 
(SBI)                                                                           

Host Marriott Corp.               3,800                  41,088                 

HRPT Properties Trust             3,600                  49,275                 

Impac Mortgage Holdings, Inc.     100                    575                    

Imperial Credit Commercial        1,300                  11,781                 
Mortgage Investment Corp.                                                       

Indymac Mortgage Holdings,        2,300                  24,438                 
Inc.                                                                            

Innkeepers USA Trust              300                    3,113                  

IRT Property Co.                  400                    3,625                  

Irvine Apartments                 1,000                  32,875                 
Communities, Inc.                                                               

Jameson Inns, Inc.                100                    850                    

JDN Realty Corp.                  1,100                  23,100                 

JP Realty, Inc.                   200                    3,700                  

Kilroy Realty Corp.               500                    10,781                 

Kimco Realty Corp.                1,500                  56,906                 

Koger Equity, Inc.                200                    2,738                  

Konover Property Trust, Inc.      100                    575                    
(a)                                                                             

Kranzco Realty Trust              100                    1,213                  

Lexington Corporate               100                    1,175                  
Properties Trust                                                                

Liberty Property Trust (SBI)      2,100                  45,938                 

LTC Properties, Inc.              200                    2,500                  

Macerich Co.                      1,500                  36,375                 

Mack-Cali Realty Corp.            1,600                  46,300                 

Manufactured Home                 300                    6,975                  
Communities, Inc.                                                               

Meditrust Corp. unit              3,734                  45,742                 

Meridian Industrial Trust,        200                    4,800                  
Inc.                                                                            

MGI Properties, Inc.              100                    2,806                  

Mid-America Apartment             800                    17,800                 
Communities, Inc.                                                               

Mills Corp.                       600                    10,913                 

National Golf Properties,         100                    2,513                  
Inc.                                                                            

National Health Investors,        200                    5,100                  
Inc.                                                                            

Nationwide Health Properties,     1,100                  19,800                 
Inc.                                                                            

New Plan Excel Realty Trust       2,640                  54,780                 

Ocwen Asset Investment Corp.      500                    2,594                  

                       SHARES                 VALUE (NOTE 1)

Omega Healthcare Investors,       200                   $ 4,625                 
Inc.                                                                            

Pacific Gulf Properties, Inc.     200                    4,025                  

Pan Pacific Retail                200                    3,713                  
Properties, Inc.                                                                

Parkway Properties, Inc.          100                    2,638                  

Patriot American Hospitality,     4,015                  21,832                 
Inc. unit                                                                       

Pennsylvania Real Estate          100                    1,906                  
Investment Trust                                                                

Post Properties, Inc.             1,200                  42,825                 

Prentiss Properties Trust         1,100                  22,000                 
(SBI)                                                                           

Prime Retail, Inc.                479                    3,832                  

Prison Realty Corp. (a)           1,925                  38,380                 

ProLogis Trust                    3,300                  68,475                 

Public Storage, Inc.              2,800                  71,400                 

Realty Income Corp.               300                    6,544                  

Reckson Associates Realty         1,200                  25,500                 
Corp.                                                                           

Redwood Trust, Inc.               200                    2,825                  

Regency Realty Corp.              300                    6,075                  

RFS Hotel Investors, Inc.         900                    10,519                 

Saul Centers, Inc.                100                    1,463                  

Shurgard Storage Centers,         400                    9,900                  
Inc. Class A                                                                    

Simon Property Group, Inc.        4,200                  106,838                

SL Green Realty Corp.             200                    3,863                  

Smith (Charles E.)                200                    5,875                  
Residential Realty, Inc.                                                        

Sovran Self Storage, Inc.         200                    4,675                  

Spieker Properties, Inc.          1,700                  60,775                 

Starwood Financial Trust          1,100                  55,000                 

Starwood Hotels & Resorts         4,000                  124,000                
Worldwide, Inc.                                                                 

Storage Trust Realty              200                    4,300                  

Storage USA, Inc.                 400                    11,325                 

Summit Properties, Inc.           1,100                  18,219                 

Sun Communities, Inc.             200                    6,288                  

Sunstone Hotel Investors,         1,900                  15,200                 
Inc.                                                                            

Tanger Factory Outlet             100                    1,994                  
Centers, Inc.                                                                   

Taubman Centers, Inc.             400                    4,975                  

Thornburg Mortgage Asset          200                    1,888                  
Corp.                                                                           

Town & Country Trust              200                    2,988                  

Trinet Corporate Realty           500                    12,594                 
Trust, Inc.                                                                     

United Dominion Realty Trust,     3,600                  35,550                 
Inc.                                                                            

Universal Health Realty           100                    1,975                  
Income Trust                                                                    

Urban Shopping Centers, Inc.      200                    6,000                  

Vornado Realty Trust              1,924                  66,138                 

Walden Residential                900                    15,019                 
Properties, Inc.                                                                

Washington (SBI)                  400                    6,575                  

Weeks Corp.                       200                    5,400                  

Weingarten Realty Investors       300                    12,581                 
(SBI)                                                                           

Western Investment Real           200                    2,213                  
Estate Trust (SBI)                                                              

Westfield America, Inc.           1,000                  17,625                 

Winston Hotels, Inc.              200                    1,663                  

                                           2,937,097

TOTAL CONSTRUCTION & REAL                                4,536,846              
ESTATE                                                                          

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

DURABLES - 3.8%                                                                 

AUTOS, TIRES, & ACCESSORIES -                                                   
1.5%                                                                            

Aftermarket Technology Corp.      400                   $ 2,113                 
(a)                                                                             

Amcast Industrial Corp.           1,200                  22,725                 

Arvin Industries, Inc.            500                    18,125                 

Aviation Sales Co. (a)            600                    27,188                 

Bandag, Inc.                      800                    25,350                 

Borg-Warner Automotive, Inc.      500                    21,781                 

Breed Technologies, Inc. (a)      2,500                  10,156                 

Casey's General Stores, Inc.      1,400                  18,025                 

CLARCOR, Inc.                     350                    6,388                  

Colonels International, Inc.      200                    900                    
(a)                                                                             

Copart, Inc. (a)                  1,000                  17,500                 

Cross-Continent Auto              200                    2,050                  
Retailers (a)                                                                   

CSK Auto Corp. (a)                400                    13,725                 

Discount Auto Parts, Inc. (a)     200                    4,288                  

Donnelly Corp. Class A            100                    1,250                  

Dura Automotive Systems, Inc.     200                    5,688                  
Class A (a)                                                                   

Durakon Industries, Inc. (a)      100                    1,175                  

Excel Industries, Inc.            700                    16,538                 

Federal Signal Corp.              1,800                  42,188                 

Federal-Mogul Corp.               1,300                  63,944                 

Forest Oil Corp. (a)              500                    3,188                  

Gentex Corp. (a)                  2,500                  54,219                 

Getty Petroleum Marketing,        100                    219                    
Inc. (a)                                                                        

Hayes Lemmerz International,      600                    15,600                 
Inc. (a)                                                                        

IMPCO Technologies, Inc. (a)      100                    1,250                  

Intermet Corp.                    1,300                  16,250                 

Jason, Inc. (a)                   100                    844                    

Johnstown America Industries,     200                    3,375                  
Inc. (a)                                                                        

Keystone Automotive               900                    15,975                 
Industries, Inc. (a)                                                            

Kroll-O'Gara Co. (a)              700                    21,613                 

Lear Corp. (a)                    1,600                  56,500                 

Lithia Motors, Inc. (a)           400                    7,375                  

Mascotech, Inc.                   900                    13,613                 

Mercury Air Group, Inc. (a)       100                    863                    

Meritor Automotive, Inc.          2,100                  33,338                 

Miller Industries, Inc. (a)       600                    3,225                  

Modine Manufacturing Co.          600                    16,800                 

Monro Muffler Brake, Inc.         1,105                  9,254                  

O'Reilly Automotive, Inc. (a)     600                    26,363                 

OmniQuip International, Inc.      400                    4,350                  

Oshkosh Truck Co. Class B         600                    20,250                 

Republic Industries, Inc. (a)     10,200                 124,950                

Simpson Industries, Inc.          400                    3,725                  

Sonic Automotive, Inc. (a)        800                    12,900                 

Spartan Motors, Inc.              100                    503                    

SPX Corp.                         700                    39,988                 

Standard Motor Products, Inc.     300                    6,431                  

Standard Products Co.             700                    10,500                 

Strattec Security Corp. (a)       100                    3,150                  

                       SHARES                 VALUE (NOTE 1)

Superior Industries               600                   $ 14,850                
International, Inc.                                                             

Supreme Industries, Inc.          110                    1,114                  
Class A                                                                         

TBC Corp. (a)                     300                    1,706                  

Tower Automotive, Inc. (a)        900                    16,763                 

Ugly Duckling Corp. (a)           200                    1,038                  

United Auto Group, Inc. (a)       300                    2,213                  

Wabash National Corp.             500                    6,156                  

Walbro Corp.                      100                    900                    

World Fuel Services Corp.         150                    1,556                  

Wynn's International, Inc.        250                    4,625                  

                                         898,629

CONSUMER DURABLES - 0.3%                                                        

Ballantyne of Omaha, Inc.         630                    5,394                  

Blount International, Inc.        500                    12,906                 
Class A                                                                         

Blyth Industries, Inc. (a)        1,300                  35,100                 

Department 56, Inc. (a)           700                    23,231                 

Dupont Photomasks, Inc. (a)       300                    11,775                 

Libbey, Inc.                      700                    20,869                 

Lifetime Hoan Corp.               100                    1,013                  

Mikasa, Inc.                      200                    1,963                  

Mikohn Gaming Corp. (a)           100                    363                    

Oneida Ltd.                       150                    2,100                  

Printrak International, Inc.      100                    750                    
(a)                                                                             

SAF T LOK, Inc. (a)               900                    1,716                  

Samsonite Corp. (a)               243                    1,443                  

Shuffle Master, Inc. (a)          800                    5,700                  

Simpson Manufacturing Co.         500                    17,719                 
Ltd. (a)                                                                        

Sola International, Inc. (a)      700                    7,525                  

                                         149,567

CONSUMER ELECTRONICS - 0.4%                                                     

Boston Acoustics, Inc.            300                    6,188                  

Fossil, Inc. (a)                  450                    14,175                 

General Motors Corp. Class H      2,400                  113,250                
(a)                                                                             

Harman International              700                    26,775                 
Industries, Inc.                                                                

Movado Group, Inc.                400                    8,550                  

National Presto Industries,       400                    14,800                 
Inc.                                                                            

Odetics, Inc. Class B (a)         400                    3,350                  

Parkervision, Inc. (a)            400                    9,750                  

Recoton Corp. (a)                 400                    5,600                  

Royal Appliance Manufacturing     300                    1,163                  
Co. (a)                                                                         

Salton, Inc. (a)                  600                    17,888                 

SRS Labs, Inc. (a)                100                    413                    

Sunbeam Corp.                     1,500                  8,719                  

U.S. Industries, Inc.             2,060                  33,475                 

Universal Electronics, Inc.       600                    7,275                  
(a)                                                                             

                                         271,371

HOME FURNISHINGS - 0.5%                                                         

Applied Power, Inc. Class A       1,055                  25,452                 

Bassett Furniture Industries,     100                    2,150                  
Inc.                                                                            

Bombay Co., Inc. (The) (a)        200                    813                    

Bush Industries, Inc. Class       100                    1,050                  
A.                                                                              

Ethan Allen Interiors, Inc.       400                    18,000                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

DURABLES - CONTINUED                                                            

HOME FURNISHINGS - CONTINUED                                                    

Falcon Products, Inc.             100                   $ 1,019                 

Furniture Brands                  800                    17,100                 
International, Inc. (a)                                                         

Garden Ridge Corp. (a)            200                    1,188                  

Haverty Furniture Companies,      100                    2,250                  
Inc.                                                                            

Heilig-Meyers Co.                 1,800                  11,700                 

HON Industries, Inc.              1,000                  23,750                 

Kimball International, Inc.       700                    11,375                 
Class B                                                                         

Knoll, Inc. (a)                   700                    13,388                 

La-Z-Boy, Inc.                    1,300                  24,213                 

Ladd Furniture, Inc. (a)          300                    5,456                  

Leggett & Platt, Inc.             3,800                  79,563                 

Linens'n Things, Inc. (a)         800                    28,800                 

Maxim Group, Inc. (a)             200                    3,625                  

Miller (Herman), Inc.             1,700                  28,900                 

O'Sullivan Industries             200                    2,100                  
Holdings, Inc. (a)                                                              

Restoration Hardware, Inc.        700                    14,438                 

Rowe Furniture Corp.              100                    1,319                  

Shelby Williams Industries,       100                    1,125                  
Inc.                                                                            

Virco Manufacturing Co.           110                    1,939                  

Winsloew Furniture, Inc. (a)      300                    8,250                  

                                         328,963

TEXTILES & APPAREL - 1.1%                                                       

Active Apparel Group, Inc. (a)    700                    2,319                  

Ashworth, Inc. (a)                600                    2,831                  

Barry (R G) Corp. (a)             100                    888                    

BEBE Stores, Inc. (a)             300                    9,338                  

Bluefly, Inc. (a)                 400                    5,150                  

Burlington Industries, Inc.       2,000                  12,375                 
(a)                                                                             

Candies, Inc. (a)                 700                    2,625                  

Chemfab Corp. (a)                 100                    1,775                  

Chic By H I S, Inc. (a)           100                    350                    

Collins & Aikman Corp.            700                    3,544                  

Columbia Sportswear Co. (a)       800                    9,600                  

Cone Mills Corp. (a)              300                    1,463                  

Conso Products Co. (a)            100                    700                    

Converse, Inc. (a)                200                    738                    

Crown Crafts, Inc.                100                    619                    

Culp, Inc.                        100                    631                    

Cutter & Buck, Inc. (a)           300                    8,888                  

Deckers Outdoor Corp. (a)         100                    294                    

Delta Woodside Industries         300                    1,950                  

Dexter Corp.                      900                    24,975                 

Dixie Group, Inc.                 100                    756                    

Donna Karan International,        700                    4,375                  
Inc. (a)                                                                        

Dyersburg Corp.                   100                    206                    

Florsheim Group, Inc. (a)         100                    588                    

G-III Apparel Group Ltd. (a)      1,200                  2,850                  

Galey & Lord, Inc. (a)            100                    469                    

Guilford Mills, Inc.              300                    3,713                  

Haggar Corp.                      600                    6,131                  

Hartmarx Corp. (a)                500                    2,156                  

                       SHARES                 VALUE (NOTE 1)

Interface, Inc. Class A           2,100                 $ 20,016                

Johnston Industries, Inc. (a)     100                    281                    

Jones Apparel Group, Inc. (a)     2,100                  58,669                 

Jos. A. Bank Clothiers, Inc.      100                    775                    
(a)                                                                             

K-Swiss, Inc. Class A             500                    24,234                 

Kellwood Co.                      1,000                  25,563                 

Madden Steven Ltd. (a)            100                    900                    

Maxwell Shoe, Inc. Class A (a)    500                    6,500                  

McNaughton Apparel Group,         100                    513                    
Inc. (a)                                                                        

Mohawk Industries, Inc. (a)       1,100                  35,750                 

Mossimo, Inc. (a)                 800                    6,750                  

Nautica Enterprises, Inc. (a)     1,100                  16,500                 

Nine West Group, Inc. (a)         600                    13,463                 

North Face, Inc. (a)              500                    6,438                  

Oshkosh B'Gosh, Inc. Class A      800                    15,200                 

Oxford Industries, Inc.           100                    2,325                  

Pacific Sunwear of                300                    8,550                  
California, Inc. (a)                                                            

Phillips-Van Heusen Corp.         400                    2,425                  

Pillowtex Corp.                   126                    3,056                  

Pluma, Inc. (a)                   100                    88                     

Polo Ralph Lauren Corp. Class     1,300                  25,919                 
A (a)                                                                           

Polymer Group, Inc. (a)           200                    2,013                  

Quaker Fabric Corp. (a)           850                    3,400                  

Quiksilver, Inc. (a)              500                    16,969                 

Rocky Shoes Boots, Inc. (a)       100                    600                    

Shaw Industries, Inc.             2,780                  60,986                 

Sport-Haley, Inc. (a)             100                    988                    

St. John Knits, Inc.              500                    13,344                 

Stride Rite Corp.                 1,700                  17,531                 

Superior Uniform Group, Inc.      100                    1,325                  

Synthetic Industries, Inc. (a)    100                    1,844                  

Tarrant Apparel Group (a)         500                    19,313                 

Timberland Co. Class A (a)        200                    12,075                 

U.S. Home & Garden, Inc. (a)      900                    4,669                  

Unifi, Inc.                       1,600                  19,300                 

Unitog Co.                        500                    19,250                 

Vans, Inc. (a)                    100                    675                    

Warnaco Group, Inc. Class A       1,464                  32,940                 

WestPoint Stevens, Inc. Class     1,600                  40,800                 
A (a)                                                                           

Wolverine World Wide, Inc.        1,000                  9,938                  

Worldtex, Inc. (a)                100                    225                    

                                         664,397

TOTAL DURABLES                                           2,312,927              

ENERGY - 2.4%                                                                   

COAL - 0.0%                                                                     

ArchCoal, Inc.                    500                    5,469                  

INDEPENDENT POWER - 0.0%                                                        

Trigen Energy Corp.               100                    1,350                  

ENERGY SERVICES - 0.8%                                                          

Atwood Oceanics, Inc. (a)         500                    8,406                  

Aztec Manufacturing Co.           100                    825                    

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

ENERGY - CONTINUED                                                              

ENERGY SERVICES - CONTINUED                                                     

Bayard Drilling Technologies,     1,323                 $ 5,209                 
Inc. (a)                                                                        

BJ Services Co. (a)               1,200                  16,875                 

CAL Dive International, Inc.      400                    5,750                  
(a)                                                                             

Carbo Ceramics, Inc.              200                    3,200                  

Daniel Industries, Inc.           200                    2,125                  

Dawson Geophysical Co. (a)        200                    1,350                  

Diamond Offshore Drilling,        2,800                  57,925                 
Inc.                                                                            

ENSCO International, Inc.         2,400                  21,300                 

Global Industries Ltd. (a)        3,200                  16,200                 

Global Marine, Inc. (a)           3,300                  25,575                 

Input/Output, Inc. (a)            600                    3,375                  

Kaneb Services, Inc. (a)          200                    775                    

Key Energy Group, Inc. (a)        500                    1,844                  

Layne Christensen Co. (a)         100                    600                    

Lone Star Technologies, Inc.      300                    3,881                  
(a)                                                                             

Lufkin Industries, Inc.           100                    1,550                  

Marine Drilling Companies,        700                    4,463                  
Inc. (a)                                                                        

Maverick Tube Corp. (a)           100                    563                    

Nabors Industries, Inc. (a)       1,700                  19,550                 

Newpark Resources, Inc. (a)       900                    4,725                  

Noble Drilling Corp. (a)          2,400                  29,700                 

Oceaneering International,        800                    8,000                  
Inc. (a)                                                                        

Offshore Logistics, Inc. (a)      1,300                  11,334                 

Parker Drilling Co. (a)           2,800                  7,000                  

Patterson Energy, Inc. (a)        500                    1,406                  

Pool Energy Services Co. (a)      800                    8,125                  

Powell Industries, Inc. (a)       100                    938                    

Pride International, Inc. (a)     2,200                  11,000                 

R&B Falcon Corp. (a)              5,140                  28,270                 

RPC Energy Services, Inc.         400                    2,450                  

SEACOR SMIT, Inc. (a)             600                    23,625                 

Seitel, Inc. (a)                  600                    5,738                  

Smith International, Inc.         900                    21,881                 

Superior Energy Services,         2,800                  7,700                  
Inc. (a)                                                                        

Tidewater, Inc.                   900                    16,931                 

TransCoastal Marine Services,     1,000                  2,313                  
Inc. (a)                                                                        

Transocean Offshore, Inc.         2,000                  41,250                 

UTI Energy Corp. (a)              400                    2,325                  

Varco International, Inc. (a)     900                    6,975                  

Zapata Corp.                      1,300                  12,513                 

                                         455,540

OIL & GAS - 1.6%                                                                

American International            100                    100                    
Petroleum Corp. (a)                                                             

APCO Argentina, Inc.              100                    1,600                  

Barrett Resources Corp. (a)       1,000                  16,438                 

Basin Exploration, Inc. (a)       200                    1,750                  

Belco Oil & Gas Corp. (a)         400                    2,000                  

Bellwether Exploration Co. (a)    400                    1,350                  

Benton Oil & Gas Co. (a)          1,100                  3,369                  

                       SHARES                 VALUE (NOTE 1)

Berry Petroleum Co. Class A       300                   $ 2,925                 

Bp Prudhoe Bay Royalty Trust      200                    888                    

Brigham Exploration Co. (a)       100                    331                    

Buckeye Partners LP               300                    7,800                  

Cabot Oil & Gas Corp. Class A     800                    8,750                  

Carrizo Oil & Gas, Inc. (a)       100                    122                    

Castle Energy Corp.               300                    4,838                  

Chesapeake Energy Corp.           1,598                  1,099                  

Coho Energy, Inc. (a)             900                    534                    

Comstock Resources, Inc. (a)      300                    844                    

Conoco, Inc. Class A              4,400                  89,375                 

Cooper Cameron Corp. (a)          1,000                  23,125                 

Costilla Energy, Inc. (a)         100                    313                    

Cross Timbers Oil Co.             2,150                  11,422                 

Crown Central Petroleum Corp.     100                    775                    
Class B (a)                                                                   

Dailey International, Inc. (a)    100                    38                     

Denbury Resources, Inc. (a)       400                    1,565                  

Devon Energy Corp.                1,200                  28,125                 

Eagle Geophysical, Inc. (a)       600                    1,463                  

Edge Petroleum Corp. (a)          1,200                  5,475                  

EEX Corp. (a)                     1,400                  8,488                  

Enron Oil & Gas Co.               4,000                  66,000                 

Enterprise Products Partners      800                    12,800                 
L P                                                                             

Evergreen Resources, Inc. (a)     600                    9,413                  

Forcenergy, Inc. (a)              600                    525                    

Friede Goldman International,     700                    7,481                  
Inc. (a)                                                                        

Frontier Oil Corp. (a)            200                    1,050                  

FX Energy, Inc. (a)               100                    419                    

Giant Industries, Inc.            100                    688                    

Gothic Energy Corp. (a)           300                    150                    

Gulf Island Fabrication, Inc.     500                    3,250                  
(a)                                                                             

Hallwood Energy Partners,         100                    363                    
L.P.                                                                            

Harken Energy Corp. (a)           2,100                  3,150                  

Holly Corp.                       100                    1,256                  

Houston Exploration Co. (a)       300                    4,631                  

HS Resources, Inc. (a)            200                    1,163                  

Inland Resources, Inc. (a)        100                    197                    

IRI International Corp. (a)       900                    2,813                  

KCS Energy, Inc.                  700                    919                    

Kelley Oil & Gas Corp. (a)        600                    319                    

Key Production Co., Inc. (a)      100                    644                    

Louis Dreyfus Natural Gas         800                    9,550                  
Corp. (a)                                                                       

Magnum Hunter Resources, Inc.     900                    2,306                  
(a)                                                                             

Mallon Resources Corp. (a)        500                    3,156                  

Markwest Hydrocarbon, Inc. (a)    100                    750                    

McMoRan Exploration Co. (a)       88                     1,430                  

Meridian Resource Corp. (a)       200                    413                    

Miller Exploration Co. (a)        600                    1,838                  

Murphy Oil Corp.                  1,300                  44,444                 

National Energy Group, Inc.       900                    113                    
(a)                                                                             

National-Oilwell, Inc. (a)        800                    7,100                  

Newfield Exploration Co. (a)      1,300                  21,125                 

Noble Affiliates, Inc.            1,700                  38,463                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

ENERGY - CONTINUED                                                              

OIL & GAS - CONTINUED                                                           

Nuevo Energy Co. (a)              600                   $ 4,200                 

Ocean Energy, Inc. (a)            3,452                  14,671                 

Panaco, Inc. (a)                  300                    309                    

Parallel Petroleum Corp. (a)      100                    109                    

Patina Oil & Gas Corp.            200                    575                    

Penn Virginia Corp.               100                    1,844                  

PennzEnergy Co.                   2,500                  23,438                 

Pennzoil-Quaker State Co.         1,066                  13,258                 

Petrofina SA warrants 8/5/03      400                    3,550                  
(a)                                                                             

Petroleum Development Corp.       100                    294                    
(a)                                                                             

Pioneer Natural Resources Co.     3,300                  17,119                 

Plains Resources, Inc. (a)        200                    1,850                  

Pogo Producing Co.                700                    6,475                  

Range Resources Corp.             520                    1,008                  

Remington Oil & Gas Corp. (a)     400                    1,075                  

Resource America, Inc. Class A    900                    9,731                  

Rutherford-Moran Oil Corp. (a)    800                    2,550                  

Saba Petroleum Co. (a)            100                    94                     

Santa Fe Energy Resources,        3,900                  20,475                 
Inc. (a)                                                                        

Seagull Energy Corp. (a)          900                    4,275                  

Seven Seas Petroleum, Inc. (a)    1,400                  5,600                  

Snyder Oil Corp.                  1,600                  16,700                 

St. Mary Land & Exploration       500                    7,813                  
Co.                                                                             

Stone Energy Corp. (a)            500                    12,094                 

Swift Energy Co. (a)              500                    3,000                  

TEPPCO Partners LP                600                    13,650                 

Tesoro Petroleum Corp. (a)        1,400                  11,200                 

Titan Exploration, Inc. (a)       300                    1,397                  

Tom Brown, Inc. (a)               1,500                  14,531                 

Tosco Corp.                       3,500                  72,406                 

TransMontaigne, Inc. (a)          300                    3,263                  

TransTexas Gas Corp. (a)          800                    850                    

Ultramar Diamond Shamrock         2,400                  47,400                 
Corp.                                                                           

UNIFAB International, Inc. (a)    300                    2,044                  

Unit Corp. (a)                    400                    1,650                  

Valero Energy Corp.               1,400                  24,588                 

Vastar Resources, Inc.            2,500                  96,250                 

Veritas DGC, Inc. (a)             300                    2,831                  

Vintage Petroleum, Inc.           800                    3,550                  

WD-40 Co.                         700                    17,719                 

Weatherford International,        2,160                  36,720                 
Inc. (a)                                                                        

Western Gas Resources, Inc.       1,700                  8,394                  

Williams Clayton Energy, Inc.     100                    316                    
(a)                                                                             

Wiser Oil Co.                     100                    169                    

XCL Ltd. (a)                      500                    656                    

                                           1,004,512

TOTAL ENERGY                                             1,466,871              

                       SHARES                 VALUE (NOTE 1)

FINANCE - 19.3%                                                                 

BANKS - 5.7%                                                                    

1st Source Corp.                  231                   $ 7,132                 

Advanta Corp.                     1,100                  12,856                 

Allegiant Bancorp, Inc.           360                    3,510                  

Amcore Financial, Inc.            1,300                  30,347                 

AmSouth Bancorp.                  2,600                  122,200                

Area Bankshares Corp.             200                    5,325                  

Associated Banc-Corp.             1,825                  56,689                 

BancorpSouth, Inc.                500                    8,406                  

BancWest Corp.                    900                    35,269                 

Bank of Commerce                  600                    11,325                 

Bank of Granite Corp.             125                    3,438                  

BankAtlantic Bancorp, Inc.        375                    2,789                  
(non-vtg.) Class A                                                              

Banknorth Group, Inc.             1,090                  29,158                 

BOK Financial Corp.               624                    14,352                 

Boston Private Financial          100                    813                    
Holdings, Inc. (a)                                                              

Brenton Banks, Inc.               220                    3,438                  

Carolina First Corp.              1,000                  20,625                 

Cathay Bancorp, Inc.              100                    3,900                  

CCB Financial Corp.               1,300                  67,519                 

Centura Banks, Inc.               800                    51,200                 

Century South Banks, Inc.         100                    2,425                  

Chemical Financial Corp.          131                    4,045                  

Chittenden Corp.                  125                    3,438                  

Citizens Banking Corp.            800                    26,400                 

City Holding Co.                  111                    2,900                  

City National Corp.               1,100                  35,475                 

CNB Bancshares, Inc.              1,250                  50,234                 

Colonial Bancgroup, Inc.          3,800                  47,025                 

Commerce Bancorp, Inc.            610                    27,145                 

Commerce Bancshares, Inc.         1,828                  74,491                 

Community First Bankshares,       1,800                  35,100                 
Inc.                                                                            

Community Trust Bancorp, Inc.     100                    2,341                  

Compass Bancshares, Inc.          2,100                  76,913                 

Corus Bankshares, Inc.            200                    6,575                  

CPB, Inc.                         100                    1,725                  

Cullen Frost Bankers, Inc.        900                    42,581                 

CVB Financial Corp.               165                    3,259                  

F & M Bancorp., Inc.              110                    3,644                  

F & M National Corp.              300                    8,344                  

Fidelity National Corp.           500                    3,938                  
Georgia                                                                         

First American Corp.              2,819                  114,346                

First BanCorp P R                 400                    10,025                 

First Citizen Bancshares,         100                    7,988                  
Inc.                                                                            

First Commerce Bancshares         100                    2,744                  

First Commonwealth Financial      590                    12,722                 
Corp.                                                                           

First Financial Bancorp Ohio      440                    10,230                 

First Financial Bankshares,       110                    3,548                  
Inc.                                                                            

First Midwest Bankcorp, Inc.      1,176                  42,998                 
(DE)                                                                            

First Security Corp.              4,226                  78,445                 

First Tennessee National          2,800                  106,575                
Corp.                                                                           

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

FINANCE - CONTINUED                                                             

BANKS - CONTINUED                                                               

First United Bancshares, Inc.     200                   $ 3,275                 

First Virginia Banks, Inc.        1,300                  61,994                 

First Western Bancorp             100                    3,100                  

Firstmerit Corp.                  3,092                  75,561                 

FNB Corp. Pennsylvania            205                    4,702                  

Fulton Financial Corp.            950                    21,019                 

GBC Bancorp                       700                    14,875                 

Gold Banc Corp., Inc.             400                    5,575                  

Grand Premier Financial, Inc.     110                    1,238                  

Hamilton Bancorp, Inc. (a)        100                    2,306                  

Hancock Holding Co.               100                    4,550                  

Hibernia Corp. Class A            3,600                  58,275                 

HUBCO, Inc.                       1,293                  42,427                 

Imperial Bancorp                  1,404                  25,623                 

Independent Bank Corp.            600                    9,038                  

International Bancshares          100                    4,650                  
Corp.                                                                           

Irwin Financial Corp.             300                    6,806                  

Jefferson Savings Bancorp,        100                    1,394                  
Inc.                                                                            

Keystone Financial, Inc.          1,600                  57,800                 

M&T Bank Corp.                    224                    106,568                

Mainstreet Financial Corp.        500                    22,375                 

Marshall & Ilsley Corp.           2,700                  151,200                

Mason-Dixon Bancshares, Inc.      400                    18,925                 

Mercantile Bankshares Corp.       2,100                  76,519                 

Merchants New York Bancorp,       100                    3,325                  
Inc.                                                                            

MidAmerica Bancorp                103                    2,826                  

Mississippi Valley                100                    3,138                  
Bancshares, Inc.                                                                

National Bancorp of Alaska,       400                    11,700                 
Inc.                                                                            

National City Bancorp.            110                    2,399                  

National City Bancshares,         105                    3,176                  
Inc.                                                                            

National Commmerce Bancorp        2,600                  53,950                 

National Penn Bancshares,         125                    3,250                  
Inc.                                                                            

NBT Bancorp, Inc.                 139                    3,110                  

North Fork Bancorp, Inc.          3,357                  73,854                 

Old National Bancorp              955                    44,288                 

Omega Financial Corp.             100                    3,100                  

One Valley Bancorp West           905                    29,413                 
Virginia, Inc.                                                                  

Oriental Financial Group,         133                    3,732                  
Inc.                                                                            

Pacific Bank NA                   500                    9,813                  

Pacific Capital Bancorp           200                    4,600                  

Pacific Century Financial         2,000                  43,875                 
Corp.                                                                           

Park National Corp.               100                    9,256                  

Peoples Heritage Financial        2,907                  49,419                 
Group, Inc.                                                                     

Pinnacle Banc Group, Inc.         100                    2,706                  

Popular, Inc.                     3,100                  102,881                

Premier Bancshares Corp.          600                    12,000                 

Prime Bancshares, Inc.            300                    4,463                  

Provident Financial Group,        1,300                  50,700                 
Inc.                                                                            

R&G Financial Corp. Class B       600                    11,175                 

Ramapo Financial Corp.            1,000                  10,688                 

Republic Bancorp, Inc.            1,650                  22,688                 

                       SHARES                 VALUE (NOTE 1)

Republic Bancshares, Inc. (a)     900                   $ 15,975                

Riggs National Corp.              1,100                  20,350                 

S & T Bancorp, Inc.               380                    9,999                  

SierraWest Bancorp                200                    6,100                  

Silicon Valley Bancshares (a)     900                    17,269                 

Sky Financial Group, Inc.         1,278                  33,548                 

Southwest Bancorp Texas, Inc.     1,500                  21,094                 

Sterling Bancshares, Inc.         1,150                  13,800                 

Susquehanna Bancshares, Inc.      900                    16,256                 

Texas Regional Bancshares,        700                    17,850                 
Inc.  Class A (vtg.)                                                            

TF Financial Corp.                100                    1,900                  

Triangle Bancorp, Inc.            300                    4,800                  

Trust Co. of New Jersey           200                    4,850                  

Trustco Bank Corp.                805                    21,735                 

Trustmark Corp.                   1,100                  23,306                 

UAB Financial Corp.               305                    13,382                 

UnionBanCal Corp.                 5,600                  176,050                

United Bankshares, Inc.           1,170                  28,226                 

United National Bancorp           110                    2,516                  

US Trust Corp.                    600                    44,925                 

USBANCORP, Inc. Pennsylvania      600                    10,575                 

UST Corp.                         1,198                  25,083                 

Valley National Bancorp           1,875                  48,047                 

Vermont Financial Services        600                    16,913                 
Corp.                                                                           

WesBanco, Inc.                    300                    8,588                  

West Coast Bancorp                110                    2,173                  

Westamerica Bancorp.              1,300                  43,550                 

Western Bancorp                   800                    24,650                 

Whitney Holding Corp.             300                    9,825                  

Wilmington Trust Corp.            900                    51,019                 

Zions Bancorp                     1,868                  119,552                

                                           3,547,136

CREDIT & OTHER FINANCE - 1.8%                                                   

Aames Financial Corp.             2,200                  4,538                  

Ace Cash Express, Inc. (a)        100                    1,294                  

Actrade International Ltd. (a)    400                    5,725                  

Allied Capital Corp.              1,820                  32,078                 

AmeriCredit Corp. (a)             1,700                  18,913                 

Ampal-American Israel Corp.       100                    431                    
Class A (a)                                                                     

AMRESCO, Inc.                     1,700                  16,097                 

Arcadia Financial Ltd. (a)        700                    2,669                  

Cash America International,       700                    8,838                  
Inc.                                                                            

CIT Group, Inc. Class A           3,500                  103,250                

Coast Federal Litigation          300                    2,044                  
Contingent Payment Rights                                                       
Trust rights 12/31/00 (a)                                                       

Concord EFS, Inc. (a)             2,000                  63,875                 

Consumer Portfolio Services,      600                    2,250                  
Inc. (a)                                                                        

ContiFinancial Corp. (a)          1,100                  3,850                  

Credit Acceptance Corp. (a)       900                    5,400                  

Delta Financial Corp. (a)         200                    1,163                  

Doral Financial Corp.             1,300                  24,619                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

FINANCE - CONTINUED                                                             

CREDIT & OTHER FINANCE -                                                        
CONTINUED                                                                       

Equitable Companies (The),        4,900                 $ 331,056               
Inc.                                                                            

Financial Federal Corp. (a)       500                    9,844                  

Finova Group, Inc.                1,400                  71,138                 

First Alliance Corp. (a)          700                    2,538                  

First Charter Corp.               684                    12,782                 

First Sierra Financial, Inc.      300                    2,888                  
(a)                                                                             

FIRSTPLUS Financial Group,        1,900                  2,613                  
Inc. (a)                                                                        

Franchise Mortgage Acceptance     1,300                  10,888                 
Co. (a)                                                                         

Greenpoint Financial Corp.        2,400                  73,650                 

HealthCare Financial              400                    10,450                 
Partners, Inc. (a)                                                              

Heller Financial, Inc. Class A    1,000                  24,188                 

Home Gold Financial, Inc. (a)     100                    145                    

IMC Mortgage Co. (a)              900                    366                    

Imperial Credit Industries (a)    1,600                  13,800                 

Investors Financial Services      300                    17,400                 
Corp.                                                                           

Life Financial Corp. (a)          300                    1,163                  

Little Falls Bancorp, Inc.        100                    1,969                  

Long Beach Financial Corp. (a)    1,500                  14,250                 

Medallion Financial Corp.         100                    1,550                  

Metris Companies, Inc.            622                    26,746                 

New Century Financial Corp.       100                    1,175                  
(a)                                                                             

Old Kent Financial Corp.          2,480                  108,810                

PMC Capital, Inc.                 100                    894                    

Resource Bancshares Mortgage      1,010                  14,140                 
Group, Inc.                                                                     

Southern Pacific Funding          700                    0                      
Corp. (a)                                                                       

Student Loan Corp.                200                    8,988                  

T&W Financial Corp. (a)           600                    7,200                  

Triad Guaranty, Inc. (a)          100                    1,850                  

UniCapital Corp. (a)              1,700                  9,881                  

United Companies Financial        1,900                  831                    
Corp.                                                                           

WFS Financial, Inc. (a)           300                    2,250                  

Willis Lease Finance Corp. (a)    100                    1,588                  

WMF Group Ltd. (The) (a)          33                     157                    

WMF Group Ltd. (The) rights       35                     2                      
3/8/99 (a)                                                                      

World Acceptance Corp. (a)        100                    550                    

WSFS Financial Corp.              100                    1,544                  

                                           1,086,318

INSURANCE - 7.6%                                                                

20th Century Industries, Inc.     2,200                  42,075                 

Acceptance Insurance Co.,         200                    3,425                  
Inc. (a)                                                                        

Acmat Corp. Class A (a)           100                    1,525                  

AFLAC, Inc.                       5,800                  255,925                

Alfa Corp.                        500                    8,375                  

Allcity Insurance Co. (a)         300                    2,100                  

Allmerica Financial Corp.         1,300                  69,388                 

Ambac Financial Group, Inc.       1,300                  72,800                 

American Annuity Group, Inc.      600                    13,013                 

American Bankers Insurance        1,100                  52,800                 
Group, Inc.                                                                     

American Financial Group,         1,000                  36,938                 
Inc.                                                                            

American Heritage Life            400                    8,800                  
Investment Corp.                                                                

                       SHARES                 VALUE (NOTE 1)

American Indemnity Financial      100                   $ 1,050                 
Corp. (a)                                                                       

American National Insurance       400                    30,100                 
Co.                                                                             

Amerin Corp. (a)                  900                    19,463                 

Amerus Life Holdings, Inc.        934                    19,614                 

Argonaut Group, Inc.              600                    14,888                 

ARM Financial Group, Inc.         700                    10,894                 
Class A                                                                         

Atlantic American Corp. (a)       400                    1,675                  

Baldwin & Lyons, Inc. Class B     200                    4,188                  

Berkley (W.R.) Corp.              900                    25,763                 

Berkshire Hathaway, Inc.          33                     2,345,879              
Class A (a)                                                                     

