UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-2652
Name of Registrant: Vanguard Index Funds
Address of Registrant: P.O. Box 2600
Valley Forge, PA 19482
Name and address of agent for service: R. Gregory Barton, Esquire
P.O. Box 876
Valley Forge, PA 19482
Registrant's telephone number, including area code: (610) 669-1000
Date of fiscal year end: December 31
Date of reporting period: January 1, 2004 - June 30, 2004
Item 1: Reports to Shareholders
VANGUARD® 500 INDEX FUND
June 30, 2004
semiannual report
HOW TO READ YOUR FUND REPORT
This report contains information that can help you evaluate your investment. It includes details about your fund’s return and presents data and analysis that provide insight into the fund’s performance and investment approach.
By reading the letter from Vanguard’s chairman, you’ll get an understanding of how the fund invests and how the market environment affected its performance. The statistical information that follows can help you understand how the fund’s performance and characteristics stack up against those of similar funds and market benchmarks.
It’s important to keep in mind that any opinions expressed here are just that: informed opinions. They should not be considered promises or advice. These opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in the fund are spelled out in the prospectus.
Frequent updates on the fund’s performance and information about some of its holdings are available on Vanguard.com®.
CONTENTS
1 LETTER FROM THE CHAIRMAN
6 FUND PROFILE
7 GLOSSARY OF INVESTMENT TERMS
8 PERFORMANCE SUMMARY
9 ABOUT YOUR FUND'S EXPENSES
11 FINANCIAL STATEMENTS
25 ADVANTAGES OF VANGUARD.COM
SUMMARY
* Vanguard 500 Index Fund returned 3.4%
in the first half of its fiscal year, matching
the return of its target benchmark.
* The fund's small advances in both the first
and second quarters reflected the relative-
ly moderate price swings that occurred in
the broad U.S. stock market.
* Energy-related stocks were among the
leading performers during the period.
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LETTER FROM THE CHAIRMAN
Dear Shareholder,
During the six months ended June 30, 2004, Vanguard 500 Index Fund returned 3.4% as the U.S. stock market traded within a relatively narrow range. Your fund’s return matched the 3.4% return of its benchmark, the Standard & Poor’s 500 Index, and surpassed the 2.0% average return of its peer fund group.
The adjacent table provides the total returns for your fund (both the Investor Shares and the lower-cost Admiral Shares) and its comparative yardsticks. A more detailed look at your fund’s total returns on a per-share basis appears on page 5.
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TOTAL RETURNS SIX MONTHS ENDED
JUNE 30, 2004
- -------------------------------------------------------------
Vanguard 500 Index Fund
Investor Shares 3.4%
Admiral Shares 3.4
S&P 500 Index 3.4
Average Large-Cap Core Fund* 2.0
- -------------------------------------------------------------
*Derived from data provided by Lipper Inc.
STOCKS GAINED AS THE ECONOMY REBOUNDED
Stock markets worldwide showed moderate gains across the board as investors took heart from a generally positive economic environment. In the United States, corporate earnings were strong, and Wall Street boosted its earnings-growth forecasts as the economic expansion accelerated. Consumer confidence solidified during the half-year as job creation increased.
Gains were tempered, however, by a two-month period in which indicators of rising inflation rattled investors. Unrest in the Middle East and growing global demand pushed the price of oil past a level last seen more than 20 years earlier, during the Iran-Iraq War. But good economic news was back in the headlines in May and June, prompting a snapback for stocks.
1
Admiral™ Shares
A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund.
For the six months, the broad U.S. stock market, as measured by the Dow Jones Wilshire 5000 Composite Index, returned 3.9%. The Russell 1000 Index of mid- to large-capitalization stocks produced a 3.3% gain, while the Russell 2000 Index, a proxy for small-cap stocks, jumped 6.8%. Across the market-cap spectrum, value-oriented stocks (those that generally trade at below-market valuations relative to their earnings and other fundamental measures) outdistanced growth stocks (those expected to produce above-average earnings growth).
European and Pacific markets produced local-currency returns topping those of U.S. stocks. However, international stock returns were dampened somewhat for U.S.-based investors as the rebounding domestic economy and rising interest rates caused the U.S. dollar to strengthen against many currencies. (A stronger U.S. currency means that foreign returns translate into fewer dollars.) Emerging-markets returns, in aggregate, were negative for the six-month period.
BONDS REACTED TO THE STRONGER ECONOMY
In the fixed income markets, interest rates rose across bond maturities, depressing prices. Rates stayed at historically low levels during the first half of the period, then rose sharply in April as the economy strengthened. For the six months, the yield of the benchmark 10-year U.S. Treasury note increased 33 basis points (0.33 percentage point), from 4.25% to 4.58%. At the short end of the maturity spectrum, rates climbed more sharply in anticipation of the Federal Reserve Board’s increase in its target federal funds rate. The Fed acted on June 30, lifting its target by 25 basis points, the first increase in four years. The yield of the 3-month Treasury bill, a proxy for money market rates, climbed from 0.92% at year-end 2003 to 1.26% on June 30.
As earnings growth fortified corporate balance sheets, corporate bonds became more attractive, enhancing their performance relative to Treasuries. This trend particularly benefited lesser-quality bonds; the Lehman Brothers High Yield Bond Index, a benchmark of below-investment-grade bonds, posted a six-month return of 1.4%, compared with the 0.2% return of the broad market, as measured by the Lehman Aggregate Bond Index.
2
THE FUND’S PERFORMANCE WAS RELATIVELY PLACID
Consistent with the relatively narrow trading ranges that the U.S. stock market experienced during the first half of 2004, Vanguard 500 Index Fund quietly tacked its way to a 3.4% gain, closely following the S&P 500 Index. At the beginning of the year, the fund was still riding the momentum of last year’s 28.5% gain, and by early March it had advanced an additional 4.3%. However, investor sentiment then cooled, and the fund backtracked to end the first quarter with a 1.7% gain. The second quarter was similarly indecisive, with a mildly up-and-down pattern that ended with another three-month increase of 1.7%.
During the six-month period, higher energy prices and improved earnings fueled a rally in the integrated oils sector. These big oil companies, including ExxonMobil, ChevronTexaco, and ConocoPhillips, collectively rose about 11%. The “other energy” companies, which typically focus on specialized aspects of oil and natural gas exploration, production, and related products and services, advanced about 17%. Taken together, these two energy-related sectors were the leading engine for Vanguard 500 Index Fund’s gain.
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MARKET BAROMETER TOTAL RETURNS
PERIODS ENDED JUNE 30, 2004
---------------------------------
SIX ONE FIVE
MONTHS YEAR YEARS*
- -------------------------------------------------------------------------------
Russell 1000 Index (Large-caps) 3.3% 19.5% -1.6%
Russell 2000 Index (Small-caps) 6.8 33.4 6.6
Dow Jones Wilshire 5000 Index 3.9 21.2 -1.0
STOCKS (Entire market)
MSCI All Country World Index
ex USA (International) 4.1 32.5 1.0
- -------------------------------------------------------------------------------
Lehman Aggregate Bond Index 0.2% 0.3% 6.9%
(Broad taxable market)
BONDS Lehman Municipal Bond Index -0.7 0.8 5.9
Citigroup 3-Month Treasury Bill Index 0.5 1.0 3.1
===============================================================================
CPI Consumer Price Index 2.9% 3.3% 2.7%
- -------------------------------------------------------------------------------
*Annualized.
The “other” sector, which includes conglomerates such as General Electric and 3M, was another standout, returning more than 8%. The consumer discretionary group—mostly retailers, media, and entertainment companies—benefited from healthy consumer spending and therefore also performed better than average, gaining about 5%.
Among the sectors that turned in substandard performances was the fund’s largest, financial services, which is typically vulnerable to rising interest rates. It advanced in the neighborhood of 2%. The only sector to lose ground was technology, the fund’s second-largest, which cooled off after a sizzling 2003 and declined by less than 1%.
3
THE ENDURING BENEFITS OF INDEX INVESTING
Investing in the stock market is often compared with riding a roller coaster. Since 1995, that analogy has been particularly apt, with the overall U.S. market delivering double-digit gains in six different calendar years and double-digit losses in three others. Thus far in 2004, Vanguard 500 Index Fund, like its benchmark, has changed the tempo by gliding more than gyrating.
Of course, no one knows for sure whether the ride for the rest of 2004 and beyond will be smooth or dizzying. That’s why we encourage all our shareholders to continue to evaluate investments from a long-term perspective. The march of time smoothes out short-term patterns and, based on history, rewards patience. And investing in an index fund such as Vanguard 500 Index Fund is an ideal way to capitalize on the stock market’s long-term potential. Because the fund holds all 500 stocks that make up the S&P 500, your investment is broad-based and well positioned to benefit from any gains that the U.S. economy generates in the future.
In fact, your fund’s characteristics of diversification, low turnover, and low costs constitute a model for managing all your investments. We’re more convinced than ever that your best plan for long-term success is to maintain a steady, diversified mix of low-cost stock, bond, and cash investments tailored to your situation.
We appreciate your continued confidence in Vanguard, and we look forward to reporting to you in early 2005.
Sincerely,
John J. Brennan
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
JULY 13, 2004
4
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YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2003-JUNE 30, 2004
DISTRIBUTIONS PER SHARE
-------------------------------
STARTING ENDING INCOME CAPITAL
SHARE PRICE SHARE PRICE DIVIDENDS GAINS
- --------------------------------------------------------------------------------
500 Index Fund
Investor Shares $102.67 $105.41 $0.710 $0.000
Admiral Shares 102.68 105.41 0.751 0.000
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5
FUND PROFILE
As of 6/30/2004 This Profile provides a snapshot of the fund’s characteristics, compared where appropriate with its unmanaged target index. Key terms are defined on page 7.
500 INDEX FUND
- -------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET
FUND INDEX*
- -------------------------------------------------------------------------
Number of Stocks 506 500
Median Market Cap $51.7B $51.7B
Price/Earnings Ratio 20.6x 20.6x
Price/Book Ratio 3.0x 3.0x
Yield 1.7%
Investor Shares 1.5%
Admiral Shares 1.6%
Return on Equity 21.0% 21.0%
Earnings Growth Rate 8.0% 8.0%
Foreign Holdings 0.0% 0.0%
Turnover Rate 2%** --
Expense Ratio --
Investor Shares 0.18%**
Admiral Shares 0.10%**
Short-Term Reserves 0% --
- -------------------------------------------------------------------------
- ---------------------------------------------------------------
VOLATILITY MEASURES
TARGET
FUND INDEX*
- ---------------------------------------------------------------
R-Squared 1.00 1.00
Beta 1.00 1.00
- ---------------------------------------------------------------
- -------------------------------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
TARGET
FUND INDEX*
- -------------------------------------------------------------------
Auto & Transportation 3% 3%
Consumer Discretionary 14 14
Consumer Staples 8 8
Financial Services 21 21
Health Care 13 13
Integrated Oils 5 5
Other Energy 2 2
Materials & Processing 3 3
Producer Durables 4 4
Technology 15 15
Utilities 7 7
Other 5 5
- -------------------------------------------------------------------
*S&P 500 Index.
**Annualized. Turnover rate excludes the value of portfolio securities received
or delivered as a result of in-kind purchases or redemptions of the fund's
capital shares.
- ----------------------------------------------------------
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
General Electric Co. 3.2%
(conglomerate)
Microsoft Corp. 2.9
(software)
ExxonMobil Corp. 2.7
(oil)
Pfizer, Inc. 2.5
(pharmaceuticals)
Citigroup, Inc. 2.3
(banking)
Wal-Mart Stores, Inc. 2.1
(retail)
American International Group, Inc. 1.7
(insurance)
Intel Corp. 1.7
(electronics)
Bank of America Corp. 1.6
(banking)
Johnson & Johnson 1.5
(pharmaceuticals)
- ----------------------------------------------------------
Top Ten 22.2%
- ----------------------------------------------------------
"Ten Largest Holdings" excludes any temporary cash investments and equity index products.
- -------------------------
INVESTMENT FOCUS
Market Cap Large
Style Blend
- -------------------------
Visit our website at Vanguard.com for regularly updated fund information.
6
GLOSSARY OF INVESTMENT TERMS
BETA. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. A fund’s beta should be reviewed in conjunction with its R-squared (see definition below). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
EXPENSE RATIO. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
FOREIGN HOLDINGS. The percentage of a fund’s equity assets represented by stocks or depositary receipts of companies based outside the United States.
MEDIAN MARKET CAP. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
PRICE/EARNINGS RATIO. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-SQUARED. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0.
RETURN ON EQUITY. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
SHORT-TERM RESERVES. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
TURNOVER RATE. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors).
YIELD. A snapshot of a fund’s income from interest and dividends. The yield, expressed as a percentage of the fund’s net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of income provided by securities in the index.
7
PERFORMANCE SUMMARY
As of 6/30/2004 All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (For the performance data current to the most recent month-end, which may be higher or lower than that cited, visit our website at www.vanguard.com.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
500 INDEX FUND
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-JUNE 30, 2004
500 INDEX FUND INVESTOR SHARES S&P 500 INDEX
1994 1.2 1.3
1995 37.4 37.6
1996 22.9 23
1997 33.2 33.4
1998 28.6 28.6
1999 21.1 21
2000 -9.1 -9.1
2001 -12 -11.9
2002 -22.1 -22.1
2003 28.5 28.7
2004* 3.4 3.4
- --------------------------------------------------------------------------------
*Six months ended June 30, 2004.
Note: See Financial Highlights tables on pages 20 and 21 for dividend and capital gains information.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED JUNE 30, 2004
TEN YEARS
---------------------------
ONE FIVE
INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------
500 Index Fund
Investor Shares* 8/31/1976 18.91% -2.26% 9.99% 1.76% 11.75%
Admiral Shares 11/13/2000 19.00 -3.08** -- -- --
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
**Return since inception.
8
ABOUT YOUR FUND’S EXPENSES
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The table below illustrates your fund’s costs in two ways:
• ACTUAL FUND RETURN. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
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SIX MONTHS ENDED JUNE 30, 2004
BEGINNING ENDING EXPENSES
ACCOUNT VALUE ACCOUNT VALUE PAID DURING
500 INDEX FUND 12/31/2003 6/30/2004 PERIOD*
- ---------------------------------------------------------------------------------
BASED ON ACTUAL FUND RETURN
Investor Shares $1,000 $1,034 $0.91
Admiral Shares 1,000 1,034 0.51
BASED ON HYPOTHETICAL 5% RETURN
Investor Shares $1,000 $1,049 $0.92
Admiral Shares 1,000 1,050 0.51
- ---------------------------------------------------------------------------------
*Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 366.
• HYPOTHETICAL 5% RETURN. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs or account maintenance fees. They do not include your fund’s low-balance fee, described in the prospectus. If this fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a “sales load.”
9
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ANNUALIZED EXPENSE RATIOS:
YOUR FUND COMPARED WITH ITS PEER GROUP
AVERAGE
INVESTOR ADMIRAL LARGE-CAP
SHARES SHARES CORE FUND*
- -----------------------------------------------------------------------------
500 Index Fund 0.18% 0.10% 1.44%
- -----------------------------------------------------------------------------
*Peer-group ratio is derived from data provided by Lipper Inc. and captures
information through year-end 2003.
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. You can find more information about the fund’s expenses, including annual expense ratios for the past five years, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate fund prospectus.
10
As of 6/30/2004 FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF NET ASSETS
This Statement provides a detailed list of the fund’s holdings, including each security’s market value on the last day of the reporting period. Securities are grouped and subtotaled by asset type (common stocks, bonds, etc.) and by industry sector. Other assets are added to, and liabilities are subtracted from, the value of Total Investments to calculate the fund’s Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund’s net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
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MARKET
VALUE^
500 INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------------
COMMON STOCKS (99.7%)(1)
- --------------------------------------------------------------------------------------
AUTO & TRANSPORTATION (2.6%)
United Parcel Service, Inc. 10,475,505 $ 787,444
Ford Motor Co. 17,015,212 266,288
General Motors Corp. 5,247,372 244,475
FedEx Corp. 2,776,156 226,784
Harley-Davidson, Inc. 2,742,893 169,895
Union Pacific Corp. 2,408,200 143,167
Southwest Airlines Co. 7,343,669 123,153
Burlington Northern
Santa Fe Corp. 3,446,825 120,880
Norfolk Southern Corp. 3,643,742 96,632
PACCAR, Inc. 1,630,540 94,555
CSX Corp. 1,994,686 65,366
Genuine Parts Co. 1,621,405 64,337
Delphi Corp. 5,207,596 55,617
Dana Corp. 1,386,665 27,179
* Navistar International Corp. 648,741 25,145
Cooper Tire & Rubber Co. 688,077 15,826
* The Goodyear Tire &
Rubber Co. 1,632,717 14,841
Visteon Corp. 1,205,709 14,071
* Delta Air Lines, Inc. 1,159,950 8,259
-------------
2,563,914
-------------
CONSUMER DISCRETIONARY (13.7%)
Wal-Mart Stores, Inc. 39,858,343 2,102,926
* Time Warner, Inc. 42,374,718 744,948
Home Depot, Inc. 20,657,718 727,152
Viacom Inc. Class B 15,958,996 570,055
* eBay Inc. 6,109,273 561,748
The Walt Disney Co. 19,072,414 486,156
* Yahoo! Inc. 12,515,986 454,706
Gillette Co. 9,325,828 395,415
Lowe's Cos., Inc. 7,306,437 383,953
Target Corp. 8,489,279 360,540
Kimberly-Clark Corp. 4,659,081 306,940
McDonald's Corp. 11,701,152 304,230
Carnival Corp. 5,879,903 276,355
Cendant Corp. 9,479,300 232,053
Gannett Co., Inc. 2,532,360 214,871
Clear Channel
Communications, Inc. 5,708,979 210,947
The Gap, Inc. 8,366,409 202,885
Avon Products, Inc. 4,385,366 202,341
NIKE, Inc. Class B 2,453,405 185,845
Costco Wholesale Corp. 4,265,702 175,192
Waste Management, Inc. 5,395,197 165,363
* Starbucks Corp. 3,685,066 160,227
* Electronic Arts Inc. 2,813,141 153,457
Best Buy Co., Inc. 3,015,631 153,013
* Apollo Group, Inc. Class A 1,640,949 144,879
Tribune Co. 3,045,265 138,681
The McGraw-Hill Cos., Inc. 1,770,421 135,561
Staples, Inc. 4,622,602 135,488
11
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MARKET
VALUE^
500 INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------
* Kohl's Corp. 3,169,036 $ 133,987
Omnicom Group Inc. 1,756,872 133,329
International Game Technology 3,242,685 125,168
TJX Cos., Inc. 4,599,638 111,035
* Bed Bath & Beyond, Inc. 2,792,515 107,372
Marriott International, Inc.