Blanch E.W. Holdings, Inc.        100                    5,550                  

Capital Re Corp.                  1,100                  18,425                 

Capitol Transamerica Corp.        200                    3,100                  

Centris Group, Inc.               200                    2,275                  

Ceres Group, Inc. (a)             300                    2,981                  

Chicago Title Corp.               500                    17,531                 

ChoicePoint, Inc. (a)             400                    20,800                 

Citizens, Inc. Class A (a)        100                    544                    

CMAC Investments Corp.            700                    28,919                 

CNA Financial Corp. (a)           3,700                  125,569                

CNA Surety Corp.                  600                    6,300                  

Commerce Group, Inc.              400                    10,700                 

Core, Inc. (a)                    400                    2,900                  

Crawford & Co. Class B            700                    7,963                  

Danielson Holding Corp. (a)       400                    1,400                  

Delphi Financial Group, Inc.      518                    24,832                 
Class A                                                                         

Donegal Group, Inc.               133                    1,712                  

EMC Insurance Group               200                    2,200                  

Enhance Financial Services        1,100                  26,056                 
Group, Inc.                                                                     

Envoy Corp. (a)                   500                    24,250                 

Erie Indemnity Co. Class A        1,200                  32,550                 

Everest Reinsurance Holdings,     1,200                  39,825                 
Inc.                                                                            

Executive Risk, Inc.              300                    21,075                 

Farm Family Holdings, Inc. (a)    100                    3,288                  

FBL Financial Group, Inc.         500                    10,031                 
Class A                                                                         

Fidelity National Financial,      352                    7,040                  
Inc.                                                                            

Financial Security Assurance      700                    36,969                 
Holdings Ltd.                                                                   

First American Financial          1,350                  31,641                 
Corp.                                                                           

First Health Group Corp. (a)      1,500                  24,000                 

Foremost Corp. of America         400                    7,700                  

FPIC Insurance Group, Inc. (a)    200                    8,675                  

Fremont General Corp.             1,600                  31,600                 

Frontier Insurance Group,         550                    7,219                  
Inc.                                                                            

Fund American Enterprises         70                     9,205                  
Holdings, Inc.                                                                  

Gainsco, Inc.                     400                    2,000                  

Gallagher (Arthur J.) & Co.       300                    14,325                 

Guarantee Life Companies,         100                    1,769                  
Inc.                                                                            

Harleysville Group, Inc.          400                    8,200                  

Hartford Life, Inc. Class A       700                    40,600                 

HCC Insurance Holdings, Inc.      700                    12,163                 

Healthcare Recoveries, Inc.       600                    4,988                  
(a)                                                                             

Healthplan Services Corp.         500                    4,219                  

Highlands Insurance Group,        500                    6,781                  
Inc. (a)                                                                        

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

FINANCE - CONTINUED                                                             

INSURANCE - CONTINUED                                                           

Hilb, Rogal & Hamilton Co.        100                   $ 1,731                 

Horace Mann Educators Corp.       1,000                  23,438                 

HSB Group, Inc.                   650                    24,050                 

Independence Holding Co.          200                    2,550                  

INSpire Insurance Solutions,      600                    9,750                  
Inc. (a)                                                                        

Intercargo Corp.                  200                    2,275                  

Interstate National Dealer        100                    988                    
Services, Inc. (a)                                                              

Investors Title Co.               100                    2,250                  

LandAmerica Financial Group,      300                    10,781                 
Inc.                                                                            

Liberty Corp. (The)               592                    29,859                 

Liberty Financial Companies,      600                    13,463                 
Inc.                                                                            

Life USA Holding, Inc.            400                    4,575                  

Medical Assurance, Inc.           541                    16,027                 

Merchants Group, Inc.             100                    2,163                  

Mercury General Corp.             900                    31,388                 

Meridian Insurance Group,         220                    4,153                  
Inc.                                                                            

MMI Companies, Inc.               200                    2,975                  

Mobile America Corp.              200                    813                    

MONY Group, Inc.                  800                    20,250                 

Motor Club of America (a)         200                    2,825                  

NAC Re Corp.                      400                    21,625                 

National Security Group, Inc.     100                    1,400                  

Nationwide Financial              700                    31,806                 
Services, Inc.  Class A                                                         

Navigators Group, Inc. (a)        200                    2,975                  

Nymagic, Inc.                     100                    1,481                  

Ohio Casualty Corp.               700                    28,263                 

Old Guard Group, Inc.             100                    1,250                  

Old Republic International        2,600                  48,913                 
Corp.                                                                           

Orion Capital Corp.               600                    19,838                 

Penn Treaty American Corp. (a)    500                    12,094                 

Penn-America Group, Inc.          200                    2,225                  

Penncorp Financial Group,         500                    344                    
Inc.                                                                            

Philadelphia Consolidated         200                    4,300                  
Holding Corp. (a)                                                               

PICO Holdings, Inc. (a)           100                    1,900                  

PMI Group, Inc.                   700                    30,188                 

Poe & Brown, Inc.                 150                    4,866                  

Point West Capital Corp. (a)      300                    5,025                  

Presidential Life Corp.           700                    12,469                 

Protective Life Corp.             1,515                  52,268                 

PXRE Corp.                        300                    6,563                  

Reinsurance Group of America,     600                    38,663                 
Inc.                                                                            

Reliance Group Holdings, Inc.     3,000                  30,938                 

Reliastar Financial Corp.         2,100                  95,288                 

Risk Capital Holdings, Inc.       400                    7,600                  
(a)                                                                             

RLI Corp.                         125                    3,680                  

SCPIE Holding, Inc.               100                    2,975                  

Selective Insurance Group,        1,000                  18,219                 
Inc.                                                                            

State Auto Financial Corp.        400                    4,675                  

                       SHARES                 VALUE (NOTE 1)

Stewart Information Services      300                   $ 9,994                 
Corp.                                                                           

Symons International Group,       600                    3,563                  
Inc. (a)                                                                        

TIG Holdings, Inc.                1,200                  19,200                 

Transatlantic Holdings, Inc.      800                    59,750                 

Travelers Property Casualty       1,500                  56,906                 
Corp.  Class A                                                                  

Trenwick Group, Inc.              500                    14,500                 

UICI (a)                          600                    13,800                 

Unico American Corp.              200                    2,175                  

United Fire & Casualty Co.        100                    2,888                  

Unitrin, Inc.                     900                    58,838                 

Vesta Insurance Group Corp.       300                    1,594                  

Wesco Financial Corp.             100                    34,644                 

Zenith National Insurance         200                    4,613                  
Corp.                                                                           

                                           4,721,148

SAVINGS & LOANS - 2.1%                                                          

Alliance Bancorp                  100                    1,975                  

Anchor Bancorp Wisconsin,         800                    13,850                 
Inc.                                                                            

Andover Bancorp, Inc.             400                    12,000                 

Astoria Financial Corp.           1,590                  72,047                 

Bank Plus Corp. (a)               2,100                  9,188                  

Bank United Corp. Class A         900                    35,550                 

BankUnited Financial Corp.        1,500                  10,594                 
Class A (a)                                                                     

Bay View Capital Corp.            1,000                  19,938                 

Bayonne Bancshares, Inc.          800                    13,100                 

BSB Bancorp, Inc.                 100                    2,688                  

CFS Bancorp, Inc.                 900                    9,225                  

Charter One Financial, Inc.       4,022                  115,884                

Commercial Federal Corp.          1,995                  43,516                 

Commonwealth Bancorp, Inc.        300                    4,500                  

Community Savings Bankshares,     700                    9,013                  
Inc.                                                                            

D & N Financial Corp.             100                    2,450                  

Dime Bancorp, Inc.                2,100                  51,975                 

Dime Community Bancorp, Inc.      1,148                  25,328                 

Downey Financial Corp.            410                    8,328                  

Eagle Bancshares, Inc.            400                    8,500                  

Enterprise Federal Bancorp        200                    8,850                  

First Federal Capital Corp.       200                    2,750                  

First Indiana Corp.               120                    2,333                  

First Republic Bank (a)           200                    4,825                  

First Sentinel Bancorp, Inc.      2,891                  24,574                 

First Washington Bancorp,         410                    8,738                  
Inc.                                                                            

Firstfed America Bancorp,         100                    1,438                  
Inc.                                                                            

FirstFed Financial Corp. (a)      600                    10,163                 

Flagstar Bancorp, Inc.            1,000                  28,000                 

Flushing Financial Corp.          750                    11,438                 

Golden State Bancorp, Inc.        2,324                  41,396                 

Harbor Florida Bancshares,        800                    9,200                  
Inc.                                                                            

Harris Financial, Inc.            500                    6,188                  

Haven Bancorp, Inc.               400                    5,650                  

HF Bancorp, Inc. (a)              700                    12,075                 

Independence Community Bank       1,600                  24,400                 
Corp.                                                                           

Interwest Bancorp, Inc.           150                    3,441                  

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

FINANCE - CONTINUED                                                             

SAVINGS & LOANS - CONTINUED                                                     

ISB Financial Corp.               600                   $ 11,700                

JSB Financial, Inc.               100                    5,588                  

Klamath First Bancorp, Inc.       248                    3,844                  

MAF Bancorp., Inc.                1,100                  25,884                 

MetroWest Bank                    100                    600                    

Niagara Bancorp, Inc.             600                    6,150                  

Northwest Bancorp, Inc.           300                    2,756                  

Ocean Financial Corp.             900                    13,388                 

Ocwen Financial Corp. (a)         900                    7,200                  

People's Bank                     1,800                  50,400                 

Peoples Bancorp, Inc.             1,182                  11,525                 

PFF Bancorp, Inc. (a)             1,000                  17,500                 

Provident Bancshares Corp.        725                    18,669                 

Queens County Bancorp, Inc.       900                    26,156                 

Reliance BanCorp, Inc.            500                    15,313                 

Republic Security Financial       2,858                  25,543                 
Corp.                                                                           

Roslyn Bancorp, Inc.              2,935                  47,877                 

Seacoast Financial Services       1,277                  12,531                 
Corp.                                                                           

Security First Technologies       400                    26,250                 
Corp. (a)                                                                       

SFS Bancorp, Inc.                 200                    3,750                  

Sovereign Bancorp, Inc.           4,848                  59,388                 

St. Paul Bancorp, Inc.            1,700                  37,188                 

Staten Island Bancorp, Inc.       1,200                  21,450                 

Sterling Financial Corp. (a)      100                    1,738                  

TCF Financial Corp.               2,500                  60,156                 

Timberland Bancorp, Inc.          500                    5,906                  

Washington Federal, Inc.          2,057                  46,283                 

Webster Financial Corp.           1,268                  38,753                 

Westcorp, Inc.                    300                    2,475                  

Westernbank Puerto Rico           800                    12,300                 

Wilshire Financial Services       300                    113                    
Group, Inc. (a)                                                                 

York Financial Corp.              105                    1,578                  

                                           1,295,060

SECURITIES INDUSTRY - 2.1%                                                      

Acacia Research Corp. (a)         500                    1,875                  

Advest Group, Inc. (The)          300                    5,963                  

Affiliated Managers Group,        500                    13,000                 
Inc. (a)                                                                        

Alleghany Corp.                   100                    18,100                 

Alliance Capital Management LP    3,800                  94,288                 

American Capital Strategies       700                    12,163                 
Ltd.                                                                            

American Insured Mo.              100                    800                    
Investors Series 86                                                             

American Insured Mo.              100                    1,119                  
Investors Series 88                                                             

Ameritrade Holding Corp.          1,800                  87,750                 
Class A (a)                                                                     

Atalanta Sosnoff Capital          100                    850                    
Corp.                                                                           

Dain Rauscher Corp.               200                    6,325                  

Donaldson Lufkin & Jenrette,      2,600                  148,200                
Inc.                                                                            

Duff & Phelps Credit Rating       200                    10,913                 
Co.                                                                             

E Trade Group, Inc. (a)           2,600                  119,600                

Eaton Vance Corp.                 900                    17,719                 

Edwards (A.G.), Inc.              2,100                  68,381                 

                       SHARES                 VALUE (NOTE 1)

Everen Capital Corp.              500                   $ 10,750                

Federated Investors, Inc.         1,600                  30,700                 
Class B                                                                         

Friedman, Billings, Ramsey        1,000                  5,813                  
Group, Inc. Class A (a)                                                         

Gilman & Ciocia, Inc. (a)         200                    2,925                  

Hambrecht & Quist Group (a)       800                    21,300                 

Interstate/Johnson Lane, Inc.     300                    9,469                  

Jefferies Group, Inc.             600                    23,663                 

John Nuveen Co. Class A           400                    15,800                 

JWGenesis Financial Corp. (a)     100                    1,144                  

Leap Wireless International,      2,550                  15,141                 
Inc. (a)                                                                        

Legg Mason, Inc.                  1,500                  42,469                 

Macrovision Corp. (a)             400                    13,800                 

Market Guide, Inc. (a)            400                    4,300                  

MIPS Technologies, Inc. (a)       1,000                  37,250                 

Morgan Keegan, Inc.               400                    6,600                  

National Discount Brokers         800                    20,750                 
Group, Inc. (a)                                                                 

NVEST L.P.                        500                    11,969                 

PaineWebber Group, Inc.           3,000                  112,125                

Phoenix Investment Partners       600                    4,463                  
Ltd.                                                                            

PIMCO Advisors Holdings LP        1,267                  36,426                 
Unit                                                                            

Pioneer Group, Inc.               1,000                  16,313                 

Price (T. Rowe) Associates,       2,500                  77,031                 
Inc.                                                                            

Raymond James Financial, Inc.     1,300                  23,725                 

Security Capital Group, Inc.      1,800                  22,050                 
Class B (a)                                                                     

Siebert Financial Corp.           500                    14,031                 

Southwest Securities Group,       605                    17,432                 
Inc.                                                                            

Stifel Financial Corp.            110                    1,079                  

Sunburst Hospitality Corp. (a)    300                    1,444                  

United Asset Management Corp.     2,000                  45,375                 

Value Line, Inc.                  100                    3,813                  

Waddell & Reed Financial,         1,200                  22,650                 
Inc. Class A                                                                    

                                           1,278,846

TOTAL FINANCE                                            11,928,508             

HEALTH - 7.7%                                                                   

DRUGS & PHARMACEUTICALS - 4.1%                                                  

Aastrom Biosciences, Inc. (a)     100                    250                    

Abiomed, Inc. (a)                 100                    913                    

Advanced Polymer Systems,         200                    950                    
Inc. (a)                                                                        

Advanced Tissue Sciences,         600                    1,650                  
Inc. (a)                                                                        

Agouron Pharmaceuticals, Inc.     700                    39,944                 
(a)                                                                             

Alexion Pharmaceuticals, Inc.     700                    8,138                  
(a)                                                                             

Algos Pharmaceutical Corp. (a)    600                    18,000                 

Alkermes, Inc. (a)                600                    16,838                 

Allergan Specialty                400                    3,900                  
Therapeutics, Inc. Class A                                                      

Alliance Pharmaceutical Corp.     500                    1,250                  
(a)                                                                             

Alpharma, Inc. Class A            800                    30,300                 

Alteon, Inc. (a)                  400                    325                    

Amylin Pharmaceuticals, Inc.      500                    438                    
(a)                                                                             

Andrx Corp. (a)                   400                    27,150                 

Anesta Corp. (a)                  500                    9,906                  

Anika Therapeutics, Inc. (a)      1,100                  5,294                  

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

HEALTH - CONTINUED                                                              

DRUGS & PHARMACEUTICALS -                                                       
CONTINUED                                                                       

Aphton Corp. (a)                  200                   $ 2,875                 

Arqule, Inc. (a)                  500                    2,906                  

Atrix Laboratories, Inc. (a)      100                    1,438                  

AVI BioPharma, Inc. (a)           100                    325                    

Aviron (a)                        600                    12,863                 

AXYS Pharmaceuticals, Inc. (a)    1,535                  7,099                  

Barr Laboratories, Inc. (a)       300                    11,100                 

Bio-Technology General Corp.      1,000                  6,219                  
(a)                                                                             

BioCryst Pharmaceuticals,         100                    900                    
Inc. (a)                                                                        

Biogen, Inc. (a)                  1,600                  153,800                

Biomatrix, Inc. (a)               300                    20,850                 

BioReliance Corp. (a)             100                    675                    

Biosite Diagnostics, Inc. (a)     500                    6,000                  

BioSource International, Inc.     100                    269                    
(a)                                                                             

BioTime, Inc. (a)                 500                    8,063                  

Biotransplant, Inc. (a)           100                    238                    

Bone Care International, Inc.     100                    1,125                  
(a)                                                                             

Cadus Pharmaceutical Corp. (a)    100                    172                    

Calypte Biomedical Corp.          800                    2,525                  

Cambrex Corp.                     800                    19,150                 

Carter-Wallace, Inc.              600                    9,825                  

Cel-Sci Corp. (a)                 100                    200                    

Celgene Corp. (a)                 300                    3,881                  

Cell Genesys, Inc. (a)            1,600                  9,800                  

Cell Therapeutics, Inc. (a)       100                    400                    

Cellegy Pharmaceuticals, Inc.     200                    700                    
(a)                                                                             

Centocor, Inc. (a)                1,400                  58,188                 

Cephalon, Inc. (a)                500                    3,844                  

Cerus Corp. (a)                   100                    2,663                  

Chattem, Inc. (a)                 400                    12,050                 

Chirex, Inc. (a)                  600                    12,525                 

Chiron Corp. (a)                  3,700                  77,931                 

Collagen Corp.                    100                    1,119                  

Collagenex Pharmaceuticals,       500                    5,000                  
Inc. (a)                                                                        

Columbia Laboratories, Inc.       400                    2,000                  
(a)                                                                             

Copley Pharmaceutical, Inc.       800                    8,000                  
(a)                                                                             

COR Therapeutics, Inc. (a)        800                    7,850                  

Corixa Corp. (a)                  100                    913                    

Coulter Pharmaceutical, Inc.      400                    8,150                  
(a)                                                                             

Creative Biomolecules, Inc.       500                    1,344                  
(a)                                                                             

Cubist Pharmaceuticals, Inc.      100                    381                    
(a)                                                                             

Curative Health Services,         500                    5,625                  
Inc. (a)                                                                        

CV Therapeutics, Inc. (a)         100                    613                    

Cypros Pharmaceutical Corp.       200                    550                    

Cytotherapeutics, Inc. (a)        200                    269                    

Cytyc Corp. (a)                   200                    3,625                  

Depotech Corp. (a)                200                    563                    

Diacrin, Inc. (a)                 100                    538                    

Diagnostic Products Corp.         700                    18,550                 

Diatide, Inc. (a)                 100                    563                    

Dura Pharmaceuticals, Inc. (a)    1,300                  18,281                 

                       SHARES                 VALUE (NOTE 1)

Duramed (a)                       1,400                 $ 8,575                 

Emisphere Technologies, Inc.      100                    1,300                  
(a)                                                                             

EntreMed, Inc. (a)                200                    3,738                  

Enzo Biochem, Inc.                310                    3,410                  

Enzon, Inc. (a)                   1,300                  18,038                 

Epitope, Inc. (a)                 100                    638                    

Epix Medical, Inc. (a)            100                    975                    

Ergo Science Corp. (a)            100                    100                    

Forest Laboratories, Inc. (a)     1,600                  79,100                 

Fuisz Technologies Ltd. (a)       900                    6,525                  

GelTex Pharmaceuticals, Inc.      700                    12,031                 
(a)                                                                             

GeneMedicine, Inc. (a)            100                    275                    

Genentech, Inc. (special) (a)     3,100                  247,419                

Genome Therapeutics Corp. (a)     200                    625                    

Gensia Sicor, Inc. (a)            1,100                  5,088                  

Genzyme Corp.:                                                                  

(General Division)                1,700                  76,500                 

(Molecular Oncology) (a)          183                    698                    

Genzyme Transgenics Corp. (a)     100                    491                    

Geron Corp. (a)                   700                    7,394                  

Gilead Sciences, Inc. (a)         700                    28,875                 

Gliatech, Inc. (a)                500                    13,500                 

Guilford Pharmaceuticals,         500                    6,344                  
Inc. (a)                                                                        

Hauser, Inc. (a)                  100                    350                    

Hemispherx Biopharma, Inc. (a)    1,100                  6,256                  

Herbalife International, Inc.     466                    6,233                  
Class A                                                                         

Heska Corp. (a)                   600                    2,550                  

Hollis-Eden Pharmaceutcals,       400                    8,550                  
Inc. (a)                                                                        

Human Genome Sciences, Inc.       400                    11,950                 
(a)                                                                             

Hyseq, Inc. (a)                   100                    444                    

ICN Pharmaceuticals, Inc.         1,400                  30,625                 

ICOS Corp. (a)                    1,100                  26,950                 

IDEC Pharmaceuticals Corp. (a)    300                    12,994                 

Idexx Laboratories, Inc. (a)      700                    15,663                 

IGEN International, Inc. (a)      300                    9,075                  

Ilex Oncology, Inc. (a)           100                    1,125                  

Imclone Systems, Inc. (a)         400                    4,300                  

Immucor, Inc. (a)                 100                    900                    

Immune Response Corp. (a)         800                    6,700                  

Immunex Corp. (a)                 900                    127,350                

Incyte Pharmaceuticals, Inc.      700                    19,644                 
(a)                                                                             

Inhale Therapeutic Systems,       600                    16,500                 
Inc. (a)                                                                        

Integrated Process Equipment      200                    2,250                  
Corp. (a)                                                                       

Interferon Sciences, Inc. (a)     20                     23                     

Interneuron Pharmaceuticals,      600                    2,438                  
Inc. (a)                                                                        

Irwin Naturals/4Health, Inc.      800                    3,600                  
(a)                                                                             

Isis Pharmaceuticals Co. (a)      800                    9,650                  

IVAX Corp. (a)                    2,100                  30,975                 

Jones Pharma, Inc.                400                    11,250                 

K V Pharmaceutical Co. Class      150                    2,981                  
A (a)                                                                           

Kendle International, Inc. (a)    600                    14,475                 

King Pharmaceuticals, Inc. (a)    1,000                  24,125                 

Kos Pharmaceuticals, Inc. (a)     600                    3,563                  

KRUG International Corp. (a)      100                    144                    

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

HEALTH - CONTINUED                                                              

DRUGS & PHARMACEUTICALS -                                                       
CONTINUED                                                                       

LeukoSite, Inc. (a)               100                   $ 1,150                 

Ligand Pharmaceuticals, Inc.      900                    8,831                  
Class B (a)                                                                     

Liposome, Inc. (a)                600                    8,213                  

Lynx Therapeutics, Inc. (a)       700                    7,700                  

MacroChem Corp. (a)               600                    6,038                  

Magainin Pharmaceuticals,         200                    813                    
Inc. (a)                                                                        

Martek Biosciences (a)            200                    1,275                  

Matritech, Inc. (a)               100                    134                    

Maxim Pharmaceuticals, Inc.       100                    1,244                  
(a)                                                                             

Medarex, Inc. (a)                 100                    338                    

Medco Research, Inc. (a)          100                    2,294                  

Medicis Pharmaceutical Corp.      600                    22,650                 
Class A (a)                                                                     

Medimmune, Inc. (a)               1,100                  60,500                 

Megabios Corp. (a)                100                    525                    

Meridian Diagnostics, Inc.        100                    638                    

MGI Pharma, Inc. (a)              800                    7,150                  

Microcide Pharmaceuticals,        600                    2,550                  
Inc. (a)                                                                        

Microvision, Inc. (a)             700                    10,063                 

Millennium Pharmaceuticals,       1,000                  31,063                 
Inc. (a)                                                                        

Molecular Biosystems, Inc. (a)    200                    463                    

Mylan Laboratories, Inc.          2,668                  72,870                 

Myriad Genetics, Inc. (a)         300                    2,813                  

NaPro BioTherapeutics, Inc.       200                    400                    
(a)                                                                             

Nature's Sunshine Products,       300                    3,675                  
Inc.                                                                            

NBTY, Inc. (a)                    1,400                  8,400                  

Neopath, Inc. (a)                 800                    4,200                  

NeoRX Corp. (a)                   900                    1,406                  

Neose Technologies, Inc. (a)      100                    1,175                  

NeoTherapeutics, Inc. (a)         300                    2,419                  

Neurogen Corp. (a)                600                    7,125                  

NeXstar Pharmeceuticals, Inc.     400                    5,525                  
(a)                                                                             

North American Vaccine, Inc.      400                    3,050                  
(a)                                                                             

Northfield Laboratories, Inc.     500                    6,188                  
(a)                                                                             

Novavax, Inc. (a)                 100                    256                    

Noven Pharmaceuticals, Inc.       300                    1,613                  
(a)                                                                             

NPS Pharmaceuticals, Inc. (a)     100                    738                    

Nutraceutical International       600                    3,150                  
Corp.                                                                           

ONYX Pharmaceuticals, Inc. (a)    700                    4,944                  

Organogenesis, Inc. (a)           431                    5,926                  

Ortec International, Inc. (a)     100                    944                    

OSI Pharmaceuticals, Inc. (a)     200                    738                    

OXiGENE, Inc. (a)                 800                    7,050                  

PAREXEL International Corp.       800                    16,650                 
(a)                                                                             

PathoGenesis Corp. (a)            500                    22,906                 

Pharmaceutical Product            700                    24,325                 
Development, Inc. (a)                                                           

Pharmacopeia, Inc. (a)            100                    950                    

Pharmacyclics, Inc. (a)           600                    11,400                 

PharmaPrint, Inc. (a)             900                    10,913                 

Polymedica Industries, Inc.       100                    800                    
(a)                                                                             

Protein Design Labs, Inc. (a)     300                    4,950                  

                       SHARES                 VALUE (NOTE 1)

Pure World, Inc.                  440                   $ 2,118                 

Quintiles Transnational Corp.     1,800                  77,625                 
(a)                                                                             

Regeneron Pharmaceuticals,        400                    3,100                  
Inc. (a)                                                                        

Rexall Sundown, Inc. (a)          1,200                  17,175                 

Ribozyme Pharmaceuticals,         100                    438                    
Inc. (a)                                                                        

Roberts Pharmaceutical Corp.      800                    18,100                 
(a)                                                                             

Sangstat Medical Corp. (a)        600                    13,425                 

Schein Pharmaceutical, Inc.       1,100                  14,575                 
(a)                                                                             

Scios, Inc. (a)                   1,500                  13,875                 

Sepracor, Inc. (a)                600                    74,850                 

Sequus Pharmaceuticals, Inc.      900                    18,394                 
(a)                                                                             

Serologicals Corp. (a)            750                    13,406                 

Shaman Pharmaceuticals, Inc.      100                    34                     
(a)                                                                             

SonoSight, Inc. (a)               100                    1,181                  

Spectrx, Inc. (a)                 100                    513                    

Spire Corp. (a)                   100                    403                    

Sugen, Inc. (a)                   800                    13,950                 

SuperGen, Inc. (a)                100                    975                    

Synaptic Pharmaceutical Corp.     500                    7,813                  
(a)                                                                             

Technical Chemicals &             100                    134                    
Products, Inc. (a)                                                              

Texas Biotechnology Corp. (a)     300                    1,275                  

Theragenics Corp. (a)             400                    2,725                  

Thermotrex Corp. (a)              200                    1,200                  

Titan Pharmaceuticals, Inc.       100                    425                    
(a)                                                                             

Transkaryotic Therapies, Inc.     700                    20,475                 
(a)                                                                             

Triangle Pharmaceuticals,         900                    11,700                 
Inc. (a)                                                                        

Trimeris, Inc. (a)                800                    12,450                 

Twinlab Corp. (a)                 500                    4,266                  

U.S. Bioscience, Inc. (a)         300                    3,019                  

Unimed Pharmaceuticals, Inc.      100                    463                    
(a)                                                                             

V.I. Technologies, Inc. (a)       800                    9,000                  

Ventana Medical Systems, Inc.     600                    10,425                 
(a)                                                                             

Vertex Pharmaceuticals, Inc.      700                    16,450                 
(a)                                                                             

Vical, Inc. (a)                   500                    6,375                  

ViroPharma, Inc. (a)              800                    6,650                  

Vivus, Inc. (a)                   500                    1,297                  

Watson Pharmaceuticals, Inc.      2,039                  98,509                 
(a)                                                                             

Weider Nutrition                  100                    656                    
International, Inc.  Class A                                                    

Zonagen, Inc. (a)                 300                    8,288                  

                                           2,553,914

MEDICAL EQUIPMENT & SUPPLIES                                                    
- 2.1%                                                                          

Acuson Corp. (a)                  400                    6,000                  

ADAC Laboratories (a)             600                    10,725                 

Advanced Neuromodulation          100                    797                    
Systems, Inc. (a)                                                               

Aksys Ltd. (a)                    100                    550                    

ALARIS Medical, Inc. (a)          800                    3,400                  

Allied Healthcare Products,       100                    156                    
Inc. (a)                                                                        

American Dental Technologies,     100                    425                    
Inc. (a)                                                                        

AmeriSource Health Corp.          600                    44,775                 
Class A (a)                                                                     

Angeion Corp. (a)                 400                    287                    

Aradigm Corp. (a)                 100                    1,000                  

Arrow International, Inc.         300                    7,369                  

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

HEALTH - CONTINUED                                                              

MEDICAL EQUIPMENT & SUPPLIES                                                    
- CONTINUED                                                                     

Arthrocare Corp. (a)              100                   $ 1,400                 

ATS Medical, Inc. (a)             100                    744                    

Autonomous Technologies Corp.     100                    675                    
(a)                                                                             

AVECOR Cardiovascular, Inc.       600                    7,125                  
(a)                                                                             

Bacou USA, Inc. (a)               200                    4,188                  

Ballard Medical Products          1,200                  28,725                 

Baxter International, Inc.        100                    9                      
rights 12/31/07 (a)                                                             

Bergen Brunswig Corp. Class A     2,000                  48,875                 

Bindley Western Industries,       233                    6,131                  
Inc.                                                                            

Bio-Plexus, Inc. (a)              100                    250                    

Bio-Rad Laboratories, Inc.        100                    2,000                  
Class A (a)                                                                     

Bionx Implants, Inc. (a)          100                    588                    

Bolle, Inc. (a)                   100                    319                    

Bradley Pharmaceuticals, Inc.     1,200                  1,538                  
Class A (a)                                                                     

Cardiac Pathways Corp. (a)        100                    300                    

Cardima, Inc. (a)                 900                    2,138                  

Cardiogenesis Corp. (a)           100                    875                    

CardioThoracic Systems, Inc.      1,200                  9,300                  
(a)                                                                             

Chad Therapeutics, Inc. (a)       100                    125                    

Closure Medical Corp. (a)         500                    14,563                 

CNS., Inc. (a)                    300                    994                    

Coherent, Inc. (a)                400                    5,975                  

Cohesion Technologies, Inc.       100                    513                    
(a)                                                                             

Colorado Medtech, Inc. (a)        1,000                  13,125                 

Computer Motion, Inc. (a)         400                    4,200                  

Conceptus, Inc. (a)               100                    119                    

CONMED Corp. (a)                  700                    21,613                 

Cooper Companies, Inc. (a)        200                    2,925                  

Cyberonics, Inc. (a)              300                    2,644                  

Cygnus, Inc. (a)                  300                    1,725                  

Datascope Corp.                   600                    15,675                 

Dentsply International, Inc.      1,600                  40,800                 

Diametrics Medical, Inc. (a)      200                    894                    

Dianon Systems, Inc. (a)          100                    756                    

Digene Corp. (a)                  100                    650                    

Dionex Corp. (a)                  800                    29,500                 

E-Z-EM, Inc. Class A              100                    675                    

Eclipse Surgical Technologies     500                    5,625                  
(a)                                                                             

EMPI, Inc. (a)                    100                    2,425                  

Endocardial Solutions, Inc.       100                    931                    
(a)                                                                             

Endosonics Corp. (a)              400                    3,300                  

Fischer Imaging Corp. (a)         100                    188                    

General Surgical Innovations,     200                    788                    
Inc. (a)                                                                        

Graham-Field Health Products,     400                    1,050                  
Inc. (a)                                                                        

Guardian Technologies             1,400                  1,925                  
International, Inc. (a)                                                         

Haemonetics Corp. (a)             1,000                  16,688                 

Heartport, Inc. (a)               500                    3,313                  

Henry Schein, Inc. (a)            1,200                  30,750                 

Hillenbrand Industries, Inc.      1,200                  50,250                 

                       SHARES                 VALUE (NOTE 1)

Hologic, Inc. (a)                 600                   $ 6,038                 

Horizon Medical Products,         600                    3,000                  
Inc. (a)                                                                        

HumaScan, Inc. (a)                100                    28                     

I-Stat Corp. (a)                  100                    1,075                  

ICU Medical, Inc. (a)             100                    2,100                  

Imatron, Inc. (a)                 2,400                  3,300                  

Innovasive Devices, Inc. (a)      1,700                  7,013                  

Intermagnetics General Corp.      102                    555                    

Interpore International (a)       200                    906                    

Invacare Corp.                    1,100                  26,125                 

Iridex Corp. (a)                  100                    431                    

Kensey Nash Corp. (a)             100                    1,025                  

KeraVision, Inc. (a)              800                    9,700                  

Laserscope, Inc. (a)              100                    175                    

Lifecore Biomedical, Inc. (a)     100                    975                    

Lunar Corp. (a)                   100                    756                    

Maxxim Medical, Inc. (a)          200                    4,550                  

Mentor Corp.                      700                    10,763                 

Merit Medical Systems, Inc.       100                    550                    
(a)                                                                             

Micro Therapeutics, Inc. (a)      100                    800                    

Milestone Scientific, Inc. (a)    200                    450                    

MiniMed, Inc. (a)                 400                    34,100                 

Minntech Corp.                    100                    1,038                  

Miravant Medical Technologies     300                    2,981                  
(a)                                                                             

NCS HealthCare, Inc. (a)          800                    11,350                 

Neoprobe Corp. (a)                400                    500                    

Nitinol Medical Technologies,     100                    463                    
Inc. (a)                                                                        

Novametrix Medical Systems,       200                    850                    
Inc. (a)                                                                        

Novoste Corp. (a)                 600                    15,375                 

Oakley, Inc. (a)                  1,200                  9,975                  

Ocular Sciences, Inc. (a)         500                    12,250                 

OEC Medical Systems, Inc.         100                    2,494                  

Omnicare, Inc.                    1,700                  40,694                 

Optical Sensors, Inc. (a)         100                    138                    

Osteotech, Inc. (a)               400                    21,650                 

Owens & Minor, Inc.               1,100                  14,025                 

Palomar Medical Technologies,     1,300                  1,056                  
Inc. (a)                                                                        

Patterson Dental Co. (a)          850                    34,425                 

Perclose, Inc. (a)                500                    21,125                 

Perrigo Co. (a)                   2,800                  23,450                 

PharmaNetics, Inc. (a)            100                    425                    

PharMerica, Inc. (a)              3,300                  18,563                 

Photoelectron Corp. (a)           100                    406                    

PLC Systems, Inc. (a)             600                    2,400                  

Possis Medical, Inc. (a)          100                    1,088                  

Premier Laser Systems, Inc.       400                    1,025                  
Class A (a)                                                                     

Priority Healthcare Corp. (a)     300                    11,681                 

Priority Healthcare Corp.         104                    4,050                  
Class A (a)                                                                     

Protocol Systems, Inc. (a)        100                    775                    

PSS World Medical, Inc. (a)       1,275                  14,503                 

Q-Medical, Inc. (a)               100                    288                    

Quigley Corp. (a)                 600                    3,075                  

Radiance Medical Systems,         100                    425                    
Inc. (a)                                                                        

Resmed, Inc. (a)                  600                    18,600                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

HEALTH - CONTINUED                                                              

MEDICAL EQUIPMENT & SUPPLIES                                                    
- CONTINUED                                                                     

Resound Corp. (a)                 200                   $ 675                   

Respironics, Inc. (a)             792                    10,148                 

Sabratek Corp. (a)                600                    11,325                 

Schick Technologies, Inc. (a)     1,100                  5,225                  

SeaMED Corp. (a)                  1,100                  8,525                  

Sonus Pharmaceuticals, Inc.       700                    5,163                  
(a)                                                                             

Spacelabs Medical, Inc. (a)       800                    14,200                 

Staar Surgical Co. (a)            100                    944                    

Steris Corp. (a)                  1,300                  42,738                 

Stryker Corp.                     1,900                  89,775                 

Sunrise Medical, Inc. (a)         200                    1,450                  

Sybron International, Inc. (a)    2,800                  68,775                 

Techne Corp. (a)                  900                    22,500                 

Teleflex, Inc.                    900                    32,006                 

Thermedics, Inc. (a)              500                    3,500                  

Thermo Cardiosystems, Inc. (a)    500                    4,719                  

Thoratec Laboratories Corp.       200                    1,513                  
(a)                                                                             

Trex Medical Corp. (a)            500                    3,813                  

Uromed Corp. (a)                  120                    184                    

Utah Medical Products, Inc.       100                    663                    
(a)                                                                             

Vallen Corp. (a)                  100                    1,875                  

Vasomedical, Inc. (a)             400                    550                    

Vidamed, Inc. (a)                 100                    200                    

VIMRX Pharmaceuticals, Inc.       500                    625                    
(a)                                                                             

Vista Medical Technologies,       100                    263                    
Inc. (a)                                                                        

VISX, Inc. (a)                    600                    37,050                 

Vital Signs, Inc.                 100                    1,769                  

Vivid Technologies, Inc. (a)      400                    1,575                  

Voxel (a)                         100                    -                      

Wesley Jessen Visioncare,         600                    15,600                 
Inc. (a)                                                                        

Xomed Surgical Products, Inc.     550                    20,006                 
(a)                                                                             

Zila, Inc. (a)                    1,800                  7,369                  

Zoll Medical Corp. (a)            100                    1,163                  

                                           1,286,812

MEDICAL FACILITIES MANAGEMENT                                                   
- 1.5%                                                                          

Advance Paradigm, Inc. (a)        100                    3,606                  

Alternative Living Services,      600                    12,300                 
Inc. (a)                                                                        

American Healthcorp, Inc. (a)     100                    1,125                  

American HomePatient, Inc. (a)    500                    1,219                  

American Medical Securities       200                    2,900                  
Group, Inc. (a)                                                                 

Amsurg Corp. Class A (a)          9                      79                     

Apria Healthcare Group, Inc.      800                    7,150                  
(a)                                                                             

ARV Assisted Living, Inc. (a)     100                    463                    

Beverly Enterprises, Inc. (a)     2,700                  14,006                 

Cambridge Heart, Inc. (a)         1,200                  9,750                  

Carematrix Corp. (a)              300                    6,638                  

Centennial Healthcare Corp.       500                    7,219                  
(a)                                                                             

Chronimed, Inc. (a)               100                    875                    

Clintrials Research, Inc. (a)     200                    1,150                  

Cohr, Inc. (a)                    400                    2,550                  

                       SHARES                 VALUE (NOTE 1)

Compdent Corp. (a)                500                   $ 6,375                 

Comprehensive Care Corp. (a)      300                    300                    

Concentra Managed Care, Inc.      1,600                  17,000                 
(a)                                                                             

Continucare Corp. (a)             100                    106                    

Covance, Inc. (a)                 1,300                  35,831                 

Coventry Health Care, Inc. (a)    700                    7,503                  

Cryolife, Inc. (a)                100                    1,050                  

Diagnostic Health Services,       600                    1,106                  
Inc. (a)                                                                        

Emeritus Corp. (a)                100                    1,094                  

Express Scripts, Inc. Class A     600                    38,738                 
(a)                                                                             

First Commonwealth, Inc.          200                    2,500                  

Foundation Health Systems,        2,200                  17,600                 
Inc.  Class A (a)                                                               

Genesis Health Ventures, Inc.     500                    2,750                  
(a)                                                                             

Global Unilabs Clinical           100                    -                      
Trials Ltd. (a)                                                                 

Hanger Orthopedic Group, Inc.     200                    3,038                  
(a)                                                                             

Health Management Associates,     4,900                  63,394                 
Inc. Class A (a)                                                                

Health Power, Inc. (a)            400                    1,200                  

Health Risk Management, Inc.      100                    944                    
(a)                                                                             

Home Health Corp. of America,     100                    25                     
Inc. (a)                                                                        

Hooper Holmes, Inc.               400                    6,000                  

I-Link Corp. (a)                  600                    1,763                  

IMPATH, Inc. (a)                  400                    10,075                 

Integrated Health Services,       1,700                  10,094                 
Inc.                                                                            

LabOne, Inc.                      100                    1,119                  

Laboratory Corp. of America       1,900                  3,444                  
Holdings (a)                                                                    

Laser Vision Centers, Inc. (a)    600                    16,725                 

Lincare Holdings, Inc. (a)        1,100                  39,188                 

LTC Healthcare, Inc. (a)          20                     51                     

Mariner Post-Acute Network,       700                    1,531                  
Inc. (a)                                                                        

Matria Healthcare, Inc. (a)       300                    938                    

Maxicare Health Plans, Inc.       1,300                  6,825                  
(a)                                                                             

Medical Resources, Inc. (a)       133                    299                    

MedicalControl, Inc. (a)          400                    3,200                  

Medquist, Inc. (a)                600                    20,513                 

Mid-Atlantic Medical              700                    5,469                  
Services, Inc. (a)                                                              

Monarch Dental Corp. (a)          400                    1,275                  

Neurocrine Biosciences, Inc.      800                    4,450                  
(a)                                                                             

NovaCare, Inc. (a)                1,000                  2,125                  

Omega Health Systems, Inc. (a)    100                    356                    

Orthodontic Centers of            1,300                  19,500                 
America, Inc. (a)                                                               

Orthologic Corp. (a)              200                    688                    

Oxford Health Plans, Inc. (a)     1,500                  28,406                 

PacifiCare Health Systems,        900                    65,025                 
Inc.  Class B (a)                                                               

Paracelsus Healthcare Corp.       300                    431                    
(a)                                                                             

Pediatric Services of             100                    250                    
America, Inc. (a)                                                               

Pediatrix Medical Group (a)       500                    15,438                 

PHP Healthcare Corp. (a)          200                    15                     

Phycor, Inc. (a)                  900                    4,894                  

PhyMatrix Corp. (a)               900                    1,631                  

Physician Reliance Network,       700                    6,344                  
Inc. (a)                                                                        

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

HEALTH - CONTINUED                                                              

MEDICAL FACILITIES MANAGEMENT                                                   
- CONTINUED                                                                     

PMR Corp. (a)                     300                   $ 2,081                 

Province Healthcare Co. (a)       500                    7,594                  

Psychemedics Corp.                300                    1,425                  

Quest Diagnostics, Inc. (a)       1,300                  27,788                 

Quorum Health Group, Inc. (a)     2,100                  19,425                 

Raytel Medical Corp. (a)          100                    484                    

RehabCare Group, Inc. (a)         300                    4,856                  

Renal Care Group, Inc. (a)        1,300                  25,756                 

Renex Corp. (a)                   100                    438                    

Res-Care, Inc. (a)                750                    17,813                 

Response Oncology, Inc. (a)       200                    600                    

RightCHOICE Managed Care,         200                    2,375                  
Inc.  Class A (a)                                                               

Safeguard Health Enterprises,     200                    575                    
Inc. (a)                                                                        

Sheridan Healthcare, Inc. (a)     100                    813                    

SIBIA Neurosciences, Inc. (a)     100                    388                    

Sierra Health Services, Inc.      500                    7,188                  
(a)                                                                             

Specialty Care Network, Inc.      100                    91                     
(a)                                                                             

Sterigenics International,        100                    1,788                  
Inc. (a)                                                                        

Sun Healthcare Group, Inc. (a)    3,950                  5,431                  

Sunrise Assisted Living, Inc.     500                    19,313                 
(a)                                                                             

Syncor International Corp. (a)    100                    2,763                  

Total Renal Care Holdings,        2,200                  19,525                 
Inc. (a)                                                                        

TransWorld Healthcare, Inc.       100                    419                    
(a)                                                                             

Trigon Healthcare, Inc. (a)       1,100                  38,569                 

UniHolding Corp.                  100                    300                    

United Payors & United            450                    11,138                 
Providers, Inc. (a)                                                             

United Wisconsin Services,        200                    1,400                  
Inc.                                                                            

Universal Health Services,        600                    24,375                 
Inc. Class B (a)                                                                

Urocor, Inc. (a)                  100                    550                    

Urologix, Inc. (a)                600                    2,175                  

Vencor, Inc. (a)                  2,400                  4,500                  

Ventas, Inc.                      2,000                  16,125                 

Wellpoint Health Networks,        1,400                  110,425                
Inc. (a)                                                                        

                                         928,132

TOTAL HEALTH                                             4,768,858              

HOLDING COMPANIES - 0.1%                                                        

Leucadia National Corp. (a)       1,500                  44,719                 

Triarc Companies, Inc. Class      500                    7,938                  
A (a)                                                                           

                                        52,657

INDUSTRIAL MACHINERY &                                                          
EQUIPMENT - 2.8%                                                                

ELECTRICAL EQUIPMENT - 1.1%                                                     

Acme Electric Corp. (a)           100                    463                    

ACTV, Inc. (a)                    2,800                  22,400                 

ADFlex Solutions, Inc. (a)        300                    1,500                  

Adtran, Inc. (a)                  900                    18,450                 

Advanced Lighting                 900                    6,525                  
Technologies, Inc. (a)                                                          

Allen Telecom, Inc. (a)           400                    1,925                  

                       SHARES                 VALUE (NOTE 1)

American Power Conversion         2,000                 $ 71,750                
Corp. (a)                                                                       

American Superconductor Corp.     600                    6,188                  
(a)                                                                             

AMETEK, Inc.                      700                    11,856                 

Andrea Electronics Corp. (a)      100                    775                    

Anicom, Inc. (a)                  900                    6,244                  

Anixter International, Inc.       1,500                  18,844                 
(a)                                                                             

ANTEC Corp. (a)                   800                    22,300                 

Avid Technology, Inc. (a)         800                    23,450                 

Baldor Electric Co.               1,366                  26,125                 

BMC Industries, Inc.              500                    2,438                  

California Microwave, Inc. (a)    900                    9,113                  

Cherry Corp. Class A (a)          100                    1,388                  

Cymer, Inc. (a)                   400                    9,150                  

Detection Systems, Inc. (a)       100                    900                    

Electric Fuel Corp. (a)           100                    338                    

Electro Rent Corp. (a)            300                    3,038                  

Energy Conversion Devices,        100                    1,119                  
Inc.                                                                            

Excel Technology, Inc. (a)        400                    4,075                  

Faroudja, Inc. (a)                600                    1,313                  

Franklin Electric Co., Inc.       200                    12,400                 

Genlyte Group, Inc. (a)           400                    7,238                  

Glenayre Technologies, Inc.       900                    3,178                  
(a)                                                                             

Globecomm Systems, Inc. (a)       400                    2,700                  

Holophane Corp. (a)               600                    13,800                 

Hubbell, Inc. Class B             1,900                  70,775                 

Hughes Supply, Inc.               600                    12,113                 

IEC Electronics Corp. (a)         100                    394                    

Juno Lighting, Inc.               200                    4,113                  

L-3 Communications Holdings,      500                    21,438                 
Inc. (a)                                                                        

Littelfuse, Inc. (a)              1,100                  18,769                 

LSI, Industries, Inc.             100                    1,850                  

MagneTek, Inc. (a)                1,300                  14,138                 

MultiMedia Access Corp. (a)       1,300                  6,175                  

Oak Industries, Inc. (a)          700                    22,181                 

Omnipoint Corp. (a)               1,500                  17,438                 

Ortel Corp. (a)                   500                    4,000                  

Owosso Corp.                      100                    509                    

Pinnacle Systems (a)              400                    14,325                 

Pittway Corp. Class A             400                    9,925                  

Powerwave Technologies, Inc.      600                    14,100                 
(a)                                                                             

Rofin Sinar Technologies,         400                    3,250                  
Inc. (a)                                                                        

Roper Industries, Inc.            400                    8,850                  

Satcon Technology Corp. (a)       100                    525                    

Sensormatic Electronics Corp.     2,300                  24,150                 
(a)                                                                             

SLI, Inc. (a)                     450                    10,069                 

Smith (A.O.) Corp. Class B        600                    12,788                 

Spectrian Corp. (a)               600                    7,013                  

STM Wireless, Inc. Class A (a)    100                    525                    

Technitrol, Inc.                  200                    4,650                  

Telular Corp. (a)                 75                     166                    

ThermoSpectra Corp. (a)           100                    1,094                  

Thomas Industries, Inc.           150                    2,559                  

Transcrypt International,         400                    1,269                  
Inc. (a)                                                                        

Unique Mobility, Inc. (a)         100                    463                    

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

INDUSTRIAL MACHINERY &                                                          
EQUIPMENT - CONTINUED                                                           

ELECTRICAL EQUIPMENT -                                                          
CONTINUED                                                                       

ViaSat, Inc. (a)                  400                   $ 3,900                 

Vicor Corp. (a)                   600                    6,675                  

VWR Scientific Products Corp.     900                    20,869                 
(a)                                                                             

Woodhead Industries, Inc.         100                    1,138                  

Woodward Governor Co.             100                    2,163                  

Zenith Electronics Corp. (a)      900                    323                    

Zoltek Companies, Inc. (a)        300                    2,578                  

                                         658,243

INDUSTRIAL MACHINERY &                                                          
EQUIPMENT - 1.3%                                                                

Ag-Chem Equipment, Inc. (a)       100                    1,075                  

AGCO Corp.                        1,700                  11,156                 

Alamo Group, Inc.                 100                    975                    

Allied Products Corp.             100                    494                    

Alyn Corp. (a)                    100                    306                    

Applied Industrial                300                    3,825                  
Technologies, Inc.                                                              

Astec Industries, Inc. (a)        600                    16,500                 

Asyst Technologies, Inc. (a)      600                    12,900                 

Autologic Information             100                    456                    
International, Inc. (a)                                                         

Baldwin Technology Co., Inc.      100                    363                    
Class A (a)                                                                     

BOLDER Technologies Corp. (a)     100                    1,000                  

Bridgeport Machines, Inc. (a)     100                    550                    

Brooks Automation, Inc. (a)       100                    2,188                  

Brown & Sharpe Manufacturing      100                    725                    
Co. Class A (a)                                                                 

Cascade Corp.                     100                    1,100                  

Chart Industries, Inc.            150                    1,125                  

CMI Corp. Class A                 200                    1,525                  

Coltec Industries, Inc. (a)       2,000                  36,000                 

Columbus McKinnon Corp.           200                    4,100                  

Commercial Intertech Corp.        400                    4,900                  

Control Devices, Inc.             125                    1,984                  

CTB International Corp. (a)       100                    650                    

CUNO, Inc. (a)                    800                    12,050                 

Detroit Diesel Corp. (a)          300                    6,469                  

Donaldson Co., Inc.               1,300                  23,481                 

DT Industries, Inc.               400                    4,400                  

EMCORE Corp. (a)                  100                    1,875                  

ESCO Electronics Corp. (trust     100                    1,031                  
receipt) (a)                                                                    

Essef Corp. (a)                   121                    1,966                  

Exide Corp.                       1,000                  15,000                 

Farr Co. (a)                      150                    1,388                  

Fedders Corp.                     600                    3,300                  

Flow International Corp. (a)      800                    7,250                  

Flowserve Corp.                   1,100                  18,219                 

FSI International, Inc. (a)       300                    2,925                  

Gardner Denver Machinery,         750                    9,563                  
Inc. (a)                                                                        

Gasonics International Corp.      100                    1,038                  
(a)                                                                             

Gehl Co. (a)                      100                    1,738                  

                       SHARES                 VALUE (NOTE 1)

Gencor Industries, Inc.           100                   $ 631                   

Gleason Corp.                     500                    8,219                  

Global Industrial                 800                    7,150                  
Technologies, Inc. (a)                                                          

Gorman-Rupp Co.                   100                    1,575                  

Graco, Inc.                       350                    7,613                  

Gradall Industries, Inc. (a)      100                    1,350                  

Greenbrier Companies, Inc.        100                    1,000                  

Hardinge, Inc.                    150                    2,166                  

IDEX Corp.                        400                    9,500                  

Industrial Distribution           100                    669                    
Group, Inc. (a)                                                                 

Ionics, Inc. (a)                  400                    11,150                 

JLG Industries, Inc.              1,100                  15,469                 

JLK Direct Distrution, Inc.       300                    3,169                  
Class A (a)                                                                     

Kaman Corp. Class A               800                    10,800                 

Kaydon Corp.                      900                    27,450                 

Kennametal, Inc.                  1,100                  22,894                 

Key Technology, Inc. (a)          100                    663                    

Kuhlman Corp.                     500                    19,188                 

Lancer Corp. (a)                  100                    988                    

Lawson Products, Inc.             100                    2,106                  

Lincoln Electric Holdings,        900                    18,450                 
Inc.                                                                            

Lindsay Manufacturing Co.         150                    2,381                  

Manitowoc Co., Inc.               600                    22,125                 

Mark IV Industries, Inc.          2,300                  34,644                 

Mattson Technology, Inc. (a)      200                    1,650                  

Middleby Corp. (a)                100                    363                    

Mitcham Industries, Inc. (a)      400                    1,325                  

MSC Industrial Direct, Inc.       1,100                  19,663                 
(a)                                                                             

MTS Systems Corp.                 200                    2,513                  

NN Ball & Roller, Inc.            200                    1,125                  

Nordson Corp.                     600                    35,700                 

Osmonics, Inc. (a)                200                    1,650                  

PEC Israel Economic Corp. (a)     200                    5,863                  

Plasma-Therm, Inc. (a)            100                    353                    

Presstek, Inc. (a)                500                    4,125                  

PRI Automation, Inc.              300                    9,000                  

Recovery Engineering, Inc. (a)    300                    3,263                  

Regal-Beloit Corp.                300                    5,850                  

Robotic Vision Systems, Inc.      300                    909                    
(a)                                                                             

Scotsman Industries, Inc.         300                    5,700                  

Semitool, Inc. (a)                100                    725                    

Specialty Equipment               200                    5,288                  
Companies, Inc. (a)                                                             

Speizman Industries, Inc. (a)     100                    488                    

Stewart & Stevenson Services,     1,100                  9,213                  
Inc.                                                                            

Strategic Distribution, Inc.      200                    450                    
(a)                                                                             

Tennant Co.                       400                    14,025                 

Terex Corp. (a)                   400                    10,250                 

Thermo Fibertek, Inc. (a)         500                    3,875                  

Thermo Sentron, Inc. (a)          100                    1,113                  

Tokheim Corp. (a)                 100                    725                    

Toro Co.                          700                    20,913                 

Turbochef, Inc. (a)               200                    2,063                  

UCAR International, Inc. (a)      1,500                  23,813                 

Ultratech Stepper, Inc. (a)       900                    14,203                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

INDUSTRIAL MACHINERY &                                                          
EQUIPMENT - CONTINUED                                                           

INDUSTRIAL MACHINERY &                                                          
EQUIPMENT - CONTINUED                                                           

United States Filter Corp. (a)    3,580                 $ 87,934                

UNOVA, Inc. (a)                   1,600                  23,200                 

Valmont Industries, Inc.          900                    10,603                 

Varlen Corp.                      187                    3,927                  

Veeco Instruments, Inc. (a)       200                    7,650                  

Waterlink, Inc. (a)               100                    444                    

Watkins-Johnson Co.               600                    13,575                 

Watts Industries, Inc. Class A    400                    5,575                  

Western Power & Equipment         100                    300                    
Corp. (a)                                                                       

YieldUP International Corp.       1,300                  2,113                  
(a)                                                                             

                                         808,457

POLLUTION CONTROL - 0.4%                                                        

Allied Waste Industries, Inc.     3,625                  70,688                 
(a)                                                                             

Aquagenix, Inc. (a)               100                    81                     

BHA Group Holdings, Inc.          110                    1,128                  
Class A                                                                         

Calgon Carbon Corp.               900                    5,344                  

CET Environmental Services,       100                    175                    
Inc. (a)                                                                        

Dames & Moore Group               200                    1,975                  

Earth Sciences, Inc. (a)          800                    725                    

Flanders Corp. (a)                200                    688                    

GTS Duratek, Inc. (a)             100                    625                    

Insituform Technologies, Inc.     1,100                  16,363                 
Class A (a)                                                                     

IT Group, Inc. (The) (a)          316                    4,148                  

Medical/Waste, Inc. (a)           100                    513                    

Met-Pro Corp.                     100                    1,150                  

NSC Corp. (a)                     28                     29                     

Ogden Corp.                       1,500                  36,656                 

Recycling Industries, Inc. (a)    200                    44                     

Republic Services, Inc. Class     1,500                  26,156                 
A (a)                                                                           

Safety-Kleen Corp. (a)            1,550                  21,603                 

Stericycle, Inc. (a)              600                    7,613                  

Superior Services, Inc. (a)       1,300                  26,122                 

Tetra Tech, Inc. (a)              1,106                  21,083                 

TETRA Technologies, Inc. (a)      100                    663                    

ThermoRetec Corp.                 100                    231                    

U.S. Liquids, Inc.                100                    2,269                  

Waste Industries, Inc. (a)        800                    10,800                 

WasteMasters, Inc. (a)            1,200                  300                    

                                         257,172

TOTAL INDUSTRIAL MACHINERY &                             1,723,872              
EQUIPMENT                                                                       

MEDIA & LEISURE - 8.1%                                                          

BROADCASTING - 3.3%                                                             

@ Entertainment, Inc. (a)         1,300                  13,081                 

Adelphia Communications Corp.     700                    39,463                 
Class A (a)                                                                   

Advanced Communication            900                    11,644                 
Systems, Inc. (a)                                                               

                       SHARES                 VALUE (NOTE 1)

American Tower Corp. Class A      2,120                 $ 56,843                
(a)                                                                             

Ascent Entertainment Group,       500                    5,438                  
Inc. (a)                                                                        

BHC Communications, Inc.          500                    57,250                 
Class A                                                                         

Cablevision Systems Corp.         2,338                  151,970                
Class A (a)                                                                     

Capstar Broadcasting Corp.        500                    10,094                 
Class A (a)                                                                     

CD Radio, Inc. (a)                500                    10,875                 

Century Communications Corp.      1,500                  52,031                 
Class A. (a)                                                                    

Chancellor Media Corp. (a)        2,200                  96,250                 

Chris-Craft Industries, Inc.      1,012                  42,884                 

Citadel Communications Corp.      600                    13,650                 
(a)                                                                             

Cox Communications, Inc.          5,800                  410,350                
Class A (a)                                                                     

Cox Radio, Inc. Class A (a)       500                    22,063                 

Crown Castle International        1,600                  27,200                 
Corp. (a)                                                                       

Cumulus Media, Inc. (a)           900                    10,575                 

E.W. Scripps Co. Class A          1,500                  61,500                 

EchoStar Communications Corp.     500                    24,500                 
Class A (New) (a)                                                             

Emmis Broadcasting Class A (a)    500                    23,156                 

Gaylord Entertainment Co.         500                    12,469                 

Granite Broadcasting Corp. (a)    600                    4,050                  

Hearst-Argyle Television,         600                    15,825                 
Inc. (a)                                                                        

Heftel Broadcasting Corp.         900                    37,125                 
Class A (a)                                                                     

HighwayMaster Communications,     400                    775                    
Inc. (a)                                                                        

Hungarian Broadcasting Corp.      100                    348                    
(a)                                                                             

Infinity Broadcasting Corp.       3,000                  71,250                 
Class A (a)                                                                     

Jacor Communications, Inc.        1,200                  83,700                 
Class A (a)                                                                     

Jones Intercable, Inc. Class      1,000                  40,500                 
A (a)                                                                           

LodgeNet Entertainment Corp.      100                    775                    
(a)                                                                             

Metromedia International          900                    5,231                  
Group, Inc. (a)                                                                 

Nielsen Media Research, Inc.      1,200                  23,550                 
(a)                                                                             

NTL, Inc. (a)                     1,400                  108,763                

PanAmSat Corp. (a)                600                    21,525                 

Paxson Communications Corp.       1,800                  14,850                 
(a)                                                                             

Pegasus Communications Corp.      600                    14,625                 
(a)                                                                             

Sinclair Broadcast Group,         1,400                  20,738                 
Inc.  Class A (a)                                                               

SpeedUs.com (a)                   100                    231                    

TCA Cable TV, Inc.                1,500                  66,188                 

TCI Satellite Entertainment,                                                    
Inc.:                                                                           

Class A (a)                       900                    731                    

Class B (a)                       100                    119                    

Tel-Com Wireless Cable TV         500                    4,391                  
Corp. (a)                                                                       

U.S. Satellite Broadcasting       2,500                  40,313                 
Co., Inc.  Class A (a)                                                          

United International              1,100                  50,600                 
Holdings, Inc.  Class A (a)                                                     

United Television, Inc.           100                    10,250                 

United Video Satellite Group,     800                    23,050                 
Inc. Class A (a)                                                                

Univision Communications,         1,700                  69,275                 
Inc. Class A (a)                                                                

USA Networks, Inc. (a)            2,663                  105,854                

ValueVision International,        1,400                  12,163                 
Inc. (a)                                                                        

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

MEDIA & LEISURE - CONTINUED                                                     

BROADCASTING - CONTINUED                                                        

Westwood One, Inc. (a)            1,000                 $ 24,375                

Young Broadcasting, Inc.          500                    20,250                 
Class A (a)                                                                     

                                           2,044,706

ENTERTAINMENT - 1.2%                                                            

Alliance Gaming Corp. (a)         200                    1,138                  

AMC Entertainment, Inc. (a)       200                    3,475                  

American Classic Voyages Co.      800                    18,600                 
(a)                                                                             

American Coin Merchandising,      400                    2,250                  
Inc. (a)                                                                        

Ameristar Casinos, Inc. (a)       100                    306                    

AMF Bowling, Inc. (a)             800                    3,650                  

Bally Total Fitness Holding       300                    6,750                  
Corp. (a)                                                                       

Carmike Cinemas, Inc. Class A     800                    12,600                 
(a)                                                                             

Cedar Fair LP (depository         500                    12,469                 
unit)                                                                           

Dover Downs Entertainment,        400                    5,650                  
Inc.                                                                            

Family Golf Centers, Inc. (a)     750                    4,477                  

Florida Panthers Holdings,        500                    5,094                  
Inc. Class A (a)                                                                

Fox Entertainment Group, Inc.     1,700                  44,200                 
(a)                                                                             

Hollywood Park, Inc. (a)          400                    3,550                  

Image Entertainment, Inc. (a)     800                    6,200                  

International Speedway Corp.      500                    22,750                 
Class A                                                                         

K-Tel International, Inc. (a)     500                    4,969                  

Kushner Locke Co. (a)             1,100                  10,244                 

Lakes Gaming, Inc. (a)            150                    1,369                  

Metro-Goldwyn-Mayer, Inc. (a)     2,900                  30,269                 

MGM Grand, Inc. (a)               1,561                  58,928                 

Multimedia Games, Inc. (a)        300                    1,575                  

On Command Corp. (a)              400                    4,000                  

Park Place Entertainment          5,900                  44,250                 
Corp. (a)                                                                       

Pixar (a)                         900                    37,013                 

Platinum Entertainment, Inc.      500                    3,406                  
(a)                                                                             

Powerhouse Technologies, Inc.     100                    1,444                  
(a)                                                                             

Premier Parks, Inc. (a)           1,500                  43,688                 

Quintel Communications, Inc.      200                    338                    
(a)                                                                             

Rentrak Corp. (a)                 600                    1,800                  

Scientific Games Holdings         700                    12,206                 
Corp. (a)                                                                       

SFX Entertainment, Inc. Class     700                    42,788                 
A (a)                                                                           

Speedway Motorsports, Inc. (a)    800                    28,550                 

Spelling Entertainment Group,     1,300                  9,344                  
Inc. (a)                                                                        

Sports Club Co., Inc. (The)       100                    506                    
(a)                                                                             

Tele-Communications, Inc.         8,200                  227,038                
(TCI Ventures Group) Series                                                     
A (a)                                                                           

Vail Resorts, Inc. (a)            1,100                  18,975                 

Visual Data Corp. (a)             600                    7,725                  

Zomax Optical Media, Inc. (a)     600                    7,819                  

                                         751,403

LEISURE DURABLES & TOYS - 0.7%                                                  

Adams Golf, Inc. (a)              1,300                  5,119                  

Aldila, Inc. (a)                  900                    1,575                  

                       SHARES                 VALUE (NOTE 1)

Arctic Cat, Inc.                  600                   $ 4,650                 

Authentic Fitness Corp.           800                    12,600                 

Callaway Golf Co.                 2,100                  22,838                 

Champion Enterprises, Inc. (a)    700                    13,781                 

Coachmen Industries, Inc.         1,100                  22,275                 

Coastcast Corp. (a)               300                    2,438                  

Coleman, Inc. (a)                 800                    7,500                  

Excelsior Henderson               100                    950                    
Motorcycle Manufacturing Co.                                                    
(a)                                                                             

Harley-Davidson, Inc.             3,500                  202,344                

Huffy Corp.                       700                    9,756                  

JAKKS Pacific, Inc. (a)           800                    13,350                 

K2, Inc.                          500                    4,406                  

Knickerbocker (L. L.) Co. (a)     200                    125                    

Marvel Enterprises, Inc. (a)      400                    2,225                  

National R.V. Holdings, Inc.      200                    4,413                  
(a)                                                                             

Play By Play Toys &               200                    1,013                  
Novelties, Inc. (a)                                                             

Polaris Industries, Inc.          1,000                  28,250                 

PTI Holding, Inc. (a)             100                    288                    

Rawlings Sporting Goods, Inc.     500                    6,125                  
(a)                                                                             

RockShox, Inc. (a)                100                    194                    

Russ Berrie & Co., Inc.           300                    7,425                  

Silicon Gaming, Inc. (a)          800                    600                    

Steinway Musical Instruments,     100                    2,269                  
Inc. (a)                                                                        

T-HQ, Inc. (a)                    300                    5,963                  

Thor Industries, Inc.             150                    3,713                  

Toymax International, Inc. (a)    100                    725                    

West Marine, Inc. (a)             500                    4,719                  

Winnebago Industries, Inc.        500                    6,875                  

                                         398,504

LODGING & GAMING - 0.6%                                                         

Anchor Gaming (a)                 200                    8,013                  

Aztar Corp. (a)                   700                    3,413                  

Boyd Gaming Corp. (a)             900                    3,713                  

Buckhead America Corp. (a)        100                    525                    

Championship Auto Racng           400                    11,150                 
Teams, Inc. (a)                                                                 

Choice Hotels International,      2,100                  28,613                 
Inc. (a)                                                                        

Circus Circus Enterprises,        2,500                  42,813                 
Inc. (a)                                                                        

Crescent Operating, Inc. (a)      100                    353                    

Extended Stay America, Inc.       1,400                  12,250                 
(a)                                                                             

Gtech Holdings Corp. (a)          1,300                  29,413                 

Hammons (John Q) Hotels, Inc.     100                    456                    
Class A (a)                                                                     

Hospitality Worldwide             100                    488                    
Services, Inc. (a)                                                              

International Game Technology     2,000                  38,000                 
Corp.                                                                           

Lodgian, Inc. (a)                 1,300                  5,281                  

Marcus Corp.                      350                    4,550                  

MeriStar Hospitality Corp.        1,254                  22,337                 

Penn National Gaming, Inc. (a)    200                    1,950                  

Penske Motorsports, Inc. (a)      500                    16,063                 

Players International, Inc.       500                    3,219                  
(a)                                                                             

Primadonna Resorts, Inc. (a)      700                    8,488                  

Prime Hospitality Corp. (a)       1,660                  17,015                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

MEDIA & LEISURE - CONTINUED                                                     

LODGING & GAMING - CONTINUED                                                    

Promus Hotel Corp. (a)            2,300                 $ 80,931                

Red Roof Inns, Inc. (a)           400                    5,425                  

ShoLodge, Inc. (a)                100                    563                    

Station Casinos, Inc. (a)         700                    7,000                  

Suburban Lodges of America,       300                    2,325                  
Inc. (a)                                                                        

Sunterra Corp. (a)                1,000                  12,250                 

Supertel Hospitality, Inc. (a)    100                    925                    

Trump Hotels & Casino             900                    3,600                  
Resorts, Inc. (a)                                                               

U.S. Franchise Systems, Inc.      400                    4,950                  
Class A (a)                                                                     

WMS Industries, Inc.              1,300                  10,238                 

                                         386,310

PUBLISHING - 1.2%                                                               

American Media, Inc. Class A      300                    1,931                  
(a)                                                                             

Applied Graphics                  760                    6,840                  
Technologies, Inc. (a)                                                          

Banta Corp.                       1,000                  21,313                 

Belo (A.H.) Corp. Class A         2,100                  38,063                 

Central Newspapers, Inc.          1,200                  42,000                 
Class A                                                                         

CMP Media, Inc. Class A (a)       600                    18,000                 

Franklin Covey Co. (a)            1,000                  11,938                 

Gibson Greetings, Inc. (a)        1,000                  8,281                  

Golden Books Family               400                    188                    
Entertainment, Inc. (a)                                                         

Harte Hanks Communications,       1,500                  38,813                 
Inc.                                                                            

Hollinger International, Inc.     3,500                  43,313                 
Class A                                                                         

Houghton Mifflin Co.              900                    38,700                 

IDG Books Worldwide, Inc. (a)     700                    10,631                 

Journal Register Co. (a)          700                    9,188                  

Lee Enterprises, Inc.             600                    16,575                 

McClatchy Co., The Class A        600                    19,200                 

Media General, Inc. Class A       400                    20,000                 

Nelson Thomas, Inc.               200                    2,563                  

Pacific Chemical, Inc. (a)        100                    2                      

Penton Media, Inc.                200                    3,738                  

Playboy Enterprises, Inc.         200                    5,350                  
Class B (a)                                                                     

PRIMEDIA, Inc. (a)                2,300                  30,619                 

Pulitzer Publishing Co.           600                    47,925                 

R.H. Donnelley Corp.              1,100                  16,500                 

Reader's Digest Association,      2,400                  81,600                 
Inc.  Class A (non-vtg.)                                                        

Scholastic Corp. (a)              600                    29,550                 

Standex International Corp.       100                    2,369                  

Washington Post Co. Class B       200                    109,975                

Wiley (JOHN) & Sons, Inc.         800                    35,650                 
Class A                                                                         

World Color Press, Inc. (a)       500                    12,406                 

Ziff-Davis, Inc. (a)              2,700                  45,394                 

                                         768,615

RESTAURANTS - 1.1%                                                              

Applebee's International,         500                    12,969                 
Inc.                                                                            

ARK Restaurants Corp. (a)         100                    1,000                  

                       SHARES                 VALUE (NOTE 1)

Au Bon Pain, Inc. Class A (a)     100                   $ 613                   

Avado Brands, Inc.                1,700                  11,581                 

Back Bay Restaurant Group,        100                    988                    
Inc. (a)                                                                        

Benihana, Inc. Class A (a)        100                    1,163                  

Big Buck Brew & Steakhouse,       100                    275                    
Inc. (a)                                                                        

Bob Evans Farms, Inc.             1,500                  32,344                 

Boston Chicken, Inc. (a)          1,100                  726                    

Brinker International, Inc.       1,200                  34,725                 
(a)                                                                             

Buffets, Inc. (a)                 1,600                  16,100                 

CBRL Group, Inc.                  1,900                  35,625                 

CEC Entertainment, Inc. (a)       400                    12,000                 

Chart House Enterprises, Inc.     100                    463                    
(a)                                                                             

Cheesecake Factory, Inc. (a)      800                    16,400                 

CKE Restaurants, Inc.             1,243                  33,017                 

Consolidated Products, Inc.       281                    4,759                  
(a)                                                                             

Cooker Restaurant Corp.           60                     398                    

Dave & Busters, Inc. (a)          500                    9,844                  

Einstein/Noah Bagel Corp. (a)     500                    719                    

Elxsi Corp. (a)                   100                    1,000                  

Fine Host Corp. (a)               700                    208                    

Foodmaker, Inc. (a)               1,400                  32,200                 

Friendly Ice Cream Corp. (a)      1,000                  6,625                  

Frisch's Restaurants, Inc.        100                    1,050                  

Garden Fresh Restaurant Corp.     100                    1,531                  
(a)                                                                             

Host Marriott Services Corp.      1,300                  9,100                  

IHOP Corp. (a)                    100                    4,088                  

Il Fornaio America Corp. (a)      100                    825                    

J. Alexanders Corp. (a)           100                    400                    

Koo Koo Roo Enterprises, Inc.     1,600                  825                    
(a)                                                                             

Landry's Seafood Restaurants,     1,200                  8,175                  
Inc. (a)                                                                        

Lone Star Steakhouse Saloon       600                    5,438                  
(a)                                                                             

Luby's, Inc.                      1,400                  19,863                 

Max & Ermas Restaurants, Inc.     100                    700                    
(a)                                                                             

Morrison Health Care, Inc.        100                    1,956                  

Morton's Restaurant Group,        100                    1,788                  
Inc. (a)                                                                        

New World Coffee & Bagels,        300                    291                    
Inc. (a)                                                                        

NPC International, Inc. (a)       300                    4,313                  

O Charleys, Inc. (a)              150                    2,213                  

Outback Steakhouse, Inc. (a)      1,200                  52,650                 

Papa John's International,        800                    34,600                 
Inc. (a)                                                                        

Piccadilly Cafeterias, Inc.       100                    1,100                  

PJ America, Inc. (a)              500                    9,813                  

Planet Hollywood                  1,400                  3,413                  
International, Inc. Class A                                                     
(a)                                                                             

Rainforest Cafe, Inc. (a)         450                    2,447                  

Rare Hospitality                  200                    2,775                  
International, Inc. (a)                                                         

Rock Bottom Restaurants, Inc.     900                    7,875                  
(a)                                                                             

Ruby Tuesday, Inc.                1,200                  22,350                 

Ryan's Family Steak Houses,       1,400                  15,925                 
Inc. (a)                                                                        

Santa Barbara Restaurant          100                    400                    
Group, Inc. (a)                                                                 

Sbarro, Inc.                      700                    17,675                 

Schlotzskys, Inc. (a)             400                    4,775                  

Shells Seafood Restaurants,       100                    425                    
Inc. (a)                                                                        

Sodexho Marriott Services,        1,200                  28,050                 
Inc. (a)                                                                        

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

MEDIA & LEISURE - CONTINUED                                                     

RESTAURANTS - CONTINUED                                                         

Sonic Corp. (a)                   750                   $ 18,000                

Star Buffet, Inc. (a)             100                    438                    

Starbucks Corp. (a)               1,800                  95,175                 

Taco Cabana, Inc. (a)             1,400                  12,163                 

Total Entertainment               100                    425                    
Restaurant Corp.                                                                

Unique Casual Restaurants,        100                    506                    
Inc. (a)                                                                        

Uno Restaurant Corp. (a)          100                    813                    

VICORP Restaurants, Inc. (a)      100                    1,563                  

                                         661,654

TOTAL MEDIA & LEISURE                                    5,011,192              

NONDURABLES - 2.8%                                                              

AGRICULTURE - 0.1%                                                              

Andersons, Inc.                   100                    1,231                  

Delta & Pine Land Co.             666                    21,562                 

Michael Foods, Inc.               900                    16,650                 

Northland Cranberries, Inc.       800                    6,025                  
Class A                                                                         

Tejon Ranch Co.                   100                    1,750                  

                                        47,218

BEVERAGES - 0.2%                                                                

Beringer Wine Estates             600                    24,188                 
Holdings, Inc. Class B (a)                                                      

Boston Beer Co., Inc. Class A     200                    1,550                  
(a)                                                                             

Buenos Aires Embotelladora SA     26                     -                      
sponsored ADR Class B (a)                                                       

Canandaigua Brands, Inc.          500                    26,688                 
Class A (a)                                                                     

Celestial Seasonings, Inc. (a)    500                    14,438                 

Coca-Cola Bottling Co.            100                    5,600                  
Consolidated                                                                    

Golden State Vinters, Inc.        500                    6,063                  
Class B (a)                                                                     

M & F Worldwide Corp. (a)         300                    2,738                  

Mondavi (Robert) Corp. Class      400                    13,750                 
A (a)                                                                           

National Beverage Corp. (a)       200                    1,725                  

Pepsi-Cola Puerto Rico            100                    500                    
Bottling Co. Class B                                                            

Whitman Corp.                     2,100                  39,900                 

                                         137,140

FOODS - 1.7%                                                                    

Agribrands International,         400                    12,400                 
Inc.                                                                            

American Italian Pasta Co.        700                    17,850                 
Class A (a)                                                                     

Aurora Foods, Inc. (a)            1,700                  27,519                 

Balance Bar Co. (a)               600                    5,738                  

Ben & Jerry's Homemade, Inc.      100                    2,250                  
Class A (a)                                                                     

Bridgford Foods Corp.             110                    1,210                  

Broughton Foods Co.               700                    11,463                 

Chiquita Brands                   2,400                  20,700                 
International, Inc.                                                             

Chock Full-O-Nuts Corp. (a)       100                    544                    

Corn Products International,      1,300                  30,550                 
Inc.                                                                            

                       SHARES                 VALUE (NOTE 1)

Darling International, Inc.       100                   $ 250                   
(a)                                                                             

Dean Foods Co.                    1,200                  43,725                 

Dole Food, Inc.                   1,700                  53,550                 

Dreyer's Grand Ice Cream,         1,000                  12,438                 
Inc.                                                                            

Earthgrains Co.                   1,100                  27,019                 

Flowers Industries, Inc.          2,000                  48,750                 

Fresh Foods, Inc. (a)             38                     171                    

Gardenburger, Inc. (a)            700                    7,700                  

Golden Enterprises                100                    363                    

Horizon Organic Holding Corp.     700                    10,850                 
(a)                                                                             

Hormel Foods Corp.                1,300                  46,800                 

IBP, Inc.                         2,200                  49,500                 

Imperial Sugar Co.                262                    1,883                  

International Home Foods,         2,100                  32,813                 
Inc. (a)                                                                        

International Multifoods          700                    15,138                 
Corp.                                                                           

Interstate Bakeries Corp.         2,100                  50,400                 

J & J Snack Food Corp. (a)        100                    2,113                  

Keebler Foods Co. (a)             1,700                  66,300                 

Lancaster Colony Corp.            1,350                  37,125                 

Lance, Inc.                       1,200                  19,800                 

McCormick & Co., Inc.             2,000                  57,250                 
(non-vtg.)                                                                      

Midwest Grain Products, Inc.      100                    1,325                  
(a)                                                                             

Nabisco Holdings Corp. Class A    1,400                  62,125                 

Opta Food Ingredients, Inc.       100                    288                    
(a)                                                                             