Class A 2,102,209 104,858
* Yum! Brands, Inc. 2,689,633 100,108
J.C. Penney Co., Inc.
(Holding Co.) 2,621,991 99,006
* Univision Communications Inc. 3,005,712 95,972
Starwood Hotels & Resorts
Worldwide, Inc. 1,923,660 86,276
Federated Department
Stores, Inc. 1,670,994 82,046
Limited Brands, Inc. 4,379,774 81,902
Cintas Corp. 1,590,903 75,838
Sears, Roebuck & Co. 1,977,537 74,672
May Department Stores Co. 2,702,991 74,305
Eastman Kodak Co. 2,663,619 71,864
Mattel, Inc. 3,925,624 71,643
R.R. Donnelley & Sons Co. 2,018,963 66,666
Hilton Hotels Corp. 3,562,915 66,484
* AutoZone Inc. 772,670 61,891
New York Times Co. Class A 1,381,819 61,781
Newell Rubbermaid, Inc. 2,556,272 60,072
Dollar General Corp. 3,064,090 59,934
Harrah's Entertainment, Inc. 1,048,411 56,719
Nordstrom, Inc. 1,292,878 55,090
* Interpublic Group of Cos., Inc. 3,893,257 53,454
Knight Ridder 731,378 52,659
* Office Depot, Inc. 2,907,715 52,077
Tiffany & Co. 1,360,447 50,132
VF Corp. 1,021,036 49,724
Family Dollar Stores, Inc. 1,593,974 48,489
Leggett & Platt, Inc. 1,784,148 47,655
Robert Half International, Inc. 1,595,794 47,507
Jones Apparel Group, Inc. 1,172,055 46,273
Black & Decker Corp. 735,801 45,715
Whirlpool Corp. 641,079 43,978
RadioShack Corp. 1,494,743 42,794
* AutoNation, Inc. 2,484,827 42,491
Alberto-Culver Co. Class B 839,287 42,082
* Allied Waste Industries, Inc. 2,948,741 38,864
Liz Claiborne, Inc. 1,031,032 37,097
Wendy's International, Inc. 1,061,422 36,980
Sabre Holdings Corp. 1,292,191 35,807
The Stanley Works 758,887 34,590
International Flavors &
Fragrances, Inc. 876,869 32,795
* Toys R Us, Inc. 1,988,472 31,676
Hasbro, Inc. 1,639,231 31,145
Darden Restaurants Inc. 1,496,089 30,745
* Monster Worldwide Inc. 1,089,106 28,012
Meredith Corp. 467,405 25,689
Circuit City Stores, Inc. 1,847,341 23,923
* Convergys Corp. 1,335,588 20,568
Reebok International Ltd. 558,673 20,101
Snap-On Inc. 541,026 18,151
Maytag Corp. 732,295 17,949
Dillard's Inc. 775,820 17,301
* Big Lots Inc. 1,073,089 15,517
Viacom Inc. Class A 143,386 5,212
------------
13,571,097
------------
CONSUMER STAPLES (7.7%)
The Procter & Gamble Co. 23,890,294 1,300,588
The Coca-Cola Co. 22,636,376 1,142,684
Altria Group, Inc. 19,059,523 953,929
PepsiCo, Inc. 15,864,492 854,779
Anheuser-Busch Cos., Inc. 7,474,085 403,601
Walgreen Co. 9,521,996 344,791
Colgate-Palmolive Co. 4,944,972 289,034
Sysco Corp. 5,942,555 213,159
Sara Lee Corp. 7,345,116 168,864
General Mills, Inc. 3,512,408 166,945
Kellogg Co. 3,816,477 159,720
CVS Corp. 3,692,311 155,151
ConAgra Foods, Inc. 4,910,807 132,985
Wm. Wrigley Jr. Co. 2,087,336 131,607
H.J. Heinz Co. 3,272,258 128,273
Coca-Cola Enterprises, Inc. 4,368,637 126,647
* The Kroger Co. 6,900,862 125,596
Hershey Foods Corp. 2,410,422 111,530
The Clorox Co. 1,971,541 106,029
* Safeway, Inc. 4,147,693 105,103
Campbell Soup Co. 3,819,389 102,665
Albertson's, Inc. 3,418,142 90,718
The Pepsi Bottling Group, Inc. 2,393,383 73,094
UST, Inc. 1,538,155 55,374
Brown-Forman Corp. Class B 1,128,720 54,483
R.J. Reynolds
Tobacco Holdings, Inc. 792,328 53,553
McCormick & Co., Inc. 1,277,882 43,448
SuperValu Inc. 1,252,035 38,325
Adolph Coors Co. Class B 345,414 24,987
Winn-Dixie Stores, Inc. 1,320,053 9,504
------------
7,667,166
------------
FINANCIAL SERVICES (21.4%)
Citigroup, Inc. 48,062,137 2,234,889
American International
Group, Inc. 24,240,004 1,727,827
Bank of America Corp. 18,947,895 1,603,371
Wells Fargo & Co. 15,683,589 897,572
J.P. Morgan Chase & Co. 19,353,413 750,332
12
- ---------------------------------------------------------------------------------
MARKET
VALUE^
SHARES (000)
- ---------------------------------------------------------------------------------
Fannie Mae 9,006,462 $ 642,701
American Express Co. 11,876,066 610,192
Wachovia Corp. 12,218,863 543,739
Morgan Stanley 10,215,636 539,079
Bank One Corp. 10,426,535 531,753
U.S. Bancorp 17,614,683 485,461
Merrill Lynch & Co., Inc. 8,931,120 482,102
The Goldman Sachs Group, Inc. 4,484,869 422,295
Freddie Mac 6,398,390 405,018
First Data Corp. 8,108,503 360,991
Washington Mutual, Inc. 8,038,008 310,589
MBNA Corp. 11,874,173 306,235
Allstate Corp. 6,529,917 303,968
Fifth Third Bancorp 5,230,950 281,320
Metropolitan Life Insurance Co. 7,024,479 251,828
St. Paul Travelers Cos., Inc. 6,199,795 251,340
Automatic Data Processing, Inc. 5,487,541 229,818
Prudential Financial, Inc. 4,888,414 227,165
Marsh & McLennan Cos., Inc. 4,863,302 220,697
National City Corp. 6,143,344 215,078
The Bank of New York Co., Inc. 7,226,073 213,025
Lehman Brothers Holdings, Inc. 2,573,404 193,649
AFLAC Inc. 4,726,699 192,897
BB&T Corp. 5,214,586 192,783
The Hartford Financial
Services Group Inc. 2,713,964 186,558
Countrywide Financial Corp. 2,596,417 182,398
Progressive Corp. of Ohio 2,020,508 172,349
SunTrust Banks, Inc. 2,624,702 170,579
SLM Corp. 4,079,385 165,011
State Street Corp. 3,121,926 153,099
Capital One Financial Corp. 2,228,194 152,364
Golden West Financial Corp. 1,418,506 150,858
PNC Financial Services Group 2,621,050 139,125
Charles Schwab Corp. 12,684,209 121,895
The Chubb Corp. 1,763,060 120,205
SouthTrust Corp. 3,064,818 118,946
Paychex, Inc. 3,509,805 118,912
Franklin Resources Corp. 2,323,242 116,348
Mellon Financial Corp. 3,945,024 115,708
KeyCorp 3,813,443 113,984
ACE Ltd. 2,631,418 111,256
Loews Corp. 1,723,806 103,359
The Principal Financial
Group, Inc. 2,966,535 103,176
Equity Office Properties
Trust REIT 3,750,837 102,023
Simon Property
Group, Inc. REIT 1,933,952 99,444
XL Capital Ltd. Class A 1,283,583 96,859
M & T Bank Corp. 1,101,600 96,170
Charter One Financial, Inc. 2,079,852 91,909
CIGNA Corp. 1,314,115 90,424
Moody's Corp. 1,391,203 89,955
Comerica, Inc. 1,610,005 88,357
Northern Trust Corp. 2,048,201 86,598
AmSouth Bancorp 3,273,649 83,380
Aon Corp. 2,928,455 83,373
Bear Stearns Co., Inc. 975,161 82,216
Marshall & Ilsley Corp. 2,064,520 80,702
Lincoln National Corp. 1,657,017 78,294
H & R Block, Inc. 1,626,069 77,531
Equity Residential REIT 2,603,870 77,413
MBIA, Inc. 1,341,800 76,644
Regions Financial Corp. 2,039,723 74,552
Ambac Financial Group, Inc. 1,007,363 73,981
Synovus Financial Corp. 2,832,474 71,718
* Fiserv, Inc. 1,811,825 70,462
* SunGard Data Systems, Inc. 2,696,234 70,102
MGIC Investment Corp. 918,099 69,647
Cincinnati Financial Corp. 1,563,629 68,049
Jefferson-Pilot Corp. 1,299,431 66,011
North Fork Bancorp, Inc. 1,607,491 61,165
T. Rowe Price Group Inc. 1,177,313 59,337
Sovereign Bancorp, Inc. 2,604,146 57,552
SAFECO Corp. 1,294,674 56,966
Torchmark Corp. 1,034,387 55,650
ProLogis REIT 1,686,160 55,508
Plum Creek Timber Co. Inc.
REIT 1,702,947 55,482
Union Planters Corp. 1,765,947 52,643
First Horizon National Corp. 1,152,222 52,392
Zions Bancorp 831,987 51,126
Huntington Bancshares Inc. 2,132,018 48,823
UnumProvident Corp. 2,753,577 43,782
* Providian Financial Corp. 2,706,100 39,698
* E*TRADE Financial Corp. 3,400,953 37,921
Janus Capital Group Inc. 2,224,536 36,683
Dow Jones & Co., Inc. 759,388 34,248
Equifax, Inc. 1,272,869 31,504
Federated Investors, Inc. 1,004,641 30,481
Apartment Investment &
Management Co.
Class A REIT 872,161 27,150
Ryder System, Inc. 607,915 24,359
Deluxe Corp. 464,707 20,215
Provident Financial Group, Inc. 123,614 4,878
------------
21,227,221
------------
HEALTH CARE (13.2%)
Pfizer Inc. 70,915,824 2,430,994
Johnson & Johnson 27,589,269 1,536,722
Merck & Co., Inc. 20,651,553 980,949
Eli Lilly & Co. 10,497,032 733,848
* Amgen, Inc. 11,818,322 644,926
13
- ---------------------------------------------------------------------------------
MARKET
VALUE^
500 INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------
Abbott Laboratories 14,495,091 $ 590,820
Medtronic, Inc. 11,265,830 548,871
Wyeth 12,392,990 448,131
Bristol-Myers Squibb Co. 18,070,280 442,722
UnitedHealth Group Inc. 5,723,263 356,273
* Boston Scientific Corp. 7,761,004 332,171
Cardinal Health, Inc. 3,999,868 280,191
Schering-Plough Corp. 13,678,935 252,787
Stryker Corp. 3,719,163 204,554
* Zimmer Holdings, Inc. 2,267,858 200,025
* Biogen Idec Inc. 3,157,556 199,715
Baxter International, Inc. 5,696,189 196,575
* Forest Laboratories, Inc. 3,437,271 194,653
HCA Inc. 4,513,286 187,708
Guidant Corp. 2,915,030 162,892
* WellPoint Health
Networks Inc. Class A 1,446,526 162,025
* Caremark Rx, Inc. 4,250,857 140,023
* St. Jude Medical, Inc. 1,637,188 123,853
Becton, Dickinson & Co. 2,353,845 121,929
Aetna Inc. 1,416,236 120,380
* Anthem, Inc. 1,288,331 115,383
Allergan, Inc. 1,220,663 109,274
Biomet, Inc. 2,364,421 105,075
* Genzyme Corp.-
General Division 2,105,188 99,639
* Medco Health Solutions, Inc. 2,519,194 94,470
McKesson Corp. 2,721,258 93,421
* Gilead Sciences, Inc. 1,223,538 81,977
Quest Diagnostics, Inc. 961,567 81,685
* Chiron Corp. 1,755,999 78,388
AmerisourceBergen Corp. 1,043,630 62,388
* Tenet Healthcare Corp. 4,325,845 58,010
* Express Scripts Inc. 724,249 57,382
C.R. Bard, Inc. 969,591 54,927
* MedImmune Inc. 2,311,803 54,096
IMS Health, Inc. 2,183,794 51,188
Health Management
Associates Class A 2,258,819 50,643
Mylan Laboratories, Inc. 2,495,819 50,540
* Hospira, Inc. 1,452,149 40,079
Bausch & Lomb, Inc. 492,123 32,022
* Watson Pharmaceuticals, Inc. 1,011,743 27,216
Manor Care, Inc. 827,657 27,048
* Millipore Corp. 458,473 25,844
* King Pharmaceuticals, Inc. 2,246,218 25,719
* Humana Inc. 1,503,553 25,410
------------
13,095,561
------------
INTEGRATED OILS (4.6%)
ExxonMobil Corp. 60,781,100 2,699,289
ChevronTexaco Corp. 9,944,728 935,898
ConocoPhillips Co. 6,373,846 486,261
Occidental Petroleum Corp. 3,635,552 175,997
Marathon Oil Corp. 3,210,161 121,472
Unocal Corp. 2,449,262 93,072
Amerada Hess Corp. 837,317 66,307
---------
4,578,296
---------
OTHER ENERGY (1.8%)
Schlumberger Ltd. 5,475,440 347,745
Devon Energy Corp. 2,228,559 147,085
Anadarko Petroleum Corp. 2,340,747 137,168
Burlington Resources, Inc. 3,687,084 133,399
Apache Corp. 3,022,576 131,633
Halliburton Co. 4,090,516 123,779
Baker Hughes, Inc. 3,095,610 116,550
Valero Energy Corp. 1,196,293 88,239
* Transocean Inc. 2,981,462 86,284
Kerr-McGee Corp. 1,391,125 74,801
* BJ Services Co. 1,495,342 68,547
EOG Resources, Inc. 1,083,204 64,678
* Nabors Industries, Inc. 1,380,691 62,435
Williams Cos., Inc. 4,831,060 57,490
* Noble Corp. 1,251,491 47,419
El Paso Corp. 5,957,271 46,943
Sunoco, Inc. 702,318 44,681
* Rowan Cos., Inc. 985,547 23,978
* Calpine Corp. 3,875,716 16,743
* Dynegy, Inc. 3,530,291 15,039
---------
1,834,636
---------
MATERIALS & PROCESSING (3.5%)
E.I. du Pont de Nemours & Co. 9,295,984 412,928
Dow Chemical Co. 8,700,528 354,111
Alcoa Inc. 8,079,959 266,881
International Paper Co. 4,511,856 201,680
Newmont Mining Corp.
(Holding Co.) 4,117,536 159,596
Weyerhaeuser Co. 2,241,103 141,458
Masco Corp. 4,070,871 126,930
Praxair, Inc. 3,020,149 120,534
Air Products & Chemicals, Inc. 2,112,360 110,793
Archer-Daniels-Midland Co. 6,040,675 101,363
PPG Industries, Inc. 1,594,548 99,643
Monsanto Co. 2,468,201 95,026
Georgia Pacific Group 2,369,373 87,619
Rohm & Haas Co. 2,082,936 86,608
* American Standard Cos., Inc. 1,998,585 80,563
Ecolab, Inc. 2,387,998 75,700
* Phelps Dodge Corp. 868,930 67,351
Avery Dennison Corp. 1,026,554 65,710
Nucor Corp. 733,504 56,304
Sherwin-Williams Co. 1,330,756 55,293
MeadWestvaco Corp. 1,873,658 55,067
14
- --------------------------------------------------------------------------------
MARKET
VALUE^
SHARES (000)
- --------------------------------------------------------------------------------
Freeport-McMoRan
Copper & Gold, Inc. Class B 1,645,370 $ 54,544
Vulcan Materials Co. 947,870 45,071
* Sealed Air Corp. 783,604 41,743
Sigma-Aldrich Corp. 642,439 38,296
Ball Corp. 523,698 37,732
Engelhard Corp. 1,154,865 37,314
United States Steel Corp. 1,054,382 37,030
Fluor Corp. 771,572 36,781
Temple-Inland Inc. 514,431 35,624
* Pactiv Corp. 1,423,540 35,503
Ashland, Inc. 653,959 34,536
Eastman Chemical Co. 720,786 33,322
Boise Cascade Corp. 811,983 30,563
Bemis Co., Inc. 993,619 28,070
Louisiana-Pacific Corp. 1,011,121 23,913
Worthington Industries, Inc. 804,802 16,523
Allegheny Technologies Inc. 757,212 13,668
Great Lakes Chemical Corp. 471,273 12,753
* Hercules, Inc. 1,024,282 12,486
------------
3,426,630
------------
PRODUCER DURABLES (4.2%)
United Technologies Corp. 4,776,486 436,953
The Boeing Co. 7,835,742 400,328
* Applied Materials, Inc. 15,667,439 307,395
Illinois Tool Works, Inc. 2,878,682 276,037
Caterpillar, Inc. 3,177,435 252,415
Emerson Electric Co. 3,920,726 249,162
Lockheed Martin Corp. 4,170,834 217,217
Northrop Grumman Corp. 3,341,086 179,416
Deere & Co. 2,313,445 162,265
Danaher Corp. 2,862,090 148,399
* Agilent Technologies, Inc. 4,474,442 131,012
* Lexmark International, Inc. 1,207,458 116,556
Ingersoll-Rand Co. 1,610,446 110,010
* Xerox Corp. 7,437,212 107,840
Pitney Bowes, Inc. 2,148,008 95,049
* KLA-Tencor Corp. 1,826,873 90,211
Dover Corp. 1,888,962 79,525
Parker Hannifin Corp. 1,111,039 66,062
Pulte Homes, Inc. 1,178,150 61,299
Molex, Inc. 1,758,270 56,405
Rockwell Collins, Inc. 1,648,003 54,911
* Waters Corp. 1,110,695 53,069
Centex Corp. 1,146,418 52,449
Cooper Industries, Inc.
Class A 859,652 51,072
W.W. Grainger, Inc. 844,488 48,558
* Thermo Electron Corp. 1,540,088 47,342
* Novellus Systems, Inc. 1,374,110 43,202
* Teradyne, Inc. 1,802,685 40,921
American Power
Conversion Corp. 1,860,457 36,558
Goodrich Corp. 1,092,945 35,335
Pall Corp. 1,162,529 30,447
* Andrew Corp. 1,493,000 29,875
KB HOME 434,095 29,792
Tektronix, Inc. 787,628 26,795
Cummins Inc. 398,976 24,936
Crane Co. 554,017 17,391
Thomas & Betts Corp. 544,238 14,820
* Power-One, Inc. 775,322 8,513
Molex, Inc. Class A 4,051 111
------------
4,189,653
------------
TECHNOLOGY (15.0%)
Microsoft Corp. 100,322,563 2,865,212
Intel Corp. 60,111,603 1,659,080
* Cisco Systems, Inc. 62,839,125 1,489,287
International Business
Machines Corp. 15,663,321 1,380,722
* Dell Inc. 23,447,769 839,899
Hewlett-Packard Co. 28,339,703 597,968
* Oracle Corp. 48,280,565 575,987
QUALCOMM Inc. 7,529,589 549,509
Motorola, Inc. 21,786,127 397,597
Texas Instruments, Inc. 16,088,252 389,014
* EMC Corp. 22,712,853 258,927
General Dynamics Corp. 1,849,937 183,699
* Corning, Inc. 12,752,810 166,552
Analog Devices, Inc. 3,493,104 164,455
Maxim Integrated
Products, Inc. 2,994,715 156,983
Computer Associates
International, Inc. 5,434,883 152,503
* Lucent Technologies, Inc. 39,829,084 150,554
Raytheon Co. 4,160,546 148,823
* Broadcom Corp. 2,919,102 136,526
* Sun Microsystems, Inc. 30,911,471 134,156
* Symantec Corp. 2,898,032 126,876
* Apple Computer, Inc. 3,531,936 114,929
Linear Technology Corp. 2,875,624 113,501
* Veritas Software Corp. 4,013,371 111,170
Xilinx, Inc. 3,225,860 107,453
Adobe Systems, Inc. 2,218,753 103,172
* Micron Technology, Inc. 5,674,055 86,870
Electronic Data
Systems Corp. 4,501,616 86,206
* Computer Sciences Corp. 1,743,221 80,938
* Altera Corp. 3,479,000 77,303
* National Semiconductor Corp. 3,334,273 73,321
* Network Appliance, Inc. 3,229,619 69,534
* Intuit, Inc. 1,780,215 68,681
15
- --------------------------------------------------------------------------------
MARKET
VALUE^
500 INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Affiliated Computer
Services, Inc. Class A 1,264,164 $ 66,925
* Avaya Inc. 4,123,513 65,110
Rockwell Automation, Inc. 1,727,499 64,798
* PeopleSoft, Inc. 3,390,968 62,733
* Solectron Corp. 8,935,131 57,810
* Advanced Micro Devices, Inc. 3,286,062 52,248
* JDS Uniphase Corp. 13,384,328 50,727
* Siebel Systems, Inc. 4,670,752 49,884
Scientific-Atlanta, Inc. 1,421,567 49,044
* Jabil Circuit, Inc. 1,865,374 46,970
Autodesk, Inc. 1,054,806 45,156
* Sanmina-SCI Corp. 4,841,155 44,055
* NCR Corp. 880,323 43,655
* Unisys Corp. 3,097,668 42,996
* Mercury Interactive Corp. 856,772 42,693
Applera Corp.-
Applied Biosystems Group 1,875,723 40,797
* BMC Software, Inc. 2,070,724 38,308
* Comverse Technology, Inc. 1,818,115 36,253
* Tellabs, Inc. 3,864,201 33,773
* Citrix Systems, Inc. 1,581,801 32,205
Symbol Technologies, Inc. 2,179,370 32,124
* NVIDIA Corp. 1,542,102 31,613
* Novell, Inc. 3,593,660 30,151
* LSI Logic Corp. 3,551,155 27,060
PerkinElmer, Inc. 1,186,799 23,783
* Compuware Corp. 3,588,962 23,687
* PMC Sierra Inc. 1,641,291 23,553
* QLogic Corp. 868,455 23,092
* ADC Telecommunications, Inc. 7,535,390 21,401
* CIENA Corp. 5,288,231 19,672
* Gateway, Inc. 3,469,016 15,611
* Applied Micro Circuits Corp. 2,904,114 15,450
* Parametric Technology Corp. 2,497,286 12,486
------------
14,883,230
------------
UTILITIES (6.7%)
Verizon Communications Inc. 25,746,360 931,761
SBC Communications Inc. 30,779,578 746,405
* Comcast Corp. Class A 19,026,205 533,305
BellSouth Corp. 17,047,921 446,996
* AT&T Wireless Services Inc. 25,347,236 362,972
* Nextel Communications, Inc. 10,314,100 274,974
Sprint Corp. 13,255,670 233,300
Exelon Corp. 6,142,896 204,497
Southern Co. 6,853,692 199,785
Dominion Resources, Inc. 3,034,588 191,422
Duke Energy Corp. 8,502,562 172,517
ALLTEL Corp. 2,864,013 144,976
TXU Corp. 3,009,670 121,922
Entergy Corp. 2,139,992 119,861
American Electric
Power Co., Inc. 3,676,940 117,662
FirstEnergy Corp. 3,065,334 114,674
FPL Group, Inc. 1,717,539 109,837
* PG&E Corp. 3,894,417 108,810
AT&T Corp. 7,378,274 107,944
Progress Energy, Inc. 2,291,556 100,943
Consolidated Edison Inc. 2,239,237 89,032
Public Service Enterprise
Group, Inc. 2,198,903 88,022
Edison International 3,027,888 77,423
Ameren Corp. 1,786,841 76,763
PPL Corp. 1,652,746 75,861
Sempra Energy 2,135,267 73,517
Kinder Morgan, Inc. 1,153,022 68,363
DTE Energy Co. 1,611,901 65,346
Cinergy Corp. 1,671,934 63,533
Xcel Energy, Inc. 3,710,841 62,008
* Qwest Communications
International Inc. 16,583,114 59,533
Constellation Energy
Group, Inc. 1,565,823 59,345
* AES Corp. 5,921,592 58,801
KeySpan Corp. 1,488,495 54,628
NiSource, Inc. 2,448,009 50,478
* Comcast Corp. Special Class A 1,814,271 50,092
CenturyTel, Inc. 1,290,629 38,770
Pinnacle West Capital Corp. 849,816 34,324
CenterPoint Energy Inc. 2,854,946 32,832
* Citizens Communications Co. 2,671,355 32,323
TECO Energy, Inc. 1,754,837 21,040
* Allegheny Energy, Inc. 1,183,586 18,239
Peoples Energy Corp. 347,044 14,628
NICOR Inc. 409,934 13,925
* CMS Energy Corp. 1,523,567 13,910
------------
6,637,299
------------
OTHER (5.3%)
General Electric Co. 98,088,809 3,178,077
3M Co. 7,268,657 654,252
Tyco International Ltd. 18,638,529 617,681
Honeywell International Inc. 7,981,358 292,357
Fortune Brands, Inc. 1,359,133 102,519
Johnson Controls, Inc. 1,765,987 94,268
Eaton Corp. 1,399,628 90,612
Textron, Inc. 1,278,906 75,903
ITT Industries, Inc. 860,655 71,434
Brunswick Corp. 880,250 35,914
------------
5,213,017
------------
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $75,502,922) 98,887,720
- --------------------------------------------------------------------------------
16
- ----------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE^
(000) (000)
- ----------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.5%)(1)
- ----------------------------------------------------------------------------
Federal National Mortgage Assn.
(2) 1.03%, 7/7/2004 $ 10,000 $ 9,998
(2) 1.05%, 7/14/2004 20,000 19,991
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
1.46%, 7/1/2004--Note E 253,194 253,194
1.47%, 7/1/2004 263,863 263,863
- ----------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $547,047) 547,046
- ----------------------------------------------------------------------------
TOTAL INVESTMENTS (100.2%)
(Cost $76,049,969) 99,434,766
- ----------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.2%)
- ----------------------------------------------------------------------------
Other Assets--Note B 444,001
Liabilities--Note E (671,918)
-----------
(227,917)
- ----------------------------------------------------------------------------
NET ASSETS (100%) $99,206,849
=============================================================================
^See Note A in Notes to Financial Statements.
*Non-income-producing security.
(1)The fund invests a portion of its cash reserves in equity markets through the
use of index futures contracts. After giving effect to futures investments, the
fund's effective common stock and temporary cash investment positions represent
99.9% and 0.3%, respectively, of net assets. See Note C in Notes to Financial
Statements.
(2)Securities with an aggregate value of $29,989,000 have been segregated as
initial margin for open futures contracts. REIT--Real Estate Investment Trust.
- -------------------------------------------------------------
AMOUNT
(000)
- -------------------------------------------------------------
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
- -------------------------------------------------------------
Paid-in Capital $80,446,831
Overdistributed Net Investment Income (68,407)
Accumulated Net Realized Losses (4,558,278)
Unrealized Appreciation
Investment Securities 23,384,797
Futures Contracts 1,906
- -------------------------------------------------------------
NET ASSETS $99,206,849
=============================================================
Investor Shares--Net Assets
Applicable to 751,001,067 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $79,161,461
- -------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $105.41
=============================================================
Admiral Shares--Net Assets
Applicable to 190,166,194 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $20,045,388
- -------------------------------------------------------------
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $105.41
=============================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
17
STATEMENT OF OPERATIONS
This Statement shows the types of income earned by the fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period.
- ------------------------------------------------------------------------------
500 INDEX FUND
SIX MONTHS ENDED JUNE 30, 2004
(000)
- ------------------------------------------------------------------------------
INVESTMENT INCOME
Income
Dividends $ 780,696
Interest 2,744
Security Lending 302
- ------------------------------------------------------------------------------
Total Income 783,742
- ------------------------------------------------------------------------------
Expenses
The Vanguard Group--Note B
Investment Advisory Services 34
Management and Administrative
Investor Shares 61,449
Admiral Shares 7,906
Marketing and Distribution
Investor Shares 5,474
Admiral Shares 1,254
Custodian Fees 262
Shareholders' Reports
Investor Shares 1,033
Admiral Shares 20
Trustees' Fees and Expenses 50
- ------------------------------------------------------------------------------
Total Expenses 77,482
- ------------------------------------------------------------------------------
NET INVESTMENT INCOME 706,260
- ------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 23,550
Futures Contracts 41,010
- ------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) 64,560
- ------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 2,440,447
Futures Contracts (26,322)
- ------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 2,414,125
- ------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $3,184,945
==============================================================================
18
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how the fund’s total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund’s net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares.
- -------------------------------------------------------------------------------------
500 INDEX FUND
--------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2004 DEC. 31, 2003
(000) (000)
- -------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations
Net Investment Income $ 706,260 $ 1,272,250
Realized Net Gain (Loss) 64,560 426,090
Change in Unrealized Appreciation (Depreciation) 2,414,125 18,562,298
- ------------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting from Operations 3,184,945 20,260,638
- ------------------------------------------------------------------------------------
Distributions
Net Investment Income
Investor Shares (529,801) (1,029,145)
Admiral Shares (140,244) (245,685)
Realized Capital Gain
Investor Shares -- --
Admiral Shares -- --
- ------------------------------------------------------------------------------------
Total Distributions (670,045) (1,274,830)
- ------------------------------------------------------------------------------------
Capital Share Transactions--Note F
Investor Shares 1,799,062 3,674,152
Admiral Shares 1,452,674 2,634,755
- ------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share Transactions 3,251,736 6,308,907
- ------------------------------------------------------------------------------------
Total Increase (Decrease) 5,766,636 25,294,715
- ------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------
Beginning of Period 93,440,213 68,145,498
- ------------------------------------------------------------------------------------
End of Period $99,206,849 $93,440,213
====================================================================================
19
FINANCIAL HIGHLIGHTS
This table summarizes the fund’s investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund’s net income and total returns from year to year; the relative contributions of net income and capital gains to the fund’s total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
500 Index Fund Investor Shares
- ------------------------------------------------------------------------------------
Six Months Ended Year Ended December 31,
For a Share Outstanding June 30, -------------------------------------------
Throughout Each Period 2004 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period $102.67 $ 81.15 $105.89 $121.86 $135.33 $113.95
- ------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .75 1.44 1.32 1.260 1.29 1.370
Net Realized and
Unrealized Gain (Loss)
on Investments 2.70 21.51 (24.70) (15.955) (13.46) 22.415
- ------------------------------------------------------------------------------------
Total from Investment
Operations 3.45 22.95 (23.38) (14.695) (12.17) 23.785
- ------------------------------------------------------------------------------------
Distributions
Dividends from Net
Investment Income (.71) (1.43) (1.36) (1.275) (1.30) (1.410)
Distributions from
Realized Capital Gains -- -- -- -- -- (.995)
- ------------------------------------------------------------------------------------
Total Distributions (.71) (1.43) (1.36) (1.275) (1.30) (2.405)
- ------------------------------------------------------------------------------------
Net Asset Value,
End of Period $105.41 $102.67 $ 81.15 $105.89 $121.86 $135.33
====================================================================================
Total Return* 3.37% 28.50% -22.15% -12.02% -9.06% 21.07%
====================================================================================
Ratios/Supplemental Data
Net Assets, End of
Period (Millions) $79,161 $75,342 $56,224 $73,151 $88,240 $104,652
Ratio of Total Expenses
to Average Net Assets 0.18%** 0.18% 0.18% 0.18% 0.18% 0.18%
Ratio of Net Investment
Income to Average Net Assets 1.45%** 1.61% 1.43% 1.14% 0.98% 1.13%
Portfolio Turnover Rate+ 2%** 1% 6% 3% 7% 3%
====================================================================================
*Total returns do not reflect the $10 annual account maintenance fee applied on
balances under $10,000. **Annualized.
+Excludes the value of portfolio securities received or delivered as a result of
in-kind purchases or redemptions of the fund's capital shares.
20
500 INDEX FUND ADMIRAL SHARES
- -----------------------------------------------------------------------------------
YEAR ENDED
SIX MONTHS ENDED DECEMBER 31, NOV.13* TO
JUNE 30, --------------------------- DEC. 31
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000
- -----------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period $102.68 $ 81.15 $105.89 $121.87 $124.88
- -----------------------------------------------------------------------------------
Investment Operations
Net Investment Income .781 1.507 1.374 1.313 .179
Net Realized and
Unrealized Gain (Loss)
on Investments 2.700 21.510 (24.700) (15.955) (2.808)
- -----------------------------------------------------------------------------------
Total from Investment
Operations 3.481 23.017 (23.326) (14.642) (2.629)
- -----------------------------------------------------------------------------------
Distributions
Dividends from Net
Investment Income (.751) (1.487) (1.414) (1.338) (.381)
Distributions from
Realized Capital Gains -- -- -- -- --
- -----------------------------------------------------------------------------------
Total Distributions (.751) (1.487) (1.414) (1.338) (.381)
- -----------------------------------------------------------------------------------
Net Asset Value, End of Period $105.41 $102.68 $ 81.15 $105.89 $121.87
===================================================================================
Total Return 3.40% 28.59% -22.10% -11.98% -2.10%
===================================================================================
Ratios/Supplemental Data
Net Assets, End of
Period (Millions) $20,045 $18,098 $11,922 $13,863 $8,237
Ratio of Total Expenses
to Average Net Assets 0.10%** 0.12% 0.12% 0.12% 0.12%+
Ratio of Net Investment
Income to Average Net Assets 1.53%** 1.67% 1.50% 1.22% 1.03%+
Portfolio Turnover Rate+ 2%** 1% 6% 3% 7%
===================================================================================
*Inception.
**Annualized.
+Excludes the value of portfolio securities received or delivered as a result of
in-kind purchases or redemptions of the fund's capital shares.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
21
NOTES TO FINANCIAL STATEMENTS
Vanguard 500 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares, Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses S&P 500 Index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Repurchase Agreements: The fund, along with other members of The Vanguard Group, transfers uninvested cash balances to a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
22
6. Other: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2004, the fund had contributed capital of $14,232,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 14.23% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2004, the fund realized $241,353,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchange fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2003, the fund had available realized losses of $4,349,644,000 to offset future net capital gains of $193,358,000 through December 31, 2008, $890,248,000 through December 31, 2009, $3,087,963,000 through December 31, 2010, $176,196,000 through December 31, 2011, and $1,879,000 through December 31, 2012. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2004; should the fund realize net capital losses for the year, the losses will be added to the loss carry forward balances above.
At June 30, 2004, net unrealized appreciation of investment securities for tax purposes was $23,384,797,000, consisting of unrealized gains of $31,452,832,000 on securities that had risen in value since their purchase and $8,068,035,000 in unrealized losses on securities that had fallen in value since their purchase.
23
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
At June 30, 2004, the aggregate settlement value of open futures contracts expiring in September 2004 and the related unrealized appreciation (depreciation) were:
- -----------------------------------------------------------------------------
(000)
-------------------------------
AGGREGATE UNREALIZED
NUMBER OF SETTLEMENT APPRECIATION
FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------
S&P 500 Index 921 $262,577 $1,871
E-mini S&P 500 Index 140 7,983 35
- -----------------------------------------------------------------------------
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D. During the six months ended June 30, 2004, the fund purchased $4,940,319,000 of investment securities and sold $1,359,591,000 of investment securities other than temporary cash investments.
E. The market value of securities on loan to broker/dealers at June 30, 2004, was $236,847,000, for which the fund held cash collateral of $253,194,000. The fund invests cash collateral received in repurchase agreements, and records a liability for the return of the collateral, during the period the securities are on loan.