Orange-Co., Inc. (a)              100                    556                    

Pilgrims Pride Corp.              400                    7,625                  

Ralcorp Holdings, Inc. (a)        1,150                  20,484                 

Riviana Foods, Inc.               200                    4,300                  

Sanderson Farms, Inc.             200                    2,950                  

Smithfield Foods, Inc. (a)        1,200                  31,537                 

Smucker (J.M.) Co.                300                    7,125                  

Suiza Foods Corp. (a)             947                    35,039                 

Tasty Baking Co.                  100                    1,300                  

TCBY Enterprises, Inc.            300                    2,025                  

Thorn Apple Valley, Inc. (a)      400                    700                    

Tootsie Roll Industries, Inc.     706                    32,476                 

Tyson Foods, Inc.                 4,720                  96,760                 

Universal Foods Corp.             1,700                  38,569                 

Vlasic Foods International,       1,000                  12,188                 
Inc. (a)                                                                        

WLR Foods, Inc. (a)               100                    881                    

Worthington Foods, Inc.           600                    7,800                  

                                           1,080,215

HOUSEHOLD PRODUCTS - 0.7%                                                       

American Safety Razor Co. (a)     600                    8,213                  

Aptargroup, Inc.                  1,100                  30,113                 

Block Drug Co., Inc. Class A      312                    12,168                 

Brady (W.H.) Co. Class A          800                    19,100                 

Church & Dwight Co., Inc.         800                    33,400                 

Cyclopss Corp. (a)                400                    38                     

Dial Corp.                        2,300                  67,131                 

Ekco Group, Inc. (a)              100                    381                    

Enamelon, Inc. (a)                800                    4,500                  

Estee Lauder Companies, Inc.      1,400                  121,538                

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

NONDURABLES - CONTINUED                                                         

HOUSEHOLD PRODUCTS - CONTINUED                                                  

French Fragrances, Inc. (a)       500                   $ 3,281                 

Nu Skin Enterprises, Inc.         500                    10,438                 
Class A (a)                                                                     

Paragon Trade Brands, Inc. (a)    100                    425                    

Playtex Products, Inc. (a)        800                    11,300                 

Premark International, Inc.       1,000                  31,938                 

Racing Champions Corp. (a)        500                    6,375                  

Revlon, Inc. Class A (a)          800                    11,300                 

Safeskin Corp. (a)                900                    20,925                 

Tristar Corp. (a)                 100                    1,100                  

Ultralife Batteries, Inc. (a)     700                    3,631                  

USA Detergents, Inc. (a)          500                    3,250                  

Windmere-Durable Holdings,        500                    2,500                  
Inc. (a)                                                                        

York Group, Inc.                  500                    4,500                  

                                         407,545

TOBACCO - 0.1%                                                                  

Dimon, Inc.                       1,100                  4,813                  

General Cigar Holdings, Inc.      700                    5,119                  
Class A (a)                                                                     

Schweitzer-Mauduit                1,000                  11,750                 
International, Inc.                                                             

Standard Commercial Corp.         100                    588                    

Swisher International Group,      1,100                  9,831                  
Inc. Class A (a)                                                                

Universal Corp.                   1,200                  32,625                 

                                        64,726

TOTAL NONDURABLES                                        1,736,844              

PRECIOUS METALS - 0.1%                                                          

Coeur d'Alene Mines Corp. (a)     1,200                  6,375                  

Echo Bay Mines Ltd. (a)           6,800                  12,312                 

Getchell Gold Corp. (a)           1,000                  25,938                 

Hecla Mining Co. (a)              2,200                  7,975                  

Royal Oak Mines, Inc. (a)         2,100                  320                    

Stillwater Mining Co. (a)         1,050                  24,084                 

                                        77,004

RETAIL & WHOLESALE - 5.0%                                                       

APPAREL STORES - 1.2%                                                           

Abercrombie & Fitch Co. Class     1,200                  91,200                 
A (a)                                                                           

American Eagle Outfitters,        525                    36,127                 
Inc. (a)                                                                        

AnnTaylor Stores Corp. (a)        400                    15,125                 

Baker (J.), Inc.                  600                    2,850                  

Big Dog Holdings, Inc. (a)        100                    488                    

Bon-Ton Stores, Inc. (a)          600                    4,200                  

Brown Group, Inc.                 800                    12,500                 

Buckle, Inc. (The) (a)            250                    6,109                  

Burlington Coat Factory           1,200                  15,450                 
Warehouse Corp.                                                                 

Catherines Stores Corp. (a)       100                    825                    

Cato Corp. Class A                700                    6,650                  

Charming Shoppes, Inc. (a)        4,100                  13,838                 

                       SHARES                 VALUE (NOTE 1)

Chicos Fas, Inc. (a)              400                   $ 9,850                 

Childrens Place Retail            400                    11,500                 
Stores, Inc. (The) (a)                                                          

Claire's Stores, Inc.             1,600                  35,300                 

Deb Shops, Inc.                   100                    1,100                  

Dress Barn, Inc. (a)              900                    11,700                 

Ellet Brothers, Inc.              100                    528                    

Filene's Basement Corp. (a)       300                    694                    

Footstar, Inc. (a)                800                    20,400                 

Genesco, Inc. (a)                 200                    1,550                  

Global Imaging Systems, Inc.      300                    5,531                  
(a)                                                                             

Goody's Family Clothing (a)       400                    4,038                  

Guess, Inc. (a)                   1,900                  13,063                 

Gymboree Corp. (a)                700                    7,350                  

Hibbett Sporting Goods, Inc.      300                    6,188                  
(a)                                                                             

International Isotopes, Inc.      200                    2,300                  
(a)                                                                             

Intimate Brands, Inc. Class A     5,700                  224,081                

Just for Feet, Inc. (a)           500                    5,109                  

K & G Mens Center, Inc. (a)       500                    4,094                  

Kenneth Cole Productions,         100                    2,275                  
Inc. Class A (a)                                                                

Loehmanns, Inc. (a)               100                    150                    

Men's Wearhouse, Inc. (The)       850                    24,969                 
(a)                                                                             

Paul Harris Stores, Inc. (a)      200                    1,300                  

Payless ShoeSource, Inc. (a)      900                    49,388                 

Ross Stores, Inc.                 900                    41,175                 

Shoe Carnival, Inc. (a)           100                    1,075                  

Stage Stores, Inc. (a)            800                    5,800                  

Syms Corp. (a)                    200                    1,588                  

Talbots, Inc.                     600                    14,513                 

Track n Trail, Inc. (a)           100                    225                    

United Retail Group, Inc. (a)     500                    4,750                  

Urban Outfitters, Inc. (a)        200                    2,450                  

Venator Group, Inc. (a)           1,900                  9,381                  

Wet Seal, Inc. Class A (a)        500                    19,406                 

Wilsons Leather Experts, Inc.     100                    1,075                  
(a)                                                                             

                                         749,258

APPLIANCE STORES - 0.0%                                                         

Cellstar Corp. (a)                900                    10,238                 

Hirsch International Corp.        600                    1,725                  
Class A (a)                                                                     

                                        11,963

DRUG STORES - 0.1%                                                              

Drug Emporium, Inc. (a)           1,400                  8,925                  

Duane Reade, Inc. (a)             500                    15,125                 

General Nutrition Companies,      1,500                  20,063                 
Inc. (a)                                                                        

Genovese Drug Stores, Inc.        610                    14,716                 
Class A                                                                         

Perfumania, Inc. (a)              800                    4,000                  

                                        62,829

GENERAL MERCHANDISE STORES -                                                    
0.7%                                                                            

99 Cents Only Stores (a)          781                    36,951                 

Ames Department Stores, Inc.      300                    9,000                  
(a)                                                                             

BJ's Wholesale Club, Inc. (a)     1,000                  43,563                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

RETAIL & WHOLESALE - CONTINUED                                                  

GENERAL MERCHANDISE STORES -                                                    
CONTINUED                                                                       

Cost Plus, Inc. (a)               500                   $ 17,719                

Dollar Tree Stores, Inc. (a)      1,300                  52,000                 

Elder Beerman Stores Corp. (a)    700                    5,534                  

EZCORP, Inc. Class A              100                    744                    

Factory Card Outlet Corp. (a)     100                    159                    

Family Dollar Stores, Inc.        3,300                  66,000                 

Freds, Inc. Class A               125                    1,750                  

Gottschalks, Inc. (a)             100                    675                    

Hot Topic, Inc. (a)               200                    2,825                  

Jo-Ann Stores, Inc. Class A       200                    2,650                  
(a)                                                                             

Lechters, Inc. (a)                300                    591                    

Mazel Stores, Inc. (a)            100                    1,375                  

Michaels Stores, Inc. (a)         700                    11,988                 

Neiman-Marcus Group, Inc. (a)     800                    20,700                 

Party City Corp. (a)              450                    4,922                  

Phar-Mor, Inc. (a)                100                    588                    

Saks, Inc. (a)                    3,013                  108,280                

Service Merchandise, Inc. (a)     2,700                  1,688                  

Shopko Stores, Inc. (a)           300                    9,450                  

Southland Corp. (a)               6,000                  9,938                  

Stein Mart, Inc. (a)              800                    7,300                  

Value City Department Stores,     400                    4,700                  
Inc. (a)                                                                        

                                         421,090

GROCERY STORES - 0.8%                                                           

Carr-Gottstein Foods Co. (a)      600                    7,238                  

Central Garden & Pet Co. (a)      600                    10,200                 

Fleming Companies, Inc.           2,000                  14,750                 

Food Lion, Inc. Class A           12,100                 115,328                

Hain Food Group, Inc. (a)         500                    9,563                  

Hannaford Brothers Co.            1,300                  61,100                 

Hawaiian Natural Water Co.,       100                    400                    
Inc. (a)                                                                        

Ingles Markets, Inc. Class A      1,200                  14,325                 

Marsh Supermarkets, Inc.          100                    1,225                  
Class B                                                                         

Nash-Finch Co.                    100                    825                    

Performance Food Group Co. (a)    700                    18,200                 

Pizza Inn, Inc.                   100                    363                    

Richfood Holdings, Inc. Class     1,600                  38,000                 
A                                                                               

Ruddick Corp.                     600                    11,063                 

Schultz Sav-O Stores, Inc.        100                    1,738                  

Smart & Final, Inc.               300                    2,644                  

Synergy Brands, Inc. (a)          1,500                  6,422                  

U.S. Foodservice (a)              1,355                  62,923                 

United Natural Foods, Inc. (a)    800                    20,100                 

Weis Markets, Inc.                600                    21,825                 

Whole Foods Market, Inc. (a)      700                    21,613                 

Wild Oats Markets, Inc. (a)       550                    14,713                 

                                         454,558

RETAIL & WHOLESALE,                                                             
MISCELLANEOUS - 2.2%                                                            

1-800 CONTACTS, Inc. (a)          300                    3,563                  

                       SHARES                 VALUE (NOTE 1)

800-JR Cigar, Inc. (a)            200                   $ 3,725                 

AC Moore Arts & Crafts, Inc.      100                    488                    
(a)                                                                             

Action Performance Companies,     600                    21,525                 
Inc. (a)                                                                        

AgriBioTech, Inc. (a)             500                    2,188                  

Audio Book Club, Inc. (a)         600                    5,663                  

Barnes & Noble, Inc. (a)          1,300                  38,431                 

Bed Bath & Beyond, Inc. (a)       2,800                  82,425                 

Best Buy Co., Inc. (a)            2,200                  204,050                

Beyond.com Corp. (a)              1,000                  26,000                 

Big Entertainment, Inc. (a)       700                    8,094                  

Blair Corp.                       100                    1,919                  

Blue Rhino Corp. (a)              500                    8,531                  

Boise Cascade Office Products     1,000                  12,000                 
Corp.                                                                           

Books-A-Million, Inc. (a)         800                    8,950                  

Borders Group, Inc. (a)           1,500                  20,719                 

Brookstone, Inc. (a)              700                    8,750                  

Brylane, Inc. (a)                 200                    4,325                  

Building Material Holding         200                    1,963                  
Corp. (a)                                                                       

Cameron Ashley Building           100                    1,138                  
Products, Inc. (a)                                                              

Cannondale Corp. (a)              400                    5,050                  

CDnow, Inc.                       800                    12,900                 

Coldwater Creek, Inc. (a)         300                    3,019                  

Cole National Corp. Class A       200                    3,200                  
(a)                                                                             

Corporate Express, Inc. (a)       1,491                  8,014                  

Creative Computers, Inc. (a)      500                    16,313                 

Cyberian Outpost, Inc. (a)        1,000                  17,063                 

CyberShop International, Inc.     800                    5,950                  
(a)                                                                             

Daisytek International Corp.      900                    17,156                 
(a)                                                                             

Damark International, Inc.        100                    863                    
Class A (a)                                                                     

dELiA*s, Inc. (a)                 700                    11,681                 

DM Management Co. (a)             600                    7,800                  

E4L, Inc. (a)                     300                    1,693                  

Eagle Hardware & Garden, Inc.     800                    30,050                 
(a)                                                                             

Elcom International, Inc. (a)     900                    3,375                  

Enesco Group, Inc.                300                    4,969                  

Fingerhut Companies, Inc.         1,500                  36,844                 

Finish Line, Inc. Class A (a)     300                    3,619                  

Finlay Enterprises, Inc. (a)      700                    6,125                  

Friedmans, Inc. Class A (a)       400                    4,200                  

Gadzooks, Inc. (a)                300                    2,400                  

Genesis Direct, Inc. (a)          1,700                  6,694                  

Global Directmail Corp. (a)       500                    8,219                  

Good Guys, Inc. (a)               1,400                  5,031                  

Guitar Center, Inc. (a)           800                    13,350                 

Hancock Fabrics, Inc.             300                    2,081                  

Handleman Co. (a)                 1,000                  12,938                 

Homebase, Inc. (a)                500                    2,594                  

InterTAN, Inc. (a)                1,200                  11,700                 

Land's End, Inc. (a)              1,100                  33,344                 

Lets Talk Cellular &              400                    1,675                  
Wireless, Inc. (a)                                                              

Lillian Vernon Corp.              100                    1,400                  

Little Switzerland, Inc. (a)      100                    200                    

Metal Management, Inc. (a)        600                    994                    

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

RETAIL & WHOLESALE - CONTINUED                                                  

RETAIL & WHOLESALE,                                                             
MISCELLANEOUS - CONTINUED                                                       

Micro Warehouse, Inc. (a)         700                   $ 13,825                

Multiple Zones International,     700                    7,263                  
Inc. (a)                                                                        

Musicland Stores Corp. (a)        400                    4,725                  

N2K, Inc. (a)                     1,100                  14,094                 

National Record Mart, Inc. (a)    600                    2,625                  

Natural Wonders, Inc. (a)         100                    450                    

Navarre Corp. (a)                 700                    11,200                 

Office Depot, Inc. (a)            5,300                  189,144                

Officemax, Inc. (a)               2,000                  15,500                 

ONSALE, Inc. (a)                  400                    14,600                 

PC Connection, Inc.               800                    12,600                 

PEAPOD, Inc. (a)                  900                    7,425                  

Petco Animal Supplies, Inc.       600                    4,838                  
(a)                                                                             

PETsMART, Inc. (a)                1,900                  14,963                 

Pier 1 Imports, Inc.              2,650                  22,856                 

School Specialty, Inc.            701                    15,466                 

SCP Pool Corp. (a)                150                    2,156                  

Sharper Image Corp. (a)           700                    10,238                 

Shop At Home, Inc. (a)            1,600                  22,600                 

SkyMall, Inc. (a)                 400                    5,775                  

Sodak Gaming, Inc. (a)            300                    2,531                  

Spiegel, Inc. Class A (a)         3,700                  26,363                 

Sport Supply Group, Inc. (a)      100                    856                    

Sports Authority, Inc. (a)        2,100                  13,519                 

Sterling Vision, Inc. (a)         100                    350                    

Summit Technology, Inc. (a)       400                    2,450                  

Sunglass Hut International,       1,300                  12,594                 
Inc. (a)                                                                        

Tiffany & Co., Inc.               900                    51,469                 

Tractor Supply Co. (a)            100                    2,763                  

Transmedia Network, Inc. (a)      100                    469                    

Transportation World              450                    6,216                  
Entertainment Corp. (a)                                                         

U.S. Office Products Co.          371                    1,832                  

U.S.A. Floral Products, Inc.      1,000                  14,000                 
(a)                                                                             

Vista Eyecare, Inc. (a)           900                    4,275                  

Whitehall Jewellers, Inc. (a)     100                    1,700                  

Williams-Sonoma, Inc. (a)         1,000                  34,188                 

Wilmar Industries, Inc. (a)       700                    12,250                 

Wolohan Lumber Co.                100                    1,250                  

Zale Corp. (a)                    500                    16,563                 

                                           1,364,932

TOTAL RETAIL & WHOLESALE                                 3,064,630              

SERVICES - 4.8%                                                                 

ADVERTISING - 0.6%                                                              

Ackerley Group, Inc.              300                    5,400                  

ADVO, Inc. (a)                    500                    10,000                 

DoubleClick, Inc. (a)             600                    53,925                 

                       SHARES                 VALUE (NOTE 1)

Getty Images, Inc. (a)            700                   $ 13,388                

HA-LO Industries, Inc. (a)        600                    6,412                  

Lamar Advertising Co. Class A     900                    34,763                 
(a)                                                                             

Leap Group, Inc. (a)              900                    2,306                  

Network Event Theater, Inc.       800                    13,650                 
(a)                                                                             

Outdoor Systems, Inc. (a)         3,975                  111,052                

Pharmaceutical Marketing          500                    7,250                  
Services, Inc. (a)                                                              

TMP Worldwide, Inc. (a)           800                    45,000                 

Young & Rubicam, Inc.             1,300                  49,075                 

                                         352,221

EDUCATIONAL SERVICES - 0.3%                                                     

Apollo Group, Inc. Class A (a)    1,900                  57,119                 

Childrens Comprehensive           100                    1,281                  
Services, Inc. (a)                                                              

Devry, Inc. (a)                   1,200                  30,150                 

Education Management Corp. (a)    1,000                  26,875                 

GP Strategies Corp. (a)           100                    1,644                  

ITT Educational Services,         800                    29,150                 
Inc. (a)                                                                        

Prosoft I-Net Solutions, Inc.     100                    419                    
(a)                                                                             

Quest Education Corp. (a)         900                    8,100                  

RWD Technologies, Inc. (a)        100                    1,375                  

Strayer Education, Inc.           500                    17,063                 

Whitman Education Group, Inc.     100                    425                    
(a)                                                                             

                                         173,601

LEASING & RENTAL - 0.5%                                                         

Aaron Rents, Inc. Class A         100                    1,400                  

AMERCO (a)                        300                    6,675                  

Avis Rent A Car, Inc. (a)         900                    20,644                 

Budget Group, Inc. Class A (a)    1,100                  12,856                 

Caribiner International, Inc.     300                    2,344                  
(a)                                                                             

Central Parking Corp.             950                    32,419                 

Cort Business Services Corp.      100                    1,656                  
(a)                                                                             

Dollar Thrifty Automotive         900                    10,688                 
Group, Inc. (a)                                                                 

DVI, Inc. (a)                     100                    1,394                  

GATX Corp.                        1,300                  44,931                 

Globe Business Resources,         100                    1,394                  
Inc. (a)                                                                        

Hanover Compressor Co. (a)        400                    8,750                  

Hertz Corp. Class A               900                    35,831                 

Hollywood Entertainment Corp.     800                    21,950                 
(a)                                                                             

Interpool, Inc.                   400                    5,700                  

Leasing Solutions, Inc. (a)       100                    363                    

McGrath RentCorp.                 200                    3,750                  

National Auto Credit, Inc. (a)    400                    431                    

Rent-A-Center, Inc. (a)           800                    20,300                 

Rent-Way, Inc. (a)                911                    20,611                 

Rental Service Corp. (a)          400                    8,900                  

United Rentals, Inc. (a)          1,285                  41,361                 

United Road Services, Inc.        600                    9,900                  

Vari-Lite International, Inc.     100                    275                    
(a)                                                                             

                                         314,523

PRINTING - 0.4%                                                                 

American Banknote Corp. (a)       300                    188                    

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

SERVICES - CONTINUED                                                            

PRINTING - CONTINUED                                                            

American Business Products,       200                   $ 3,613                 
Inc.                                                                            

Big Flower Holdings, Inc. (a)     600                    14,475                 

Bowne & Co., Inc.                 400                    5,575                  

Cadmus Communications Corp.       100                    1,450                  

Champion Industries, Inc.         100                    750                    

Consolidated Graphics, Inc.       400                    24,300                 
(a)                                                                             

CSS Industries, Inc. (a)          600                    15,300                 

Cunningham Graphics               400                    5,550                  
International, Inc. (a)                                                         

Cyrk, Inc. (a)                    500                    3,219                  

Ennis Business Forms, Inc.        100                    894                    

Harland (John H.) Co.             700                    9,406                  

Merrill Corp.                     200                    3,350                  

Nashua Corp. (a)                  400                    4,825                  

New England Business Service,     200                    6,263                  
Inc.                                                                            

Paxar Corp. (a)                   700                    5,950                  

Reynolds & Reynolds Co. Class     1,500                  28,313                 
A                                                                               

Standard Register Co.             400                    11,575                 

United Stationers, Inc. (a)       900                    16,481                 

Valassis Communications, Inc.     1,000                  48,000                 
(a)                                                                             

Vestcom International, Inc.       500                    2,750                  
(a)                                                                             

Wallace Computer Services,        800                    18,100                 
Inc.                                                                            

                                         230,327

SERVICES - 3.0%                                                                 

Abacus Direct Corp. (a)           300                    20,325                 

ABM Industries, Inc.              300                    8,606                  

ABR Information Services,         900                    15,863                 
Inc. (a)                                                                        

ACNielsen Corp. (a)               1,800                  46,800                 

Administaff, Inc. (a)             100                    1,369                  

Advanced Health Corp. (a)         1,000                  3,063                  

American Oncology Resources,      400                    4,000                  
Inc. (a)                                                                        

AMERICAN RETIREMENT CORP (a)      1,200                  19,125                 

AmeriPath, Inc. (a)               1,400                  13,038                 

Amkor Technology, Inc.            3,300                  34,650                 

Analytical Surveys, Inc. (a)      200                    5,200                  

Angelica Corp.                    100                    1,625                  

APAC Teleservices, Inc. (a)       400                    1,225                  

Applied Analytical                100                    2,600                  
Industries, Inc. (a)                                                            

Assisted Living Concepts,         700                    3,325                  
Inc. (a)                                                                        

Automobile Protection Corp.       500                    5,375                  
(a)                                                                             

BA Merchant Services, Inc.        900                    18,338                 
Class A (a)                                                                     

Berlitz International, Inc.       100                    2,481                  
(a)                                                                             

Billing Information Concepts      500                    5,016                  
Corp. (a)                                                                       

Borg-Warner Security Corp.        300                    5,456                  

Boron LePore & Associates,        500                    6,313                  
Inc. (a)                                                                        

Bright Horizons Family            600                    12,675                 
Solutions, Inc. (a)                                                             

Brookdale Living Communities,     300                    5,250                  
Inc. (a)                                                                        

Building One Services Corp.       800                    13,200                 
(a)                                                                             

C3, Inc. (a)                      600                    6,413                  

                       SHARES                 VALUE (NOTE 1)

Cadiz, Inc. (a)                   500                   $ 4,313                 

Capital Senior Living Corp.       200                    1,888                  
(a)                                                                             

Carriage Services, Inc. Class     300                    5,494                  
A (a)                                                                           

Castle Dental Centers, Inc.       100                    606                    
(a)                                                                             

Catalina Marketing Corp. (a)      600                    38,625                 

CDI Corp. (a)                     200                    4,525                  

Century Business Services,        1,900                  22,206                 
Inc. (a)                                                                        

CheckFree Holdings Corp. (a)      1,100                  37,675                 

Chemed Corp.                      400                    11,825                 

Cintas Corp.                      2,200                  155,650                

Coach USA, Inc. (a)               800                    18,800                 

Coast Dental Services, Inc.       100                    688                    
(a)                                                                             

Coinmach Laundry Corp. (a)        800                    8,250                  

COMFORCE Corp. (a)                100                    481                    

Computer Horizons Corp. (a)       600                    8,963                  

Cornell Corrections, Inc. (a)     100                    1,650                  

CPI Corp.                         60                     1,313                  

Craig (Jenny), Inc. (a)           100                    369                    

Crestline Capital Corp.           370                    4,718                  

Data Processing Resources         600                    11,400                 
Corp. (a)                                                                       

Day Runner, Inc. (a)              400                    5,450                  

Diamond Technology Partners,      600                    14,888                 
Inc. Class A (a)                                                                

Embrex, Inc. (a)                  100                    463                    

Employee Solutions, Inc. (a)      400                    600                    

First Consulting Group, Inc.      600                    8,475                  
(a)                                                                             

Fonar Corp.                       500                    656                    

Food Technology Service, Inc.     100                    550                    
(a)                                                                             

Forrester Research, Inc. (a)      100                    3,450                  

FYI, Inc. (a)                     500                    15,063                 

G & K Services, Inc. Class A      600                    29,925                 

Gartner Group, Inc. Class A       2,000                  44,875                 
(a)                                                                             

General Magnaplate Corp.          100                    525                    

Greg Manning Auctions, Inc.       500                    4,313                  
(a)                                                                             

Grow Biz International, Inc.      500                    6,563                  
(a)                                                                             

Hagler Bailly, Inc. (a)           900                    17,888                 

Hall Kinion & Associates,         800                    5,800                  
Inc. (a)                                                                        

HCIA, Inc. (a)                    100                    388                    

Headway Corporate Resources       400                    2,050                  
(a)                                                                             

Insurance Auto Auctions, Inc.     200                    2,325                  
(a)                                                                             

Interim Services, Inc. (a)        1,500                  28,500                 

International Telecom Data        650                    8,938                  
Systems, Inc.                                                                   

Iron Mountain, Inc. (a)           1,050                  32,156                 

Judge Group, Inc. (The) (a)       100                    150                    

Kelly Services, Inc. Class A      500                    12,750                 

Labor Ready, Inc. (a)             550                    15,503                 

Landauer, Inc.                    100                    2,888                  

Lason, Inc. (a)                   300                    16,256                 

Learning Tree International,      300                    2,513                  
Inc. (a)                                                                        

Mac-Gray Corp. (a)                100                    844                    

Magellan Health Services,         400                    2,725                  
Inc. (a)                                                                        

Manpower, Inc.                    1,400                  33,513                 

Market Facts, Inc. (a)            400                    9,400                  

Marketing Services Group,         100                    672                    
Inc. (a)                                                                        

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

SERVICES - CONTINUED                                                            

SERVICES - CONTINUED                                                            

Maximus, Inc. (a)                 200                   $ 5,588                 

Medaphis Corp. (a)                1,100                  3,575                  

Media Arts Group, Inc. (a)        700                    9,538                  

Medialink Worldwide, Inc. (a)     200                    2,975                  

Medpartners, Inc. (a)             3,600                  21,375                 

MemberWorks, Inc. (a)             500                    17,375                 

Metamor Worldwide, Inc. (a)       900                    16,988                 

Metzler Group, Inc. (a)           950                    40,375                 

Modis Professional Services,      2,100                  28,744                 
Inc. (a)                                                                        

Morrison Knudsen Corp. (a)        400                    3,875                  

National Processing, Inc. (a)     600                    3,638                  

NCO Group, Inc. (a)               550                    17,188                 

NewsEdge Corp. (a)                800                    8,150                  

Norrell Corp.                     500                    7,938                  

NOVA Corp.                        1,943                  48,575                 

Olsten Corp.                      2,300                  14,231                 

On Assignment, Inc. (a)           500                    17,750                 

Orthalliance, Inc. Class A (a)    100                    900                    

Paymentech, Inc. (a)              500                    9,563                  

Pinkertons, Inc. (a)              100                    2,863                  

Pittston Co. (Brinks Group)       1,300                  31,850                 

Pre-Paid Legal Services, Inc.     600                    17,250                 
(a)                                                                             

Precision Response Corp. (a)      400                    2,600                  

Premiere Technologies, Inc.       1,533                  13,989                 
(a)                                                                             

Prime Medical Services, Inc.      500                    3,781                  
(New) (a)                                                                       

Profit Recovery Group             700                    23,100                 
International, Inc. (a)                                                         

Promedco Management Co. (a)       100                    531                    

Protection One, Inc. (a)          2,800                  22,750                 

RCM Technologies, Inc. (a)        300                    5,550                  

Regis Corp.                       800                    29,900                 

RemedyTemp, Inc. Class A (a)      600                    9,525                  

Renaissance Worldwide, Inc.       800                    5,000                  
(a)                                                                             

Robert Half International,        1,800                  64,800                 
Inc. (a)                                                                        

Rollins, Inc.                     1,400                  22,488                 

Romac International, Inc. (a)     1,440                  17,280                 

RTW, Inc. (a)                     400                    2,400                  

Rural/Metro Corp. (a)             600                    5,363                  

SCB Computer Technology, Inc.     200                    1,400                  
(a)                                                                             

Seattle FilmWorks, Inc. (a)       700                    2,538                  

ServiceMaster Co.                 5,850                  109,322                

SITEL Corp. (a)                   900                    2,644                  

Snyder Communications, Inc.       1,300                  44,525                 
(a)                                                                             

SOS Staffing Services, Inc.       500                    4,438                  
(a)                                                                             

Sotheby's Holdings, Inc.          1,300                  36,400                 
Class A                                                                         

Staff Leasing, Inc. (a)           400                    4,500                  

Staffmark, Inc. (a)               800                    10,700                 

StarTek, Inc. (a)                 100                    1,194                  

Superior Consultant Holdings      400                    13,200                 
Corp. (a)                                                                       

Teletech Holdings, Inc. (a)       1,500                  10,500                 

                       SHARES                 VALUE (NOTE 1)

Thermolase Corp. (a)              500                   $ 1,625                 

True North Communications         1,400                  32,638                 

Tuboscope, Inc. (a)               600                    3,225                  

Unifirst Corp.                    100                    2,250                  

Veterinary Centers of             900                    13,500                 
America, Inc. (a)                                                               

Vincam Group, Inc. (a)            750                    13,406                 

Vision Twenty-One, Inc.           100                    369                    

Volt Information Sciences,        200                    3,738                  
Inc. (a)                                                                        

Wackenhut Corp.                   700                    15,838                 

Wackenhut Corrections Corp.       300                    6,413                  
(a)                                                                             

Warrantech Corp. (a)              100                    425                    

Westaff, Inc. (a)                 150                    938                    

York Research Corp. (a)           200                    900                    

Youth Services International,     600                    2,250                  
Inc. (a)                                                                        

Zebra Technologies Corp. (a)      270                    6,969                  

Zebra Technologies Corp.          1,000                  25,813                 
Class A (a)                                                                     

                                           1,862,844

TOTAL SERVICES                                           2,933,516              

TECHNOLOGY - 19.5%                                                              

COMMUNICATIONS EQUIPMENT - 1.2%                                                 

Ace Communication Corp. (a)       100                    338                    

ACT Networks, Inc. (a)            400                    4,650                  

ADC Telecommunications, Inc.      2,900                  117,450                
(a)                                                                             

Advanced Fibre                    1,200                  9,750                  
Communications, Inc. (a)                                                        

Applied Innovation, Inc. (a)      100                    413                    

Applied Signal Technology,        100                    725                    
Inc. (a)                                                                        

Aspect Telecommunications         1,400                  10,763                 
Corp. (a)                                                                       

Brite Voice Systems, Inc. (a)     100                    938                    

Broadband Technologies, Inc.      500                    859                    
(a)                                                                             

Brooktrout Technology, Inc.       400                    4,575                  
(a)                                                                             

C-Phone Corp. (a)                 600                    1,613                  

Carrier Access Corp. (a)          700                    27,650                 

Centigram Communications          100                    1,094                  
Corp. (a)                                                                       

Checkpoint Systems, Inc. (a)      1,100                  9,625                  

Ciena Corp. (a)                   2,300                  64,113                 

CMC Industries, Inc. (a)          100                    463                    

Com21, Inc. (a)                   800                    18,850                 

Comdial Corp. (a)                 100                    688                    

Coyote Network Systems, Inc.      105                    597                    
(a)                                                                             

CustomTracks Corp. (a)            1,000                  8,000                  

Data Race, Inc. (a)               700                    3,938                  

Davox Corp. (a)                   400                    3,450                  

Dialogic Corp. (a)                400                    11,075                 

Digital Link Corp. (a)            100                    613                    

DSP Communications, Inc. (a)      1,100                  16,500                 

Dycom Industries, Inc. (a)        750                    29,766                 

Elcotel, Inc. (a)                 100                    500                    

Excel Switching Corp. (a)         900                    21,263                 

General DataComm Industries       600                    1,463                  
(a)                                                                             

Harmon Industries, Inc.           600                    12,450                 

IFR Systems, Inc. (a)             150                    750                    

Inter-Tel, Inc.                   400                    7,050                  

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

TECHNOLOGY - CONTINUED                                                          

COMMUNICATIONS EQUIPMENT -                                                      
CONTINUED                                                                       

InterDigital Communication        600                   $ 2,925                 
Corp. (a)                                                                       

Intermedia Communications,        1,300                  23,563                 
Inc. (a)                                                                        

InterVoice, Inc. (a)              1,000                  10,875                 

ITI Technologies, Inc. (a)        400                    12,875                 

Jabil Circuit, Inc. (a)           1,600                  52,200                 

Larscom, Inc. Class A (a)         1,300                  2,844                  

Level One Communications,         650                    21,775                 
Inc. (a)                                                                        

Lo Jack Corp. (a)                 1,100                  9,900                  

Metricom, Inc. (a)                100                    619                    

Microlog Corp. (a)                100                    122                    

Mosaix, Inc. (a)                  200                    1,525                  

Natural MicroSystems Corp. (a)    700                    4,244                  

Network Equipment                 500                    4,469                  
Technologies, Inc. (a)                                                          

Norstan, Inc. (a)                 100                    1,000                  

Objective Communications,         300                    356                    
Inc. (a)                                                                        

OSI Systems, Inc. (a)             900                    6,525                  

Osicom Technologies, Inc. (a)     166                    2,677                  

P-Com, Inc. (a)                   1,600                  10,150                 

Pairgain Technologies, Inc.       1,100                  9,488                  
(a)                                                                             

Perceptron, Inc. (a)              200                    1,013                  

Periphonics Corp. (a)             200                    2,100                  

PictureTel Corp. (a)              600                    4,903                  

Plantronics, Inc. (a)             500                    30,250                 

Premisys Communications, Inc.     300                    2,475                  
(a)                                                                             

Reltec Corp. (a)                  1,300                  28,275                 

Shiva Corp. (a)                   1,300                  7,759                  

SoftNet Systems, Inc. (a)         500                    11,125                 

Symmetricom, Inc. (a)             200                    1,350                  

Tekelec (a)                       1,500                  18,188                 

Teltrend, Inc. (a)                400                    7,625                  

Terayon Communication             600                    18,638                 
Systems, Inc. (a)                                                               

Thermo Power Corp. (a)            100                    950                    

Tollgrade Communications,         500                    7,813                  
Inc. (a)                                                                        

Ultrak, Inc. (a)                  100                    769                    

Veramark Technologies, Inc.       100                    738                    
(a)                                                                             

VTEL Corp. (a)                    200                    463                    

Westell Technologies, Inc.        1,000                  5,125                  
Class A (a)                                                                     

Xircom, Inc. (a)                  500                    17,000                 

Xylan Corp. (a)                   700                    18,550                 

Zoom Telephonics, Inc. (a)        100                    413                    

                                         755,626

COMPUTER SERVICES & SOFTWARE                                                    
- 11.8%                                                                         

24/7 Media, Inc. (a)              700                    17,413                 

4Front Software                   400                    4,475                  
International, Inc. (a)                                                         

7Th Level, Inc. (a)               700                    1,925                  

Acceler8 Technology Corp. (a)     400                    1,625                  

Acclaim Entertainment, Inc.       700                    5,469                  
(a)                                                                             

Activision, Inc. (a)              1,000                  10,875                 

Acxiom Corp. (a)                  1,760                  42,130                 

Adept Technology, Inc. (a)        300                    1,988                  

                       SHARES                 VALUE (NOTE 1)

Advantage Learning Systems,       400                   $ 30,100                
Inc. (a)                                                                        

Advent Software, Inc. (a)         400                    18,450                 

Affiliated Computer Services,     1,100                  50,875                 
Inc. Class A (a)                                                                

Affymetrix, Inc. (a)              300                    11,625                 

AlphaNet Solutions, Inc. (a)      1,500                  6,000                  

Alternative Resources Corp.       600                    6,450                  
(a)                                                                             

Alydaar Software Corp. (a)        900                    8,213                  

Amazon.com, Inc. (a)              3,500                  448,438                

American Management Systems,      1,200                  40,050                 
Inc. (a)                                                                        

American Software, Inc. Class     200                    525                    
A (a)                                                                           

Anacomp, Inc. (a)                 400                    5,700                  

Analysts International Corp.      250                    3,563                  

Ansoft Corp. (a)                  400                    2,625                  

AnswerThink Consulting Group,     600                    17,400                 
Inc.                                                                            

Ansys, Inc. (a)                   100                    863                    

Applix, Inc. (a)                  100                    525                    

Ardent Software, Inc. (a)         700                    13,300                 

ARIS Corp. (a)                    700                    9,363                  

Aspect Development, Inc. (a)      800                    24,400                 

Aspen Technology, Inc. (a)        800                    10,250                 

At Home Corp. Series A (a)        2,700                  286,538                

audiohighway.com (a)              600                    5,588                  

Avant! Corp. (a)                  500                    8,625                  

AVT Corp. (a)                     500                    12,938                 

Aware, Inc. (a)                   800                    27,700                 

Axent Technolgies, Inc. (a)       680                    23,333                 

Aztec Technology Partners,        1,000                  4,625                  
Inc. (a)                                                                        

BancTec, Inc. (a)                 1,100                  15,469                 

Banyan Systems, Inc. (a)          1,100                  11,069                 

Barra, Inc. (a)                   600                    13,200                 

Base Ten Systems, Inc. Class A    1,000                  2,000                  

BEA Systems, Inc. (a)             1,200                  20,550                 

Best Software, Inc. (a)           400                    6,500                  

Bisys Group, Inc. (The) (a)       700                    37,363                 

Black Box Corp. (a)               600                    19,350                 

Boole & Babbage, Inc.             900                    24,188                 

Brio Technology, Inc. (a)         600                    11,100                 

broadcast.com, Inc. (a)           800                    67,050                 

BroadVision, Inc. (a)             500                    22,438                 

Broadway & Seymour, Inc. (a)      100                    344                    

BTG, Inc. (a)                     100                    763                    

CACI International, Inc.          100                    1,650                  
Class A (a)                                                                     

Cadence Design Systems, Inc.      4,800                  115,500                
(a)                                                                             

Cambridge Technology              1,100                  27,638                 
Partners, Inc. (a)                                                              

CCC Information Services          1,000                  12,750                 
Group, Inc. (a)                                                                 

Cerner Corp. (a)                  400                    5,650                  

Ciber, Inc. (a)                   1,000                  25,125                 

Citrix Systems, Inc. (a)          900                    69,413                 

Clarify, Inc. (a)                 300                    8,138                  

CMGI, Inc. (a)                    1,000                  122,625                

CNET, Inc. (a)                    300                    34,388                 

Cognizant Technology              400                    17,200                 
Solutions Corp. (a)                                                             

Command Systems, Inc. (a)         1,000                  2,563                  

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

TECHNOLOGY - CONTINUED                                                          

COMPUTER SERVICES & SOFTWARE                                                    
- CONTINUED                                                                     

Complete Business Solutions,      632                   $ 17,854                
Inc. (a)                                                                        