F. Capital share transactions for each class of shares were:
- -----------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
--------------------------------------------
AMOUNT SHARES AMOUNT SHARES
(000) (000) (000) (000)
- -----------------------------------------------------------------------------------
Investor Shares
Issued $7,770,934 74,471 $13,026,688 146,182
Issued in Lieu of
Cash Distributions 501,227 4,842 971,109 10,563
Redeemed (6,473,099) (62,117) (10,323,645) (115,745)
----------------------------------------------------
Net Increase (Decrease)
- --Investor Shares 1,799,062 17,196 3,674,152 41,000
----------------------------------------------------
Admiral Shares
Issued 2,791,794 26,737 4,455,070 49,744
Issued in Lieu of
Cash Distributions 118,784 1,147 207,450 2,251
Redeemed (1,457,904) (13,980) (2,027,765) (22,633)
----------------------------------------------------
Net Increase (Decrease)
- --Admiral Shares 1,452,674 13,904 2,634,755 29,362
- -----------------------------------------------------------------------------------
24
INVESTING IS FAST, EASY, AND SECURE ON VANGUARD.COM
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RESEARCH AND PLAN YOUR INVESTMENTS WITH CONFIDENCE
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25
CAPITALIZE ON YOUR IRA
Are you taking full advantage of your individual retirement account? You really should be. These tax-deferred accounts are powerful options for retirement savers.
Here’s how you can exploit your IRA—and improve your chances of having the retirement of your dreams.
CONTRIBUTE THE MAXIMUM AMOUNT EACH YEAR
It may be an obvious point, but if you invest as much in your IRA as the law allows—currently $3,000 per tax year if you are under age 50 and $3,500 if you are age 50 or over—you will increase the odds of meeting your retirement goals. “Max out” every year you can.
MAKE IT AUTOMATIC
Put your IRA on autopilot by taking advantage of Vanguard’s Automatic Investment Plan. Your IRA contributions will be deducted from your bank account on a schedule of your choosing, making retirement investing a healthy habit.
CONSIDER COST
The owners of low-cost investments keep a larger portion of their gross returns than the owners of high-cost investments. Over the long term, avoiding costlier mutual funds and brokerage commissions could significantly boost your retirement savings. Our low costs are one reason a Vanguard IRA® is such a smart choice.
REQUEST A DIRECT ROLLOVER WHEN YOU CHANGE JOBS
Don’t spend your retirement assets before you’ve retired. When you change jobs, roll your 401(k) or other employer-sponsored retirement plan assets directly into your IRA.
If you have questions about your IRA, want to transfer an IRA from another institution to Vanguard, or need help with any other IRA transaction, call our Retirement Resource Center at 1-800-205-6189 or visit Vanguard.com. You can open or fund your IRA on our website and have a confirmation in your hand within minutes.
THE VANGUARD(R)FAMILY OF FUNDS
STOCK FUNDS
500 Index Fund
Calvert Social Index Fund
Capital Opportunity Fund
Capital Value Fund
Convertible Securities Fund
Developed Markets Index Fund
Dividend Growth Fund
Emerging Markets Stock
Index Fund
Energy Fund
Equity Income Fund
European Stock Index Fund
Explorer(TM)Fund
Extended Market Index Fund
Global Equity Fund
Growth and Income Fund
Growth Equity Fund
Growth Index Fund
Health Care Fund
Institutional Developed Markets
Index Fund
Institutional Index Fund
Institutional Total Stock Market
Index Fund
International Explorer(TM)Fund
International Growth Fund
International Value Fund
Large-Cap Index Fund
Mid-Cap Growth Fund
Mid-Cap Index Fund
Morgan(TM)Growth Fund
Pacific Stock Index Fund
Precious Metals and Mining Fund
PRIMECAP Fund
REIT Index Fund
Selected Value Fund
Small-Cap Growth Index Fund
Small-Cap Index Fund
Small-Cap Value Index Fund
Strategic Equity Fund
Tax-Managed Capital
Appreciation Fund
Tax-Managed Growth and
Income Fund
Tax-Managed International Fund
Tax-Managed Small-Cap Fund
Total International Stock
Index Fund
Total Stock Market Index Fund
U.S. Growth Fund
U.S. Sector Index Funds:
Consumer Discretionary Index
Consumer Staples Index
Financials Index
Health Care Index
Information Technology Index
Materials Index
Utilities Index
U.S. Value Fund
Value Index Fund
Windsor(TM)Fund
Windsor(TM)II Fund
BALANCED FUNDS
Asset Allocation Fund
Balanced Index Fund
LifeStrategy(R)Conservative
Growth Fund
LifeStrategy(R)Growth Fund
LifeStrategy(R)Income Fund
LifeStrategy(R)Moderate
Growth Fund
STAR(R)Fund
Target Retirement Funds:
Retirement Income
Retirement 2005
Retirement 2015
Retirement 2025
Retirement 2035
Retirement 2045
Tax-Managed Balanced Fund
Wellesley(R)Income Fund
Wellington(TM)Fund
BOND FUNDS
GNMA Fund
High-Yield Corporate Fund
High-Yield Tax-Exempt Fund
Inflation-Protected Securities Fund
Institutional Total Bond Market
Index Fund
Insured Long-Term
Tax-Exempt Fund
Intermediate-Term Bond
Index Fund
Intermediate-Term
Investment-Grade Fund
Intermediate-Term
Tax-Exempt Fund
Intermediate-Term Treasury Fund
Limited-Term Tax-Exempt Fund
Long-Term Bond Index Fund
Long-Term Investment-Grade Fund
Long-Term Tax-Exempt Fund
Long-Term Treasury Fund
Short-Term Bond Index Fund
Short-Term Investment-Grade Fund
Short-Term Federal Fund
Short-Term Tax-Exempt Fund
Short-Term Treasury Fund
State Tax-Exempt Bond Funds
(California, Florida, Massachusetts,
New Jersey, New York, Ohio,
Pennsylvania)
Total Bond Market Index Fund
MONEY MARKET FUNDS
Admiral(TM)Treasury Money
Market Fund
Federal Money Market Fund
Prime Money Market Fund
State Tax-Exempt Money Market
Funds (California, New Jersey,
New York, Ohio, Pennsylvania)
Tax-Exempt Money Market Fund
Treasury Money Market Fund
Vanguard also offers a variety of annuity products. For more information, visit www.vanguard.com, or call 800-662-7447 for Vanguard funds and 800-522-5555 for Vanguard annuity products, to obtain fund and annuity contract prospectuses. Investment objectives, risks, charges, expenses, and other important information are contained in the prospectuses; read and consider them carefully before investing.
THE PEOPLE WHO GOVERN YOUR FUND
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard® funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of
Position(s) Held With
Name Fund (Number of
(Year of Birth) Vanguard Funds
Trustee/officer Overseen by
Since Trustee/officer) Principal Occupation(s) During the Past
Five Years
- -----------------------------------------------------------------------------------
John J. Brennan* Chairman of the Chairman of the Board, Chief Executive
(1954) Board, Chief Officer, and Director/Trustee of The
May 1987 Executive Officer, Vanguard Group, Inc., and of each of the
and Trustee investment companies served by The
(131) Vanguard Group.
- -----------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
Charles D. Ellis Trustee The Partners of `63 (pro bono ventures
(1937) (131) in education); Senior Advisor to
January 2001 Greenwich); Associates (international
business strategy consulting Successor
Trustee of Yale University; Overseer
of the Stern School of Business at
New York University; of the Whitehead
Institute Biomedical Research.
- -----------------------------------------------------------------------------------
Rajiv L. Gupta Trustee Chairman and Chief Executive Officer
(1945) (131) (since October 1999), Vice Chairman
December 2001 (January-September 1999), and Vice
President (prior to September 1999) of
Rohm and Haas Co. (chemicals); Director
of Technitrol, Inc. (electronic
components), and Agere Systems
(communications components); Board
Member of the American Chemistry
Council; Trustee of Drexel University.
- -----------------------------------------------------------------------------------
Joann Heffernan Trustee Vice President, Chief Information
Heisen (131) Officer, and Member of the Executive
(1950) Committee of Johnson & Johnson
July 1998 (pharmaceuticals/consumer products);
Director of the University Medical Center
at Princeton and Women's Research and
Education Institute.
- -----------------------------------------------------------------------------------
Burton G. Malkiel Trustee Chemical Bank Chairman's Professor
(1932) (129) of Economics, Princeton University;
May 1977 Director of Vanguard Investment Series
plc (Irish invest-ent fund) (since
November 2001), Vanguard Group (Ireland)
Limited (Irish investment management
firm) (since November 2001), Prudential
Insurance Co. of America, BKF Capital
(investment management), The Jeffrey Co.
(holding company), and NeuVis, Inc.
(software company).
- -----------------------------------------------------------------------------------
the funds. Among board members’ responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee’s retirement, resignation, or death; or otherwise as specified in the fund’s organizational documents. Any trustee may be removed at a shareholders’ meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
Position(s) Held With
Name Fund (Number of
(Year of Birth) Vanguard Funds
Trustee/officer Overseen by
Since Trustee/officer) Principal Occupation(s) During the Past
Five Years
- -----------------------------------------------------------------------------------
Alfred M. Rankin, Jr. Trustee Chairman, President, Chief
(1941) (131) Executive Officer, and Director of NACCO
January 1993 Industries, Inc. (forklift trucks/
housewares/lignite); Director of
Goodrich Corporation (industrial
products/aircraft systems and
services); Director of Standard
Products Company (supplier for the
automotive industry) until 1998.
- -----------------------------------------------------------------------------------
J. Lawrence Wilson Trustee Retired Chairman and Chief
(1936) (131) Executive Officer of Rohm and Haas Co.
April 1985 (chemicals); Director of Cummins Inc.
(diesel engines), MeadWestvacoCorp.
(paper products), and
AmerisourceBergen Corp.
(pharmaceutical distribution);
Trustee of Vanderbilt University.
- -----------------------------------------------------------------------------------
EXECUTIVE OFFICERS*
R. Gregory Barton Secretary Managing Director and General
(1951) (131) Counsel of The Vanguard Group, Inc.;
June 2001 Secretary of The Vanguard Group and
of each of the investmentcompanies
served by The Vanguard Group.
- -----------------------------------------------------------------------------------
Thomas J. Higgins Treasurer Principal of The Vanguard
(1957) (131) Group, Inc.; Treasurer of each of
July 1998 the investment companies served by
The Vanguard Group.
- -----------------------------------------------------------------------------------
More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group.
- -----------------------------------------------------------------------------------
VANGUARD SENIOR MANAGEMENT TEAM
Mortimer J. Buckley, Information Technology.
James H. Gately, Investment Programs and Services.
Kathleen C. Gubanich, Human Resources.
F. William McNabb, III, Client Relationship Group.
Michael S. Miller, Planning and Development.
Ralph K. Packard, Finance.
George U. Sauter, Chief Investment Officer.
- -----------------------------------------------------------------------------------
John C. Bogle, Founder; Chairman and Chief Executive Officer, 1974-1996.
- -----------------------------------------------------------------------------------
Post Office Box 2600
Valley Forge, PA 19482-2600
Vanguard, The Vanguard Group, Vanguard.com, Admiral, Explorer, Morgan, LifeStrategy, PlainTalk, STAR, Wellesley, Wellington, Windsor, and the ship logo are trademarks of The Vanguard Group, Inc.
S&P 500 ®, Standard & Poor’s 500, and
500 are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the funds.
Calvert Social Index is a trademark of Calvert Group, Ltd., and has been licensed for use by The Vanguard Group, Inc. Vanguard Calvert Social Index Fund is not sponsored, endorsed, sold, or promoted by Calvert Group, Ltd., and Calvert Group, Ltd., makes no representation regarding the advisability of investing in the fund.
All other marks are the exclusive property of their respective owners.
About Our Cover
The photographs that appear on the cover of this report are copyrighted by Michael Kahn.
For More Information
This report is intended for the fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus.
To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the fund or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through Vanguard.com. Prospectuses may also be viewed online.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting our website, www.vanguard.com, and searching for “proxy voting guidelines,” or by calling 1-800-662-2739. They are also available from the SEC’s website, www.sec.gov.
All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted.
All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted.
World Wide Web
www.vanguard.com
Fund Information
1-800-662-7447
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1-800-662-2739
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Services
1-800-523-1036
Text Telephone
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© 2004 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
Q402 082004
Vanguard® U.S. Stock Index Funds
Small-Capitalization Portfolios
June 30, 2004
semiannual report
Vanguard® Small-Cap Index Fund
Vanguard® Small-Cap Growth Index Fund
Vanguard® Small-Cap Value Index Fund
HOW TO READ YOUR FUND REPORT
This report contains information that can help you evaluate your investment. It includes details about your fund’s return and presents data and analysis that provide insight into the fund’s performance and investment approach.
By reading the letter from Vanguard’s chairman, you’ll get an understanding of how the fund invests and how the market environment affected its performance. The statistical information that follows can help you understand how the fund’s performance and characteristics stack up against those of similar funds and market benchmarks.
It’s important to keep in mind that any opinions expressed here are just that: informed opinions. They should not be considered promises or advice. These opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in the fund are spelled out in the prospectus.
Frequent updates on the fund’s performance and information about some of its holdings are available on Vanguard.com®.
CONTENTS
1 LETTER FROM THE CHAIRMAN
7 FUND PROFILES
10 GLOSSARY OF INVESTMENT TERMS
11 PERFORMANCE SUMMARIES
13 ABOUT YOUR FUND'S EXPENSES
15 FINANCIAL STATEMENTS
78 ADVANTAGES OF VANGUARD.COM
Summary
Stock gains were fairly strong during the first three months of 2004, but they became more subdued in the April–June quarter as investors weighed the effects of rising interest rates and inflation.
During the half-year, the Investor Shares of Vanguard’s three small-capitalization index funds posted gains that ranged from 7.2% to 8.1%.
Small-cap stocks led the market. Value stocks generally outpaced growth issues.
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INDEXED TO
MSCI®
Small-Cap Index FundSmall-Cap
Growth Index FundSmall-Cap
Value Index Fund
LETTER FROM THE CHAIRMAN
Fellow Shareholder,
The impressive rebound of small-capitalization stocks that began in 2003 continued into the first quarter of this year, then slowed notably during the second quarter. For the first six months of 2004, the Investor Shares of Vanguard Small-Cap Index Fund, Small-Cap Growth Index Fund, and Small-Cap Value Index Fund posted returns of 7.7%, 7.2%, and 8.1%, respectively.
All three funds satisfied their objective of closely tracking their respective indexes. Two of the three—the Small-Cap Index Fund and the Small-Cap Growth Index Fund—also outperformed their peer-group averages, while the Small-Cap Value Index Fund was just a fraction shy.
The table on the following page shows the total returns for the funds’ share classes, their target indexes, and their average mutual fund peers. The funds’ starting and ending share prices are shown on page 5; there were no distributions to shareholders during the six months.
STOCKS GAINED AS THE ECONOMY REBOUNDED
Stock markets worldwide showed moderate gains across the board as investors took heart from a generally positive economic environment. In the United States, corporate earnings were strong, and Wall Street boosted its earnings-growth forecasts as the economic expansion accelerated. Consumer confidence solidified during the half-year as job creation increased.
Gains were tempered, however, by a two-month period in which indicators of rising inflation rattled investors. Unrest in the Middle East and growing global demand pushed the price of crude oil past a level last seen more than 20 years earlier, during the Iran-Iraq War.
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Total Returns Six Months Ended
June 30, 2004
Vanguard Small-Cap Index Fund
Investor Shares 7.7%
Admiral Shares 7.7
Institutional Shares 7.7
VIPER Shares
Market Price 0.3*
Net Asset Value 0.5*
MSCI US Small Cap 1750 Index 7.7
Average Small-Cap Core Fund** 7.1
Vanguard Small-Cap Growth Index Fund
Investor Shares 7.2%
Institutional Shares 7.3
VIPER Shares
Market Price -1.9*
Net Asset Value -1.7*
MSCI US Small Cap Growth Index 7.2
Average Small-Cap Growth Fund** 3.3
Vanguard Small-Cap Value Index Fund
Investor Shares 8.1%
Institutional Shares 8.3
VIPER Shares
Market Price 2.6*
Net Asset Value 2.7*
MSCI US Small Cap Value Index 8.2
Average Small-Cap Value Fund** 8.2
*Return since inception on January 26, 2004.
**Derived from data provided by Lipper Inc.
But good economic news was back in the headlines in May and June, prompting a snapback for stocks.
For the six months, the broad U.S. stock market, as measured by the Dow Jones Wilshire 5000 Composite Index, returned 3.9%. Across the market-cap spectrum, value-oriented stocks (those that generally trade at below-market valuations relative to their earnings and other fundamental measures) outdistanced growth stocks (those expected to produce above-average earnings growth).
European and Pacific markets produced local-currency returns topping those of U.S. stocks. However, international stock returns were dampened somewhat for U.S.-based investors as the rebounding domestic economy and rising interest rates caused the U.S. dollar to strengthen against many currencies. (A stronger U.S. currency means that foreign returns translate into fewer dollars.) Emerging-markets returns, in the aggregate, were negative for the six-month period.
BONDS REACTED TO THE STRONGER ECONOMY
In the fixed income markets, interest rates rose across bond maturities, depressing prices. Rates stayed at historically low levels during the first half of the period, then rose sharply in April as the economy strengthened. For the six months, the yield of the benchmark 10-year U.S. Treasury note increased 33 basis points (0.33 percentage point), from 4.25% to 4.58%. At the short end of the maturity spectrum, rates climbed more sharply in anticipation of the Federal Reserve Board’s increase in its target federal funds rate. The Fed acted on
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Admiral™ Shares
A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund.
Institutional Shares
This class of shares also carries low expenses and is available for a minimum investment of $10 million.
VIPER® Shares
Traded on the American Stock Exchange, VIPERs® are available only through brokers. The table on page 2 shows VIPER returns based on both the AMEX market price and the net asset value for a share.
June 30, lifting its target by 25 basis points, the first increase in four years. The yield of the 3-month Treasury bill, a proxy for money market rates, climbed from 0.92% at year-end 2003 to 1.26% on June 30.
As earnings growth fortified corporate balance sheets, corporate bonds became more attractive, enhancing their performance relative to Treasuries. This trend particularly benefited lower-quality bonds; the Lehman Brothers High Yield Bond Index, a benchmark of below-investment-grade bonds, posted a six-month return of 1.4%, compared with the 0.2% return of the broad market, as measured by the Lehman Aggregate Bond Index.
SMALLER STOCKS WERE THE MARKET’S LEADERS
Small-cap stocks continued to prove their resilience in the first half of 2004, topping the returns of both mid- and large-capitalization issues. Within Vanguard’s three small-cap index funds, most industry sectors saw gains. As is typically true, the return of the Small-Cap Index Fund, which includes stocks of both the growth and value ilk, was roughly midway between the returns for the style-based funds.
Most of the Small-Cap Index Fund’s 7.7% half-year return was earned in the first three months, before the second-quarter slowdown took hold in the market. Leading the target index were several sectors—including “other energy,” health care, producer durables, consumer discretionary, and materials & processing—that provided generous contributions to the overall return. Technology issues, the “hottest” sector of the previous year, turned in the poorest results, plagued by both global competition and a feeling among some investors that tech stocks had gotten too pricey.
In the Small-Cap Growth Index Fund, consumer discretionary issues and “other energy” stocks—largely exploration, production, and service-
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Market Barometer Total Returns
Periods Ended June 30, 2004
Six One Five
Months Year Years*
Stocks
Russell 1000 Index (Large-caps) 3.3% 19.5% -1.6%
Russell 2000 Index (Small-caps) 6.8 33.4 6.6
Dow Jones Wilshire 5000 Index 3.9 21.2 -1.0
(Entire market)
MSCI All Country World Index
ex USA (International) 4.1 32.5 1.0
Bonds
Lehman Aggregate Bond Index 0.2% 0.3% 6.9%
(Broad taxable market)
Lehman Municipal Bond Index -0.7 0.8 5.9
Citigroup 3-Month Treasury Bill Index 0.5 1.0 3.1
CPI
Consumer Price Index 2.9% 3.3% 2.7%
*Annualized.
related companies—were among the most notable performers. The fund’s strongly performing health care stocks—which accounted for roughly 20% of holdings—made the largest contribution to return, adding nearly 3 percentage points to the overall 7.2% gain. Technology stocks, one of the largest groups in the target index, were the fund’s largest detractor.
Investors’ apparent preference for attractive valuations helped the Small-Cap Value Index Fund to post a better result than its growth-oriented sibling. The fund saw strong contributions from its “other energy,” producer durables, materials & processing, and consumer discretionary holdings, which together accounted for nearly 40% of its assets and provided 5 percentage points of the 8.1% return. Financial services stocks, the largest index sector, suffered subpar results as rising interest rates reined in their returns.
CHOOSE YOUR COURSE AND STICK TO IT
The financial markets can be very difficult to navigate. Indeed, their ups and downs can make the process of reaching your goals seem indirect at best. But, as we have advised investors for years, the most productive response to this uncertainty is to have reasonable expectations and to maintain a balanced portfolio that meets your needs and risk tolerance. Over the long run, a prudent, balanced approach allows you to participate in the markets’ gains while cushioning the effects of the markets’ darker days.
The Small-Cap Index, Small-Cap Value Index, and Small-Cap Growth Index Funds, with their low-cost exposure to smaller companies within the U.S. equity market, can serve as valuable components of your
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balanced portfolio. We appreciate your ongoing confidence in Vanguard, and thank you for entrusting your hard-earned money to us.
Sincerely,
John J. Brennan
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
JULY 16, 2004
Your Fund's
Performance at a Glance December 31, 2003- June 30, 2004
Distributions Per Share
Starting Ending Income Capital
Share Price Share Price Dividends Gains
Small-Cap Index Fund
Investor Shares $22.60 $24.33 $0.00 $0.00
Admiral Shares 22.60 24.35 0.00 0.00
Institutional Shares 22.61 24.36 0.00 0.00
VIPER Shares 50.65* 50.90 0.00 0.00
Small-Cap Growth Index Fund
Investor Shares $13.08 $14.02 $0.00 $0.00
Institutional Shares 13.09 14.05 0.00 0.00
VIPER Shares 50.77* 49.91 0.00 0.00
Small-Cap Value Index Fund
Investor Shares $11.49 $12.42 $0.00 $0.00
Institutional Shares 11.50 12.46 0.00 0.00
VIPER Shares 50.53* 51.90 0.00 0.00
*Share price at inception, January 26, 2004.
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Small-Cap Index Fund VIPER Shares
Premium/Discount: January 26, 2004*-June 30, 2004
Closing Price
Above or Equal to Closing Price Below
Closing Net Asset Value Closing Net Asset Value
Number Percentage of Number Percentage of
Basis Point Differential** of Days Total Days of Days Total Days
0-24.9 33 30.27% 69 63.31%
25-49.9 0 0.00 6 5.50
50-74.9 0 0.00 0 0.00
75-100.0 0 0.00 0 0.00
>100.0 1 0.92 0 0.00
Total 34 31.19% 75 68.81%
*Inception.
**One basis point equals 1/100th of 1%.
Small-Cap Growth Index Fund VIPER Shares
Premium/Discount: January 26, 2004*-June 30, 2004
Closing Price
Above or Equal to Closing Price Below
Closing Net Asset Value Closing Net Asset Value
Number Percentage of Number Percentage of
Basis Point Differential** of Days Total Days of Days Total Days
0-24.9 31 28.44% 66 60.54%
25-49.9 0 0.00 8 7.34
50-74.9 0 0.00 1 0.92
75-100.0 0 0.00 1 0.92
>100.0 1 0.92 1 0.92
Total 32 29.36% 77 70.64%
*Inception.
**One basis point equals 1/100th of 1%.
Small-Cap Value Index Fund VIPER Shares
Premium/Discount: January 26, 2004*-June 30, 2004
Closing Price
Above or Equal to Closing Price Below
Closing Net Asset Value Closing Net Asset Value
Number Percentage of Number Percentage of
Basis Point Differential** of Days Total Days of Days Total Days
0-24.9 36 33.03% 64 58.71%
25-49.9 0 0.00 8 7.34
50-74.9 0 0.00 1 0.92
75-100.0 0 0.00 0 0.00
>100.0 0 0.00 0 0.00
Total 36 33.03% 73 66.97%
*Inception.
**One basis point equals 1/100th of 1%.
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FUND PROFILES
As of 6/30/2004 These Profiles provide snapshots of each fund’s characteristics, compared where indicated with the fund’s target index and a broad market index. Key terms are defined on page 10.
SMALL-CAP INDEX FUND
Portfolio Characteristics
Target Broad
Fund Index* Index**
Number of Stocks 1,751 1,743 5,064
Median Market Cap $1.3B $1.3B $27.1B
Price/Earnings Ratio 26.5x 26.4x 22.5x
Price/Book Ratio 2.3x 2.3x 2.8x
Yield 1.2% 1.6%
Investor Shares 1.0%
Admiral Shares 1.1%
Institutional Shares 1.2%
VIPER Shares 1.1%
Return on Equity 11.5% 11.5% 15.7%
Earnings Growth Rate 6.8% 6.8% 6.7%
Foreign Holdings 0.3% 0.3% 0.9%
Turnover Rate 19%† -- --
Expense Ratio -- --
Investor Shares 0.26%†
Admiral Shares 0.15%†
Institutional Shares 0.08%†
VIPER Shares 0.18%†
Short-Term Reserves 0% -- --
Volatility Measures Spliced Broad
Fund Index†† Fund Index**
R-Squared 1.00 1.00 0.79 1.00
Beta 1.00 1.00 1.12 1.00
Sector Diversification (% of portfolio)
Target Broad
Fund Index* Index**
Auto & Transportation 4% 4% 3%
Consumer Discretionary 18 18 15
Consumer Staples 2 2 7
Financial Services 23 23 23
Health Care 12 12 13
Integrated Oils 0 0 4
Other Energy 5 5 3
Materials & Processing 8 8 4
Producer Durables 9 9 4
Technology 13 13 14
Utilities 5 5 6
Other 1 1 4
Ten Largest Holdings (% of total net assets)
Precision Castparts Corp. 0.2%
(metal fabrication)
Peabody Energy Corp. 0.2
(coal mining and processing)
Developers Diversified Realty Corp. REIT 0.2
(real estate)
Chesapeake Energy Corp. 0.2
(oil and gas exploration)
PacifiCare Health Systems, Inc. 0.2
(health care services)
Cognizant Technology Solutions Corp. 0.2
(computer services)
American Tower Corp. Class A 0.2
(cable and satellite services)
Reliant Energy, Inc. 0.2
(electric utilities)
Pentair, Inc. 0.2
(electrical products)
Boise Cascade Corp. 0.2
(paper product manufacturing)
Top Ten 2.0%
“Ten Largest Holdings” excludes any temporary cash investments and equity index products.
Investment Focus
Market Cap Small
Style Blend
*MSCI US Small Cap 1750 Index.
**Dow Jones Wilshire 5000 Index.
†Annualized. Turnover rate excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation units.
††Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index thereafter.
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FUND PROFILES (CONTINUED)
SMALL-CAP GROWTH INDEX FUND
Portfolio Characteristics
Target Broad
Fund Index* Index**
Number of Stocks 992 986 5,064
Median Market Cap $1.3B $1.3B $27.1B
Price/Earnings Ratio 39.3x 39.2x 22.5x
Price/Book Ratio 3.3x 3.3x 2.8x
Yield 0.2% 1.6%
Investor Shares 0.0%
Institutional Shares 0.2%
VIPER Shares 0.1%
Return on Equity 11.6% 11.6% 15.7%
Earnings Growth Rate 12.3% 12.3% 6.7%
Foreign Holdings 0.4% 0.4% 0.9%
Turnover Rate 40%† -- --
Expense Ratio -- --
Investor Shares 0.26%†
Institutional Shares 0.08%†
VIPER Shares 0.22%†
Short-Term Reserves 0% -- --
Volatility Measures
Spliced Broad
Fund Index†† Fund Index**
R-Squared 1.00 1.00 0.75 1.00
Beta 1.01 1.00 0.98 1.00
Sector Diversification (% of portfolio)
Target Broad
Fund Index* Index**
Auto & Transportation 4% 4% 3%
Consumer Discretionary 23 23 15
Consumer Staples 2 2 7
Financial Services 8 8 23
Health Care 21 21 13
Integrated Oils 0 0 4
Other Energy 5 5 3
Materials & Processing 4 4 4
Producer Durables 9 9 4
Technology 22 22 14
Utilities 2 2 6
Other 0 0 4
Ten Largest Holdings (% of total net assets)
Cognizant Technology Solutions Corp. 0.5%
(computer services)
American Tower Corp. Class A 0.5
(cable and satellite services)
DaVita, Inc. 0.4
(health care services)
Crown Castle International Corp. 0.4
(data network operators)
Andrew Corp. 0.4
(telecommunications)
Monster Worldwide Inc. 0.4
(online staffing and recruitment services)
Cytyc Corp. 0.4
(pharmaceuticals)
Getty Images, Inc. 0.4
(business services)
International Rectifier Corp. 0.4
(electronics)
Ultra Petroleum Corp. 0.4
(oil and gas exploration)
Top Ten 4.2%
"Ten Largest Holdings" excludes any temporary cash investments and equity index products.
Investment Focus
Market Cap Small
Style Growth
*MSCI US Small Cap Growth Index.
**Dow Jones Wilshire 5000 Index.
†Annualized. Turnover rate excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER Creation units.
††S&P SmallCap 600/Barra Growth Index through May 16, 2003; MSCI US Small Cap Growth Index thereafter.
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SMALL-CAP VALUE INDEX FUND
Portfolio Characteristics
Target Broad
Fund Index* Index**
Number of Stocks 966 966 5,064
Median Market Cap $1.4B $1.4B $27.1B
Price/Earnings Ratio 20.2x 20.1x 22.5x
Price/Book Ratio 1.8x 1.8x 2.8x
Yield 2.2% 1.6%
Investor Shares 2.0%
Institutional Shares 2.2%
VIPER Shares 2.0%
Return on Equity 11.5% 11.5% 15.7%
Earnings Growth Rate 3.3% 3.3% 6.7%
Foreign Holdings 0.2% 0.2% 0.9%
Turnover Rate 25%† -- --
Expense Ratio -- --
Investor Shares 0.26%†
Institutional Shares 0.08%†
VIPER Shares 0.22%†
Short-Term Reserves 0% -- --
Volatility Measures
Spliced Broad
Fund Index†† Fund Index**
R-Squared 1.00 1.00 0.69 1.00
Beta 1.01 1.00 1.01 1.00
Sector Diversification (% of portfolio)
Target Broad
Fund Index* Index**
Auto & Transportation 5% 5% 3%
Consumer Discretionary 13 13 15
Consumer Staples 2 2 7
Financial Services 38 38 23
Health Care 4 4 13
Integrated Oils 0 0 4
Other Energy 5 5 3
Materials & Processing 12 12 4
Producer Durables 8 8 4
Technology 4 4 14
Utilities 8 8 6
Other 1 1 4
Ten Largest Holdings (% of total net assets)
Precision Castparts Corp. 0.5%
(metal fabrication)
Peabody Energy Corp. 0.5
(coal mining and processing)
Developers Diversified Realty Corp. REIT 0.5
(real estate)
Chesapeake Energy Corp. 0.5
(oil and gas exploration)
PacifiCare Health Systems, Inc. 0.5
(health care services)
Reliant Energy, Inc. 0.4
(electric utilities)
Pentair, Inc. 0.4
(electrical products)
Boise Cascade Corp. 0.4
(paper product manufacturing)
AmeriCredit Corp. 0.4
(financial services)
Arrow Electronics, Inc. 0.4
(electronics)
Top Ten 4.5%
"Ten Largest Holdings" excludes any temporary cash investments and equity index products.
Investment Focus
Market Cap Small
Style Value
Visit our website at Vanguard.com for regularly updated fund information.
*MSCI US Small Cap Value Index.
**Dow Jones Wilshire 5000 Index.
†Annualized. Turnover rate excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER Creation units.
††S&P SmallCap 600/Barra Value Index through May 16, 2003; MSCI US Small Cap Value Index thereafter.
9
GLOSSARY OF INVESTMENT TERMS
Beta. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. A fund's beta should be reviewed in conjunction with its R-squared (see definition below). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Expense Ratio. The percentage of a fund's average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
Foreign Holdings. The percentage of a fund's equity assets represented by stocks or depositary receipts of companies based outside the United States.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund's stocks, weighted by the proportion of the fund's assets invested in each stock. Stocks representing half of the fund's assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
Price/Earnings Ratio. The ratio of a stock's current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company's future growth.
R-Squared. A measure of how much of a fund's past returns can be explained by the returns from the market in general, as measured by a given index. If a fund's total returns were precisely synchronized with an index's returns, its R-squared would be 1.00. If the fund's returns bore no relationship to the index's returns, its R-squared would be 0.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder's equity (net income divided by shareholder's equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund's trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors).
Yield. A snapshot of a fund's income from interest and dividends. The yield, expressed as a percentage of the fund's net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of income provided by securities in the index.
10
As of 6/30/2004
PERFORMANCE SUMMARIES
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the funds. (For the performance data current to the most recent month-end, which may be higher or lower than that cited, visit our website at www.vanguard.com.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor's shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
SMALL-CAP INDEX FUND
Fiscal-Year Total Returns (%) December 31, 1993-June 30, 2004
Small-Cap Index Fund Investor Shares Spiced Small Cap Index*
1994 -0.5 -1.8
1995 28.7 28.4
1996 18.1 16.5
1997 24.6 22.4
1998 -2.6 -2.5
1999 23.1 21.3
2000 -2.7 -3.0
2001 3.1 2.5
2002 -20.0 -20.5
2003 45.6 45.5
2004** 7.7 7.7
*Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index thereafter.
**Six months ended June 30, 2004.
Note: See Financial Highlights tables on pages 63–66 for dividend and capital gains information.
Average Annual Total Returns for Periods Ended June 30, 2004
One Five Ten Years
Inception Date Year Years Capital Income Total
Small-Cap Index Fund
Investor Shares* 10/3/1960 34.38% 6.98% 10.29% 1.33% 11.62%
Admiral Shares 11/13/2000 34.53 7.95** -- -- --
Institutional Shares 7/7/1997 34.58 7.16 6.49** 1.38** 7.87**
VIPER Shares
Market Price 1/26/2004 0.35** -- -- -- --
Net Asset Value 1/26/2004 0.49** -- -- -- --
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
**Return since inception.
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PERFORMANCE SUMMARIES (CONTINUED)
SMALL-CAP GROWTH INDEX FUND
Fiscal-Year Total Returns (%) May 21, 1998-June 30, 2004
Small-Cap Growth Index Fund Investor Shares Spiced Small Cap Growth Index*
1998 -4.8 -5.0
1999 19.8 19.6
2000 1.6 0.6
2001 -0.8 -1.2
2002 -15.4 -15.4
2003 42.9 41.9
2004** 7.2 7.2
*S&P SmallCap 600/Barra Growth Index through May 16, 2003; MSCI US Small Cap Growth Index thereafter.
**Six months ended June 30, 2004.
Note: See Financial Highlights tables on pages 67–69 for dividend and capital gains information.
SMALL-CAP VALUE INDEX FUND
Fiscal-Year Total Returns (%) May 21, 1998-June 30, 2004
Small-Cap Value Index Fund Investor Shares Spliced Small Cap Value Index*
1998 -12.5 -13.3
1999 3.3 3
2000 21.9 20.9
2001 13.7 13.1
2002 -14.2 -14.5
2003 37.2 35.5
2004** 8.1 8.2
*S&P SmallCap 600/Barra Value Index through May 16, 2003; MSCI US Small Cap Value Index thereafter.
**Six months ended June 30, 2004.
Note: See Financial Highlights tables on pages 70–72 for dividend and capital gains information.