CompuCom Systems, Inc. (a)        700                    3,041                  

CompUSA, Inc. (a)                 1,600                  16,800                 

Computer Concepts Corp. (a)       800                    1,300                  

Computer Learning Centers,        600                    2,588                  
Inc. (a)                                                                        

Computer Management Sciences,     300                    8,325                  
Inc. (a)                                                                        

Computer Task Group, Inc.         300                    6,075                  

Comshare, Inc.                    100                    325                    

Concentric Network Corp. (a)      400                    17,550                 

Concord Communications, Inc.      400                    22,650                 
(a)                                                                             

Connect, Inc. (a)                 1,800                  6,863                  

Convergys Corp. (a)               5,600                  96,950                 

Corsair Communictions, Inc.       400                    1,850                  
(a)                                                                             

Cotelligent, Inc. (a)             100                    1,325                  

CSG Systems International,        700                    49,875                 
Inc. (a)                                                                        

Cybercash, Inc. (a)               200                    2,606                  

CyberOptics Corp. (a)             200                    2,738                  

Cylink Corp. (a)                  500                    2,031                  

DAOU Systems, Inc. (a)            200                    1,063                  

Data Broadcasting Corp. (a)       1,300                  19,825                 

Data Dimensions, Inc. (a)         400                    1,975                  

Data Transmission Network         500                    11,438                 
Corp. (a)                                                                       

Datastream Systems, Inc. (a)      200                    1,863                  

Datatec Systems, Inc. (a)         400                    1,325                  

DecisionOne Holdings Corp. (a)    100                    244                    

Deltek Systems, Inc. (a)          200                    3,025                  

Dendrite International, Inc.      800                    22,500                 
(a)                                                                             

Diamond Multimedia Systems,       500                    3,500                  
Inc. (a)                                                                        

DIDAX, Inc. (a)                   500                    4,313                  

Digi International, Inc. (a)      200                    1,300                  

Digital Courier Technologies,     900                    4,500                  
Inc. (a)                                                                        

DocuCorp International, Inc.      180                    956                    
(a)                                                                             

Documentum, Inc. (a)              500                    10,688                 

DSET Corp. (a)                    600                    7,200                  

DST Systems, Inc. (a)             1,286                  69,766                 

e-Net, Inc. (a)                   900                    3,263                  

Earthlink Network, Inc. (a)       600                    36,113                 

EarthWeb, Inc. (a)                300                    11,363                 

ebay, Inc. (a)                    900                    300,600                

Eclipsys Corp. (a)                810                    24,958                 

Edify Corp. (a)                   1,000                  5,938                  

eFax.com, Inc. (a)                100                    688                    

Egghead.com, Inc. (a)             400                    6,500                  

EIS International, Inc. (a)       200                    500                    

Electric Lightwave, Inc.          700                    5,513                  
Class A (a)                                                                     

Electronic Arts, Inc. (a)         1,200                  47,850                 

Electronic Retailing Systems      100                    175                    
International (a)                                                               

Electronics for Imaging, Inc.     1,000                  34,938                 
(a)                                                                             

Engineering Animation, Inc.       300                    13,575                 
(a)                                                                             

                       SHARES                 VALUE (NOTE 1)

Evolving Systems, Inc. (a)        600                   $ 3,075                 

Excalibur Technologies Corp.      100                    1,069                  
(a)                                                                             

Excite, Inc. (a)                  1,100                  112,750                

Exodus Communications, Inc.       600                    44,025                 
(a)                                                                             

FactSet Research Systems,         450                    18,759                 
Inc.                                                                            

Fair, Isaac & Co., Inc.           100                    4,600                  

FaxSav, Inc. (a)                  900                    6,300                  

Firearms Training Systems,        200                    263                    
Inc. Class A (a)                                                                

Fiserv, Inc. (a)                  1,600                  75,200                 

fonix corp (a)                    1,000                  1,781                  

Forte Software, Inc. (a)          500                    2,625                  

Franklin Electronic               100                    575                    
Publishers (a)                                                                  

Galileo International, Inc.       2,100                  106,050                

General Magic, Inc. (a)           400                    1,963                  

Genesys Telecommunications        600                    10,125                 
Laboratories, Inc. (a)                                                          

GeoCities (a)                     800                    78,200                 

GeoScience Corp. (a)              400                    5,400                  

GeoTel Communications Corp.       400                    17,225                 
(a)                                                                             

Geoworks Corp. (a)                100                    366                    

Gerber Scientific, Inc.           900                    16,763                 

Go2Net, Inc. (a)                  400                    23,400                 

Great Plains Software, Inc.       500                    21,000                 
(a)                                                                             

GT Interactive Software Corp.     1,000                  4,938                  
(a)                                                                             

H.T.E., Inc. (a)                  200                    1,100                  

Harbinger Corp. (a)               667                    4,336                  

Health Management Systems,        500                    2,656                  
Inc. (a)                                                                        

Henry (Jack) & Associates,        500                    18,000                 
Inc.                                                                            

HNC Software, Inc. (a)            300                    8,063                  

Hybrid Networks, Inc. (a)         800                    200                    

Hyperion Solutions Corp. (a)      690                    9,789                  

i2 Technologies, Inc. (a)         1,400                  34,913                 

IDT Corp. (a)                     200                    2,488                  

IDX Systems Corp. (a)             700                    16,625                 

Ikos Systems, Inc. (a)            100                    388                    

ImageMax, Inc. (a)                700                    788                    

IMR Global Corp. (a)              450                    8,156                  

Inacom Corp. (a)                  584                    9,052                  

Indus International, Inc. (a)     200                    744                    

Infinium Software, Inc. (a)       300                    1,275                  

Infonautics, Inc. (a)             1,100                  4,572                  

Information Management            100                    213                    
Association, Inc. (a)                                                           

Information Resources, Inc.       1,300                  10,888                 
(a)                                                                             

Informix Corp. (a)                3,420                  29,925                 

Infoseek Corp. (a)                600                    42,938                 

Inktomi Corp. (a)                 1,000                  62,125                 

Inprise Corp. (a)                 781                    3,905                  

Inso Corp. (a)                    600                    4,181                  

Integrated Systems, Inc. (a)      300                    4,763                  

Intelligroup, Inc. (a)            700                    11,244                 

IntelliQuest Information          100                    1,088                  
Group, Inc. (a)                                                                 

International Network             600                    30,675                 
Services (a)                                                                    

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

TECHNOLOGY - CONTINUED                                                          

COMPUTER SERVICES & SOFTWARE                                                    
- CONTINUED                                                                     

InterVU, Inc. (a)                 700                   $ 14,350                

Intuit, Inc. (a)                  1,300                  128,619                

Investment Technology Group,      300                    12,281                 
Inc. (a)                                                                        

ISS Group, Inc. (a)               600                    36,656                 

J.D. Edwards & Co. (a)            2,600                  41,113                 

JDA Software Group, Inc. (a)      600                    3,750                  

Keane, Inc. (a)                   1,400                  43,313                 

Learning Co., Inc. (The) (a)      1,740                  50,569                 

Legato Systems, Inc. (a)          700                    34,475                 

Level 8 Systems, Inc. (a)         600                    5,700                  

LHS Group, Inc. (a)               1,100                  47,300                 

Logility, Inc. (a)                100                    438                    

Lycos, Inc. (a)                   900                    78,863                 

MacNeal-Schwendler Corp. (a)      100                    563                    

Macromedia, Inc. (a)              700                    21,394                 

Manugistics Group, Inc. (a)       300                    2,363                  

Mapics, Inc. (a)                  800                    8,650                  

MapInfo Corp. (a)                 600                    9,075                  

Marcam Solutions, Inc. (a)        400                    1,100                  

Medical Manager Corp. (a)         700                    19,600                 

Melita International Corp. (a)    400                    7,525                  

Mentor Graphics Corp. (a)         2,000                  28,000                 

Mercury Computer Systems,         600                    11,850                 
Inc. (a)                                                                        

Mercury Interactive Corp. (a)     300                    19,444                 

MessageMedia, Inc. (a)            800                    5,000                  

Meta Group, Inc. (a)              600                    13,425                 

MetaCreations Corp. (a)           300                    1,931                  

Metro Information Services,       600                    13,350                 
Inc. (a)                                                                        

MicroAge, Inc. (a)                300                    2,541                  

Micrografx, Inc. (a)              200                    2,125                  

Micromuse, Inc. (a)               800                    25,800                 

MicroStrategy, Inc. Class A       400                    9,950                  
(a)                                                                             

Microware Systems Corp. (a)       100                    225                    

Midway Games, Inc. (a)            598                    5,120                  

MindSpring Enterprises, Inc.      600                    51,300                 
(a)                                                                             

ModaCAD, Inc. (a)                 300                    4,988                  

Mysoftware Co. (a)                500                    9,250                  

National Computer Systems,        900                    28,828                 
Inc.                                                                            

National Data Corp.               943                    45,559                 

National Instrument Corp. (a)     850                    24,756                 

National Techteam, Inc. (a)       200                    1,300                  

NCR Corp. (a)                     2,400                  98,250                 

NetGravity, Inc. (a)              700                    14,788                 

NetManage, Inc. (a)               727                    1,999                  

Netscape Communications Corp.     2,200                  170,363                
(a)                                                                             

NetSpeak Corp. (a)                500                    7,688                  

Network Peripherals, Inc. (a)     400                    2,900                  

Network Solutions, Inc. Class     200                    36,300                 
A (a)                                                                           

Networks Associates, Inc. (a)     2,818                  132,446                

                       SHARES                 VALUE (NOTE 1)

New Era of Networks, Inc. (a)     600                   $ 37,425                

Novadigm, Inc. (a)                900                    6,188                  

Oak Technology, Inc. (a)          1,900                  6,234                  

Object Design, Inc. (a)           1,400                  9,013                  

Objective Systems                 500                    1,500                  
Integrators, Inc. (a)                                                           

Omega Research, Inc. (a)          100                    1,188                  

Omtool Ltd. (a)                   700                    3,063                  

OnHealth Network Co. (a)          700                    7,700                  

Ontrack Data International,       300                    1,238                  
Inc. (a)                                                                        

Open Market, Inc. (a)             500                    6,500                  

Orcad, Inc. (a)                   100                    700                    

Peerless Systems Corp. (a)        400                    3,750                  

Pegasus Systems, Inc. (a)         600                    22,500                 

Pegasystems, Inc. (a)             400                    1,900                  

Peregrine Systems, Inc. (a)       1,000                  25,625                 

Peritus Software Services,        1,100                  619                    
Inc. (a)                                                                        

Personnel Group of America,       900                    11,869                 
Inc. (a)                                                                        

Pervasive Software, Inc. (a)      100                    1,788                  

Phoenix International, Inc.       150                    994                    
(a)                                                                             

Phoenix Technologies Ltd. (a)     990                    7,239                  

Physician Computer Network,       200                    63                     
Inc. (a)                                                                        

Pilot Network Services, Inc.      1,000                  8,375                  
(a)                                                                             

Platinum Software Corp. (a)       1,035                  7,504                  

Platinum Technology, Inc. (a)     1,534                  20,326                 

Policy Management Systems         1,000                  36,563                 
Corp. (a)                                                                       

Polycom, Inc. (a)                 600                    12,150                 

Preview Travel, Inc. (a)          700                    14,263                 

Progress Software Corp. (a)       450                    13,838                 

Project Software &                400                    9,700                  
Development, Inc. (a)                                                           

ProxyMed, Inc. (a)                400                    4,000                  

PSINet, Inc. (a)                  1,000                  35,813                 

PSW Technologies, Inc. (a)        100                    434                    

Puma Technology, Inc. (a)         100                    469                    

QAD, Inc. (a)                     200                    800                    

QRS Corp. (a)                     300                    14,944                 

Quadramed Corp. (a)               600                    9,300                  

Qualix Group, Inc. (a)            1,000                  6,375                  

Quickturn Design Systems,         900                    12,600                 
Inc. (a)                                                                        

Radiant Systems, Inc. (a)         400                    3,675                  

Rainbow Technologies, Inc. (a)    150                    2,381                  

Rational Software Corp. (a)       1,700                  50,469                 

RealNetworks, Inc. (a)            700                    49,088                 

Remedy Corp. (a)                  400                    8,225                  

Rogue Wave Software, Inc. (a)     500                    4,125                  

Ross Systems, Inc. (a)            1,000                  3,031                  

Sabre Group Holdings, Inc.        700                    27,475                 
Class A (a)                                                                     

Sanchez Computer Associates,      300                    6,788                  
Inc. (a)                                                                        

Santa Cruz Operation, Inc. (a)    500                    2,469                  

Sapient Corp.                     600                    40,125                 

SeaChange International, Inc.     100                    781                    
(a)                                                                             

Secure Computing Corp. (a)        600                    11,325                 

Security Dynamics                 700                    12,950                 
Technologies, Inc. (a)                                                          

Segue Software, Inc. (a)          400                    4,925                  

SEI Investments Co.               400                    39,600                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

TECHNOLOGY - CONTINUED                                                          

COMPUTER SERVICES & SOFTWARE                                                    
- CONTINUED                                                                     

Siebel Systems, Inc. (a)          1,891                 $ 83,204                

Simione Central Holdings,         100                    200                    
Inc. (a)                                                                        

Socrates Technologies Corp.       100                    256                    
(a)                                                                             

Software AG Systems, Inc. (a)     900                    10,069                 

Software Spectrum, Inc. (a)       300                    3,713                  

Sportsline USA, Inc. (a)          800                    36,000                 

SPR, Inc. (a)                     450                    6,750                  

SPSS, Inc. (a)                    100                    1,963                  

Spyglass, Inc. (a)                200                    2,463                  

SS&C Technologies, Inc. (a)       200                    3,600                  

Stac Electronics                  300                    291                    

STB Systems, Inc. (a)             900                    5,850                  

Sterling Software, Inc. (a)       1,800                  45,900                 

Structural Dynamics Research      500                    9,750                  
Corp. (a)                                                                       

Summit Design, Inc. (a)           100                    350                    

SunGard Data Systems, Inc. (a)    2,036                  80,677                 

Sunquest Information Systems,     200                    2,400                  
Inc. (a)                                                                        

Sybase, Inc. (a)                  1,200                  9,750                  

Sykes Enterprises, Inc. (a)       1,200                  34,200                 

Symantec Corp. (a)                1,000                  18,063                 

Symix Systems, Inc. (a)           400                    8,250                  

Synopsys, Inc. (a)                1,365                  63,131                 

Syntel, Inc. (a)                  1,100                  10,588                 

System Software Associates,       600                    1,988                  
Inc. (a)                                                                        

Systems & Computer Technology     400                    3,250                  
Corp. (a)                                                                       

Systemsoft Corp. (a)              400                    200                    

Take-Two Interactive              1,100                  11,963                 
Software, Inc. (a)                                                              

Tangram Enterprise Solutions,     100                    300                    
Inc. (a)                                                                        

TAVA Technologies, Inc. (a)       500                    3,094                  

TCSI Corp. (a)                    300                    605                    

Technology Solutions, Inc. (a)    1,200                  9,825                  

Telescan, Inc. (a)                700                    9,056                  

Tera Computer Co. (a)             1,100                  5,500                  

THINK New Ideas, Inc. (a)         100                    825                    

Thinking Tools, Inc. (a)          100                    38                     

ThrustMaster, Inc. (a)            400                    5,200                  

Tier Technologies, Inc. (a)       700                    9,144                  

Timberline Software Corp.         400                    5,950                  

Titan Corp. (a)                   373                    2,098                  

Total System Services, Inc.       3,950                  89,863                 

Transaction Systems               800                    31,450                 
Architects, Inc. Class A (a)                                                    

TSI International Software        300                    15,056                 
Ltd. (a)                                                                        

TSR, Inc. (a)                     300                    2,438                  

Tyler Corp. (a)                   300                    1,650                  

Unicomp, Inc. (a)                 100                    331                    

Unify Corp. (a)                   900                    11,419                 

Unigraphics Solutions, Inc.       500                    8,469                  
Class A (a)                                                                     

USWEB Corp. (a)                   1,650                  55,584                 

                       SHARES                 VALUE (NOTE 1)

Vantive Corp. (a)                 400                   $ 4,600                 

Verilink Corp. (a)                100                    381                    

Verio, Inc. (a)                   700                    19,863                 

VeriSign, Inc. (a)                600                    58,800                 

Veritas Software Corp. (a)        950                    67,450                 

Verity, Inc. (a)                  500                    19,313                 

Versant Corp. (a)                 300                    441                    

Vertel Corp. (a)                  300                    534                    

Viasoft, Inc. (a)                 200                    963                    

Visio Corp. (a)                   800                    23,000                 

Visioneer, Inc. (a)               300                    488                    

Visual Networks, Inc. (a)         600                    23,550                 

Walker Interactive Systems,       500                    2,656                  
Inc. (a)                                                                        

Wall Data, Inc. (a)               600                    12,450                 

Wang Laboratories, Inc. (a)       1,400                  33,425                 

Wave Systems Corp. Class A (a)    900                    9,113                  

WavePhore, Inc. (a)               700                    4,900                  

White Pine Software, Inc. (a)     200                    550                    

Whittman-Hart, Inc. (a)           1,200                  37,575                 

Wind River Systems, Inc. (a)      900                    20,531                 

Xionics Document                  100                    300                    
Technologies, Inc. (a)                                                          

Xybernaut Corp. (a)               900                    3,684                  

Yahoo!, Inc. (a)                  4,400                  675,400                

Zitel Corp. (a)                   200                    569                    

                                           7,370,134

COMPUTERS & OFFICE EQUIPMENT                                                    
- 2.1%                                                                          

Adaptec, Inc. (a)                 2,200                  43,863                 

Advanced Digital Information      400                    6,800                  
Corp. (a)                                                                       

Alpha Microsystems (a)            1,100                  6,119                  

Amplicon, Inc.                    100                    1,250                  

Ancor Communications, Inc. (a)    100                    625                    

Apex PC Solutions, Inc. (a)       400                    9,800                  

Applied Magnetics Corp. (a)       300                    1,200                  

ATEC Group, Inc. (a)              300                    2,606                  

Aura Systems, Inc. (a)            1,200                  600                    

Auspex Systems, Inc. (a)          600                    6,038                  

Bell & Howell Co. (a)             800                    26,500                 

Boca Research, Inc. (a)           100                    388                    

Boundless Corp. (a)               400                    1,875                  

Box Hill Systems Corp. (a)        1,100                  5,775                  

Caere Corp. (a)                   500                    7,375                  

CDW Computer Centers, Inc. (a)    400                    27,850                 

CHS Electronics, Inc. (a)         1,000                  7,000                  

Coinstar, Inc. (a)                1,000                  15,750                 

Comdisco, Inc.                    3,500                  42,000                 

Computer Network Technology       1,200                  14,250                 
Corp. (a)                                                                       

Comverse Technology, Inc. (a)     830                    59,553                 

Concurrent Computer Corp. (a)     1,500                  6,609                  

Cross (A.T.) Co.                  200                    1,250                  

Cybex Corp.                       525                    13,584                 

Diebold, Inc.                     1,300                  37,944                 

Digital Lightwave, Inc. (a)       400                    1,525                  

Digital River, Inc. (a)           800                    30,800                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

TECHNOLOGY - CONTINUED                                                          

COMPUTERS & OFFICE EQUIPMENT                                                    
- CONTINUED                                                                     

Drexler Technology Corp. (a)      100                   $ 1,100                 

Dunn Computer Corp. (a)           1,200                  4,650                  

ECCS, Inc. (a)                    100                    125                    

Emulex Corp. (a)                  400                    15,000                 

En Pointe Technologies, Inc.      700                    4,375                  
(a)                                                                             

Encad, Inc. (a)                   400                    1,850                  

Equinox Systems, Inc. (a)         450                    5,063                  

Evans & Sutherland Computer       600                    9,600                  
Corp. (a)                                                                       

Exabyte Corp. (a)                 700                    3,500                  

FileNET Corp. (a)                 400                    3,213                  

FOCUS Enhancements, Inc. (a)      200                    319                    

Fore Systems, Inc. (a)            2,200                  31,900                 

FVC.com, Inc. (a)                 700                    8,838                  

General Binding Corp.             100                    2,725                  

General Scanning, Inc. (a)        200                    1,325                  

Genicom Corp. (a)                 100                    216                    

Globix Corp. (a)                  700                    17,806                 

Hauppauge Digital, Inc. (a)       400                    3,500                  

HMT Technology Corp. (a)          600                    4,144                  

Hunt Corp.                        100                    1,019                  

Hutchinson Technology, Inc.       300                    9,338                  
(a)                                                                             

Identix, Inc. (a)                 300                    1,931                  

Ingram Micro, Inc. Class A (a)    900                    19,800                 

Insight Enterprises, Inc. (a)     750                    17,438                 

Intergraph Corp. (a)              1,900                  10,509                 

Iomega Corp. (a)                  5,400                  32,738                 

Itron, Inc. (a)                   100                    700                    

Javelin Systems, Inc. (a)         700                    8,575                  

Komag, Inc. (a)                   1,700                  11,900                 

Kronos, Inc. (a)                  400                    16,925                 

Lexmark International Group,      1,400                  144,463                
Inc. Class A (a)                                                                

Manchester Equipment Co.,         1,900                  6,531                  
Inc. (a)                                                                        

Miami Computer Supply Corp.       600                    13,125                 
(a)                                                                             

Micron Electronics, Inc. (a)      1,800                  25,875                 

MICROS Systems, Inc. (a)          600                    16,725                 

Microtouch Systems, Inc. (a)      100                    1,756                  

MMC Networks, Inc. (a)            1,000                  14,063                 

MRV Communications, Inc. (a)      700                    4,681                  

MTI Technology Corp. (a)          1,600                  9,200                  

Neoware Systems, Inc. (a)         900                    1,013                  

Netopia, Inc. (a)                 900                    5,625                  

Network Appliance, Inc. (a)       1,600                  67,200                 

Network Computing Devices,        400                    2,150                  
Inc. (a)                                                                        

NewCom, Inc. (a)                  400                    300                    

ObjectSoft Corp. (a)              1,900                  5,700                  

ODS Networks, Inc. (a)            200                    725                    

Overland Data, Inc. (a)           900                    7,200                  

Par Technology Corp. (a)          100                    650                    

Performance Technologies,         100                    1,119                  
Inc. (a)                                                                        

                       SHARES                 VALUE (NOTE 1)

Planar Systems, Inc. (a)          900                   $ 7,650                 

Pomeroy Computer Resources,       300                    6,788                  
Inc. (a)                                                                        

Printronix, Inc. (a)              100                    1,313                  

Procom Technology, Inc. (a)       100                    625                    

Proxim, Inc. (a)                  500                    15,625                 

PSC, Inc. (a)                     200                    1,688                  

Quantum Corp. (a)                 3,426                  56,315                 

Radisys Corp. (a)                 300                    7,688                  

Read-Rite Corp. (a)               1,300                  11,050                 

Safeguard Scientifics, Inc.       500                    18,688                 
(a)                                                                             

SanDisk Corp. (a)                 400                    11,200                 

Scan-Optics, Inc. (a)             100                    419                    

ScanSource, Inc. (a)              100                    2,150                  

SCI Systems, Inc. (a)             1,200                  37,125                 

SCM Microsystems, Inc. (a)        300                    24,900                 

SED International Holdings,       100                    363                    
Inc. (a)                                                                        

SEEQ Technology, Inc. (a)         300                    769                    

Sequent Computer Systems,         600                    5,719                  
Inc. (a)                                                                        

Splash Technology Holdings,       200                    1,400                  
Inc. (a)                                                                        

Storage Computer Corp. (a)        100                    213                    

Symbol Technologies, Inc.         1,150                  60,950                 

Syquest Technology, Inc. (a)      1,700                  159                    

Tech Data Corp. (a)               900                    15,300                 

Telxon Corp.                      600                    3,825                  

Texas Micro, Inc. (a)             100                    500                    

Tidel Technologies, Inc. (a)      2,100                  4,856                  

Transact Technologies, Inc.       100                    294                    
(a)                                                                             

Trident Microsystems, Inc. (a)    1,200                  6,600                  

Trinitech Systems, Inc. (a)       100                    775                    

UniView Technologies Corp. (a)    1,100                  1,444                  

Valence Technology, Inc. (a)      300                    2,213                  

Vitech America, Inc. (a)          110                    1,148                  

Voice Control Systems, Inc.       600                    1,875                  
(a)                                                                             

Western Digital Corp. (a)         1,600                  15,400                 

                                           1,284,179

ELECTRONIC INSTRUMENTS - 1.0%                                                   

ADE Corp. (a)                     400                    5,450                  

Aeroflex, Inc. (a)                500                    6,719                  

Aetrium, Inc. (a)                 100                    725                    

Anadigics, Inc. (a)               200                    2,838                  

Analogic Corp.                    100                    3,775                  

Aurora Biosciences Corp. (a)      200                    1,550                  

Autocyte, Inc. (a)                100                    450                    

Barringer Technologies, Inc.      600                    4,500                  
(a)                                                                             

Beckman Coulter, Inc.             900                    43,481                 

BTU International, Inc. (a)       100                    344                    

Cerprobe Corp. (a)                200                    3,000                  

Cholestech Corp. (a)              100                    300                    

Chromatics Color Sciences         650                    4,306                  
International, Inc. (a)                                                         

Chromavision Medical Systems,     100                    763                    
Inc. (a)                                                                        

Cognex Corp. (a)                  700                    17,500                 

Cohu, Inc.                        300                    7,088                  

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

TECHNOLOGY - CONTINUED                                                          

ELECTRONIC INSTRUMENTS -                                                        
CONTINUED                                                                       

Credence Systems Corp. (a)        300                   $ 6,338                 

DBT Online, Inc. (a)              200                    4,725                  

Electro Scientific                400                    14,625                 
Industries, Inc. (a)                                                            

FARO Technologies, Inc. (a)       100                    550                    

FEI Co. (a)                       100                    863                    

Fisher Scientific                 800                    13,900                 
International, Inc. (a)                                                         

GenRad, Inc. (a)                  500                    8,563                  

Hach Co. Class A (non-vtg.)       100                    813                    

Helix Technology, Inc.            400                    7,875                  

Hurco Companies, Inc. (a)         100                    431                    

Isco, Inc.                        100                    500                    

Kollmorgen Corp.                  100                    1,500                  

Kulicke & Soffa Industries,       300                    7,613                  
Inc. (a)                                                                        

LAM Research Corp. (a)            1,100                  32,519                 

LeCroy Corp. (a)                  500                    8,719                  

LTX Corp. (a)                     2,500                  10,000                 

Medar, Inc. (a)                   100                    163                    

Mesa Laboratories, Inc. (a)       100                    475                    

Metrika Systems Corp. (a)         100                    800                    

Molecular Devices Corp. (a)       100                    2,588                  

Newport Corp.                     100                    1,706                  

Novellus Systems, Inc. (a)        700                    41,344                 

Optical Coating Laboratories,     600                    19,200                 
Inc.                                                                            

PPT Vision, Inc. (a)              100                    488                    

Quad Systems Corp. (a)            100                    238                    

Sawtek, Inc. (a)                  700                    15,575                 

SBS Technologies, Inc. (a)        500                    9,500                  

Schmitt Industries, Inc. (a)      100                    350                    

Silicon Valley Group, Inc. (a)    1,100                  14,644                 

Smart Modular Technologies,       1,100                  17,669                 
Inc. (a)                                                                        

Tech-Sym Corp. (a)                600                    15,000                 

Teradyne, Inc. (a)                1,800                  85,725                 

Thermedics Detection, Inc. (a)    100                    888                    

Thermo Bioanalysis Corp. (a)      800                    13,550                 

Thermo Instrument Systems,        2,200                  32,588                 
Inc. (a)                                                                        

Thermo Optek Corp. (a)            400                    4,350                  

Thermo Vision Corp. (a)           42                     179                    

Thermoquest Corp. (a)             600                    6,600                  

Trimble Navigation Ltd. (a)       1,200                  9,900                  

TSI, Inc.                         100                    850                    

Varian Associates, Inc.           1,000                  32,000                 

Waters Corp. (a)                  800                    74,450                 

Wireless Telecom Group, Inc.      200                    325                    

X-Rite, Inc.                      300                    2,100                  

Zygo Corp. (a)                    400                    4,500                  

                                         630,068

ELECTRONICS - 3.3%                                                              

3Dfx Interactive, Inc. (a)        500                    5,438                  

8X8, Inc. (a)                     1,000                  4,375                  

                       SHARES                 VALUE (NOTE 1)

Act Manufacturing, Inc. (a)       400                   $ 6,050                 

Actel Corp. (a)                   800                    10,400                 

Advanced Energy Industries,       400                    7,700                  
Inc. (a)                                                                        

Align-Rite International,         100                    1,250                  
Inc. (a)                                                                        

Alliance Semiconductor Corp.      1,200                  4,200                  
(a)                                                                             

Alpine Group, Inc. (a)            200                    2,400                  

Altera Corp. (a)                  2,100                  102,113                

Amphenol Corp. (New) Class A      200                    7,163                  
(a)                                                                             

Analog Devices, Inc. (a)          3,400                  85,213                 

Anaren Microwave, Inc. (a)        400                    9,625                  

Applied Digital Access, Inc.      100                    244                    
(a)                                                                             

Applied Micro Circuits Corp.      700                    27,475                 
(a)                                                                             

Applied Science & Technology,     150                    1,744                  
Inc. (a)                                                                        

Arrow Electronics, Inc. (a)       2,200                  31,213                 

Artesyn Technologies, Inc. (a)    1,200                  17,775                 

Artisan Components, Inc. (a)      900                    5,231                  

Atmel Corp. (a)                   2,400                  41,250                 

Audiovox Corp. Class A (a)        200                    1,338                  

Avnet, Inc.                       1,100                  43,656                 

AVX Corp.                         2,500                  34,219                 

Bel Fuse, Inc. Class A (a)        300                    13,800                 

Bell Industries, Inc. (a)         1,100                  12,238                 

Benchmark Electronics, Inc.       100                    3,000                  
(a)                                                                             

Brightpoint, Inc. (a)             1,400                  20,825                 

Broadcom Corp. Class A            400                    24,075                 

Burr-Brown Corp. (a)              600                    12,150                 

C-Cube Microsystems, Inc. (a)     1,000                  18,750                 

C.P. Clare Corp. (a)              700                    3,194                  

CFM Technologies, Inc. (a)        100                    994                    

Cidco, Inc. (a)                   800                    3,450                  

Cirrus Logic, Inc. (a)            1,700                  13,813                 

Conexant Systems, Inc. (a)        1,600                  27,200                 

Cree Research, Inc. (a)           400                    13,075                 

CTS Corp.                         600                    29,363                 

Cypress Semiconductor Corp.       1,300                  12,431                 
(a)                                                                             

Dallas Semiconductor Corp.        400                    14,150                 

Digital Microwave Corp. (a)       1,330                  10,598                 

DII Group, Inc. (a)               900                    21,038                 

EFTC Corp. (a)                    1,500                  6,516                  

Electroglas, Inc. (a)             400                    5,163                  

Electromagnetic Sciences,         100                    1,413                  
Inc. (a)                                                                        

ESS Technology, Inc. (a)          600                    3,450                  

Esterline Technologies Corp.      200                    3,425                  
(a)                                                                             

Etec Systems, Inc. (a)            400                    17,725                 

Exar Corp. (a)                    400                    6,075                  

Ferrofluidics Corp. (a)           100                    347                    

Gatefield Corp. (a)               300                    234                    

General Semiconductor, Inc.       500                    3,250                  
(a)                                                                             

Griffon Corp. (a)                 400                    3,600                  

Hadco Corp. (a)                   200                    6,375                  

Harmonic Lightwaves, Inc. (a)     400                    9,550                  

hi/fn, Inc. (a)                   76                     2,033                  

Ibis Technology Corp. (a)         400                    4,625                  

Illinois Superconductor Corp.     1,100                  1,169                  
(a)                                                                             

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

TECHNOLOGY - CONTINUED                                                          

ELECTRONICS - CONTINUED                                                         

Innovex, Inc.                     400                   $ 6,050                 

Integrated Circuit Systems,       200                    3,725                  
Inc. (a)                                                                        

Integrated Device Technology,     1,300                  8,369                  
Inc. (a)                                                                        

Integrated Silicon Solution       400                    1,113                  
(a)                                                                             

International Rectifier Corp.     800                    5,500                  
(a)                                                                             

Intevac, Inc. (a)                 100                    850                    

Invision Technologies, Inc.       1,300                  6,744                  
(a)                                                                             

Katy Industries, Inc.             100                    1,688                  

KEMET Corp. (a)                   600                    6,600                  

Kent Electronics Corp. (a)        400                    4,550                  

Kopin Corp. (a)                   100                    1,650                  

Lattice Semiconductor Corp.       400                    15,950                 
(a)                                                                             

Linear Technology Corp.           3,200                  140,200                

Marshall Industries (a)           700                    9,975                  

Maxim Integrated Products,        2,800                  116,725                
Inc. (a)                                                                        

Maxwell Technologies, Inc. (a)    400                    10,275                 

MEMC Electronic Materials,        700                    5,075                  
Inc. (a)                                                                        

Merix Corp. (a)                   400                    2,200                  

Methode Electronics, Inc.         600                    6,300                  
Class A                                                                         

Micrel, Inc. (a)                  600                    27,000                 

Micro Linear Corp. (a)            100                    500                    

Microchip Technology, Inc. (a)    900                    24,525                 

Microsemi Corp. (a)               400                    4,200                  

Molex, Inc.                       3,175                  84,931                 

Mylex Corp. (a)                   200                    2,300                  

NeoMagic Corp. (a)                800                    8,700                  

Optek Technology, Inc. (a)        400                    6,400                  

Opti, Inc. (a)                    200                    950                    

Pacific Aerospace &               700                    1,400                  
Electronics, Inc. (a)                                                           

Panda Project, Inc. (a)           100                    38                     

Parlex Corp. (a)                  100                    1,000                  

Pericom Semiconductor Corp.       900                    8,888                  
(a)                                                                             

Photronics, Inc. (a)              600                    12,338                 

Pioneer Standard Electronics,     1,300                  10,075                 
Inc.                                                                            

Plexus Corp. (a)                  200                    6,538                  

Power Integrations, Inc. (a)      600                    14,475                 

Power-One, Inc. (a)               1,100                  10,725                 

Praegitzer Industries, Inc.       100                    750                    
(a)                                                                             

QLogic Corp. (a)                  400                    23,250                 

Quality Semiconductor, Inc.       200                    800                    
(a)                                                                             

Rambus, Inc. (a)                  500                    36,344                 

Ramtron International Corp.       600                    338                    
(a)                                                                             

Reptron Electronics, Inc. (a)     100                    388                    

Research Frontiers, Inc. (a)      100                    806                    

RF Micro Devices, Inc. (a)        500                    38,500                 

S3, Inc. (a)                      1,100                  9,694                  

Sanmina Corp. (a)                 1,172                  61,237                 

SDL, Inc. (a)                     500                    27,250                 

Semtech Corp. (a)                 500                    15,188                 

                       SHARES                 VALUE (NOTE 1)

Sheldahl, Inc. (a)                200                   $ 1,250                 

Siliconix, Inc. (a)               100                    2,163                  

Sipex Corp. (a)                   600                    6,863                  

Standard Microsystems Corp.       400                    3,300                  
(a)                                                                             

Sterling Commerce, Inc. (a)       1,886                  49,036                 

Storage Technology Corp. (a)      2,000                  69,625                 

Supertex, Inc. (a)                100                    1,100                  

Tegal Corp. (a)                   100                    313                    

Telcom Semiconductor, Inc. (a)    200                    863                    

Telscape International, Inc.      200                    1,500                  
(a)                                                                             

TII Industries, Inc. (a)          200                    456                    

Transwitch Corp. (a)              500                    17,375                 

Triquint Semiconductor, Inc.      200                    3,313                  
(a)                                                                             

Triumph Group, Inc. (a)           100                    2,563                  

Uniphase Corp. (a)                800                    70,500                 

Unitrode Corp. (a)                1,100                  14,988                 

Universal Display Corp. (a)       100                    456                    

Vari-L, Inc. (a)                  400                    2,600                  

Videoserver, Inc. (a)             600                    7,650                  

Vishay Intertechnology, Inc.      1,460                  18,889                 

Vitesse Semiconductor Corp.       1,500                  68,906                 
(a)                                                                             

VLSI Technology, Inc. (a)         700                    10,850                 

Voxware, Inc. (a)                 200                    250                    

World Access, Inc. (a)            1,055                  8,308                  

Xilinx, Inc. (a)                  1,500                  104,625                

Zoran Corp. (a)                   200                    3,600                  

                                           2,043,575

PHOTOGRAPHIC EQUIPMENT - 0.1%                                                   

3D Systems Corp. (a)              500                    3,188                  

Imation Corp. (a)                 1,500                  23,250                 

In Focus Systems, Inc. (a)        700                    5,775                  

Panavision, Inc. (a)              5                      47                     

VirtualFund.com, Inc. (a)         100                    203                    

                                        32,463

TOTAL TECHNOLOGY                                         12,116,045             

TRANSPORTATION - 2.0%                                                           

AIR TRANSPORTATION - 0.8%                                                       

800 Travel Systems, Inc. (a)      1,000                  5,688                  

AHI Services, Inc. (a)            600                    15,675                 

AirTran Holdings, Inc. (a)        3,000                  10,125                 

Alaska Air Group, Inc. (a)        300                    15,206                 

America West Holding Corp.        900                    15,300                 
Class B (a)                                                                     

ASA Holdings, Inc.                700                    23,494                 

Atlantic Coast Airlines           700                    22,400                 
Holdings (a)                                                                    

Atlas Air, Inc. (a)               600                    18,075                 

Comair Holdings, Inc.             1,600                  60,200                 

Continental Airlines, Inc.        1,100                  38,088                 
Class B (a)                                                                     

Frontier Airlines, Inc. (a)       1,500                  13,500                 

Mesa Air Group, Inc. (a)          500                    3,406                  

Mesaba Holdings, Inc. (a)         800                    12,200                 

Midway Airlines Corp. (a)         300                    3,863                  

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

TRANSPORTATION - CONTINUED                                                      

AIR TRANSPORTATION - CONTINUED                                                  

Midwest Express Holdings,         750                   $ 20,156                
Inc. (a)                                                                        

Navigant International, Inc.      1,400                  7,875                  
(a)                                                                             

Northwest Airlines Corp.          2,000                  50,000                 
Class A (a)                                                                     

SkyWest, Inc.                     600                    18,863                 

Transportation World              1,300                  7,719                  
Airlines, Inc. (a)                                                              

Travel Services                   600                    9,150                  
International, Inc. (a)                                                         

UAL Corp. (a)                     1,300                  77,675                 

Viad Corp.                        1,800                  47,588                 

World Airways, Inc. (a)           800                    900                    

                                         497,146

RAILROADS - 0.3%                                                                

ABC Rail Products Corp. (a)       100                    1,413                  

Florida East Coast Industries     500                    13,563                 

Kansas City Southern              2,400                  112,200                
Industries, Inc.                                                                

MotivePower Industries, Inc.      500                    13,781                 
(a)                                                                             

Railtex, Inc. (a)                 100                    1,088                  

Trinity Industries, Inc.          900                    29,644                 

Westinghouse Air Brake Co.        400                    7,925                  

Wisconsin Central                 800                    11,000                 
Transportation Corp. (a)                                                        

                                         190,614

SHIPPING - 0.1%                                                                 

Alexander & Baldwin, Inc.         1,600                  31,600                 

Gulfmark Offshore, Inc. (a)       100                    1,200                  

Hvide Marine, Inc. (a)            1,000                  4,563                  

International Shipholding         100                    1,575                  
Corp.                                                                           