Average Annual Total Returns for Periods Ended June 30, 2004
One Five Ten Years
Inception Date Year Years Capital Income Total
Small-Cap Growth
Index Fund
Investor Shares* 5/21/1998 33.75% 9.00% 6.52% 0.22% 6.74%
Institutional Shares 5/24/2000 33.99 7.71** -- -- --
VIPER Shares
Market Price 1/26/2004 -1.86** -- -- -- --
Net Asset Value 1/26/2004 -1.69** -- -- -- --
Small-Cap Value
Index Fund
Investor Shares* 5/21/1998 34.99% 10.89% 6.93% 1.01% 7.94%
Institutional Shares 12/7/1999 35.20 14.13** -- -- --
VIPER Shares
Market Price 1/26/2004 2.60** -- -- -- --
Net Asset Value 1/26/2004 2.71** -- -- -- --
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
**Return since inception.
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ABOUT YOUR FUND’S EXPENSES
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
Six Months Ended June 30, 2004*
Beginning Ending Expenses
Account Value Account Value Paid During
Index Fund 12/31/2003 6/30/2004 Period**
Based on Actual Fund Return
Small-Cap
Investor Shares $1,000 $1,077 $1.34
Admiral Shares 1,000 1,077 0.77
Institutional Shares 1,000 1,077 0.41
Small-Cap Growth
Investor Shares $1,000 $1,072 $1.34
Institutional Shares 1,000 1,073 0.41
Small-Cap Value
Investor Shares $1,000 $1,081 $1.35
Institutional Shares 1,000 1,083 0.41
Based on Hypothetical 5% Return
Small-Cap
Investor Shares $1,000 $1,049 $1.32
Admiral Shares 1,000 1,049 0.76
Institutional Shares 1,000 1,050 0.41
Small-Cap Growth
Investor Shares $1,000 $1,049 $1.32
Institutional Shares 1,000 1,050 0.41
Small-Cap Value
Investor Shares $1,000 $1,049 $1.32
Institutional Shares 1,000 1,050 0.41
*The table does not include data for funds or share classes of funds with fewer than six months of history.
**Expenses are equal to the fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366.
The table to the left illustrates your fund’s costs in two ways:
•Actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
13
•Hypothetical 5% return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Annualized Expense Ratios:
Your fund compared with its peer group
Fund Peer-Group
Expense Expense
Index Fund Ratio Ratio*
Small-Cap
Investor Shares 0.26% 1.78%
Admiral Shares 0.15 --
Institutional Shares 0.08 --
VIPER Shares 0.18 --
Small-Cap Growth
Investor Shares 0.26 1.78
Institutional Shares 0.08 --
VIPER Shares 0.22 --
Small-Cap Value
Investor Shares 0.26 1.57
Institutional Shares 0.08 --
VIPER Shares 0.22 --
*Peer groups are: for the Small-Cap Index Fund, the Average Small-Cap Core Fund; for the Small-Cap Growth Fund, the Average Small-Cap Growth Fund; for the Small-Cap Value Fund, the Average Small-Cap Value Fund. Peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2003.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs or account maintenance fees. They do not include your fund’s low-balance fee, which is described in the prospectus. If this fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a “sales load.” The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. You can find more information about the fund’s expenses, including annual expense ratios for the past five years, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate fund prospectus.
14
As of 6/30/2004
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each fund’s holdings, including each security’s market value on the last day of the reporting period. Securities are grouped and subtotaled by asset type (common stocks, bonds, etc.) and by industry sector. Other assets are added to, and liabilities are subtracted from, the value of Total Investments to calculate the fund’s Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund’s net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
Market
Value^
Small-Cap Index Fund Shares (000)
COMMON STOCKS (99.9%)(1)
Auto & Transportation (4.5%)
BorgWarner, Inc. 328,336 $ 14,371
* Navistar International Corp. 367,922 14,261
J.B. Hunt Transport Services, Inc. 329,947 12,729
CNF Inc. 294,975 12,259
Polaris Industries, Inc. 254,223 12,203
Oshkosh Truck Corp. 201,586 11,553
* AMR Corp. 940,415 11,389
* Yellow Roadway Corp. 254,217 10,133
Tidewater Inc. 334,689 9,974
American Axle & Manufacturing
Holdings, Inc. 261,870 9,522
* Landstar System, Inc. 178,640 9,445
Cooper Tire & Rubber Co. 392,968 9,038
Visteon Corp. 770,450 8,991
* The Goodyear Tire & Rubber Co. 929,352 8,448
Alexander & Baldwin, Inc. 224,745 7,518
Thor Industries, Inc. 220,144 7,366
ArvinMeritor, Inc. 368,551 7,213
Overseas Shipholding Group Inc. 150,826 6,656
Werner Enterprises, Inc. 304,282 6,420
* AirTran Holdings, Inc. 448,728 6,345
OMI Corp. 532,127 6,332
Winnebago Industries, Inc. 159,395 5,942
* EGL, Inc. 222,509 5,919
Modine Manufacturing Co. 181,731 5,788
* Swift Transportation Co., Inc. 319,804 $ 5,740
USF Corp. 162,203 5,698
* Kansas City Southern 365,416 5,664
Skywest, Inc. 324,336 5,647
Florida East Coast
Industries, Inc. Class A 141,285 5,461
Heartland Express, Inc. 191,329 5,235
Overnite Corp. 164,065 4,824
* Delta Air Lines, Inc. 660,326 4,702
* Fleetwood Enterprises, Inc. 315,110 4,585
* Forward Air Corp. 121,010 4,526
* Kirby Corp. 115,359 4,487
* Continental Airlines, Inc. Class B 388,869 4,421
* Wabash National Corp. 158,138 4,357
Arkansas Best Corp. 132,055 4,347
Monaco Coach Corp. 153,903 4,335
Wabtec Corp. 238,025 4,294
Superior Industries
International, Inc. 126,285 4,224
* Knight Transportation, Inc. 143,254 4,116
* Alaska Air Group, Inc. 157,236 3,753
* Northwest Airlines Corp.
Class A 328,863 3,657
* Offshore Logistics, Inc. 126,079 3,545
* Pacer International, Inc. 185,939 3,440
* Genesee & Wyoming Inc.
Class A 139,628 3,309
15
Market
Value^
Small-Cap Index Fund Shares (000)
* Tenneco Automotive, Inc. 243,385 $ 3,220
* Hayes Lemmerz International, Inc. 210,768 3,183
* General Maritime Corp. 109,605 3,008
* Old Dominion Freight Line, Inc. 99,950 2,947
* TBC Corp. 122,190 2,908
Bandag, Inc. 62,691 2,792
* RailAmerica, Inc. 185,734 2,712
* Aviall Inc. 141,188 2,684
* Keystone Automotive
Industries, Inc. 89,256 2,489
* Frontier Airlines, Inc. 209,695 2,281
Arctic Cat, Inc. 79,444 2,187
Sea Containers Ltd. Class A 121,327 2,127
* ExpressJet Holdings, Inc. 174,522 2,119
* America West Holdings Corp.
Class B 205,056 1,862
* Mesa Air Group Inc. 187,134 1,514
* Strattec Security Corp. 22,109 1,513
* Gulfmark Offshore, Inc. 89,013 1,405
* Atlantic Coast Airlines
Holdings Inc. 238,301 1,368
* Stoneridge, Inc. 80,207 1,364
Coachmen Industries, Inc. 82,990 1,327
* Tower Automotive, Inc. 335,694 1,222
* Aftermarket Technology Corp. 72,356 1,194
* Dura Automotive Systems, Inc. 98,748 904
* Covenant Transport, Inc. 51,014 872
* Collins & Aikman Corp. 146,545 819
* P.A.M. Transportation
Services, Inc. 40,666 777
Bandag, Inc. Class A 4,588 191
375,171
Consumer Discretionary (18.1%)
* Monster Worldwide Inc. 648,528 16,680
* Getty Images, Inc. 273,041 16,382
* Service Corp. International 1,789,329 13,187
* O'Reilly Automotive, Inc. 290,032 13,109
The Corporate Executive
Board Co. 219,815 12,703
* Activision, Inc. 797,049 12,673
Station Casinos, Inc. 259,590 12,564
* Education Management Corp. 365,178 12,000
* Barnes & Noble, Inc. 341,755 11,613
* AnnTaylor Stores Corp. 399,696 11,583
Snap-On Inc. 343,668 11,530
* Copart, Inc. 421,065 11,242
Applebee's International, Inc. 481,910 11,094
Regis Corp. 248,525 11,082
* Timberland Co. 170,852 11,035
The Neiman Marcus Group, Inc.
Class A 197,498 10,991
The Brink's Co. 320,098 10,963
Borders Group, Inc. 461,401 $ 10,815
Claire's Stores, Inc. 493,576 10,711
Ruby Tuesday, Inc. 388,996 10,678
* Ask Jeeves, Inc. 265,526 10,363
* BJ's Wholesale Club, Inc. 411,822 10,296
* ITT Educational Services, Inc. 269,578 10,249
Lee Enterprises, Inc. 212,079 10,182
* Marvel Enterprises Inc. 513,394 10,021
The Toro Co. 142,583 9,991
IKON Office Solutions, Inc. 870,792 9,988
* Big Lots Inc. 689,418 9,969
* Earthlink, Inc. 931,175 9,638
* DeVry, Inc. 351,225 9,631
SCP Pool Corp. 209,290 9,418
* Valassis Communications, Inc. 306,780 9,348
Reader's Digest Association, Inc. 582,236 9,310
* PETCO Animal Supplies, Inc. 287,820 9,271
* Urban Outfitters, Inc. 151,899 9,252
Pier 1 Imports Inc. 521,701 9,229
* Wynn Resorts Ltd. 237,008 9,156
* American Eagle Outfitters, Inc. 314,280 9,086
CBRL Group, Inc. 292,680 9,029
* Pacific Sunwear of
California, Inc. 461,109 9,024
Strayer Education, Inc. 79,437 8,863
Dillard's Inc. 397,003 8,853
* Laureate Education Inc. 231,098 8,837
Harte-Hanks, Inc. 360,054 8,789
* The Yankee Candle Co., Inc. 293,125 8,574
* American Greetings Corp.
Class A 367,954 8,529
* Zale Corp. 312,336 8,514
The Pep Boys
(Manny, Moe & Jack) 319,822 8,107
* Tommy Hilfiger Corp. 535,233 8,104
* Take-Two Interactive
Software, Inc. 263,437 8,072
* R.H. Donnelley Corp. 183,240 8,015
* United Stationers, Inc. 200,048 7,946
* Sonic Corp. 349,197 7,944
Furniture Brands
International Inc. 316,684 7,933
Media General, Inc. Class A 122,535 7,869
* Fossil, Inc. 288,768 7,869
MSC Industrial Direct Co., Inc.
Class A 239,134 7,853
* Quiksilver, Inc. 327,675 7,802
* Linens `n Things, Inc. 266,034 7,797
* Corrections Corp. of
America REIT 196,379 7,755
* Kroll Inc. 208,678 7,696
* Waste Connections, Inc. 255,722 7,585
16
Market
Value^
Shares (000)
* Tractor Supply Co. 180,103 $ 7,532
Ethan Allen Interiors, Inc. 208,929 7,503
* MPS Group, Inc. 607,914 7,368
John Wiley & Sons Class A 224,190 7,174
* CNET Networks, Inc. 632,525 7,002
Kellwood Co. 159,932 6,965
* Gaylord Entertainment Co. 221,775 6,962
Blyth, Inc. 201,231 6,940
Banta Corp. 152,686 6,781
* Aeropostale, Inc. 249,166 6,705
* Arbitron Inc. 182,098 6,650
* CEC Entertainment Inc. 224,377 6,621
* Charter Communications, Inc. 1,654,794 6,487
Nu Skin Enterprises, Inc. 252,217 6,386
* Jack in the Box Inc. 214,752 6,378
* Scientific Games Corp. 331,619 6,347
Grey Global Group Inc. 6,422 6,326
Matthews International Corp. 189,998 6,259
* Penn National Gaming, Inc. 188,139 6,246
* Emmis Communications, Inc. 296,020 6,211
* Krispy Kreme Doughnuts, Inc. 324,626 6,197
Wolverine World Wide, Inc. 231,948 6,089
Hollinger International, Inc. 359,956 6,044
Tupperware Corp. 310,230 6,028
* Panera Bread Co. 167,959 6,026
* United Natural Foods, Inc. 208,014 6,014
* Scholastic Corp. 200,244 5,997
* Payless ShoeSource, Inc. 401,824 5,991
Boyd Gaming Corp. 225,427 5,990
* DoubleClick Inc. 768,729 5,973
* Sirva Inc. 258,722 5,951
* Charming Shoppes, Inc. 665,818 5,946
* P.F. Chang's China Bistro, Inc. 143,606 5,909
* Gemstar-TV Guide
International, Inc. 1,230,176 5,905
Talbots Inc. 150,585 5,895
* Argosy Gaming Co. 155,889 5,862
ADVO, Inc. 177,861 5,855
* Helen of Troy Ltd. 158,023 5,826
* Hot Topic, Inc. 281,712 5,772
* Navigant Consulting, Inc. 268,221 5,751
* The Warnaco Group, Inc. 269,149 5,725
Bob Evans Farms, Inc. 208,240 5,702
* InfoSpace, Inc. 149,477 5,686
* Aztar Corp. 201,692 5,647
Choice Hotel International, Inc. 111,380 5,587
La-Z-Boy Inc. 309,382 5,563
* Jarden Corp. 151,893 5,467
* NetFlix.com, Inc. 151,482 5,446
* Dick's Sporting Goods, Inc. 162,729 5,427
* United Online, Inc. 302,375 5,325
* Shuffle Master, Inc. 146,180 5,308
* Tetra Tech, Inc. 321,703 $ 5,250
* ValueClick, Inc. 436,806 5,233
* Men's Wearhouse, Inc. 196,703 5,191
* Catalina Marketing Corp. 283,004 5,176
* THQ Inc. 224,910 5,150
* Guitar Center, Inc. 114,393 5,087
Watson Wyatt & Co. Holdings 190,299 5,071
* Cumulus Media Inc. 301,573 5,069
* Insight Enterprises, Inc. 284,323 5,050
* Resources Connection, Inc. 127,350 4,981
* Rare Hospitality
International Inc. 198,775 4,949
Aaron Rents, Inc. Class B 145,316 4,816
Liberty Corp. 101,831 4,781
ABM Industries Inc. 243,436 4,740
* Stewart Enterprises, Inc.
Class A 580,706 4,727
* CSK Auto Corp. 273,068 4,680
* Alliance Gaming Corp. 272,325 4,673
G & K Services, Inc. Class A 114,707 4,610
Callaway Golf Co. 400,615 4,543
* Tuesday Morning Corp. 156,474 4,538
* Global Imaging Systems, Inc. 123,308 4,520
* Select Comfort Corp. 159,072 4,518
* Hollywood Entertainment Corp. 333,995 4,462
* Journal Register Co. 221,924 4,438
* CoStar Group, Inc. 96,142 4,416
* Korn/Ferry International 224,291 4,345
Fred's, Inc. 195,254 4,313
IHOP Corp. 120,374 4,305
* The Sports Authority, Inc. 117,838 4,230
* Bright Horizons Family
Solutions, Inc. 77,859 4,174
* Cost Plus, Inc. 128,139 4,158
Landry's Restaurants, Inc. 138,837 4,150
* CMGI Inc. 2,126,223 4,146
* FTI Consulting, Inc. 250,095 4,127
Brown Shoe Co., Inc. 100,684 4,121
* MAXIMUS, Inc. 115,710 4,103
* Dollar Thrifty
Automotive Group, Inc. 148,420 4,073
* School Specialty, Inc. 111,907 4,063
* Six Flags, Inc. 544,241 3,951
Gevity HR, Inc. 150,779 3,949
Christopher & Banks Corp. 222,613 3,942
* Ryan's Restaurant Group, Inc. 249,070 3,935
* Multimedia Games Inc. 146,556 3,931
* 99 Cents Only Stores 255,756 3,900
* K2 Inc. 244,481 3,838
Sonic Automotive, Inc. 171,333 3,795
United Auto Group, Inc. 123,031 3,771
* Group 1 Automotive, Inc. 113,191 3,759
17
Market
Value^
Small-Cap Index Fund Shares (000)
* Hibbett Sporting Goods, Inc. 137,405 $ 3,758
* WMS Industries, Inc. 123,210 3,672
* Central Garden and Pet Co. 102,247 3,657
* ProQuest Co. 133,573 3,640
* Stage Stores, Inc. 96,165 3,622
* West Corp. 138,376 3,619
* CKE Restaurants Inc. 270,858 3,611
Gray Television, Inc. 259,506 3,605
* Spherion Corp. 353,338 3,583
* Priceline.com, Inc. 132,950 3,580
* Universal Technical Institute Inc. 89,467 3,577
* Labor Ready, Inc. 229,885 3,563
Oxford Industries, Inc. 81,449 3,548
* Finish Line, Inc. 115,805 3,494
The Nautilus Group, Inc. 172,988 3,375
* Too Inc. 201,723 3,369
* Lin TV Corp. 156,304 3,314
Kelly Services, Inc. Class A 110,637 3,297
Handleman Co. 140,022 3,243
* Heidrick & Struggles
International, Inc. 107,765 3,198
* Jo-Ann Stores, Inc. 108,776 3,198
K-Swiss, Inc. 157,399 3,181
* Elizabeth Arden, Inc. 150,379 3,164
* Consolidated Graphics, Inc. 71,337 3,142
* RC2 Corp. 87,265 3,098
* JAKKS Pacific, Inc. 147,261 3,062
Lone Star Steakhouse
& Saloon, Inc. 111,755 3,039
* Genesco, Inc. 127,603 3,015
Movie Gallery, Inc. 153,456 3,000
The Neiman Marcus Group, Inc.
Class B 57,801 2,999
* The Advisory Board Co. 83,413 2,970
Speedway Motorsports, Inc. 88,614 2,963
* Big 5 Sporting Goods Corp. 113,113 2,962
World Fuel Services Corp. 65,171 2,938
Phillips-Van Heusen Corp. 152,437 2,934
Journal Communications, Inc. 153,898 2,898
Bowne & Co., Inc. 182,200 2,888
Chemed Corp. 58,320 2,829
* Steak n Shake Co. 152,888 2,786
Rollins, Inc. 121,021 2,785
* Boca Resorts, Inc. Class A 140,348 2,782
Sinclair Broadcast Group, Inc. 270,587 2,779
* AMC Entertainment, Inc. 179,276 2,756
* J. Jill Group, Inc. 116,753 2,754
Russell Corp. 153,269 2,753
* Overstock.com, Inc. 69,557 2,718
* The Gymboree Corp. 175,786 2,700
* Prime Hospitality Corp. 251,540 2,671
* aQuantive, Inc. 268,396 $ 2,652
Cato Corp. Class A 117,817 2,645
* Coinstar, Inc. 119,774 2,631
* SOURCECORP, Inc. 95,430 2,626
CDI Corp. 74,869 2,590
* Leapfrog Enterprises, Inc. 130,131 2,588
* Stein Mart, Inc. 159,075 2,587
The Stride Rite Corp. 231,771 2,556
* Midway Games Inc. 217,660 2,507
* Insight Communications Co., Inc. 268,239 2,484
* Coldwater Creek Inc. 92,192 2,440
* ShopKo Stores, Inc. 171,453 2,424
Ameristar Casinos, Inc. 71,335 2,395
Burlington Coat Factory
Warehouse Corp. 118,395 2,285
* Sharper Image Corp. 72,150 2,265
* Cross Country Healthcare, Inc. 121,527 2,206
The Topps Co., Inc. 225,649 2,189
* A.C. Moore Arts & Crafts, Inc. 79,510 2,187
Central Parking Corp. 116,882 2,185
Lithia Motors, Inc. 87,149 2,160
* Spanish Broadcasting
System, Inc. 231,952 2,159
* Papa John's International, Inc. 72,998 2,156
* The Dress Barn, Inc. 125,737 2,153
American Woodmark Corp. 35,789 2,142
* Entravision
Communications Corp. 278,671 2,140
* Teletech Holdings Inc. 243,625 2,137
* O'Charley's Inc. 124,020 2,132
Startek, Inc. 59,513 2,131
* West Marine, Inc. 78,769 2,115
Libbey, Inc. 76,179 2,115
* Electronics Boutique
Holdings Corp. 80,043 2,108
The Marcus Corp. 120,964 2,087
* MarineMax, Inc. 72,649 2,084
Orient-Express Hotel Ltd. 122,189 2,070
Oakley, Inc. 159,113 2,059
* California Pizza Kitchen, Inc. 106,203 2,035
* infoUSA Inc. 199,805 2,026
* Charlotte Russe Holding Inc. 94,588 2,022
* Gartner, Inc. Class B 155,990 2,011
* Information Holdings Inc. 73,345 2,007
* Harris Interactive Inc. 297,748 2,001
* Salem Communications Corp. 71,585 1,942
Pulitzer, Inc. 39,394 1,926
Kenneth Cole Productions, Inc. 55,820 1,913
* Pegasus Solutions Inc. 143,287 1,881
* The Children's Place
Retail Stores, Inc. 79,370 1,867
18
Market
Value^
Shares (000)
* TiVo Inc. 261,474 $ 1,854
* Autobytel Inc. 202,782 1,841
* Steiner Leisure Ltd. 82,105 1,806
* 4Kids Entertainment Inc. 75,499 1,806
* Red Robin Gourmet Burgers 65,608 1,796
* USANA Health Sciences, Inc. 56,624 1,760
Movado Group, Inc. 101,956 1,759
* Revlon, Inc. Class A 595,429 1,757
* GameStop Corp. 113,747 1,731
Haverty Furniture Cos., Inc. 98,805 1,727
* Central European
Distribution Corp. 66,460 1,722
* Cole National Corp. Class A 73,704 1,721
* MemberWorks, Inc. 57,420 1,701
Triarc Cos., Inc. Class B 167,203 1,700
* PRIMEDIA Inc. 607,317 1,688
* Wireless Facilities, Inc. 170,511 1,676
* ValueVision Media, Inc. 126,848 1,652
* Fisher Communications, Inc. 32,714 1,646
* Pre-Paid Legal Services, Inc. 68,941 1,643
* Vail Resorts Inc. 85,605 1,640
* MTR Gaming Group Inc. 148,932 1,631
* FreeMarkets, Inc. 249,391 1,626
CSS Industries, Inc. 45,690 1,601
* Hudson Highland Group, Inc. 52,058 1,596
Churchill Downs, Inc. 38,773 1,578
* Brightpoint, Inc. 114,724 1,577
* Forrester Research, Inc. 84,153 1,569
* Skechers U.S.A., Inc. 120,434 1,566
* Wesco International, Inc. 84,945 1,563
* Exult Inc. 290,440 1,563
Courier Corp. 37,274 1,556
* Volt Information Sciences Inc. 49,072 1,546
* Playtex Products, Inc. 196,941 1,540
UniFirst Corp. 52,718 1,534
* Century Business Services, Inc. 349,392 1,523
Sturm, Ruger & Co., Inc. 125,791 1,523
* Steven Madden, Ltd. 74,668 1,491
Action Performance Cos., Inc. 97,572 1,470
* Navigant International, Inc. 81,556 1,451
* Carter's, Inc. 49,038 1,427
* Playboy Enterprises, Inc. Class B 122,077 1,417
Hancock Fabrics, Inc. 111,082 1,416
* Clark, Inc. 75,845 1,407
* AMN Healthcare Services, Inc. 91,762 1,403
The Buckle, Inc. 49,650 1,403
* Isle of Capri Casinos, Inc. 79,528 1,388
* Saga Communications, Inc. 75,410 1,376
* Regent Communications, Inc. 220,377 1,364
* Young Broadcasting Inc. 103,554 1,362
Russ Berrie and Co., Inc. 67,750 1,316
Blair Corp. 45,439 $ 1,313
Angelica Corp. 52,046 1,307
* Alloy, Inc. 210,856 1,297
Oshkosh B' Gosh, Inc. Class A 51,351 1,282
* Bombay Co. 208,406 1,278
* 1-800-FLOWERS.COM, Inc. 154,921 1,261
Renaissance Learning, Inc. 54,529 1,223
Lawson Products, Inc. 31,217 1,191
World Wrestling
Entertainment, Inc. 92,861 1,184
National Presto Industries, Inc. 28,289 1,166
Advanced Marketing Services 89,382 1,154
* Asbury Automotive Group, Inc. 76,883 1,153
* NetRatings, Inc. 69,639 1,134
* Geo Group Inc. 54,430 1,110
Stamps.com Inc. 106,710 1,087
* Party City Corp. 72,529 906
* bebe stores, inc. 45,234 905
* Bally Total Fitness
Holding Corp. 178,764 894
* Del Laboratories, Inc. 28,721 891
Triarc Cos., Inc. Class A 83,755 865
* Neoforma, Inc. 70,517 856
* Guess ?, Inc. 51,478 829
* Learning Tree International, Inc. 56,600 821
* Orbitz, Inc. 37,427 809
* Drugstore.com, Inc. 229,430 801
* Paxson Communications Corp. 242,777 789
* The Wet Seal, Inc. Class A 149,388 781
* Restoration Hardware, Inc. 105,196 769
* GSI Commerce, Inc. 71,517 689
Dover Downs Gaming &
Entertainment, Inc. 61,210 689
Deb Shops, Inc. 28,527 686
* Martha Stewart Living
Omnimedia, Inc. 76,228 686
* Tweeter Home Entertainment
Group, Inc. 120,275 649
* PC Connection, Inc. 95,412 628
* Beasley Broadcast Group, Inc. 40,335 603
* Kirkland's, Inc. 50,317 600
* Shoe Carnival, Inc. 37,366 561
* 1-800 CONTACTS, Inc. 35,113 521
* Atari, Inc. 211,901 511
* Medical Staffing Network
Holdings, Inc. 70,204 452
* The Boyds Collection, Ltd. 120,557 400
Timco Aviation Services, Inc.
8.00%, 1/2/2007 Cvt. 12,678 1
1,513,138
19
Market
Value^
Small-Cap Index Fund Shares (000)
Consumer Staples (1.7%)
* Rite Aid Corp. 3,047,305 $ 15,907
Church & Dwight, Inc. 241,899 11,074
* NBTY, Inc. 314,514 9,244
Universal Corp. (VA) 148,550 7,567
* Performance Food Group Co. 271,903 7,216
* Ralcorp Holdings, Inc. 171,995 6,054
Flowers Foods, Inc. 225,291 5,891
Sensient Technologies Corp. 262,183 5,632
* Chiquita Brands
International, Inc. 238,520 4,990
Casey's General Stores, Inc. 264,981 4,849
Ruddick Corp. 204,300 4,587
* 7-Eleven, Inc. 230,860 4,121
Longs Drug Stores, Inc. 166,264 3,969
Tootsie Roll Industries, Inc. 120,111 3,904
Winn-Dixie Stores, Inc. 500,208 3,601
* Hain Celestial Group, Inc. 178,207 3,226
American Italian Pasta Co. 105,696 3,222
Interstate Bakeries Corp. 264,664 2,872
Pilgrim's Pride Corp. 97,788 2,830
Sanderson Farms, Inc. 52,474 2,814
Schweitzer-Mauduit
International, Inc. 88,425 2,708
* Robert Mondavi Corp. Class A 60,632 2,245
* Duane Reade Inc. 135,938 2,220
* Wild Oats Markets Inc. 141,631 1,993
Weis Markets, Inc. 55,731 1,953
* Peet's Coffee & Tea Inc. 73,327 1,832
Lance, Inc. 113,232 1,744
* J & J Snack Foods Corp. 39,347 1,607
Dimon Inc. 264,493 1,513
Vector Group Ltd. 92,280 1,453
Coca-Cola Bottling Co. 23,300 1,349
Standard Commercial
Tobacco Co. 59,480 1,074
Riviana Foods, Inc. 37,993 994
* Boston Beer Co., Inc. Class A 47,344 954
* The Great Atlantic &
Pacific Tea Co., Inc. 102,301 784
Ingles Markets, Inc. 61,018 682
Arden Group Inc. Class A 7,127 639
139,314
Financial Services (23.0%)
Developers Diversified
Realty Corp. REIT 570,134 20,166
* AmeriCredit Corp. 926,480 18,094
* Conseco, Inc. 850,057 16,916
Chelsea Property Group REIT 257,913 16,821
The Macerich Co. REIT 347,364 16,628
Ryder System, Inc. 382,665 15,333
Catellus Development Corp. REIT 607,435 $ 14,973
United Dominion
Realty Trust REIT 750,720 14,849
Certegy, Inc. 379,590 14,728
Webster Financial Corp. 312,519 14,695
Mack-Cali Realty Corp. REIT 354,317 14,662
Mills Corp. REIT 297,349 13,886
Rayonier Inc. REIT 291,406 12,953
Colonial BancGroup, Inc. 712,365 12,944
Federal Realty Investment
Trust REIT 303,885 12,639
FirstMerit Corp. 474,087 12,502
American Capital Strategies, Ltd. 446,079 12,499
Cullen/Frost Bankers, Inc. 275,080 12,310
Sky Financial Group, Inc. 494,161 12,221
HCC Insurance Holdings, Inc. 360,670 12,050
Thornburg Mortgage, Inc. REIT 445,817 12,015
Annaly Mortgage
Management Inc. REIT 693,965 11,770
StanCorp Financial Group, Inc. 172,980 11,590
Ventas, Inc. REIT 493,308 11,519
IndyMac Bancorp, Inc. REIT 359,742 11,368
Arden Realty Group, Inc. REIT 384,652 11,313
Washington Federal Inc. 460,874 11,061
Pan Pacific Retail
Properties, Inc. REIT 214,024 10,812
Camden Property Trust REIT 234,423 10,737
Reckson Associates
Realty Corp. REIT 388,482 10,668
Waddell & Reed Financial, Inc. 480,386 10,621
SL Green Realty Corp. REIT 225,507 10,554
* Allmerica Financial Corp. 312,199 10,552
CenterPoint Properties
Corp. REIT 136,836 10,502
HRPT Properties Trust REIT 1,046,170 10,472
First American Corp. 398,794 10,325
BRE Properties Inc. Class A REIT 295,606 10,272
Whitney Holdings Corp. 227,608 10,167
UCBH Holdings, Inc. 252,756 9,989
* BISYS Group, Inc. 710,127 9,984
The South Financial Group, Inc. 350,790 9,941
* Alliance Data Systems Corp. 235,029 9,930
Westamerica Bancorporation 187,918 9,856
Hudson United Bancorp 264,248 9,851
Health Care Inc. REIT 301,622 9,803
Realty Income Corp. REIT 233,773 9,755
Old National Bancorp 390,278 9,691
AmerUs Group Co. 232,109 9,609
* Affiliated Managers Group, Inc. 188,973 9,519
Healthcare Realty Trust Inc. REIT 253,455 9,499
CarrAmerica Realty Corp. REIT 312,493 9,447
20
Market
Value^
Shares (000)
CBL & Associates
Properties, Inc. REIT 169,710 $ 9,334
BancorpSouth, Inc. 411,764 9,277
* The MONY Group Inc. 295,514 9,250
American Financial
Realty Trust REIT 638,010 9,117
East West Bancorp, Inc. 295,660 9,077
Shurgard Storage
Centers, Inc. Class A REIT 242,405 9,066
Greater Bay Bancorp 311,582 9,005
Crescent Real Estate, Inc. REIT 557,474 8,986
First Industrial Realty Trust REIT 240,173 8,858
Jefferies Group, Inc. 285,201 8,818
Trizec Properties, Inc. REIT 536,017 8,716
First Midwest Bancorp, Inc. 247,189 8,704
First BanCorp Puerto Rico 212,212 8,648
Raymond James Financial, Inc. 322,427 8,528
Impac Mortgage
Holdings, Inc. REIT 378,590 8,526
International Bancshares Corp. 209,509 8,496
Jack Henry & Associates Inc. 422,255 8,487
Trustmark Corp. 291,590 8,433
* Alleghany Corp. 29,320 8,415
IPC Holdings Ltd. 227,257 8,393
New Century Financial Corp. 178,684 8,366
* La Quinta Corp. REIT 995,321 8,361
Prentiss Properties Trust REIT 248,428 8,327
Park National Corp. 65,033 8,305
Essex Property Trust, Inc. REIT 121,469 8,302
* Silicon Valley Bancshares 207,153 8,214
Reinsurance Group of
America, Inc. 201,447 8,189
Global Payments Inc. 178,865 8,053
Cathay General Bancorp 117,469 7,835
Chittenden Corp. 216,967 7,626
Southwest Bancorporation
of Texas, Inc. 171,816 7,581
W Holding Co., Inc. 439,531 7,547
* Kronos, Inc. 182,288 7,510
Home Properties, Inc. REIT 191,789 7,476
Highwood Properties, Inc. REIT 315,398 7,412
Nationwide Health
Properties, Inc. REIT 391,759 7,404
Platinum Underwriters
Holdings, Ltd. 241,906 7,361
Brandywine Realty Trust REIT 269,503 7,328
Washington REIT 245,253 7,206
Pacific Capital Bancorp 254,628 7,163
Cousins Properties, Inc. REIT 216,902 7,147
United Bankshares, Inc. 218,820 7,112
Delphi Financial Group, Inc. 159,758 7,109
Texas Regional Bancshares, Inc. 154,776 $ 7,106
MAF Bancorp, Inc. 166,221 7,094
* United Rentals, Inc. 388,202 6,945
* Ohio Casualty Corp. 343,197 6,909
Pennsylvania REIT 200,792 6,877
Susquehanna Bancshares, Inc. 271,940 6,842
People's Bank 219,085 6,824
Taubman Co. REIT 297,953 6,820
Citizens Banking Corp. 217,259 6,746
Fremont General Corp. 381,452 6,733
GATX Corp. 246,927 6,716
* Arch Capital Group Ltd. 167,105 6,664
Community First
Bankshares, Inc. 206,989 6,663
American Financial Group, Inc. 216,437 6,616
Downey Financial Corp. 123,696 6,587
Commercial Federal Corp. 241,818 6,553
Commerce Group, Inc. 132,251 6,529
The Phoenix Cos., Inc. 529,910 6,491
Alexandria Real Estate
Equities, Inc. REIT 114,322 6,491
Post Properties, Inc. REIT 217,243 6,333
Newcastle Investment
Corp. REIT 211,143 6,324
* Philadelphia Consolidated
Holding Corp. 104,121 6,255
Capital Automotive REIT 212,833 6,242
Westcorp, Inc. 137,018 6,227
* Knight Trading Group, Inc. 620,396 6,216
Maguire Properties, Inc. REIT 250,918 6,215
Redwood Trust, Inc. REIT 111,425 6,204
FactSet Research Systems Inc. 129,917 6,141
Hilb, Rogal and Hamilton Co. 169,109 6,034
Gables Residential Trust REIT 170,903 5,807
Selective Insurance Group 144,562 5,765
Colonial Properties Trust REIT 149,454 5,758
Wintrust Financial Corp. 113,430 5,729
Kilroy Realty Corp. REIT 167,462 5,710
* The First Marblehead Corp. 140,657 5,663
Provident Bankshares Corp. 194,103 5,598
Seacoast Financial
Services Corp. 161,193 5,577
* ProAssurance Corp. 163,487 5,577
F.N.B. Corp. 273,137 5,572
Lexington Corporate
Properties Trust REIT 277,472 5,524
American Home Mortgage
Investment Corp. REIT 212,153 5,501
R & G Financial Corp. Class B 165,813 5,482
TrustCo Bank NY 413,479 5,417
Senior Housing Properties
Trust REIT 317,395 5,329
21
Market
Value^
Small-Cap Index Fund Shares (000)
First National Bankshares
of Florida 280,582 $ 5,317
Endurance Specialty Holdings Ltd. 151,111 5,259
Novastar Financial, Inc. REIT 138,619 5,262
* Piper Jaffray Cos., Inc. 113,652 5,140
* Jones Lang Lasalle Inc. 188,476 5,108
Brookline Bancorp, Inc. 346,283 5,080
First Niagara Financial
Group, Inc. 420,459 5,046
BankAtlantic Bancorp, Inc.