Kirby Corp. (a)                   275                    4,675                  

Marine Transport Corp. (a)        30                     83                     

OMI Corp. (a)                     300                    469                    

Trico Marine Services, Inc.       1,000                  4,500                  
(a)                                                                             

                                        48,665

TRUCKING & FREIGHT - 0.8%                                                       

Air Express International         1,100                  19,319                 
Corp.                                                                           

Airborne Freight Corp.            1,200                  46,800                 

AirNet Systems, Inc. (a)          400                    3,450                  

American Freightways Corp. (a)    800                    12,475                 

Arkansas Best Corp. (a)           1,300                  9,994                  

Arnold Industries, Inc.           300                    4,575                  

C.H. Robinson Worldwide, Inc.     1,300                  34,125                 

Carey International, Inc. (a)     400                    7,025                  

Celadon Group, Inc. (a)           700                    7,263                  

Circle International Group,       400                    6,850                  
Inc.                                                                            

CNF Transportation, Inc.          1,200                  50,700                 

Consolidated Freightways          1,000                  14,500                 
Corp. (a)                                                                       

Covenant Transport, Inc.          600                    10,875                 
Class A (a)                                                                     

Dynamex, Inc. (a)                 1,500                  5,531                  

Eagle USA Airfreight, Inc. (a)    800                    23,100                 

Expeditors International of       700                    32,594                 
Washington, Inc.                                                                

                       SHARES                 VALUE (NOTE 1)

Fritz Companies, Inc. (a)         600                   $ 4,463                 

Frozen Food Express               100                    756                    
Industries, Inc.                                                                

Heartland Express, Inc. (a)       400                    6,450                  

Hub Group, Inc. Class A (a)       100                    1,950                  

Hunt (J.B.) Transport             600                    14,100                 
Services, Inc.                                                                  

Jevic Transportaion, Inc. (a)     500                    2,875                  

Knights Transportation, Inc.      150                    3,188                  
(a)                                                                             

Landstar System, Inc. (a)         200                    7,544                  

M.S. Carriers, Inc. (a)           100                    2,700                  

Mark VII, Inc. (a)                100                    1,681                  

Old Dominion Freight Lines,       100                    1,100                  
Inc. (a)                                                                        

Pittston Co. (Burlington          400                    2,875                  
Group)                                                                          

Roadway Express, Inc.             500                    7,688                  

Rollins Truck Leasing Corp.       850                    9,031                  

Simon Transportation              500                    2,375                  
Services, Inc. Class A (a)                                                      

Swift Transportation Co.,         1,100                  32,931                 
Inc. (a)                                                                        

Trailer Bridge, Inc. (a)          100                    253                    

Transit Group, Inc. (a)           100                    438                    

US Xpress Enterprises, Inc.       600                    9,600                  
(a)                                                                             

USA Truck, Inc. (a)               100                    1,156                  

USFreightways Corp.               800                    25,500                 

Werner Enterprises, Inc.          775                    13,853                 

XTRA Corp.                        600                    23,925                 

Yellow Corp. (a)                  800                    14,300                 

                                         479,908

TOTAL TRANSPORTATION                                     1,216,333              

UTILITIES - 8.7%                                                                

CELLULAR - 1.1%                                                                 

Advanced Radio Telecom Corp.      400                    3,200                  
(a)                                                                             

Aerial Communications, Inc.       600                    4,200                  
(a)                                                                             

American Mobile Satellite         300                    1,294                  
Corp. (a)                                                                       

Applied Cellular Technology,      2,300                  6,325                  
Inc. (a)                                                                        

Arch Communications Group,        100                    150                    
Inc. (a)                                                                        

Associated Group, Inc. Class      1,000                  49,813                 
A (a)                                                                           

Boston Communications Group,      100                    1,150                  
Inc. (a)                                                                        

Cellnet Data Systems, Inc. (a)    1,800                  11,363                 

Cellular Communication of         500                    12,313                 
Puerto Rico, Inc.                                                               

Cellular Communications           200                    15,713                 
International, Inc. (a)                                                         

Century Telephone                 1,850                  114,238                
Enterprises, Inc.                                                               

CoreComm Ltd. (a)                 500                    18,688                 

General Communications, Inc.      400                    1,950                  
Class A (a)                                                                     

Geotek Communications, Inc.       2,000                  44                     
(a)                                                                             

LCC International, Inc. (a)       500                    2,750                  

Lightbridge, Inc. (a)             100                    475                    

Metrocall, Inc. (a)               1,700                  6,800                  

PageMart Wireless, Inc. Class     500                    3,000                  
A (a)                                                                           

Paging Network, Inc. (a)          2,900                  11,600                 

Powertel, Inc. (a)                800                    10,400                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

UTILITIES - CONTINUED                                                           

CELLULAR - CONTINUED                                                            

QUALCOMM, Inc.                    1,400                 $ 102,200               

Rural Cellular Corp. Class A      100                    1,400                  
(a)                                                                             

SkyTel Communications, Inc.       1,100                  19,800                 
(a)                                                                             

Telephone & Data Systems,         1,500                  75,375                 
Inc.                                                                            

Teligent, Inc. Class A (a)        400                    15,725                 

United States Cellular Corp.      2,300                  96,888                 
(a)                                                                             

USCI, Inc. (a)                    100                    19                     

Vanguard Cellular Systems,        1,200                  33,450                 
Inc. Class A (a)                                                                

Western Wireless Corp. Class      1,300                  35,181                 
A (a)                                                                           

                                         655,504

ELECTRIC UTILITY - 3.6%                                                         

Allegheny Energy, Inc.            2,400                  71,250                 

Avista Corp.                      1,900                  31,113                 

BEC Energy                        700                    25,506                 

Black Hills Corp.                 250                    5,625                  

Calenergy, Inc. (a)               1,700                  47,706                 

Calpine Corp. (a)                 900                    29,475                 

Central Hudson Gas & Electric     400                    14,500                 
Corp.                                                                           

Central Vermont Public            100                    1,163                  
Service Corp.                                                                   

CILCORP, Inc.                     500                    29,719                 

Citizens Utilities Co. Class B    7,566                  57,691                 

CLECO Corp.                       700                    20,563                 

CMP Group, Inc.                   1,100                  18,563                 

CMS Energy Corp.                  1,900                  78,613                 

Commonwealth Energy System        300                    10,838                 

Conectiv, Inc.                    2,000                  42,375                 

DPL, Inc.                         4,300                  76,594                 

DQE, Inc.                         1,800                  68,738                 

Eastern Utilities Associates      1,100                  31,281                 

El Paso Electric Co. (a)          3,000                  21,563                 

Empire District Electric Co.      200                    4,638                  

Energy East Corp.                 1,600                  85,800                 

Florida Progress Corp.            2,000                  80,250                 

Hawaiian Electric Industries,     1,200                  41,850                 
Inc.                                                                            

IDACORP, Inc.                     1,200                  37,275                 

Illinova Corp.                    1,400                  33,250                 

Interstate Energy Corp.           1,939                  53,444                 

IPALCO Enterprises, Inc.          1,300                  62,319                 

Kansas City Power & Light Co.     1,700                  43,350                 

KTI, Inc. (a)                     600                    10,800                 

LG&E Energy Corp.                 3,002                  68,483                 

Madison Gas & Electric Co.        200                    4,025                  

Midamerican Energy Holdings       1,400                  37,800                 
Co.                                                                             

Minnesota Power, Inc.             1,200                  48,225                 

Montana Power Co.                 1,400                  85,225                 

Nevada Power Co.                  1,600                  38,300                 

New England Electric System       1,000                  48,688                 

NIPSCO Industries, Inc.           2,000                  51,875                 

                       SHARES                 VALUE (NOTE 1)

Northeast Utilities (a)           1,900                 $ 28,381                

Northwestern Corp.                1,100                  26,469                 

OGE Energy Corp.                  2,300                  54,913                 

Orange & Rockland Utilities,      300                    16,838                 
Inc.                                                                            

Otter Tail Power Co.              100                    3,706                  

Pinnacle West Capital Corp.       2,400                  86,700                 

Potomac Electric Power Co.        2,300                  56,063                 

Public Service Co. of New         1,800                  27,675                 
Mexico                                                                          

Puget Sound Power & Light Co.     1,900                  45,838                 

Rochester Gas & Electric          1,200                  31,350                 
Corp.                                                                           

SCANA Corp.                       1,800                  42,300                 

Sierra Pacific Resources          900                    30,881                 

SIGCORP, Inc.                     800                    23,000                 

TECO Energy, Inc.                 3,700                  80,013                 

Thermo Ecotek Corp. (a)           300                    2,475                  

TNP Enterprises, Inc.             500                    14,625                 

Unisource Energy Corp. (a)        500                    5,781                  

United Illuminating Co.           200                    8,875                  

Utilicorp United, Inc.            1,900                  65,313                 

Wisconsin Energy Corp.            2,000                  51,125                 

WPS Resources Corp.               700                    20,825                 

                                           2,241,619

GAS - 1.3%                                                                      

AGL Resources, Inc.               1,900                  36,219                 

Aquila Gas Pipeline Corp.         200                    1,750                  

Atmos Energy Corp.                800                    19,200                 

Cascade Natural Gas Corp.         100                    1,581                  

Colonial Gas Co.                  100                    3,431                  

Connecticut Energy Corp.          100                    2,606                  

CTG Resources, Inc.               200                    4,600                  

Dynegy, Inc.                      2,700                  32,400                 

El Paso Energy Corp.              2,700                  98,381                 

Energen Corp.                     400                    5,600                  

Equitable Resources, Inc.         1,100                  28,463                 

Indiana Energy, Inc.              266                    5,320                  

K N Energy, Inc.                  2,250                  47,109                 

KeySpan Energy                    3,460                  91,690                 

Laclede Gas Co.                   200                    4,600                  

MCN Energy Group, Inc.            2,000                  35,625                 

MDU Resources Group, Inc.         1,250                  29,375                 

Mitchell Energy & Development     700                    7,788                  
Corp. Class A                                                                   

National Fuel Gas Co.             1,100                  44,344                 

New Jersey Resources Corp.        900                    31,444                 

Northwest Natural Gas Co.         1,300                  31,809                 

NUI Corp.                         100                    2,294                  

Piedmont Natural Gas Co.,         900                    30,713                 
Inc.                                                                            

Public Service Co. of North       300                    8,850                  
Carolina, Inc.                                                                  

Questar Corp.                     2,300                  41,113                 

SEMCO Energy, Inc.                105                    1,654                  

South Jersey Industries, Inc.     100                    2,431                  

Southern Union Co.                315                    5,985                  

Southwest Gas Corp.               1,100                  31,625                 

COMMON STOCKS - CONTINUED                                                       

                       SHARES                 VALUE (NOTE 1)

UTILITIES - CONTINUED                                                           

GAS - CONTINUED                                                                 

Southwestern Energy Co.           300                   $ 1,669                 

UGI Corp.                         1,000                  20,313                 

Washington Gas Light Co.          1,300                  31,119                 

Western Resources, Inc.           1,800                  50,738                 

WICOR, Inc.                       1,100                  23,238                 

Yankee Energy System, Inc.        100                    2,444                  

                                         817,521

TELEPHONE SERVICES - 2.5%                                                       

Aliant Communications, Inc.       1,100                  43,863                 

Allegiance Telecom, Inc. (a)      900                    21,544                 

Atlantic Tele-Network, Inc.       140                    1,540                  

CFW Communications Co.            100                    2,138                  

Cincinnati Bell, Inc.             2,600                  51,350                 

Commonwealth Telephone            200                    6,475                  
Enterprises, Inc. (a)                                                           

COMSAT Corp. Series 1             1,300                  38,025                 

CTC Communications Corp. (a)      800                    10,400                 

e.spire Communications, Inc.      1,300                  7,150                  
(a)                                                                             

FirstCom Corp. (a)                1,100                  3,025                  

Global TeleSystems Group,         1,300                  72,150                 
Inc. (a)                                                                        

GST Telecommunications, Inc.      1,600                  11,200                 
(a)                                                                             

Hyperion Telecommunications,      1,200                  13,500                 
Inc. Class A (a)                                                                

ICG Communications, Inc. (a)      700                    13,169                 

ITC DeltaCom, Inc. (a)            800                    11,600                 

IXC Communications, Inc.          729                    37,908                 

Level 3 Communications, Inc.      6,900                  386,400                
(a)                                                                             

Mastech Corp. (a)                 900                    22,444                 

McLeodUSA, Inc. Class A (a)       1,700                  65,450                 

Metromedia Fiber Network,         1,800                  78,300                 
Inc. Class A (a)                                                                

NEXTLINK Communications, Inc.     600                    27,450                 
Class A (a)                                                                     

North Pittsburgh Systems,         100                    1,394                  
Inc.                                                                            

Pacific Gateway Exchange,         600                    15,000                 
Inc. (a)                                                                        

PLD Telekom, Inc. (a)             1,000                  1,864                  

Primus Telecommunications         961                    10,511                 
Group, Inc. (a)                                                                 

Qwest Communications              7,610                  467,539                
International, Inc. (a)                                                         

RCN Corp. (a)                     1,500                  36,000                 

Source Media, Inc. (a)            500                    8,094                  

STAR Telecommunications, Inc.     715                    9,295                  
(a)                                                                             

Startec Global Communications     600                    5,475                  
Corp. (a)                                                                       

Tel-Save.com, Inc. (a)            1,900                  18,881                 

Telegroup, Inc. (a)               1,000                  188                    

Transaction Network Services,     600                    11,775                 
Inc. (a)                                                                        

U.S. LEC Corp. Class A            700                    10,106                 

                       SHARES                 VALUE (NOTE 1)

USN Communications, Inc. (a)      700                   $ 350                   

Viatel, Inc. (a)                  600                    11,475                 

West Teleservices Corp. (a)       900                    8,888                  

WinStar Communications, Inc.      800                    25,200                 
(a)                                                                             

                                           1,567,116

WATER - 0.2%                                                                    

American States Water Co.         100                    2,819                  

American Water Works, Inc.        2,100                  63,525                 

Aquarion Co.                      100                    3,381                  

Consumers Water Co.               100                    2,984                  

E Town Corp.                      100                    4,294                  

Pennsylvania Enterprises,         100                    2,250                  
Inc.                                                                            

Philadelphia Suburban Corp.       833                    18,118                 

United Water Resources, Inc.      500                    9,625                  

                                         106,996

TOTAL UTILITIES                                          5,388,756              

TOTAL COMMON STOCKS                                      61,030,876             
(Cost $63,183,923)                                                              

PREFERRED STOCKS - 0.0%                                                         

CONVERTIBLE PREFERRED STOCKS                                                    
- 0.0%                                                                          

CONSTRUCTION & REAL ESTATE -                                                    
0.0%                                                                            

REAL ESTATE INVESTMENT TRUSTS                                                   
- 0.0%                                                                          

Kimco Realty Corp. Series D       108                    2,673                  
$1.875                                                                          

Prime Retail, Inc. Series B,      60                     938                    
$2.13                                                                           

                                       3,611

NONCONVERTIBLE PREFERRED                                                        
STOCKS - 0.0%                                                                   

CONSTRUCTION & REAL ESTATE -                                                    
0.0%                                                                            

REAL ESTATE - 0.0%                                                              

Price Enterprises, Inc.           900                    13,163                 
Series A $1.40                                                                  

HEALTH - 0.0%                                                                   

MEDICAL EQUIPMENT & SUPPLIES                                                    
- 0.0%                                                                          

Mediq, Inc. Series A $1.30        7                      39                     
(a)                                                                             

TOTAL NONCONVERTIBLE                                     13,202                 
PREFERRED STOCKS                                                                

TOTAL PREFERRED STOCKS                                   16,813                 
(Cost $17,146)                                                                  

                                                        [Enlarge/Download Table]

                                                                                                     
U.S. TREASURY OBLIGATIONS -                                                                          
1.3%                                                                                                 

                                                      PRINCIPAL AMOUNT                               

U.S. Treasury Bills, yield at                         $ 772,000                 767,609              
date  of purchase 4.25% to                                                                           
4.7% 3/4/99 to 6/3/99 (b)                                                                            
(Cost $767,574)                                                                                      

TOTAL INVESTMENT IN                                                           $ 61,815,298           
SECURITIES - 100%                                                                                    
(Cost $63,968,643)                                                                                   

FUTURES CONTRACTS                                                                                    

                                 EXPIRATION DATE      UNDERLYING FACE AMOUNT   UNREALIZED GAIN/(LOSS)

PURCHASED                                                                                            

5 S&P 500 Stock Index Contracts  Mar. 1999            $ 1,554,375              $ 5,271               

THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF TOTAL                                         
INVESTMENTS IN                                                                                       
SECURITIES - 2.5%                                                                                    


LEGEND                                                                          
(a) Non-income producing                                                        

(b) Security or a portion of the security was pledged to cover margin           
requirements for futures contracts. At the period end, the value of             
securities pledged amounted to $33,250.                                         

OTHER INFORMATION                                                               

Purchases and sales of securities, other than short-term securities,            
aggregated $45,443,987 and $13,597,892, respectively.                           

The market value of futures contracts opened and closed during the              
period amounted to $58,443,174 and $61,285,738, respectively.                   

The fund participated in the security lending program. At period end,           
the value of securities loaned amounted to $13,530,321. The fund                
received cash collateral of $13,723,729 which was invested in the               
Bankers Trust Institutional Daily Asset Fund. The fund also received            
non-cash collateral of $261,013 which represents U.S. Treasury                  
obligations.                                                                    

INCOME TAX INFORMATION                                                          

At February 28, 1999, the aggregate cost of investment securities for           
income tax purposes was $64,123,166. Net unrealized depreciation                
aggregated $2,307,868, of which $9,358,925 related to appreciated               
investment securities and $11,666,793 related to depreciated                    
investment securities.                                                          

The fund hereby designates approximately $557,000 as a capital gain             
dividend for the dividend paid deduction.                                       

A total of 29% of the dividends distributed during the fiscal year              
qualifies for the dividends received deductions for corporate                   
shareholders.                                                                   

The fund will notify shareholders in January 2000 of the percentages            
for use in preparing 1999 income tax returns.                                   

SPARTAN EXTENDED MARKET INDEX FUND                                              
FINANCIAL STATEMENTS                                                            

STATEMENT OF ASSETS AND LIABILITIES                                             
               FEBRUARY 28, 1999

ASSETS                                                                          

Investment in securities, at                 $ 61,815,298                       
value  (cost $63,968,643) -                                                     
See accompanying schedule                                                       

Cash                                          3,204                             

Receivable for investments                    190,065                           
sold                                                                            

Receivable for fund shares                    663,615                           
sold                                                                            

Dividends receivable                          43,202                            

Interest receivable                           7,415                             

Purchase fees receivable                      4,951                             

Other receivables                             86                                

Investment of cash collateral                 13,723,729                        
received for securities                                                         
loaned                                                                          

Receivable from investment                    5,443                             
adviser for expense                                                             
reductions                                                                      

TOTAL ASSETS                                 76,457,008                       

LIABILITIES                                                                     

Payable for fund shares         $ 207,273                                       
redeemed                                                                        

Payable for daily variation      8,641                                          
on  futures contracts                                                           

Other payables and  accrued      42,667                                         
expenses                                                                        

Collateral on securities         13,723,729                                     
loaned,  at value                                                               

TOTAL LIABILITIES                            13,982,310                       

NET ASSETS                                   $ 62,474,698                       

Net Assets consist of:                                                          

Paid in capital                              $ 62,234,103                       

Undistributed net investment                  177,510                           
income                                                                          

Accumulated undistributed net                 2,211,159                         
realized gain (loss) on                                                         
investments and foreign                                                         
currency transactions                                                           

Net unrealized appreciation                   (2,148,074)                       
(depreciation) on investments                                                   

NET ASSETS, for 2,433,837                    $ 62,474,698                       
shares outstanding                                                              

NET ASSET VALUE, offering                     $25.67                            
price  and redemption price                                                     
per share ($62,474,698                                                          
(divided by) 2,433,837                                                          
shares) A                                                                       

A OFFERING PRICE PER SHARE DOES NOT INCLUDE THE EFFECT OF THE PURCHASE          
FEE.                                                                            

STATEMENT OF OPERATIONS                                                         
    YEAR ENDED FEBRUARY 28, 1999

INVESTMENT INCOME                              $ 596,012                        
Dividends                                                                       

Interest (including income on                   172,573                         
securities loaned of $76,989)                                                   

TOTAL INCOME                                   768,585                        

EXPENSES                                                                        

Management fee and               $ 149,028                                      
sub-advisory fees                                                               

Transfer agent fees               72,869                                        

Accounting fees                   60,602                                        

Non-interested trustees'          166                                           
compensation                                                                    

Registration fees                 79,101                                        

Audit                             38,512                                        

Legal                             445                                           

Miscellaneous                     122                                           

Total expenses before            400,845                                      
reductions                                                                      

Expense reductions               (247,395)     153,450                        

NET INVESTMENT INCOME                           615,135                         

REALIZED AND UNREALIZED GAIN                                                    
(LOSS)                                                                          
Net realized gain (loss) on:                                                    

Investment securities            2,316,154                                    

Foreign currency transactions    (39)                                         

Futures contracts                758,803       3,074,918                      

Change in net unrealized                                                        
appreciation (depreciation)                                                     
on:                                                                             

Investment securities            (3,723,227)                                  

Futures contracts                (48,614)      (3,771,841)                    

NET GAIN (LOSS)                                 (696,923)                       

NET INCREASE (DECREASE) IN                     $ (81,788)                       
NET ASSETS RESULTING FROM                                                       
OPERATIONS                                                                      

                                                        [Enlarge/Download Table]

                                                                                           
STATEMENT OF CHANGES IN NET ASSETS                                                         
INCREASE (DECREASE) IN NET       YEAR ENDED FEBRUARY 28, 1999  NOVEMBER 5, 1997            
ASSETS                                                         (COMMENCEMENT OF OPERATIONS)
                                                               TO FEBRUARY 28, 1998        

Operations Net investment        $ 615,135                     $ 98,519                    
income                                                                                     

 Net realized gain (loss)         3,074,918                     197,160                    

 Change in net unrealized         (3,771,841)                   1,623,767                  
appreciation (depreciation)                                                                

 NET INCREASE (DECREASE) IN       (81,788)                      1,919,446                  
NET ASSETS RESULTING FROM                                                                  
OPERATIONS                                                                                 

Distributions to shareholders     (480,843)                     (57,356)                   
From net investment income                                                                 

 From net realized gain           (1,053,874)                   -                          

 TOTAL DISTRIBUTIONS              (1,534,717)                   (57,356)                   

Share transactions Net            60,271,075                    36,182,093                 
proceeds from sales of shares                                                              

 Reinvestment of distributions    1,464,744                     57,314                     

 Cost of shares redeemed          (33,355,405)                  (3,121,662)                

 NET INCREASE (DECREASE) IN       28,380,414                    33,117,745                 
NET ASSETS RESULTING FROM                                                                  
SHARE TRANSACTIONS                                                                         

Purchase fees                     456,042                       274,912                    

  TOTAL INCREASE (DECREASE)       27,219,951                    35,254,747                 
IN NET ASSETS                                                                              

NET ASSETS                                                                                 

 Beginning of period              35,254,747                    -                          

 End of period (including        $ 62,474,698                  $ 35,254,747                
undistributed net investment                                                               
income of $177,510 and                                                                     
$48,883, respectively)                                                                     

OTHER INFORMATION                                                                          
Shares                                                                                     

 Sold                             2,346,010                     1,440,826                  

 Issued in reinvestment of        57,682                        2,358                      
distributions                                                                              

 Redeemed                         (1,287,002)                   (126,037)                  

 Net increase (decrease)          1,116,690                     1,317,147                  


FINANCIAL HIGHLIGHTS                                                            
YEARS ENDED FEBRUARY 28,         1999      1998 E                               

SELECTED PER-SHARE DATA                                                         

Net asset value, beginning of    $ 26.77   $ 25.00                              
period                                                                          

Income from Investment                                                          
Operations                                                                      

Net investment income D           .32       .11                                 

Net realized and unrealized       (.92)     1.43                                
gain (loss)                                                                     

Total from investment             (.60)     1.54                                
operations                                                                      

Less Distributions                                                              

From net investment income       (.22)     (.07)                              

From net realized gain            (.52)     -                                   

Total distributions               (.74)     (.07)                               

Purchase fees added to paid       .24       .30                                 
in capital                                                                      

Net asset value, end of period   $ 25.67   $ 26.77                              

TOTAL RETURN B, C                 (1.33)%   7.39%                               

RATIOS AND SUPPLEMENTAL DATA                                                    

Net assets, end of period        $ 62,475  $ 35,255                             
(000 omitted)                                                                   

Ratio of expenses to average      .31% F    .26% A, F                           
net assets                                                                      

Ratio of net investment           1.25%     1.44% A                             
income to average net assets                                                    

Portfolio turnover rate           29%       40% A                               

A ANNUALIZED                                                                    

B TOTAL RETURNS FOR PERIODS                                                     
OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.                                       

C THE TOTAL RETURNS WOULD HAVE                                                  
BEEN LOWER HAD CERTAIN                                                          
EXPENSES NOT BEEN REDUCED                                                       
DURING THE PERIODS SHOWN.                                                       

D NET INVESTMENT INCOME PER                                                     
SHARE HAS BEEN CALCULATED                                                       
BASED ON AVERAGE SHARES                                                         
OUTSTANDING DURING THE                                                          
PERIOD.                                                                         

E FOR THE PERIOD                                                                
NOVEMBER 5, 1997                                                                
(COMMENCEMENT OF OPERATIONS)                                                    
TO FEBRUARY 28, 1998.                                                           

F FMR                                                                           
AGREED TO REIMBURSE A                                                           
PORTION OF THE FUND'S                                                           
EXPENSES DURING THE PERIOD.                                                     
WITHOUT THIS REIMBURSEMENT,                                                     
THE FUND'S EXPENSE RATIO                                                        
WOULD HAVE BEEN HIGHER.                                                         

SPARTAN INTERNATIONAL INDEX FUND                                                
PERFORMANCE: THE BOTTOM LINE                                                    

There are several ways to evaluate a fund's historical performance.             
You can look at the total percentage change in value, the average               
annual percentage change or the growth of a hypothetical $10,000                
investment. Total return reflects the change in the value of an                 
investment, assuming reinvestment of the fund's dividend income and             
capital gains (the profits earned upon the sale of securities that              
have grown in value) and the effect of the 1.00% purchase fee. If               
Fidelity had not reimbursed certain fund expenses, the total returns            
would have been lower.                                                          

CUMULATIVE TOTAL RETURNS                                                        

PERIODS ENDED FEBRUARY 28,   PAST 1 YEAR  LIFE OF FUND                          
1999                                                                            

SPARTAN INTERNATIONAL INDEX  6.58%        18.12%                                

SPARTAN INTERNATIONAL INDEX  5.51%        16.94%                                
(INCL. 1.00% PURCHASE FEE)                                                      

MSCI EAFE                    5.19%        15.67%                                

International Funds Average  1.61%        n/a                                   

CUMULATIVE TOTAL RETURNS show the fund's performance in percentage              
terms over a set period - in this case, one year or since the fund              
started on November 5, 1997. For example, if you had invested $1,000            
in a fund that had a 5% return over the past year, the value of your            
investment would be $1,050. You can compare the fund's returns to the           
performance of the Morgan Stanley Capital International Europe,                 
Australasia, Far East (MSCI EAFE) Index - a market                              
capitalization-weighted index that is designed to represent the                 
performance of developed stock markets outside the United States and            
Canada. To measure how the fund's performance stacked up against its            
peers, you can compare it to the International Funds Average, which             
reflects the performance of mutual funds with similar objectives                
tracked by Lipper Inc. The past one year average represents a peer              
group of 544 mutual funds. These benchmarks include reinvested                  
dividends and capital gains, if any, and excludes the effect of sales           
charges.                                                                        

AVERAGE ANNUAL TOTAL RETURNS                                                    

PERIODS ENDED FEBRUARY 28,   PAST 1 YEAR  LIFE OF FUND                          
1999                                                                            

SPARTAN INTERNATIONAL INDEX  6.58%        13.50%                                

SPARTAN INTERNATIONAL INDEX  5.51%        12.64%                                
(INCL. 1.00% PURCHASE FEE)                                                      

MSCI EAFE                    5.19%        11.71%                                

International Funds Average  1.61%        n/a                                   

AVERAGE ANNUAL TOTAL RETURNS take the fund's cumulative return and              
show you what would have happened if the fund had performed at a                
constant rate each year.                                                        

$10,000 OVER LIFE OF FUND                                                       
SPARTAN INTL INDEX          MS EAFE (NET MA TAX)      
00399                       MS001                     
1997/11/05       9900.00                    10000.00                        
1997/11/30       9804.96                     9790.87                        
1997/12/31       9872.76                     9878.11                        
1998/01/31      10337.22                    10331.71                        
1998/02/28      10972.38                    10996.56                        
1998/03/31      11258.20                    11337.23                        
1998/04/30      11453.36                    11428.83                        
1998/05/31      11401.44                    11375.46                        
1998/06/30      11513.26                    11463.62                        
1998/07/31      11637.06                    11581.92                        
1998/08/31       9855.96                    10149.13                        
1998/09/30       9883.91                     9840.18                        
1998/10/31      11014.07                    10868.19                        
1998/11/30      11541.21                    11427.14                        
1998/12/31      11969.61                    11880.11                        
1999/01/31      11993.94                    11847.20                        
1999/02/26      11693.89                    11567.02                        
IMATRL PRASUN   SHR__CHT 19990228 19990415 100945 R00000000000019               

$10,000 OVER LIFE OF FUND: Let's say hypothetically that $10,000 was            
invested in Spartan International Index Fund on November 5, 1997, when          
the fund started, and the current 1.00% purchase fee was paid. As the           
chart shows, by February 28, 1999, the value of the investment would            
have been $11,694 - a 16.94% increase on the initial investment. For            
comparison, look at how the Morgan Stanley Capital International                
Europe, Australasia, Far East (MSCI EAFE) Index did over the same               
period. With dividends and capital gains, if any, reinvested, the same          
$10,000 investment would have grown to $11,567 - a 15.67% increase.             

(checkmark)UNDERSTANDING PERFORMANCE                                            

How a fund did yesterday is no guarantee of how                                 
it will do tomorrow. The stock market, for example,                             
has a history of long-term growth and short-term                                
volatility. In turn, the share price and return of a                            
fund that invests in stocks will vary. That means if                            
you sell your shares during a market downturn,                                  
you might lose money. But if you can ride out the                               
market's ups and downs, you may have a gain.                                    

SPARTAN INTERNATIONAL INDEX FUND                                                
FUND TALK: THE MANAGER'S OVERVIEW                                               

(photograph of Richard Vella)                                                   

An interview with                                                               
Richard Vella, Portfolio Manager of Spartan                                     
International Index Fund for Bankers Trust,                                     
sub-adviser of the fund                                                         

Q. HOW DID THE FUND PERFORM, RICHARD?                                           

A. For the 12 months that ended February 28, 1999, the fund posted a            
total return of 6.58% (figure does not include the purchase fee). In            
comparison, the Morgan Stanley Capital International Europe,                    
Australasia and Far East (MSCI EAFE) Index returned 5.19%. Fund                 
peformance also compares favorably to the International funds average,          
which returned 1.61% during the 12-month period, according to Lipper            
Inc.                                                                            

Q. WHAT WAS THE INVESTMENT ENVIRONMENT LIKE DURING THE PERIOD?                  

A. While fund performance improved dramatically during the past six             
months, it was a difficult and volatile period for many international           
stock markets over the past year. The Asian crisis, fears of                    
emerging-market currency devaluations, Russia's economic collapse and           
worries about Latin America kept investors on the edge of their seats           
during most of 1998. While the majority of market indexes in Europe,            
Japan and Asia ended up with gains during the period, the twists and            
turns that these markets experienced left most investors feeling a bit          
queasy. For the six-month period that ended August 31, 1998, the MSCI           
EAFE index was down -7.71%. However, the picture was bleaker for other          
indexes, such as the TOPIX - a broad measure of the Japanese stock              
market performance - which was down -21.84% during the same six-month           
period. This bearish environment, however, was quickly reversed in the          
last quarter of 1998 when the U.S. Federal Reserve Board stepped in to          
restore confidence and liquidity to the global financial markets with           
three interest-rate cuts. Most of the markets included in the EAFE              
index surged ahead in the fourth quarter of 1998 and early 1999.                

Q. EUROPE IS THE FUND'S LARGEST INDEX WEIGHTING, REPRESENTING OVER              
HALF OF THE FUND'S ASSETS. HOW DID THE EUROPEAN MARKETS PERFORM?                

A. Global trends drove performance for the major European markets               
during 1998. The U.K., Germany, France and Switzerland all experienced          
significant volatility amidst global financial upheaval in the third            
quarter of 1998. However, by year's-end, all of these markets staged            
impressive recoveries against a backdrop of historically low interest           
rates and renewed investor confidence. British Telecommunications and           
SmithKline Beecham were among the fund's top performers.                        

Q. JAPAN IS ANOTHER MAJOR COMPONENT OF THE MSCI EAFE INDEX. HOW DID             
THIS MARKET PERFORM?                                                            

A. During most of 1998, Japanese investors were hopeful of an economic          
turnaround that, unfortunately, failed to materialize. While their              
economy remains in recession and consumer spending is weak, the                 
Japanese market rallied late in the period, spurred by an                       
unprecedented and sudden appreciation of the yen against the dollar.            
Their market received an additional boost in the form of the Japanese           
government's largest fiscal stimulus package in its history. Two                
holdings that provided slight gains during the period were Nippon               
Telegraph & Telephone and Toyota Motor Corp.                                    

Q. DID ANY OTHER OVERSEAS MARKETS HAVE A SIGNIFICANT IMPACT ON THE              
FUND'S RETURN?                                                                  

A. Not really. Outside of Europe and Japan, the fund's exposure to              
other regions is relatively small. While Hong Kong and Australia                
represent approximately 4% of the fund's combined investments, they             
had a marginal impact on total return.                                          

Q. WHAT'S YOUR OUTLOOK, RICHARD?                                                

A. I'm optimistic that Europe's economies could continue to improve.            
However, corporate earnings must be strong to support prevailing                
valuations. If earnings disappoint, more stock market corrections               
could become reality. As for the situation in Japan, there are                  
glimmers of economic improvement. Toward the end of the period, we              
began to see Japanese companies and the government adopt a more                 
shareholder-friendly focus. Lastly, emerging markets still appear to            
be a question mark at this point. Continuing economic and currency              
concerns, combined with political and social unrest, provide a                  
difficult backdrop for a fast recuperation.                                     

THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO               
MANAGER ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON           
THE COVER. THE MANAGER'S VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED          
ON MARKET AND OTHER CONDITIONS. FOR MORE INFORMATION, SEE PAGE A-2.             
NOTE TO SHAREHOLDERS:                                                           

On November 30, 1998, Bankers Trust Corporation entered into an                 
Agreement and Plan of Merger with Deutsche Bank AG. The merger is               
contingent upon various regulatory approvals. At a meeting held on              
March 18, 1999, the fund's Board of Trustees approved a new                     
sub-advisory agreement among the fund, Fidelity Management & Research           
Co. and Bankers Trust or its successor by merger that would be                  
effective at the time of the merger. This agreement will be presented           
to the fund's shareholders for approval.                                        

Shares purchased after April 28, 1999 will no longer be subject to a            
1.00% purchase fee. However, the fund will deduct a short-term trading          
fee of 1.00% from the redemption amount if you sell shares purchased            
after April 28, 1999 after holding them for less than 90 days. The fee          
is paid to the fund, and is designed to offset the brokerage                    
commissions, market impact, and other costs associated with                     
fluctuations in fund asset levels and cash flow caused by short-term            
shareholder trading.                                                            

(checkmark)FUND FACTS                                                           

GOAL: total return that corresponds to that of                                  
the MSCI EAFE index                                                             

FUND NUMBER: 399                                                                

TRADING SYMBOL: FSIIX                                                           

STATE DATE: November 5, 1997                                                    

SIZE: as of February 28, 1999, more than                                        
$43 million                                                                     

MANAGER: Richard Vella, since inception                                         

SPARTAN INTERNATIONAL INDEX FUND                                                

INVESTMENT CHANGES                                                              

                                                                [Download Table]

                                                                                  
TOP TEN STOCKS AS OF FEBRUARY                                                     
28, 1999                                                                          

                               % OF FUND'S INVESTMENTS  % OF FUND'S INVESTMENTS IN
                                                        THESE STOCKS 6 MONTHS AGO 

Novartis AG (Reg.)              1.5                      1.6                      
(Switzerland,  Drugs &                                                            
Pharmaceuticals)                                                                  

Glaxo Wellcome PLC  (United     1.3                      1.5                      
Kingdom,  Drugs &                                                                 
Pharmaceuticals)                                                                  

British Telecommunications      1.3                      1.3                      
PLC (United Kingdom,                                                              
Telephone Services)                                                               

Royal Dutch Petroleum Co.       1.3                      1.5                      
(Hague Registry)                                                                  
(Netherlands, Oil & Gas)                                                          

Nippon Telegraph & Telephone    1.3                      1.5                      
Corp.  (Japan, Telephone                                                          
Services)                                                                         

Deutsche Telekom AG (Germany,   1.3                      0.9                      
 Telephone Services)                                                              

Toyota Motor Corp. (Japan,      1.2                      1.3                      
Autos, Tires, & Accessories)                                                      

Roche Holding AG                1.2                      1.2                      
participation certificates                                                        
(Switzerland,  Drugs &                                                            
Pharmaceuticals)                                                                  

France Telecom SA  (France,     1.2                      0.7                      
Telephone Services)                                                               

DaimlerChrysler AG (Reg.)       1.1                      0.7                      
(Germany, Autos,  Tires, &                                                        
Accessories)                                                                      


GEOGRAPHIC DIVERSIFICATION (% OF FUND'S INVESTMENTS)                            
AS OF FEBRUARY 28, 1999                                                         

France 9.7%                                                                     
United Kingdom 22.9%                                                            
Germany 10.5%                                                                   
Switzerland 7.5%                                                                
Italy 5.3%                                                                      
Spain 3.5%                                                                      
Japan 21.0%                                                                     
Other 13.6%                                                                     
Netherlands 6.0%                                                                

Row: 1, Col: 1, Value: 9.699999999999999                                        
Row: 1, Col: 2, Value: 10.5                                                     
Row: 1, Col: 3, Value: 5.3                                                      
Row: 1, Col: 4, Value: 21.0                                                     
Row: 1, Col: 5, Value: 6.0                                                      
Row: 1, Col: 6, Value: 13.6                                                     
Row: 1, Col: 7, Value: 3.5                                                      
Row: 1, Col: 8, Value: 7.5                                                      
Row: 1, Col: 9, Value: 22.9                                                     

PERCENTAGES ARE ADJUSTED FOR THE EFFECT OF FUTURES CONTRACTS, IF                
APPLICABLE.                                                                     

AS OF AUGUST 31, 1998                                                           

France 10.1%                                                                    
United Kingdom 22.5%                                                            
Germany 11.0%                                                                   
Switzerland 8.3%                                                                
Italy 5.3%                                                                      
Japan 20.5%                                                                     
Spain 3.3%                                                                      
Other 13.2%                                                                     
Netherlands 5.8%                                                                

Row: 1, Col: 1, Value: 10.1                                                     
Row: 1, Col: 2, Value: 11.0                                                     
Row: 1, Col: 3, Value: 5.3                                                      
Row: 1, Col: 4, Value: 20.5                                                     
Row: 1, Col: 5, Value: 5.8                                                      
Row: 1, Col: 6, Value: 13.2                                                     
Row: 1, Col: 7, Value: 3.3                                                      
Row: 1, Col: 8, Value: 8.300000000000001                                        
Row: 1, Col: 9, Value: 22.5                                                     

PERCENTAGES ARE ADJUSTED FOR THE EFFECT OF FUTURES CONTRACTS, IF                
APPLICABLE.                                                                     

SPARTAN INTERNATIONAL INDEX FUND                                                

INVESTMENTS FEBRUARY 28, 1999                                                   

Showing Percentage of Total Value of Investment in Securities                   

COMMON STOCKS - 87.7%                                                           

                      SHARES                VALUE (NOTE 1)

AUSTRALIA - 2.4%                                                                

Amcor Ltd.                        3,898                $ 19,311                 

AMP Ltd.                          6,407                 72,239                  

Australian Gas Light Co.          1,948                 12,719                  

Boral Ltd.                        4,522                 6,487                   

Brambles Industries Ltd.          1,489                 37,750                  

Broken Hill Proprietary Co.       12,217                91,332                  
Ltd. (The)                                                                      

Coca-Cola Amatil Ltd.             7,086                 27,788                  

Coles Myer Ltd.                   7,522                 40,001                  

Colonial Ltd.                     4,098                 15,430                  

CSR Ltd.                          5,953                 14,282                  

Fosters Brewing Group Ltd.        11,933                34,090                  

General Property Trust            11,062                18,469                  

Gio Australia Holdings Ltd.       2,266                 6,129                   

Goodman Fielder Ltd.              5,173                 4,766                   

James Hardie Industries Ltd.      1,000                 2,195                   

Lend Lease Corp. Ltd.             3,221                 39,834                  

M.I.M. Holdings Ltd.              4,861                 2,104                   

National Australia Bank Ltd.      8,098                 134,449                 

News Corp. Ltd.                   11,372                79,460                  

Normandy Mining Ltd.              6,957                 5,937                   

North Ltd.                        3,027                 4,492                   

Orica Ltd.                        1,158                 6,194                   

Pacific Dunlop Ltd.               4,100                 7,124                   

Pioneer International Ltd.        3,000                 6,020                   

QBE Insurance Group Ltd.          1,043                 3,902                   

Rio Tinto Ltd.                    2,331                 29,021                  

Santos Ltd.                       2,300                 6,343                   

Smith (Howard) Ltd.               500                   3,710                   

Southcorp Holdings Ltd.           4,129                 15,830                  

Tabcorp Holdings Ltd.             1,300                 9,084                   

Telstra Corp. Ltd.                29,579                150,272                 

Wesfarmers Ltd.                   577                   5,760                   

Westfield Trust Unit              7,758                 15,831                  

Westfield Trust Unit (New)        241                   518                     

Westpac Banking Corp.             11,639                76,626                  

WMC Ltd.                          8,363                 25,856                  

Woolworths Ltd.                   6,565                 21,328                  

                                         1,052,683

AUSTRIA - 0.3%                                                                  

Austria Tabak AG                  150                   11,128                  

Bank Austria AG                   609                   32,900                  

Boehler-Uddeholm AG               50                    2,407                   

Flughafen Wien AG                 90                    3,870                   

Generali Holding Vienna AG        50                    11,108                  

Mayr Melnhof Karton AG            60                    2,870                   

Oesterreichische                  170                   27,364                  
Elektrizitaetswirtschafts AG                                                    
(verbund)                                                                       

OMV AG                            140                   12,965                  

VA Technologie AG                 60                    4,664                   

Wienerberger Baustoffind AG       60                    11,907                  

                                       121,183

                      SHARES                VALUE (NOTE 1)

BELGIUM - 1.8%                                                                  

Barco Industries NV               76                   $ 13,281                 

Bekaert SA                        8                     3,299                   

Cimenteries CBR                   50                    4,418                   
Cementbedrijven                                                                 

Colruyt SA                        21                    15,825                  

D'ieteren SA                      18                    8,414                   

Delhaize Freres & Compagnie       230                   22,213                  
Le Lion SA                                                                      

Electrabel SA                     349                   146,214                 

Fortis (B)                        4,427                 161,797                 

Fortis (B):                                                                     

CVG rights 7/20/01 (a)            196                   929                     

VVPR STRIP                        1,764                 19                      

Groupe Bruxelles Lambert SA       140                   26,240                  

KBC Bancassurance Holding NV      1,840                 142,103                 

Petrofina SA                      150                   69,656                  

Solvay & Compagnie SA             470                   32,438                  

Tractebel                         490                   86,598                  

UCB SA                            800                   41,719                  

Union Miniere SA                  100                   3,272                   

                                       778,435

DENMARK - 0.7%                                                                  

A/S Dampskibsselskabet            5                     45,228                  
Svenborg                                                                        

Carlsberg AS:                                                                   

Class A                           200                   9,016                   

Class B                           100                   4,671                   

D/S 1912 Class B                  5                     31,511                  

Danisco AS                        326                   15,953                  

Den Danske Bank Group AS          300                   33,365                  

International Service Systems     137                   8,492                   
AS Class B                                                                      

Novo-Nordisk AS Class B           369                   42,516                  

Tele Danmark AS Class B           651                   78,580                  

Unidanmark AS Class A             200                   14,295                  

                                       283,627

FINLAND - 1.6%                                                                  

Instrumentarium OY:                                                             

Class A                           100                   2,977                   

Class B                           19                    574                     

Kemira OY                         500                   3,032                   

Kesko OY                          900                   12,840                  

Merita Ltd. Series A              4,600                 27,031                  

Metra OY Series B                 200                   3,749                   

Outokumpu OY Class A              1,300                 11,452                  

OY Nokia AB:                                                                    

Series A                          2,800                 379,750                 

Series K                          800                   109,500                 

Pohjola Group Insurance Corp.:                                                  

Class A                           100                   5,513                   

Class B                           100                   5,513                   

Raisio Group PLC                  1,300                 8,026                   

Sampo Insurance Co. Ltd.          400                   13,274                  

Sonera Group PLC                  2,600                 44,861                  

COMMON STOCKS - CONTINUED                                                       

                      SHARES                VALUE (NOTE 1)

FINLAND - CONTINUED                                                             

Teito Corp. Class B               400                  $ 16,096                 

UPM-Kymmene Corp.                 1,900                 49,541                  

                                       693,729

FRANCE - 8.1%                                                                   

Accor SA                          186                   43,474                  

Alcatel Alsthom Compagnie         1,081                 117,221                 
Generale d'Electricite SA                                                       
(RFD)                                                                           

Axa SA                            1,808                 236,806                 

Axa SA rights 12/31/01 (a)        22                    115                     

Banque Nationale de Paris         1,241                 99,468                  

BIC Ste                           200                   10,364                  

Bouygues                          118                   29,467                  

Canal Plus SA                     190                   59,617                  

Cap Gemini SA                     394                   68,416                  

Carrefour Supermarche SA          206                   147,398                 

Casino Guichard Perrachon et      438                   40,418                  
Compagnie                                                                       

Coflexip SA                       35                    2,178                   

Compagnie de St. Gobain           510                   79,618                  

Compagnie Financiere de           768                   66,468                  
Paribas  Class A (Reg.)                                                         

Dassault Systemes SA              326                   12,975                  

Elf Aquitaine                     1,444                 149,093                 

Eridania Beghin Say Group         100                   14,553                  

Essilor International SA          50                    19,184                  

France Telecom SA                 5,347                 502,555                 

Groupe Danone                     397                   99,312                  

L'Air Liquide                     465                   69,620                  

L'Oreal SA                        356                   219,794                 

Lafarge SA                        531                   50,639                  

Lagardere S.C.A. (Reg.)           450                   17,364                  

Legrand SA                        171                   35,274                  

LVMH Moet Hennessy Louis          501                   107,156                 
Vuitton                                                                         

Michelin SA (Compagnie            749                   33,526                  
Generale des Etablissements)                                                    
Class B                                                                         

Pechiney SA Class A               207                   6,869                   

Pernod-Ricard                     250                   14,856                  

Peugeot SA                        295                   39,516                  

Pinault Printemps SA              637                   106,116                 

Promodes                          85                    54,400                  

Rhone-Poulenc SA Class A          1,734                 79,764                  

Sagem SA                          7                     4,059                   

Sanofi SA                         592                   104,625                 

Schneider SA                      798                   47,069                  

Seita                             135                   8,037                   

Sidel SA                          78                    5,512                   

Simco SA (Reg.)                   124                   11,087                  

Societe Generale, France          575                   84,757                  
Class A                                                                         

Sodexho Alliance SA               220                   36,188                  

Suez Lyonnaise des Eaux           729                   146,358                 

Technip SA                        53                    4,791                   

Thomson CSF                       1,070                 31,851                  

                      SHARES                VALUE (NOTE 1)

Total SA Class B                  1,242                $ 128,237                

Usinor Sacilor                    900                   11,093                  

Valeo SA                          252                   21,157                  

Vivendi SA                        835                   218,640                 

                                         3,497,055

GERMANY - 8.9%                                                                  

Aachener & Muenchener             200                   26,681                  
Beteiligungs AG (Reg.)                                                          

Adidas-Salomon AG                 250                   24,255                  

Allianz AG (Reg.)                 1,323                 406,951                 

BASF AG                           3,500                 122,322                 

Bayer AG                          4,100                 144,874                 

Bayerische Hypo-und               2,425                 138,491                 
Vereinsbank AG                                                                  

Beiersdorf AG                     250                   18,467                  

CKAG Colonia Konzern AG           100                   8,787                   
(Bearer)                                                                        

Continental Gummi-Werke AG        350                   8,790                   

DaimlerChrysler AG (Reg.)         5,192                 487,724                 

Degussa-Huels AG (a)              350                   12,059                  

Deutsche Bank AG                  2,950                 154,650                 

Deutsche Lufthansa AG (Reg.)      2,400                 53,793                  

Deutsche Telekom AG               11,900                542,502                 

Dresdner Bank AG                  2,550                 89,121                  

Heidelberger Zement AG            300                   20,391                  

Hochtief AG                       250                   8,269                   

Karstadt AG                       50                    19,013                  

Linde AG                          50                    27,786                  

Man AG, Muenchen                  50                    13,456                  

Mannesmann AG                     2,000                 266,276                 

Merck Kgaa                        950                   34,773                  

Metro AG                          1,530                 108,159                 

Munich Reinsurance AG:                                                          

warrants 7/1/02 (a)               16                    609                     

(Reg.)                            466                   94,379                  

(RFD) (a)                         466                   93,351                  

Preussag AG                       100                   48,207                  

RWE AG                            2,350                 103,765                 

SAP AG (Systeme Anwendungen       350                   119,143                 
Produkte)                                                                       

Schering AG                       350                   45,113                  

SGL Carbon AG                     50                    2,381                   

Siemens AG                        3,150                 197,954                 

Thyssen AG                        250                   50,743                  

Veba AG                           2,700                 143,688                 

Viag AG                           150                   80,538                  

Volkswagen AG                     1,600                 103,194                 

                                         3,820,655

HONG KONG - 1.4%                                                                

Bank of East Asia Ltd.            5,267                 7,410                   

Cathay Pacific Airways Ltd.       13,000                14,514                  

Cheung Kong Holdings Ltd.         11,000                74,895                  

CLP Holdings Ltd.                 11,500                54,179                  

Hang Lung Development Co.         5,000                 4,808                   
Ltd.                                                                            

COMMON STOCKS - CONTINUED                                                       

                      SHARES                VALUE (NOTE 1)

HONG KONG - CONTINUED                                                           

Hang Seng Bank Ltd.               8,900                $ 72,372                 

Hong Kong & China Gas Co.         19,200                22,304                  
Ltd.                                                                            

Hong Kong & China Gas Co.         600                   22                      
Ltd. warrants 9/30/99 (a)                                                       

Hong Kong & Shanghai Hotels       5,000                 3,388                   
Ltd. (The)                                                                      

Hong Kong Telecommunications      43,834                73,696                  
Ltd.                                                                            

Hopewell Holdings Ltd.            2,200                 965                     

Hutchison Whampoa Ltd.            18,000                124,879                 

Hysan Development Ltd.            4,047                 4,858                   

Hysan Development Ltd.            400                   1                       
warrants 4/30/99 (a)                                                            

Johnson Electric Holdings         4,000                 10,584                  
Ltd.                                                                            

New World Development Co.         9,620                 17,694                  
Ltd.                                                                            

Shangri-La Asia Ltd.              6,000                 4,298                   

Sino Land Co. Ltd.                12,869                6,146                   

South China Morning Post          8,000                 3,433                   
Holdings                                                                        

Sun Hung Kai Properties Ltd.      11,215                76,359                  

Swire Pacific Ltd. Class A        5,500                 22,504                  

Television Broadcasts Ltd.        2,000                 5,950                   

Wharf Holdings Ltd.               8,000                 9,242                   

Wharf Holdings Ltd. warrants      400                   16                      
12/31/99 (a)                                                                    

                                       614,517

IRELAND - 0.4%                                                                  

Allied Irish Banks PLC            4,379                 76,280                  

CRH PLC                           1,978                 36,855                  

Independent Newspapers PLC        982                   3,708                   

Irish Life PLC                    921                   9,301                   

Irish Permanent PLC               492                   7,865                   

Kerry Group PLC Class A           611                   7,881                   

Ryanair Holdings PLC (a)          876                   6,567                   

Smurfit (Jefferson) Group PLC     3,875                 8,331                   

                                       156,788

ITALY - 3.7%                                                                    

Alitalia Linee Aeree Italiane     9,500                 35,674                  
Class A                                                                         

Assicurazioni Generali Spa        4,905                 191,543                 

Banca Commerciale Italiana Spa    9,471                 59,591                  

Banca Intesa Spa                  8,137                 44,828                  

Benetton Group Spa                7,040                 11,526                  

Bulgari Spa                       1,231                 6,171                   

Edison Spa                        3,698                 34,198                  

Eni Spa sponsored ADR             37,447                219,679                 

Fiat Spa                          18,442                56,016                  

Istituto Nazionale Delle          20,657                49,990                  
Assicurazioni Spa                                                               

Italcementi Spa                   721                   8,191                   

Italgas Spa                       2,725                 13,901                  

La Rinascente Spa                 879                   7,801                   

Mediaset Spa                      5,355                 50,862                  

Mediobanca Spa                    2,005                 23,051                  

Mediobanca Spa warrants           334                   878                     
12/31/00 (a)                                                                    

                      SHARES                VALUE (NOTE 1)

Montedison Spa                    23,826               $ 23,886                 

Olivetti & Co. Spa                10,225                31,565                  

Parmalat Finanziaria Spa          5,994                 8,485                   

Pirelli Spa                       8,189                 23,934                  

Riunione Adriatica di Sicurta     1,267                 13,381                  
(RSA) Spa                                                                       

San Paolo-IMI Spa                 7,464                 130,003                 

Sirti Spa                         981                   5,862                   

Telecom Italia Mobile Spa         31,493                213,986                 

Telecom Italia Spa                17,783                189,274                 

Unicredito Italiano Spa           23,563                122,721                 

Unione Immobiliare Spa (a)        20,657                11,389                  

                                         1,588,386

JAPAN - 18.6%                                                                   

77 Bank Ltd.                      3,000                 26,686                  

Acom Co. Ltd.                     600                   35,330                  

Advantest Corp.                   1,100                 83,251                  

Ajinomoto Co., Inc.               3,000                 32,684                  

Alps Electric Co. Ltd.            1,000                 17,304                  

Amada Co. Ltd.                    2,000                 9,811                   

Aoyama Trading Co. Ltd.           600                   16,128                  

Asahi Bank Ltd.                   14,000                61,151                  

Asahi Breweries Ltd.              3,000                 39,614                  

Asahi Chemical Industry Co.       9,000                 43,016                  
Ltd.                                                                            

Asahi Glass Co. Ltd.              7,000                 46,392                  

Bank of Tokyo-Mitsubishi Ltd.     25,000                300,294                 

Bank of Yokohama Ltd.             5,000                 9,870                   

Bridgestone Corp.                 5,000                 111,508                 

Canon, Inc.                       5,000                 106,678                 

Casio Computer Co. Ltd.           1,000                 6,644                   

Chiba Bank                        5,000                 18,480                  

Chugai Pharmaceutical Co.         1,000                 9,534                   
Ltd.                                                                            

Citizen Watch Co. Ltd.            1,000                 6,745                   

Cosmo Oil Co. Ltd.                3,000                 4,234                   

Credit Saison Co. Ltd.            700                   14,670                  

Dai Ei, Inc.                      3,000                 7,434                   

Dai Nippon Printing Co. Ltd.      4,000                 55,472                  

Daiichi Pharmaceutical Co.        2,000                 30,340                  
Ltd.                                                                            

Daikin Industries Ltd.            1,000                 7,980                   

Dainippon Ink & Chemicals,        3,000                 8,895                   
Inc.                                                                            

Daiwa House Industry Co. Ltd.     3,000                 30,643                  

Daiwa Securities Co. Ltd.         8,000                 32,927                  

Denso Corp.                       5,000                 86,518                  

East Japan Railway Co.            23                    137,942                 

Ebara Corp.                       1,000                 10,365                  

Eisai Co. Ltd.                    2,000                 37,295                  

Fanuc Ltd.                        1,300                 48,375                  

Fuji Bank Ltd.                    17,000                66,686                  

Fuji Photo Film Co. Ltd.          3,000                 109,870                 

Fujikura Ltd.                     3,000                 16,128                  

Fujitsu Ltd.                      10,000                124,318                 

Furukawa Electric Co. Ltd. (a)    3,000                 11,214                  

Gunma Bank Ltd.                   2,000                 14,952                  

Hankyu Corp. (a)                  4,000                 16,766                  

COMMON STOCKS - CONTINUED                                                       

                      SHARES                VALUE (NOTE 1)

JAPAN - CONTINUED                                                               

Hitachi Ltd.                      19,000               $ 119,698                

Hitachi Zosen Corp. (a)           5,000                 6,090                   

Honda Motor Co. Ltd.              5,000                 189,688                 

House Foods Corp.                 1,000                 14,649                  

Hoya Corp.                        1,000                 48,719                  

Industrial Bank of Japan Ltd.     15,000                74,717                  
(The)                                                                           

Ito-Yokado Co. Ltd.               2,000                 116,254                 

Itochu Corp. (a)                  9,000                 15,724                  

Japan Airlines Co. Ltd.           11,000                27,997                  

Japan Energy Corp.                6,000                 5,342                   

Joyo Bank Ltd.                    2,000                 7,039                   

Jusco Co. Ltd.                    2,000                 32,272                  

Kajima Corp.                      4,000                 9,576                   

Kandenko Co. Ltd.                 1,000                 6,485                   

Kaneka Corp. (a)                  3,000                 22,176                  

Kansai Electric Power Co.,        5,500                 104,410                 
Inc.                                                                            

Kao Corp.                         3,000                 59,723                  

Kawasaki Heavy Industries         6,000                 11,441                  
Ltd.                                                                            

Kawasaki Steel Corp.              19,000                29,525                  

Keihin Electric Express           1,000                 3,066                   
Railway                                                                         

Kikkoman Corp.                    2,000                 12,365                  

Kinden Corp.                      2,000                 26,207                  

Kinki Nippon Railway Co. Ltd.     9,000                 47,325                  
(a)                                                                             

Kirin Brewery Co. Ltd.            6,000                 70,811                  

Kokuyo Co. Ltd.                   1,000                 14,826                  

Komatsu Ltd.                      6,000                 29,282                  

Konica Corp.                      1,000                 4,192                   

Kubota Corp.                      6,000                 14,717                  

Kuraray Co. Ltd.                  2,000                 19,605                  

Kurita Water Industries Ltd.      1,000                 13,146                  

Kyocera Corp.                     700                   32,927                  

Kyowa Hakko Kogyo Co. Ltd.        1,000                 4,712                   

Makita Corp.                      1,000                 9,551                   

Marubeni Corp. (a)                4,000                 6,619                   

Marui Co. Ltd.                    2,000                 32,591                  

Matsushita Electric               11,000                180,881                 
Industrial Co. Ltd.                                                             

Minebea Co. Ltd.                  2,000                 19,824                  

Mitsubishi Chemical Corp.         13,000                31,667                  

Mitsubishi Corp.                  8,000                 43,007                  

Mitsubishi Electric Corp.         10,000                29,903                  

Mitsubishi Estate Co. Ltd.        7,000                 68,853                  

Mitsubishi Gas Chemical Co.,      3,000                 7,761                   
Inc.                                                                            

Mitsubishi Heavy Industries       20,000                74,087                  
Ltd.                                                                            

Mitsubishi Logistics Corp.        1,000                 11,264                  

Mitsubishi Materials Corp.        5,000                 8,736                   

Mitsubishi Rayon Co. Ltd.         3,000                 7,081                   

Mitsubishi Trust & Banking        7,000                 59,269                  
Corp.                                                                           

Mitsui & Co. Ltd.                 9,000                 48,837                  

Mitsui Fudosan Co. Ltd. (a)       4,000                 31,953                  

Mitsui Marine & Fire              5,000                 23,562                  
Insurance Co. Ltd.                                                              

Mitsui Mining & Smelting Co.      4,000                 18,278                  
Ltd.                                                                            

Mitsui OSK Lines Ltd.             2,000                 3,108                   

                      SHARES                VALUE (NOTE 1)

Mitsui Trust & Banking Co.        3,000                $ 2,948                  
Ltd.                                                                            

Mitsukoshi Ltd.                   1,000                 2,402                   

Murata Manufacturing Co. Ltd.     1,000                 44,519                  

Mycal Corp.                       1,000                 5,586                   

Nagoya Railroad Co. Ltd.          6,000                 20,210                  

Nankai Electric Railway Co.       1,000                 4,679                   
Ltd.                                                                            

NEC Corp.                         8,000                 80,504                  

NGK Insulators Ltd.               2,000                 22,864                  

NGK Spark Plug Co. Ltd.           1,000                 10,962                  

Nichido Fire & Marine             1,000                 5,351                   
Insurance Co. Ltd.                                                              

Nikon Corp. (a)                   1,000                 13,944                  

Nippon Computer Systems Corp.     1,000                 11,365                  

Nippon Express Co. Ltd.           6,000                 29,937                  

Nippon Fire & Marine              1,000                 3,074                   
Insurance Co. Ltd.                                                              

Nippon Meat Packers, Inc.         1,000                 13,532                  

Nippon Oil Co. Ltd.               8,000                 28,022                  

Nippon Paper Industries Co.       6,000                 22,881                  
Ltd.                                                                            

Nippon Steel Corp.                35,000                61,151                  

Nippon Telegraph & Telephone      67                    550,407                 
Corp.                                                                           

Nippon Yusen Kabushiki Kaisha     5,000                 16,800                  

Nishimatsu Construction           2,000                 9,643                   

Nissan Motor Co. Ltd. (a)         14,000                54,448                  

Nisshinbo Industries, Inc.        1,000                 3,318                   

Nissin Food Products Co. Ltd.     1,000                 21,084                  

Nitto Denko Corp.                 1,000                 14,918                  

NKK Corp.                         13,000                7,644                   

Nomura Securities Co. Ltd.        11,000                90,181                  

NSK Ltd.                          1,000                 4,528                   

Obayashi Corp.                    3,000                 13,482                  

Odakyu Electric Railway Co.       3,000                 10,080                  
Ltd.                                                                            

Oji Paper Co. Ltd.                6,000                 29,534                  

Omron Corp.                       2,000                 21,672                  

Onward Kashiyama & Co. Ltd.       1,000                 11,004                  

Orix Corp. (a)                    1,000                 62,327                  

Osaka Gas Co. Ltd. (a)            12,000                35,783                  

Pioneer Electronic Corp.          1,000                 17,766                  

Rohm Co. Ltd.                     1,000                 97,438                  

Sakura Bank Ltd.                  22,000                47,677                  

Sankyo Co. Ltd.                   3,000                 64,259                  

Sanwa Shutter Corp.               1,000                 4,410                   

Sanyo Electric Co. Ltd.           12,000                33,767                  

Sapporo Breweries Ltd.            1,000                 4,141                   

Secom Ltd.                        1,000                 77,362                  

Sega Enterprises                  200                   3,763                   

Sekisui Chemical Co. Ltd.         4,000                 25,200                  

Sekisui House Ltd.                4,000                 40,823                  

Sharp Corp.                       6,000                 58,362                  

Shimano, Inc.                     1,000                 22,932                  

Shimizu Construction Co. Ltd.     6,000                 19,353                  
(a)                                                                             

Shin-Etsu Chemical Co. Ltd.       2,000                 46,703                  

Shionogi & Co. Ltd.               1,000                 7,719                   

Shiseido Co. Ltd.                 2,000                 24,192                  

Shizuoka Bank Ltd.                4,000                 48,013                  

COMMON STOCKS - CONTINUED                                                       

                      SHARES                VALUE (NOTE 1)

JAPAN - CONTINUED                                                               

Showa Denko KK                    2,000                $ 1,680                  

SMC Corp.                         1,000                 80,638                  

Snow Brand Milk Products Co.      2,000                 9,660                   
Ltd.                                                                            

Sony Corp.                        2,300                 171,781                 

Sumitomo Bank Ltd. Japan          17,000                204,343                 

Sumitomo Chemical Co. Ltd.        10,000                36,203                  

Sumitomo Corp.                    7,000                 35,044                  

Sumitomo Electric Industries      4,000                 41,966                  
Ltd.                                                                            

Sumitomo Heavy Industries Co.     3,000                 6,678                   
Ltd.                                                                            

Sumitomo Marine and Fire          3,000                 16,657                  
Insurance Co. Ltd.                                                              

Sumitomo Metal Industries         18,000                17,992                  
Ltd.                                                                            

Sumitomo Metal Mining Co.         3,000                 10,911                  
Ltd.                                                                            

Taiheiyo Cement Corp.             3,000                 7,938                   

Taisei Corp.                      4,000                 6,921                   

Taisho Pharmaceutical Co.         2,000                 52,919                  
Ltd.                                                                            

Takashimaya Co. Ltd.              1,000                 7,493                   

Takeda Chemical Industries        5,000                 171,357                 
Ltd.                                                                            

Teijin Ltd.                       4,000                 14,313                  

Tobu Railway Co. Ltd.             2,000                 5,729                   

Toho Co. Ltd.                     100                   12,171                  

Tohoku Electric Power Co.,        3,000                 46,140                  
Inc.                                                                            

Tokai Bank Ltd.                   12,000                58,564                  

Tokio Marine & Fire Insurance     8,000                 85,342                  
Co.  Ltd. (The)                                                                 

Tokyo Broadcasting System,        1,000                 10,836                  
Inc.                                                                            

Tokyo Dome Corp. (a)              1,000                 5,124                   

Tokyo Electric Power Co.          7,600                 152,894                 

Tokyo Electron Ltd.               1,000                 45,359                  

Tokyo Gas Co. Ltd.                11,000                25,687                  

Tokyo Style Co. Ltd.              1,000                 10,349                  

Tokyu Corp.                       4,000                 9,643                   

Toppan Printing Co. Ltd.          4,000                 46,669                  

Toray Industries, Inc.            8,000                 34,876                  

Tostem Corp.                      1,000                 15,960                  

Toto Ltd.                         2,000                 14,297                  

Toyo Seikan Kaisha Ltd.           1,000                 18,984                  

Toyoda Automatic Loom Works       2,000                 33,683                  
Ltd.                                                                            

Toyota Motor Corp.                20,000                520,790                 

Unified-Charm Corp.               1,000                 42,755                  

UNY Co. Ltd.                      1,000                 15,968                  

Wacoal Corp.                      1,000                 10,508                  

Yamaguchi Bank Ltd. (The)         1,000                 9,828                   

Yamaha Corp.                      1,000                 9,215                   

Yamaichi Securities Co. Ltd.      3,000                 5,562                   
(a)                                                                             

Yamanouchi Pharmaceutical Co.     2,000                 60,815                  
Ltd.                                                                            

Yamato Transport Co. Ltd.         2,000                 26,829                  

Yamazaki Baking Co. Ltd.          1,000                 13,406                  

                                         7,992,823

NETHERLANDS - 6.0%                                                              

ABN AMRO Holding NV               8,608                 176,045                 

Aegon NV                          3,391                 355,539                 

                      SHARES                VALUE (NOTE 1)

Akzo Nobel NV                     1,777                $ 67,688                 

Buhrmann NV                       236                   4,436                   

Elsevier NV                       3,862                 63,016                  

Getronics NV                      379                   16,609                  

Hagemeyer NV                      331                   10,254                  

Heineken NV                       1,955                 102,596                 

IHC Caland NV                     106                   3,436                   

ING Groep NV                      5,490                 308,689                 

KLM Royal Dutch Airlines NV       221                   6,189                   

Koninklijke Ahold NV              3,765                 145,282                 

Koninklijke Hoogovens NV          103                   3,117                   

Koninklijke KPN NV                2,898                 152,723                 

Oce NV, Venio                     451                   12,605                  

Philips Electronics NV            2,187                 152,270                 
(Bearer)                                                                        

Royal Dutch Petroleum Co.         12,591                552,430                 
(Hague Registry)                                                                

Stork NV                          78                    1,453                   

TNT Post Group NV                 2,917                 100,178                 

Unilever NV                       3,747                 271,411                 

Wolters Kluwer NV                 357                   69,075                  

                                         2,575,041

NEW ZEALAND - 0.2%                                                              

Brierley Investments Ltd.         9,835                 2,261                   

Carter Holt Harvey Ltd.           10,949                10,012                  

Fletcher Challenge Ltd.           1,314                 2,280                   
(Energy Division)                                                               

Lion Nathan Ltd.                  3,755                 9,006                   

Telecom Corp. of New Zealand      10,085                51,118                  
Ltd.                                                                            

                                      74,677

NORWAY - 0.3%                                                                   

Aker AS Series A                  300                   3,232                   

Bergesen d y AS Class A           200                   2,738                   

Christiania Bank Og               3,550                 12,778                  
Kreditkasse                                                                     

Den Norske Bank ASA Class A       3,300                 11,627                  
Free shares                                                                     

Elkem A/S                         200                   2,725                   

Kvaerner ASA                      150                   2,937                   

Merkantildata                     650                   6,755                   

Norsk Hydro AS                    1,350                 45,939                  

Norske Skogindustrier AS          100                   2,985                   
Class A                                                                         

Orkla-Borregaard AS               1,000                 13,434                  

Orkla-Borregaard AS Series B      200                   2,332                   
(non-vtg.)                                                                      

Petroleum Geo-Services ASA (a)    600                   6,844                   

Schibsted AS Series B             450                   5,333                   

Storebrand ASA (a)                1,800                 14,030                  

Tomra Systems AS                  250                   8,713                   

                                       142,402

PORTUGAL - 0.6%                                                                 

Banco Comercial Portuges SA       1,018                 30,741                  

Banco Espirito Santo e            697                   19,956                  
Comercial de Lisboa SA                                                          

BPI-SGPS SA (Reg.)                300                   10,458                  

COMMON STOCKS - CONTINUED                                                       

                      SHARES                VALUE (NOTE 1)

PORTUGAL - CONTINUED                                                            

Brisa Auto-Estradas de            400                  $ 20,665                 
Portugal Sarl                                                                   

Cimpor-Cimentos de Portugal SA    500                   14,002                  

Electricidade de Portugal SA      3,500                 75,786                  

Jeronimo Martins, SGPS SA         300                   12,287                  

Jeronimo Martins, SGPS SA         100                   551                     

Portugal Telecom SA               1,000                 49,183                  

SONAE Industria e                 200                   7,766                   
Investimentos SA                                                                

                                       241,395

SINGAPORE - 0.6%                                                                

City Developments Ltd.            5,000                 20,906                  

Cycle & Carriage Ltd.             1,000                 3,659                   

DBS Land Ltd.                     4,000                 4,948                   

Development Bank of Singapore     3,600                 26,132                  
Ltd.  (For. Reg.)                                                               

Fraser & Neave Ltd.               1,000                 3,397                   

Keppel Corp. Ltd.                 3,000                 6,969                   

Oversea-Chinese Banking Corp.     5,071                 33,866                  
(For. Reg.)                                                                   

Parkway Holdings Ltd.             2,000                 3,508                   

Sembcorp Industries Ltd. (a)      6,969                 7,568                   

Singapore Airlines Ltd. (For.     5,000                 36,876                  
Reg.)                                                                           

Singapore Press Holdings Ltd.     2,048                 23,311                  

Singapore Technologies            8,000                 6,876                   
Engineering Ltd.                                                                

Singapore Telecommunications      31,000                44,106                  
Ltd.                                                                            

United Industrial Corp. Ltd.      7,000                 2,886                   

United Overseas Bank Ltd.         4,000                 23,461                  
(For. Reg.)                                                                     

                                       248,469

SPAIN - 3.0%                                                                    

Acerinox SA (Reg.)                245                   6,466                   

Aguas de Barcelon SA              300                   18,787                  

Aguas de Barcelon SA (a)          1                     61                      

Argentaria Caja Postal y          3,144                 75,564                  
Banco Hipotecario de Espana                                                     
SA                                                                              

Autopistas Concesionaria          2,158                 30,739                  
Espanola SA                                                                     

Banco Bilbao Vizcaya SA (Reg.)    10,872                161,696                 

Banco Central                     4,747                 56,889                  
Hispanoamericano SA                                                             

Banco Santander SA                7,011                 139,906                 

Corporacion Financiera Alba SA    61                    8,844                   

Corporacion Mapfre Compania       138                   3,028                   
Internacional de Reaseguros                                                     
SA (Reg.)                                                                       

Endesa SA                         5,083                 135,281                 

FOCSA (Fomento Construcciones     530                   37,747                  
y Contratas SA)                                                                 

Gas Natural SDG SA Series E       934                   93,243                  

Iberdrola SA                      5,507                 86,518                  

Repsol SA                         1,830                 96,642                  

Tabacalera SA Series A            1,450                 32,676                  

Telefonica SA                     5,850                 268,304                 

Union Electrica Fenosa SA         862                   14,721                  

                      SHARES                VALUE (NOTE 1)

Vallehermoso SA                   600                  $ 7,349                  

Zardoya Otis SA                   210                   6,170                   

                                         1,280,631

SWEDEN - 2.7%                                                                   

ABB AB:                                                                         

Series A                          4,400                 50,155                  

Series B                          800                   9,070                   

AGA AB Series A                   1,000                 13,237                  

Astra AB:                                                                       

Class A                           8,100                 160,481                 

Class B                           1,800                 35,741                  

Atlas Copco AB:                                                                 

Series A                          900                   22,338                  

Series B                          200                   4,915                   

Drott AB Series B                 600                   5,148                   

Electrolux AB                     2,500                 47,649                  

Ericsson (L.M.) Telefon AB        11,600                301,600                 
Class B                                                                         

ForeningsSparbanken AB Series     1,900                 43,665                  
A                                                                               

Hennes & Mauritz AB Class B       1,300                 100,702                 

NetCom Systems AB Series B (a)    700                   26,855                  

OM Gruppen AB                     300                   3,934                   

Sandvik AB:                                                                     

Series A                          1,000                 19,243                  

Series B                          200                   3,849                   

Securitas AB Class B              2,000                 33,216                  

Skandia Foersaekrings AB          3,400                 62,718                  

Skandinaviska Enskilda Banken     4,000                 44,860                  
Class A                                                                         

Skanska AB Class B                600                   19,783                  

SKF AB                            400                   5,540                   

SSAB Swedish Steel Series A       300                   3,181                   

Svenska Cellulosa AB (SCA)        1,300                 26,052                  
Class B                                                                         

Svenska Handelsbanken             1,300                 46,208                  

Swedish Match Co.                 1,100                 3,654                   

Trelleborg AB Class B             300                   2,703                   

Volvo AB:                                                                       

Class A                           900                   23,000                  

Class B                           1,900                 48,450                  

WM-Data AB Series B               400                   17,405                  

                                         1,185,352

SWITZERLAND - 7.5%                                                              

ABB AG                            50                    61,161                  

Adecco SA (Bearer)                100                   52,522                  

Alusuisse Lonza Holding Ltd.,     40                    44,534                  
Zurich (Reg.) (a)                                                               

Credit Suisse Group (Reg.)        1,550                 241,016                 

Georg Fischer AG (Reg.)           20                    6,565                   

Holderbank Financiere Glarus      50                    12,612                  
AG                                                                              

Holderbank Financiere Glarus      30                    31,265                  
AG (Bearer)                                                                     

Kuoni Reisen Holding AG Class     2                     8,155                   
B (Reg.)                                                                        

Nestle SA (Reg.)                  230                   434,727                 

COMMON STOCKS - CONTINUED                                                       

                      SHARES                VALUE (NOTE 1)

SWITZERLAND - CONTINUED                                                         

Novartis AG:                                                                    

(Bearer)                          35                   $ 61,437                 

(Reg.)                            360                   632,426                 

Roche Holding AG                  10                    178,956                 

Roche Holding AG                  41                    519,938                 
participation certificates                                                      

SAirGroup (Reg.)                  50                    10,781                  

SGS (Societe Generale de          5                     3,766                   
Surveillance) Holding SA                                                        

Sulzer AG (Reg.)                  20                    11,818                  

Swatch Group AG (The) (Bearer)    25                    15,895                  

Swiss Reinsurance Co. (Reg.)      85                    190,619                 

Swisscom AG                       400                   158,397                 

Union Bank of Switzerland         1,241                 386,794                 

Valora Holding AG                 20                    4,430                   

Zurich Allied AG (Reg.) (a)       280                   186,151                 

                                         3,253,965

UNITED KINGDOM - 18.9%                                                          

Abbey National, PLC               7,254                 145,003                 

Allied Zurich PLC (a)             7,341                 108,615                 

Anglian Water PLC                 960                   11,234                  

Arjo Wiggins Appleton PLC         3,168                 6,157                   

Associated British Foods PLC      4,795                 37,164                  

BAA PLC                           5,908                 66,578                  

Barclays PLC                      7,857                 209,829                 

Barratt Developments PLC          1,067                 4,464                   

Bass PLC                          3,946                 54,810                  

BBA Group PLC                     1,586                 9,610                   

BG PLC                            20,278                118,646                 

Blue Circle Industries PLC        5,223                 25,620                  

BOC Group PLC                     2,909                 39,403                  

Boots Co. PLC                     4,498                 72,283                  

BP Amoco PLC                      29,741                421,331                 

BP Amoco PLC sponsored ADR        3,188                 270,980                 

BPB Industries PLC                2,861                 10,938                  

British Aerospace PLC             8,984                 57,101                  

British Airways PLC               5,347                 39,513                  

British American Tobacco PLC      7,341                 67,017                  

British Land Co. PLC              3,152                 26,173                  

British Sky Broadcasting          9,262                 85,296                  
Group PLC                                                                       

British Steel PLC                 7,267                 14,307                  

British Telecommunications PLC    32,523                571,184                 

BTR Siebe PLC                     21,455                89,764                  

Burmah Castrol PLC                779                   10,177                  

Cable & Wireless PLC              12,577                172,074                 

Cadbury Schweppes PLC             4,993                 76,756                  

Caradon PLC                       2,172                 5,327                   

Carlton Communications PLC        3,481                 34,317                  

Centrica PLC (a)                  19,975                37,383                  

CGU PLC                           6,859                 101,044                 

Coats Viyella PLC                 2,748                 1,663                   

Compass Group PLC                 3,424                 42,208                  

                      SHARES                VALUE (NOTE 1)

Diageo PLC                        18,447               $ 202,262                

Electrocomponents PLC             1,584                 9,268                   

EMI Group PLC                     3,622                 26,751                  

FKI PLC                           2,190                 5,652                   

General Electric Co. PLC          14,183                113,222                 

GKN PLC Class L                   3,740                 50,839                  

Glaxo Wellcome PLC                17,844                571,567                 

Granada Group PLC                 4,419                 89,148                  

Great Universal Stores PLC        4,995                 63,816                  
Class A                                                                         

Guardian Royal Exchange PLC       3,851                 21,838                  

Halifax PLC                       12,849                158,391                 

Hammerson PLC                     827                   5,263                   

Hanson PLC                        3,638                 29,559                  

HSBC Holdings PLC:                                                              

( Reg.)                           9,316                 266,863                 

Ord.                              4,287                 125,072                 

Hyder PLC                         584                   7,447                   

ICI (Imperial Chemical            3,656                 32,104                  
Industries) PLC Class L                                                         

IMI plc                           1,347                 4,880                   

Jarvis PLC                        1,041                 8,928                   

Johnson Matthey PLC               851                   6,238                   

Kingfisher PLC                    6,903                 87,086                  

Ladbroke Group PLC                6,065                 28,292                  

Land Securities PLC               2,868                 37,239                  

Lasmo PLC                         2,944                 5,663                   

Legal & General Group Ltd.        6,816                 85,114                  

Lloyds TSB Group PLC              26,483                379,735                 

LucasVarity PLC                   8,167                 37,115                  

Marks & Spencer PLC               14,853                100,237                 

MEPC PLC                          1,272                 9,522                   

Misys PLC                         1,745                 16,923                  

National Grid Group PLC           8,161                 59,000                  

National Power PLC (b)            6,311                 50,279                  

Next PLC                          1,139                 13,328                  

Pearson PLC                       2,787                 61,206                  

Peninsular & Oriental Steam       3,785                 44,504                  
Navigation Co.                                                                  

Pilkington PLC                    4,076                 4,084                   

Provident Financial Group PLC     929                   14,341                  

Prudential Corp. PLC              9,986                 135,264                 

Railtrack PLC Class L             2,755                 68,529                  

Rank Group PLC Class L            2,483                 9,473                   

Reed International PLC            5,789                 55,748                  

Rentokil Initial PLC              15,200                112,325                 

Reuters Group PLC                 7,165                 99,981                  

Rexam PLC                         2,874                 9,168                   

Rio Tinto PLC (Reg.)              5,275                 68,365                  

RMC Industries, Inc.              1,538                 16,752                  

Rolls-Royce PLC                   8,411                 36,774                  

Royal & Sun Alliance              7,864                 66,497                  
Insurance  Group PLC                                                            

Royal Bank of Scotland Group      3,570                 69,531                  
PLC                                                                             

Safeway PLC                       5,061                 21,945                  

COMMON STOCKS - CONTINUED                                                       

                      SHARES                VALUE (NOTE 1)

UNITED KINGDOM - CONTINUED                                                      

Sainsbury (J.) PLC                9,348                $ 53,945                 

Schroders PLC                     1,500                 30,946                  

Scottish & Newcastle PLC          2,167                 23,795                  

Scottish & Southern Energy PLC    1,428                 13,242                  

Scottish Power PLC                6,131                 56,658                  

Slough Estates PLC                1,512                 8,047                   

SmithKline Beecham PLC            27,929                397,291                 

Smiths Industries PLC             1,099                 16,674                  

Stagecoach Holdings PLC           4,265                 16,135                  

Tarmac PLC                        3,980                 6,858                   

Tate & Lyle PLC                   1,628                 11,874                  

Taylor Woodrow PLC                1,762                 4,788                   

Tesco PLC                         34,969                99,358                  

Thames Water PLC                  2,082                 34,342                  

TI Group PLC                      1,730                 10,926                  

Unigate PLC                       800                   5,476                   

Unilever PLC                      16,709                162,912                 

United Utilities PLC              2,898                 36,769                  

Vickers PLC                       678                   1,619                   

Vodafone Group PLC                14,656                267,014                 

Williams PLC Class L              4,176                 25,973                  

Wolseley PLC                      4,255                 27,351                  

Zeneca Group PLC                  4,459                 185,699                 

                                         8,144,789

TOTAL COMMON STOCKS                        37,746,602                           
(Cost $34,626,953)                                                              

NONCONVERTIBLE PREFERRED                                                        
STOCKS - 0.6%                                                                   

AUSTRALIA - 0.2%                                                                

News Corp. Ltd.                   10,902                71,053                  

GERMANY - 0.3%                                                                  

RWE AG (non-vtg.)                 700                   20,451                  

SAP AG (Systeme Anwendungen       250                   95,366                  
Produkte)                                                                       

Volkswagen AG                     500                   19,569                  

                                       135,386

ITALY - 0.1%                                                                    

Fiat Spa                          4,324                 6,631                   

Fiat Spa (savings share)          1,857                 3,024                   

Telecom Italia Mobile Spa         7,910                 31,988                  

Telecom Italia Spa Risp           2,675                 18,214                  

                                      59,857

TOTAL NONCONVERTIBLE                                    266,296                 
PREFERRED STOCKS                                                                
(Cost $244,572)                                                                 

                                                        [Enlarge/Download Table]

                                                                                                            
GOVERNMENT OBLIGATIONS - 11.7%                                                                              

                                                    PRINCIPAL AMOUNT                  VALUE (NOTE 1)        

UNITED STATES OF AMERICA -                                                                                  
11.7%                                                                                                       

U.S. Treasury Bills, yield at                       $ 5,084,000                       $ 5,055,602           
date of purchase 4.25% to                                                                                   
4.7% 3/11/99 to 5/20/99 (c)                                                                                 
(Cost $5,056,199)                                                                                           

TOTAL INVESTMENT IN                                                                   $ 43,068,500          
SECURITIES - 100%                                                                                           
(Cost $39,927,724)                                                                                          

FUTURES CONTRACTS                                                                                           

                               EXPIRATION DATE      UNDERLYING FACE AMOUNT AT VALUE   UNREALIZED GAIN/(LOSS)

PURCHASED                                                                                                   

2 All Ordinary Index           Mar. 1999            $ 92,304                          $ (751)               
Contracts (Australia)                                                                                       

63 CAC 40 Index Contracts      Mar. 1999             300,095                           20,341               
(France)                                                                                                    

8 CAC 40 Index Contracts       Mar. 1999             370,169                           (11,597)             
(France)                                                                                                    

3 DAX 30 Index Contracts       Mar. 1999             429,360                           (17,672)             
(Germany)                                                                                                   

1 DAX 30 Index Contracts       Jun. 1999             135,719                           (3,478)              
(Germany)                                                                                                   

17 FTSE 100 Index Contracts    Mar. 1999             1,730,337                         84,808               
(United Kingdom)                                                                                            

5 Hang Seng Index Contracts    Mar. 1999             317,162                           13,811               
(Hong Kong)                                                                                                 

2 Ibex Index Contracts (Spain) Mar. 1999             221,740                           1,299                

3 Mib 30 Index Contracts       Mar. 1999             628,746                           25,062               
(Italy)                                                                                                     

3 Nikkei 225 Index Contracts   Mar. 1999             215,550                           12,625               
(Japan)                                                                                                     

23 Nikkei 300 Index Contracts  Mar. 1999             443,639                           13,675               
(Japan)                                                                                                     

4 Topix Index Contracts (Japan) Mar. 1999             392,594                           9,996               

                                                   $ 5,277,415                       $ 148,119              

THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF TOTAL                                                
INVESTMENTS IN SECURITIES - 12.3%                                                                           

                                                                [Download Table]

                                                                              
FORWARD FOREIGN CURRENCY                                                      
CONTRACTS                                                                     

                          SETTLEMENT DATE  VALUE        UNREALIZED GAIN/(LOSS)

CONTRACTS TO BUY                                                              

1,220,705 EUR             3/5/99           $ 1,346,296  $ (47,621)            

873,957 GBP               3/5/99            1,400,748    (37,400)             

92,059,187 JPY            3/5/99            773,981      (25,123)             


TOTAL CONTRACTS TO BUY                    $ 3,521,025    $ (110,144)            
(Payable amount $3,631,169)                                                     

THE VALUE OF CONTRACTS TO BUY AS A PERCENTAGE OF TOTAL INVESTMENTS IN           
SECURITIES - 8.2%                                                               

CURRENCY ABBREVIATIONS                                                          
EUR - Euro                                                                      

GBP - British pound                                                             

JPY - Japanese yen                                                              
LEGEND                                                                          
(a) Non-income producing                                                        

(b) Security exempt from registration under Rule 144A of the                    
Securities Act of 1933.  These securities may be resold in                      
transactions exempt from registration, normally to qualified                    
institutional buyers. At the period end, the value of these securities          
amounted to $50,279 or 0.1% of net assets.                                      

(c) A security or a portion of the security was pledged to cover                
margin requirements for future contacts. At the period end, the value           
of securities pledged amounted to $370,500.                                     

MARKET SECTOR DIVERSIFICATION (UNAUDITED)                                       

As a Percentage of Total Value of Investments in Securities                     

AEROSPACE & DEFENSE           0.3%                                              

BASIC INDUSTRIES              3.9                                               

CONSTRUCTION & REAL ESTATE    2.8                                               

DURABLES                      5.9                                               

ENERGY                        4.8                                               

FINANCE                       21.4                                              

GOVERNMENT OBLIGATIONS        11.7                                              

HEALTH                        8.3                                               

HOLDING COMPANIES             0.1                                               

INDUSTRIAL MACHINERY &        4.8                                               
EQUIPMENT                                                                       

MEDIA & LEISURE               2.5                                               

NONDURABLES                   5.7                                               

PRECIOUS METALS               0.1                                               

RETAIL & WHOLESALE            4.1                                               

SERVICES                      1.8                                               

TECHNOLOGY                    4.6                                               

TRANSPORTATION                2.3                                               

UTILITIES                      14.9                                             

100.0%              

OTHER INFORMATION                                                               

Purchases and sales of securities, other than short-term securities,            
aggregated $15,156,061 and  $741,120, respectively.                             

The market value of futures contracts opened and closed during the              
period amounted to $24,885,606 and $21,401,347, respectively.                   

The fund participated in the security lending program. At period end,           
the value of securities loaned amounted to $604,423. The fund received          
cash collateral of $399,375 which was invested in the Bankers Trust             
Institutional Daily Asset Fund. The fund also received non-cash                 
collateral of $246,650 which represents U.S. Treasury obligations.              

INCOME TAX INFORMATION                                                          

At February 28, 1999, the aggregate cost of investment securities for           
income tax purposes was $39,968,615. Net unrealized appreciation                
aggregated $3,099,885, of which $5,597,897 related to appreciated               
investment securities and $2,498,012 related to depreciated investment          
securities.                                                                     

At February 28, 1999, the fund had a capital loss carryforward of               
approximately $446,000 will expire on February 28, 2007.                        

The fund intends to elect to defer to its fiscal year ending February           
29, 2000 approximately $86,000 of losses recognized during the period           
November 1, 1998 to February 28, 1999.                                          

The amounts per share which represent income derived from sources               
within, and taxes paid to, foreign countries or possessions of the              
United States are $.397 and $.041, respectively, for the dividend paid          
December 21, 1998.                                                              

SPARTAN INTERNATIONAL INDEX FUND                                                
FINANCIAL STATEMENTS                                                            

STATEMENT OF ASSETS AND LIABILITIES                                             
           FEBRUARY 28, 1999

ASSETS                                                                          

Investment in securities, at              $ 43,068,500                          
value  (cost $39,927,724) -                                                     
See accompanying schedule                                                       

Cash                                       269                                  

Foreign currency held at                   307,548                              
value  (cost $313,492)                                                          

Receivable for investments                 37,706                               
sold                                                                            

Unrealized appreciation on                 3,416                                
foreign currency contracts                                                      

Receivable for fund shares                 255,584                              
sold                                                                            

Dividends receivable                       60,404                               

Interest receivable                        343                                  

Purchase fees receivable                   2,568                                

Investment of cash collateral              399,375                              
received for securities                                                         
loaned                                                                          

Receivable from investment                 3,866                                
adviser for expense                                                             
reductions                                                                      

TOTAL ASSETS                              44,139,579                          

LIABILITIES                                                                     

Payable for investments        $ 275,007                                        
purchased                                                                       

Unrealized depreciation on      113,560                                         
foreign currency contracts                                                      

Payable for closed foreign      4,578                                           
currency contracts                                                              

Payable for fund shares         130,312                                         
redeemed                                                                        

Payable for daily variation     6,286                                           
on  futures margin                                                              

Other payables and accrued      34,409                                          
expenses                                                                        

Collateral on securities        399,375                                         
loaned,  at value                                                               

TOTAL LIABILITIES                         963,527                             

NET ASSETS                                $ 43,176,052                          

Net Assets consist of:                                                          

Paid in capital                           $ 40,450,962                          

Undistributed net investment               135,758                              
income                                                                          

Accumulated undistributed net              (584,918)                            
realized gain (loss) on                                                         
investments and foreign                                                         
currency transactions                                                           

Net unrealized appreciation                3,174,250                            
(depreciation) on                                                               
investments  and assets and                                                     
liabilities in  foreign                                                         
currencies                                                                      

NET ASSETS, for 1,497,237                 $ 43,176,052                          
shares outstanding                                                              

NET ASSET VALUE, offering                  $28.84                               
price  and redemption price                                                     
per share ($43,176,052                                                          
(divided by) 1,497,237                                                          
shares) A                                                                       

A OFFERING PRICE PER SHARE DOES NOT INCLUDE THE EFFECT OF THE PURCHASE          
FEE.                                                                            

STATEMENT OF OPERATIONS                                                         
YEAR ENDED FEBRUARY 28, 1999

INVESTMENT INCOME                            $ 583,265                          
Dividends                                                                       

Interest (including income on                 143,815                           
securities loaned of $6,583)                                                    

                   727,080

Less foreign taxes withheld                   (54,880)                          

TOTAL INCOME                                 672,200                          

EXPENSES                                                                        

Management fee and               $ 118,587                                      
sub-advisory fees                                                               

Transfer agent fees               40,925                                        

Accounting fees                   60,345                                        

Non-interested trustees'          134                                           
compensation                                                                    

Registration fees                 75,645                                        

Audit                             37,354                                        

Legal                             389                                           

Miscellaneous                     87                                            

Total expenses before            333,466                                      
reductions                                                                      

Expense reductions               (212,076)   121,390                          

NET INVESTMENT INCOME                         550,810                           

REALIZED AND UNREALIZED GAIN                                                    
(LOSS)                                                                          
Net realized gain (loss) on:                                                    

Investment securities            (205,030)                                    

Foreign currency transactions    (2,242)                                      

Futures contracts                (188,109)   (395,381)                        

Change in net unrealized                                                        
appreciation (depreciation)                                                     
on:                                                                             

Investment securities            1,289,451                                    

Assets and liabilities in        (116,850)                                    
foreign currencies                                                              

Futures contracts                88,410      1,261,011                        

NET GAIN (LOSS)                               865,630                           

NET INCREASE (DECREASE) IN                   $ 1,416,440                        
NET ASSETS RESULTING FROM                                                       
OPERATIONS                                                                      

                                                        [Enlarge/Download Table]

                                                                                           
STATEMENT OF CHANGES IN NET ASSETS                                                         
INCREASE (DECREASE) IN NET       YEAR ENDED FEBRUARY 28, 1999  NOVEMBER 5, 1997            
ASSETS                                                         (COMMENCEMENT OF OPERATIONS)
                                                               TO FEBRUARY 28, 1998        

Operations Net investment        $ 550,810                     $ 94,151                    
income                                                                                     

 Net realized gain (loss)         (395,381)                     96,652                     

 Change in net unrealized         1,261,011                     1,913,239                  
appreciation (depreciation)                                                                

 NET INCREASE (DECREASE) IN       1,416,440                     2,104,042                  
NET ASSETS RESULTING FROM                                                                  
OPERATIONS                                                                                 

Distributions to shareholders     (612,100)                     (50,614)                   
From net investment income                                                                 

 From net realized gain           (88,646)                      -                          

 In excess of net realized        (44,030)                      -                          
gain                                                                                       

 TOTAL DISTRIBUTIONS              (744,776)                     (50,614)                   

Share transactions Net            31,517,056                    25,688,131                 
proceeds from sales of shares                                                              

 Reinvestment of distributions    714,996                       50,614                     

 Cost of shares redeemed          (14,735,826)                  (3,363,303)                

 NET INCREASE (DECREASE) IN       17,496,226                    22,375,442                 
NET ASSETS RESULTING FROM                                                                  
SHARE TRANSACTIONS                                                                         

Purchase fees                     321,951                       257,341                    

  TOTAL INCREASE (DECREASE)       18,489,841                    24,686,211                 
IN NET ASSETS                                                                              

NET ASSETS                                                                                 

 Beginning of period              24,686,211                    -                          

 End of period (including        $ 43,176,052                  $ 24,686,211                
under (over) distribution of                                                               
net investment income of                                                                   
$135,758 and  $51,543,                                                                     
respectively)                                                                              

OTHER INFORMATION                                                                          
Shares                                                                                     

 Sold                             1,096,066                     1,022,450                  

 Issued in reinvestment of        24,926                        2,076                      
distributions                                                                              

 Redeemed                         (516,971)                     (131,310)                  

 Net increase (decrease)          604,021                       893,216                    


FINANCIAL HIGHLIGHTS                                                            
YEARS ENDED FEBRUARY 28,         1999      1998 E                               

SELECTED PER-SHARE DATA                                                         

Net asset value, beginning of    $ 27.64   $ 25.00                              
period                                                                          

Income from Investment                                                          
Operations                                                                      

Net investment income D           .46       .11                                 

Net realized and unrealized       1.08      2.29                                
gain (loss)                                                                     

Total from investment             1.54      2.40                                
operations                                                                      

Less Distributions                                                              

From net investment income       (.48)     (.06)                              

From net realized gain            (.09)     -                                   

In excess of net realized        (.04)     -                                  
gain                                                                            

Total distributions               (.61)     (.06)                               

Purchase fees added to paid       .27       .30                                 
in capital                                                                      

Net asset value, end of period   $ 28.84   $ 27.64                              

TOTAL RETURN B, C                 6.58%     10.83%                              

RATIOS AND SUPPLEMENTAL DATA                                                    

Net assets, end of period        $ 43,176  $ 24,686                             
(000 omitted)                                                                   

Ratio of expenses to average      .36% F    .35% A, F                           
net assets                                                                      

Ratio of net investment           1.62%     1.43% A                             
income to average net assets                                                    

Portfolio turnover rate           2%        2% A                                

A ANNUALIZED B TOTAL RETURNS                                                    
FOR PERIODS OF LESS THAN ONE                                                    
YEAR ARE NOT ANNUALIZED. C                                                      
THE TOTAL RETURNS WOULD HAVE                                                    
BEEN LOWER HAD CERTAIN                                                          
EXPENSES NOT BEEN REDUCED                                                       
DURING THE PERIODS SHOWN. D                                                     
NET INVESTMENT INCOME PER                                                       
SHARE HAS BEEN CALCULATED                                                       
BASED ON AVERAGE SHARES                                                         
OUTSTANDING DURING THE                                                          
PERIOD. E FOR THE PERIOD                                                        
NOVEMBER 5, 1997                                                                
(COMMENCEMENT OF OPERATIONS)                                                    
TO FEBRUARY 28, 1998. F FMR                                                     
AGREED TO REIMBURSE A                                                           
PORTION OF THE FUND'S                                                           
EXPENSES DURING THE PERIOD.                                                     
WITHOUT THIS REIMBURSEMENT,                                                     
THE FUND'S EXPENSE RATIO                                                        
WOULD HAVE BEEN HIGHER.                                                         

NOTES TO FINANCIAL STATEMENTS                                                   
For the period ended February 28, 1999                                          

1. SIGNIFICANT ACCOUNTING POLICIES.                                             

The Spartan Total Market Index Fund, Spartan Extended Market Index              
Fund and Spartan International Index Fund (the funds) are funds of              
Fidelity Concord Street Trust (the trust). The trust is registered              
under the Investment Company Act of 1940, as amended, as an open-end            
management investment company organized as a Massachusetts business             
trust. Each fund is authorized to issue an unlimited number of shares.          
The financial statements have been prepared in conformity with                  
generally accepted accounting principles which require management to            
make certain estimates and assumptions at the date of the financial             
statements. The following summarizes the significant accounting                 
policies of the funds:                                                          

SECURITY VALUATION:                                                             

SPARTAN TOTAL MARKET INDEX AND SPARTAN EXTENDED                                 
MARKET INDEX FUNDS. Securities for which exchange quotations are                
readily available are valued at the last sale price, or if no sale              
price, at the closing bid price. Securities for which exchange                  
quotations are not readily available (and in certain cases debt                 
securities which trade on an exchange) are valued primarily using               
dealer-supplied valuations or at their fair value as determined in              
good faith under consistently applied procedures under the general              
supervision of the Board of Trustees. Short-term securities with                
remaining maturities of sixty days or less for which quotations are             
not readily available are valued at amortized cost or original cost             
plus accrued interest, both of which approximate current value.                 

INTERNATIONAL INDEX FUND. Securities for which quotations are readily           
available are valued at the last sale price, or if no sale price, at            
the closing bid price in the principal market in which such securities          
are normally traded. If trading or events occurring in other markets            
after the close of the principal market in which securities are traded          
are expected to materially affect the value of those securities, then           
they are valued at their fair value taking this trading or these                
events into account. Fair value is determined in good faith under               
consistently applied procedures under the general supervision of the            
Board of Trustees. Securities for which quotations are not readily              
available are valued primarily using dealer-supplied valuations or at           
their fair value. Short-term securities with remaining maturities of            
sixty days or less for which quotations are not readily available are           
valued at amortized cost or original cost plus accrued interest, both           
of which approximate current value.                                             

FOREIGN CURRENCY TRANSLATION. The accounting records of the funds are           
maintained in U.S. dollars. Investment securities and other assets and          
liabilities denominated in a foreign currency are translated into U.S.          
dollars at the prevailing rates of exchange at period end. Purchases            
and sales of securities, income receipts and expense payments are               
translated into U.S. dollars at the prevailing exchange rate on the             
respective dates of the transactions.                                           

Net realized gains and losses on foreign currency transactions                  
represent net gains and losses from sales and maturities of foreign             
currency contracts, disposition of foreign currencies, the difference           
between the amount of net investment income accrued and the U.S.                
dollar amount actually received, and gains and losses between trade             
and settlement date on purchases and sales of securities. The effects           
of changes in foreign currency exchange rates on investments in                 
securities are included with the net realized and unrealized gain or            
loss on investment securities.                                                  

INCOME TAXES. As a qualified regulated investment company under                 
Subchapter M of the Internal Revenue Code, each fund is not subject to          
income taxes to the extent that it distributes substantially all of             
its taxable income for the fiscal year. The schedules of investments            
include information regarding income taxes under the caption "Income            
Tax Information."                                                               

INVESTMENT INCOME. Dividend income is recorded on the ex-dividend               
date, except certain dividends from foreign securities where the                
ex-dividend date may have passed, are recorded as soon as the funds             
are informed of the ex-dividend date. Non-cash dividends included in            
dividend income, if any, are recorded at the fair market value of the           
securities received. Interest income, which includes accretion of               
original issue discount, is accrued as earned. Investment income is             
recorded net of foreign taxes withheld where recovery of such taxes is          
uncertain.                                                                      

EXPENSES. Most expenses of the trust can be directly attributed to a            
fund. Expenses which cannot be directly attributed are apportioned              
among the funds in the trust.                                                   

DISTRIBUTIONS TO SHAREHOLDERS. Distributions are recorded on the                
ex-dividend date.                                                               

Income and capital gain distributions are determined in accordance              
with income tax regulations which may differ from generally accepted            
accounting principles. These differences, which may result in                   
distribution reclassifications, are primarily due to differing                  
treatments for futures transactions, foreign currency transactions,             
passive foreign investment companies (PFIC), market discount,                   
partnerships, capital loss carryforwards and losses deferred due to             
wash sales. Certain funds also utilized earnings and profits                    
distributed to shareholders on redemption of shares as a part of the            
dividends paid deduction for income tax purposes.                               

Permanent book and tax basis differences relating to shareholder                
distributions will result in reclassifications to paid in capital.              
Undistributed net investment income and accumulated undistributed net           
realized gain (loss) on investments and foreign currency transactions           
may include temporary book and tax basis differences which will                 
reverse in a subsequent period. Any taxable income or gain remaining            
at fiscal year end is distributed in the following year.                        

PURCHASE FEES. Shares purchased in the fund are subject to a purchase           
fee equal to 0.50%, 0.75%, and 1.00% of the amount invested in Spartan          
Total Market Index, Spartan Extended Market Index and Spartan                   
International Index, respectively. This fee, which is retained by the           
fund, is accounted for as an addition to paid in capital. Shares                
purchased after April 28, 1999 will no longer be subject to a purchase          
fee but will be subject to a redemption fee if redeemed within 90               
days. The redemption                                                            

1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED                                  

PURCHASE FEES - CONTINUED                                                       

fee levels will be equal to the existing purchase fee levels. Shares            
purchased through April 28, 1999 are subject to a purchase fee, but             
will not be subject to a redemption fee.                                        

SECURITY TRANSACTIONS. Security transactions are accounted for as of            
trade date. Gains and losses on securities sold are determined on the           
basis of identified cost.                                                       

2. OPERATING POLICIES.                                                          

FORWARD FOREIGN CURRENCY CONTRACTS. The Spartan International Index             
Fund generally uses foreign currency contracts to facilitate                    
transactions in foreign-denominated securities and to manage the                
fund's currency exposure. Contracts to sell generally are used to               
hedge the fund's investments against currency fluctuations, while               
contracts to buy generally are used to offset a previous contract to            
sell. Also, a contract to buy can be used to acquire exposure to                
foreign currencies and a contract to sell can be used to offset a               
previous contract to buy. These contracts involve market risk in                
excess of the unrealized gain or loss reflected in the fund's                   
Statement of Assets and Liabilities. The U.S. dollar value of the               
currencies the fund has committed to buy or sell is shown in the                
schedule of investments under the caption "Forward Foreign Currency             
Contracts." This amount represents the aggregate exposure to each               
currency the fund has acquired or hedged through currency contracts at          
period end. Losses may arise from changes in the value of foreign               
currency or if the counterparties do not perform under the contracts'           
terms.                                                                          

The U.S. dollar value of forward foreign currency contracts is                  
determined using forward currency exchange rates supplied by a                  
quotation service. Purchases and sales of forward foreign currency              
contracts having the same settlement date and broker are offset and             
any realized gain (loss) is recognized on the date of offset;                   
otherwise, gain (loss) is recognized on settlement date. Contracts              
that have been offset with different counterparties are reflected as            
both a contract to buy and a contract to sell in the schedule of                
investments under the caption "Forward Foreign Currency Contracts."             

FUTURES CONTRACTS. The funds may use futures contracts to manage their          
exposure to the stock market and to fluctuations in currency values.            
Buying futures tends to increase a fund's exposure to the underlying            
instrument, while selling futures tends to decrease a fund's exposure           
to the underlying instrument or hedge other fund investments. Futures           
contracts involve, to varying degrees, risk of loss in excess of the            
futures variation margin reflected in each applicable fund's Statement          
of Assets and Liabilities. The underlying face amount at value of any           
open futures contracts at period end is shown in each applicable                
fund's schedule of investments under the caption "Futures Contracts."           
This amount reflects each contract's exposure to the underlying                 
instrument at period end. Losses may arise from changes in the value            
of the underlying instruments or if the counterparties do not perform           
under the contracts' terms. Gains (losses) are realized upon the                
expiration or closing of the futures contracts. Futures contracts are           
valued at the settlement price established each day by the board of             
trade or exchange on which they are traded.                                     

3. PURCHASES AND SALES OF INVESTMENTS.                                          

Information regarding purchases and sales of securities (other than             
short-term securities) and the market value of future contracts opened          
and closed, is included under the caption "Other Information" at the            
end of each applicable fund's schedule of investments.                          

4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.                                 

MANAGEMENT FEE. As each fund's investment adviser, Fidelity Management          
& Research Company (FMR) receives a fee that is computed daily at an            
annual rate of 0.24%, 0.24% and 0.34% of the average net assets of              
Spartan Total Market Index, Spartan Extended Market Index and Spartan           
International Index, respectively.                                              

SUB-ADVISER FEE. FMR and each of the funds have entered into a                  
sub-advisory agreement with Bankers Trust Company (Bankers Trust).              
Bankers Trust receives a sub-advisory fee for providing investment              
management, securities lending and custodial services to each of the            
funds. For providing these services to Spartan Total Market Index and           
Spartan Extended Market Index, FMR pays Bankers Trust fees at an                
annual rate of 0.0125% of the average net assets of each fund. For              
providing these services to Spartan International Index, FMR pays               
Bankers Trust fees at an annual rate of 0.0650% of the average net              
assets of the fund, plus fees of up to $200,000 annually.                       
In addition, each fund pays Bankers Trust fees equal to 40% of net              
income from each fund's securities lending program. For the period,             
the funds paid Bankers Trust the following amounts:                             

      ANNUAL %
        OF AVERAGE
AMOUNT  NET ASSETS
Spartan Total Market Index     $22,253 0.02%                                    
Spartan Extended Market Index   30,583 0.06%                                    
Spartan International Index      2,632 0.01%                                    

On March 11, 1999, Bankers Trust announced that it had reached an               
agreement with the United States Attorney's Office to resolve an                
investigation concerning inappropriate transfers of unclaimed funds             
and related recordkeeping problems that occured between 1994 and early          
1996. Pursuant to its agreement with the U.S. Attorney's Office,                
Bankers Trust pleaded guilty to misstating entries in the bank's books          
and records. As a result of the plea, absent an order from the SEC,             
Bankers Trust would not be able to continue to provide investment               
advisory services to the funds. The SEC has granted a temporary order           
to permit Bankers Trust and its affiliates to continue to provide               
investment advisory services to registered investment companies. There          
is no assurance that the SEC will grant a permanent order.                      

TRANSFER AGENT FEES. Fidelity Service Company, Inc. (FSC), an                   
affiliate of FMR, is the funds' transfer, dividend disbursing and               
shareholder servicing agent. FSC receives account fees and asset-based          
fees that vary according to account size and type of                            

4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - CONTINUED                      

TRANSFER AGENT FEES - CONTINUED                                                 

account. FSC pays for typesetting, printing and mailing of all                  
shareholder reports, except proxy statements. For the period, the               
transfer agent fees were equivalent to an annual rate of 0.15%, 0.15%           
and 0.12% of the average net assets of Spartan Total Market Index,              
Spartan Extended Market Index and Spartan International Index,                  
respectively.                                                                   

ACCOUNTING FEES. FSC maintains each fund's accounting records. The fee          
is based on the level of average net assets for the month plus                  
out-of-pocket expenses.                                                         

5. SECURITY LENDING.                                                            

The funds loaned securities to brokers who paid the funds negotiated            
lenders' fees. These fees are included in interest income. Each fund            
receives U.S. Treasury obligations and/or cash as collateral against            
the loaned securities, in an amount at least equal to 102% of the               
market value of the loaned securities at the inception of each loan.            
This collateral must be maintained at not less than 100% of the market          
value of the loaned securities during the period of the loan. The               
market value of the loaned securities is determined at the close of             
business of the fund and any additional required collateral is                  
delivered to the fund on the next business day. Information regarding           
the value of securities loaned and the value of collateral at period            
end is included under the caption "Other Information" at the end of             
each fund's schedule of investments.                                            

6. EXPENSE REDUCTIONS.                                                          

FMR voluntarily agreed to reimburse each fund's operating expenses              
(excluding interest, taxes, brokerage commissions, extraordinary                
expenses and sub-advisory fees paid by the fund associated with                 
securities lending) above the following annual rates of average net             
assets for each of the following funds:                                         

FMR                 
EXPENSE             
     LIMITATIONS REIMBURSEMENT
Spartan Total Market Index    .25%        $388,987                              
Spartan Extended Market Index .25%         246,882                              
Spartan International Index   .35%         212,030                              

These agreements will continue through December 31, 1999.                       

In addition, the funds, or FMR on behalf of the funds, have entered             
into an arrangement with their custodian whereby credits realized as a          
result of uninvested cash balances were used to reduce a portion of             
the funds' expenses. During the period, fees were reduced by $420,              
$513 and $46 by the custodian for Spartan Total Market Index, Spartan           
Extended Market Index and Spartan International Index, respectively,            
under this arrangement.                                                         

7. BENEFICIAL INTEREST.                                                         
At the end of the period, FMR was record owner of more than 5% of the           
outstanding shares of the following funds:                                      

BENEFICIAL INTEREST                                                             
%                     
OWNERSHIP                 
Spartan International Index  30                                                 

REPORT OF INDEPENDENT ACCOUNTANTS                                               

To the Trustees of Fidelity Concord Street Trust and the Shareholders           
of Spartan Total Market Index, Spartan Extended Market Index and                
Spartan International Index Funds:                                              

In our opinion, the accompanying statements of assets and liabilities,          
including the schedules of investments, and the related statements of           
operations and of changes in net assets and the financial highlights            
present fairly, in all material respects, the financial position of             
Spartan Total Market Index, Spartan Extended Market Index and Spartan           
International Index ( funds of Fidelity Concord Street Trust) at                
February 28, 1999, and the results of their operations, the changes in          
their net assets and the financial highlights for the periods                   
indicated, in conformity with generally accepted accounting                     
principles. These financial statements and financial highlights                 
(hereafter referred to as "financial statements") are the                       
responsibility of the Fidelity Concord Street Trust's management; our           
responsibility is to express an opinion on these financial statements           
based on our audits. We conducted our audits of these financial                 
statements in accordance with generally accepted auditing standards             
which require that we plan and perform the audit to obtain reasonable           
assurance about whether the financial statements are free of material           
misstatement. An audit includes examining, on a test basis, evidence            
supporting the amounts and disclosures in the financial statements,             
assessing the accounting principles used and significant estimates              
made by management, and evaluating the overall financial statement              
presentation. We believe that our audits, which included confirmation           
of securities at February 28, 1999 by correspondence with the                   
custodian and brokers, provide a reasonable basis for the opinion               
expressed above.                                                                

/s/PricewaterhouseCoopers LLP                                                   
PricewaterhouseCoopers LLP                                                      

Boston, Massachusetts                                                           
April 15, 1999                                                                  

DISTRIBUTIONS                                                                   

The Board of Trustees of the funds voted to pay to shareholders of              
record at the opening of business on record date, the following                 
distributions derived from capital gains realized from sales of                 
portfolio securities, and dividends derived from net investment                 
income:                                                                         

        PAY DATE RECORD DATE DIVIDENDS CAPITAL GAINS
Spartan Total                                                                   
Market Index          4/5/99   4/1/99      $0.05     $0.05                      
Spartan Extended                                                                
Market Index          4/5/99   4/1/99      $0.05     $0.77                      
Spartan International                                                           
Index                 4/5/99   4/1/99      $0.01     $0.00                      

The funds hereby designate 100% of the long-term capital gain                   
dividends distributed during the fiscal year as 20%-rate capital gain           
dividends.                                                                      

OF SPECIAL NOTE                                                                 

INTRODUCING FIDELITY'S NEW, REORGANIZED PROSPECTUS                              

Recently, the SEC issued new disclosure requirements for all mutual             
fund prospectuses. While Fidelity could have complied by simply                 
following the new requirements, we saw a different opportunity. We saw          
the chance to create a brand new prospectus: one that is better                 
organized, easier to use and more informative than ever.                        

The new format of the Fidelity mutual fund prospectus puts the                  
information you need to make informed investment decisions right at             
your fingertips. In the opening pages, you will find the SEC-mandated           
summary that highlights the fund's investment objectives, strategies            
and risks. There's also an easy-to-read performance chart and fee               
table right up front.                                                           

Inside, you will find additional features we've introduced to make the          
fund prospectus a more useful tool. In our new Shareholder Information          
section, for example, we have provided practical, beneficial                    
information - from how to buy or sell shares, key contact information,          
investment services, ways to set up your account and more - all in one          
convenient location.                                                            

We invite you to spend a moment and review our new prospectus. It is            
designed to help make your investment decision easier, no matter which          
of the Fidelity funds you invest in.                                            

INVESTMENT ADVISER                                                              

Fidelity Management & Research Company                                          
Boston, MA                                                                      

INVESTMENT SUB-ADVISER                                                          

Bankers Trust Company                                                           
New York, NY                                                                    

OFFICERS                                                                        

Edward C. Johnson 3d, PRESIDENT                                                 
Robert C. Pozen, SENIOR VICE PRESIDENT                                          
Robert A. Lawrence, VICE PRESIDENT                                              
Eric D. Roiter, SECRETARY                                                       
Richard A. Silver, TREASURER                                                    
John H. Costello, ASSISTANT TREASURER                                           
Leonard M. Rush, ASSISTANT TREASURER                                            

BOARD OF TRUSTEES                                                               

Ralph F. Cox *                                                                  
Phyllis Burke Davis *                                                           
Robert M. Gates *                                                               
Edward C. Johnson 3d                                                            
E. Bradley Jones *                                                              
Donald J. Kirk *                                                                
Peter S. Lynch                                                                  
Marvin L. Mann *                                                                
William O. McCoy *                                                              
Gerald C. McDonough *                                                           
Robert C. Pozen                                                                 
Thomas R. Williams *                                                            

ADVISORY BOARD                                                                  

Abigail P. Johnson                                                              
J. Gary Burkhead                                                                

GENERAL DISTRIBUTOR                                                             

Fidelity Distributors Corporation                                               
Boston, MA                                                                      

TRANSFER AND SHAREHOLDER SERVICING AGENT                                        

Fidelity Service Company, Inc.                                                  
Boston, MA                                                                      

CUSTODIAN                                                                       
Bankers Trust Company                                                           
New York, NY                                                                    

* INDEPENDENT TRUSTEES                                                          

FIDELITY'S INDEX FUNDS                                                          

Spartan Extended Market Index Fund                                              
Spartan International Index Fund                                                
Spartan Market Index Fund                                                       
Spartan Total Market Index Fund                                                 

THE FIDELITY TELEPHONE CONNECTION                                               
MUTUAL FUND 24-HOUR SERVICE                                                     
Exchanges/Redemptions  1-800-544-7777                                           
Account Assistance 1-800-544-6666                                               
Product Information 1-800-544-8888                                              
Retirement Accounts 1-800-544-4774                                              
(8 a.m. - 9 p.m.)                                                             
TDD Service 1-800-544-0118                                                      
for the deaf and hearing impaired                                             
(9 a.m. - 9 p.m. Eastern time)                                                
TouchTone Xpress (registered trademark)  1-800-544-5555                         
AUTOMATED LINE FOR QUICKEST SERVICE                                           

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P.O. Box 505422                                                                 
Cincinnati, OH 45250-5422                                                       

BULK RATE                                                                       
U.S. POSTAGE                                                                    
P A I D                                                                         
F I D E L I T Y                                                                 
INVESTMENTS                                                                     

Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘N-30D’ Filing		Date		Other Filings
		2/28/07		24F-2NT,  N-CSR,  N-CSRS,  NSAR-A,  NSAR-B
		2/29/00		24F-2NT,  N-30D,  NSAR-B
		12/31/99		13F-NT
		4/28/99
Filed on:		4/20/99		485BPOS
		4/15/99
		4/5/99
		4/1/99
		3/18/99
		3/11/99
For Period End:		2/28/99		24F-2NT,  N-30D/A,  NSAR-B,  PRE 14A
		1/12/99
		12/21/98
		11/30/98
		11/1/98
		8/31/98		N-30D,  NSAR-A
		2/28/98		24F-2NT,  N-30D,  NSAR-B
		11/5/97
				List all Filings