Class A 272,412 5,026
Provident Financial Services Inc. 284,094 4,986
Republic Bancorp, Inc. 357,840 4,974
Commercial Net Lease
Realty REIT 285,013 4,902
Waypoint Financial Corp. 177,248 4,890
* eFunds Corp. 278,472 4,873
NDCHealth Corp. 209,831 4,868
John H. Harland Co. 163,959 4,812
Bank Mutual Corp. 440,663 4,803
Summit Properties, Inc. REIT 185,698 4,761
MB Financial, Inc. 127,828 4,705
Corporate Office Properties
Trust, Inc. REIT 188,269 4,678
CVB Financial Corp. 214,665 4,675
Entertainment Properties
Trust REIT 129,730 4,637
R.L.I. Corp. 126,509 4,618
Glimcher Realty Trust REIT 206,574 4,569
* UICI 190,760 4,542
First Commonwealth
Financial Corp. 349,388 4,532
* NCO Group, Inc. 165,453 4,416
Horace Mann Educators Corp. 251,628 4,398
* Commercial Capital Bancorp, Inc. 249,066 4,326
S & T Bancorp, Inc. 134,324 4,296
Mid-America Apartment
Communities, Inc. REIT 112,848 4,276
* BankUnited Financial Corp. 164,345 4,240
Chemical Financial Corp. 113,198 4,176
EastGroup Properties, Inc. REIT 123,676 4,164
* Sterling Financial Corp. 129,282 4,120
LandAmerica Financial Group, Inc. 105,787 4,118
Scottish Re Group Ltd. 176,730 4,109
Keystone Property Trust REIT 170,237 4,091
Corus Bankshares Inc. 99,505 4,091
* Digital Insight Corp. 195,715 4,057
Amcore Financial, Inc. 133,451 4,025
Sun Communities, Inc. REIT 106,382 4,005
Infinity Property & Casualty Corp. 121,307 4,003
United Community Banks, Inc. 158,198 3,983
LaSalle Hotel Properties REIT 162,849 $ 3,974
* First Federal Financial Corp. 95,432 3,970
* S1 Corp. 395,567 3,932
NBT Bancorp, Inc. 174,281 3,893
AMLI Residential Properties
Trust REIT 131,196 3,849
* Saxon Capital Inc. 168,439 3,845
Glacier Bancorp, Inc. 136,341 3,841
PS Business Parks, Inc. REIT 95,367 3,838
First Charter Corp. 174,618 3,805
Manufactured Home
Communities, Inc. REIT 114,430 3,798
MFA Mortgage
Investments, Inc. REIT 424,900 3,782
First Citizens BancShares
Class A 30,893 3,769
National Financial Partners Corp. 105,928 3,736
Heritage Property
Investment Trust REIT 137,941 3,733
* USI Holdings Corp. 235,716 3,724
Equity One, Inc. REIT 205,019 3,707
* Financial Federal Corp. 105,036 3,704
UMB Financial Corp. 71,368 3,684
Hancock Holding Co. 126,230 3,668
National Health Investors REIT 134,695 3,662
First Financial Bancorp 206,399 3,657
RAIT Investment Trust REIT 148,206 3,653
Koger Equity, Inc. REIT 157,427 3,640
National Penn Bancshares Inc. 122,184 3,634
Cash America International Inc. 157,809 3,630
Community Bank System, Inc. 158,361 3,609
First Republic Bank 83,655 3,604
* Sotheby's Holdings Class A 224,934 3,590
* FelCor Lodging Trust, Inc. REIT 295,715 3,578
Flagstar Bancorp, Inc. 178,311 3,545
Sterling Bancshares, Inc. 249,562 3,541
Alabama National
BanCorporation 63,647 3,530
Anthracite Capital Inc. REIT 290,232 3,477
Gold Banc Corp., Inc. 222,384 3,447
Boston Private
Financial Holdings, Inc. 148,026 3,428
* MeriStar Hospitality Corp. REIT 500,171 3,421
Harleysville National Corp. 132,181 3,384
Stewart Information
Services Corp. 100,168 3,383
Umpqua Holdings Corp. 158,671 3,331
* Interactive Data Corp. 190,671 3,321
Sovran Self Storage, Inc. REIT 86,397 3,299
Harbor Florida Bancshares, Inc. 119,195 3,279
Frontier Financial Corp. 92,826 3,243
22
Market
Value^
Shares (000)
* Triad Guaranty, Inc. 55,628 $ 3,238
Glenborough Realty
Trust, Inc. REIT 174,480 3,202
Unizan Financial Corp. 121,562 3,173
* eSPEED, Inc. Class A 179,161 3,162
PFF Bancorp, Inc. 84,253 3,138
Dime Community Bancshares 179,335 3,135
* Investment Technology
Group, Inc. 244,543 3,128
Mid-State Bancshares 131,692 3,096
Anworth Mortgage
Asset Corp. REIT 258,348 3,069
Tanger Factory Outlet
Centers, Inc. REIT 78,237 3,059
Westbanco Inc. 104,266 3,037
Anchor Bancorp Wisconsin Inc. 114,491 3,027
Net.Bank, Inc. 276,692 3,024
Zenith National Insurance Corp. 61,897 3,008
* Metris Cos., Inc. 343,351 2,984
First Community Bancorp 77,156 2,966
Alfa Corp. 211,832 2,966
Sandy Spring Bancorp, Inc. 85,090 2,957
City Holding Co. 93,271 2,945
Getty Realty Holding Corp. REIT 115,799 2,914
Oriental Financial Group Inc. 107,424 2,908
Northwest Bancorp, Inc. 126,224 2,891
* Ocwen Financial Corp. 239,432 2,883
Max Re Capital Ltd. 147,967 2,882
MCG Capital Corp. 187,266 2,880
Direct General Corp. 88,860 2,867
First Financial Bankshares, Inc. 68,141 2,857
Aspen Insurance Holdings Ltd. 122,302 2,841
Parkway Properties Inc. REIT 63,852 2,838
Cornerstone Realty Income
Trust, Inc. REIT 323,569 2,838
* Advent Software, Inc. 155,533 2,810
First Federal Capital Corp. 98,678 2,746
Hudson River Bancorp. Inc. 160,489 2,740
Hanmi Financial Corp. 91,652 2,704
Fidelity Bankshares, Inc. 75,425 2,674
LaBranche & Co. Inc. 316,209 2,662
Sterling Financial Corp. (PA) 101,454 2,641
Irwin Financial Corp. 100,025 2,641
Independent Bank Corp. (MI) 103,692 2,634
PrivateBancorp, Inc. 93,421 2,565
* Instinet Group Inc. 485,301 2,562
First Merchants Corp. 98,539 2,557
United Fire & Casualty Co. 44,202 2,553
Bedford Property
Investors, Inc. REIT 87,224 2,550
First Sentinel Bancorp Inc. 123,824 2,545
Riggs National Corp. 118,307 $ 2,499
Equity Inns, Inc. REIT 267,111 2,481
Town & Country Trust REIT 96,984 2,448
* Argonaut Group, Inc. 131,208 2,418
WFS Financial, Inc. 48,427 2,398
Sterling Bancorp 86,413 2,387
Investors Real Estate Trust REIT 227,707 2,364
Ramco-Gershenson Properties
Trust REIT 96,892 2,348
TierOne Corp. 108,538 2,335
Central Pacific Financial Co. 84,734 2,330
Independent Bank Corp. (MA) 77,138 2,233
Presidential Life Corp. 120,286 2,168
Innkeepers USA Trust REIT 208,997 2,155
Kramont Realty Trust REIT 134,031 2,144
State Auto Financial Corp. 69,763 2,143
First Financial Holdings, Inc. 73,911 2,129
* HomeStore, Inc. 528,444 2,108
PXRE Group Ltd. 83,076 2,099
IBERIABANK Corp. 35,353 2,092
Suffolk Bancorp 64,134 2,091
Community Trust Bancorp Inc. 68,086 2,077
FBL Financial Group, Inc.
Class A 72,771 2,057
Washington Trust Bancorp, Inc. 78,029 2,026
CB Bancshares Inc. (HI) 21,603 2,013
Integra Bank Corp. 91,370 2,013
U.S. Restaurant
Properties, Inc. REIT 132,493 2,013
* National Western Life
Insurance Co. Class A 13,036 2,002
* Accredited Home Lenders
Holding Co. 70,743 1,992
United Community
Financial Corp. 152,476 1,982
McGrath Rent Corp. 53,571 1,979
Saul Centers, Inc. REIT 61,032 1,960
Prosperity Bancshares, Inc. 80,035 1,949
Simmons First National Corp. 74,611 1,942
Main Street Banks, Inc. 68,356 1,921
Community Banks, Inc. 65,172 1,914
First Financial Corp. (IN) 59,816 1,908
West Coast Bancorp 88,247 1,892
First Community
Bancshares, Inc. 56,324 1,887
Universal Health Realty
Income REIT 65,498 1,880
Advanta Corp. Class B 81,703 1,873
* Nelnet, Inc. 104,248 1,850
BSB Bancorp, Inc. 51,942 1,847
Capital City Bank Group, Inc. 46,598 1,845
23
Market
Value^
Small-Cap Index Fund Shares (000)
Columbia Banking System, Inc. 82,735 $ 1,837
Odyssey Re Holdings Corp. 76,309 1,831
Capitol Bancorp Ltd. 70,095 1,823
Quaker City Bancorp, Inc. 33,073 1,817
Midland Co. 60,288 1,788
Banner Corp. 61,104 1,776
Gabelli Asset Management Inc. 41,323 1,756
* InterCept, Inc. 106,912 1,751
Tompkins Trustco, Inc. 36,427 1,730
Flushing Financial Corp. 97,344 1,718
Urstadt Biddle Properties
Class A REIT 114,434 1,695
WSFS Financial Corp. 34,547 1,681
First Source Corp. 66,740 1,667
Great Southern Bancorp, Inc. 56,280 1,646
First Busey Corp. 56,277 1,646
S.Y. Bancorp, Inc. 69,276 1,622
* Universal American
Financial Corp. 144,230 1,584
* iPayment Holdings, Inc. 38,313 1,571
Old Second Bancorp, Inc. 29,710 1,567
Omega Financial Corp. 44,563 1,534
Seacoast Banking Corp. of Florida 73,284 1,534
Union Bankshares Corp. 48,538 1,534
Midwest Banc Holdings, Inc. 68,708 1,532
Arrow Financial Corp. 49,507 1,507
* ITLA Capital Corp. 37,133 1,506
* Navigators Group, Inc. 52,123 1,506
Bank of Granite Corp. 71,848 1,502
First Bancorp (NC) 44,913 1,501
Peoples Holding Co. 43,424 1,501
Harleysville Group, Inc. 79,251 1,494
CityBank Lynnwood WA 46,474 1,488
Second Bancorp, Inc. 47,237 1,478
Bank of the Ozarks, Inc. 62,190 1,449
* CCC Information Services Group 85,916 1,443
* CompuCredit Corp. 82,542 1,428
* Citizens, Inc. 173,466 1,422
First Place Financial Corp. 76,429 1,419
Virginia Financial Group, Inc. 40,528 1,392
SWS Group, Inc. 90,367 1,383
* Portfolio Recovery
Associates, Inc. 49,252 1,358
Capital Southwest Corp. 16,969 1,341
OceanFirst Financial Corp. 55,438 1,328
Peoples Bancorp, Inc. 49,906 1,327
Electro Rent Corp. 125,559 1,315
First Indiana Corp. 68,457 1,304
Acadia Realty Trust REIT 94,780 1,302
SCBT Financial Corp. 42,931 1,294
Camden National Corp. 38,830 1,284
Pennrock Financial
Services Corp. 42,414 $ 1,281
Mission West
Properties Inc. REIT 105,598 1,279
* Federal Agricultural
Mortgage Corp. Class C 52,337 1,252
PMA Capital Corp. Class A 137,232 1,235
Financial Institutions, Inc. 49,457 1,222
Lakeland Bancorp, Inc. 75,446 1,218
Farmers Capital Bank Corp. 34,055 1,217
First Oak Brook Bancshares, Inc. 39,858 1,208
Peapack Gladstone
Financial Corp. 37,104 1,192
Baldwin & Lyons, Inc. Class B 42,410 1,138
NBC Capital Corp. 41,357 1,116
* CNA Surety Corp. 101,261 1,109
CoBiz Inc. 79,838 1,104
Pennfed Financial Services, Inc. 32,413 1,102
* PRG-Schultz International, Inc. 198,265 1,085
* Credit Acceptance Corp. 69,394 1,046
Advanta Corp. Class A 44,485 976
BancFirst Corp. 16,010 957
* Rewards Network Inc. 105,822 952
Citizens 1st Bancorp, Inc. 39,818 948
Republic Bancorp, Inc. Class A 46,023 929
Capstead Mortgage Corp. REIT 67,666 910
German American Bancorp 54,127 909
Charter Financial Corp. 23,159 787
* Portal Software, Inc. 195,763 711
Royal Bancshares of
Pennsylvania, Inc. 26,806 665
Partners Trust
Financial Group, Inc. 33,051 648
Crawford & Co. Class B 50,520 249
Urstadt Biddle Properties REIT 16,467 232
Provident Financial Group, Inc. 424 17
CSF Holdings Inc.
Contingent Litigation Rights 29,125 --
1,917,925
Health Care (11.9%)
* PacifiCare Health Systems, Inc. 504,702 19,512
* DaVita, Inc. 578,784 17,844
* Cytyc Corp. 647,282 16,422
* OSI Pharmaceuticals, Inc. 229,896 16,194
* Covance, Inc. 369,928 14,272
* Gen-Probe Inc. 288,727 13,663
* Renal Care Group, Inc. 401,297 13,295
* Charles River Laboratories, Inc. 271,556 13,271
Medicis Pharmaceutical Corp. 323,735 12,933
* IDEXX Laboratories Corp. 204,531 12,873
* Stericycle, Inc. 243,327 12,590
24
Market
Value^
Shares (000)
* Edwards Lifesciences Corp. 352,050 $ 12,269
Cooper Cos., Inc. 191,119 12,073
* Andrx Group 427,508 11,940
* Respironics, Inc. 202,992 11,926
* Affymetrix, Inc. 355,149 11,624
* INAMED Corp. 177,680 11,167
* MGI Pharma, Inc. 412,790 11,149
* Accredo Health, Inc. 283,929 11,059
* Neurocrine Biosciences, Inc. 207,994 10,784
* Amylin Pharmaceuticals, Inc. 470,512 10,728
* Dade Behring Holdings Inc. 223,232 10,608
* ResMed Inc. 197,855 10,083
* Protein Design Labs, Inc. 525,356 10,050
* Pediatrix Medical Group, Inc. 143,745 10,041
* Techne Corp. 230,213 10,003
Valeant Pharmaceuticals
International 492,613 9,852
* Martek Biosciences Corp. 172,392 9,683
* Pharmaceutical Product
Development, Inc. 297,925 9,465
* STERIS Corp. 411,822 9,291
* VCA Antech, Inc. 204,263 9,155
Mentor Corp. 258,055 8,849
* Apria Healthcare Group Inc. 298,433 8,565
* First Health Group Corp. 536,368 8,373
* Onyx Pharmaceuticals, Inc. 192,958 8,174
* eResearch Technology, Inc. 287,397 8,047
* Human Genome Sciences, Inc. 684,387 7,959
* LifePoint Hospitals, Inc. 213,475 7,946
* Nektar Therapeutics 394,713 7,878
* The Medicines Co. 251,970 7,688
* VISX Inc. 287,181 7,673
Invacare Corp. 168,426 7,532
* Cerner Corp. 168,703 7,521
* Advanced Medical Optics, Inc. 173,079 7,368
* Tularik, Inc. 296,152 7,345
* PAR Pharmaceutical Cos. Inc. 206,786 7,281
* Alkermes, Inc. 527,373 7,172
* AMERIGROUP Corp. 145,567 7,162
Perrigo Co. 372,876 7,073
* Sybron Dental Specialties, Inc. 226,436 6,759
* Sierra Health Services, Inc. 143,940 6,434
* Eon Labs, Inc. 156,261 6,396
* Endo Pharmaceuticals
Holdings, Inc. 271,642 6,370
* Telik, Inc. 256,761 6,129
* Ligand Pharmaceuticals Inc.
Class B 346,961 6,030
Owens & Minor, Inc. Holding Co. 230,984 5,982
* NeighborCare Inc. 190,462 5,967
* US Oncology, Inc. 403,298 5,937
* Inveresk Research Group Inc. 190,835 $ 5,885
* Bio-Rad Laboratories, Inc.
Class A 98,262 5,784
Diagnostic Products Corp. 128,071 5,627
* United Surgical Partners
International, Inc. 140,980 5,564
* Abgenix, Inc. 466,889 5,472
* ILEX Oncology, Inc. 218,914 5,471
* Beverly Enterprises, Inc. 632,867 5,443
* Vertex Pharmaceuticals, Inc. 460,460 4,991
* Priority Healthcare Corp.
Class B 216,588 4,971
* Applera Corp.-
Celera Genomics Group 428,331 4,930
* Province Healthcare Co. 286,883 4,920
Alpharma, Inc. Class A 236,592 4,845
PolyMedica Corp. 154,414 4,793
* American Healthways Inc. 179,911 4,789
* Nabi Biopharmaceuticals 336,392 4,783
* American Medical
Systems Holdings, Inc. 137,227 4,625
* Centene Corp. 119,369 4,602
* NPS Pharmaceuticals Inc. 218,950 4,598
* CONMED Corp. 165,448 4,533
Select Medical Corp. 336,093 4,510
* Kindred Healthcare, Inc. 170,996 4,506
* AmSurg Corp. 177,183 4,453
* PSS World Medical, Inc. 396,984 4,446
* Atrix Laboratories, Inc. 128,041 4,389
* Ocular Sciences, Inc. 115,288 4,381
* K-V Pharmaceutical Co. Class A 181,782 4,197
* Connetics Corp. 207,291 4,187
* Salix Pharmaceuticals, Ltd. 126,604 4,172
* Sunrise Senior Living, Inc. 106,509 4,169
* AtheroGenics, Inc. 217,651 4,142
* Exelixis, Inc. 398,859 4,024
* Impax Laboratories, Inc. 204,737 3,968
* Biosite Inc. 86,860 3,902
* Cyberonics, Inc. 116,761 3,895
* Advanced Neuromodulation
Systems, Inc. 118,448 3,885
* Odyssey Healthcare, Inc. 205,596 3,869
* Ventana Medical Systems, Inc. 80,803 3,841
* Wright Medical Group, Inc. 107,445 3,825
* Vicuron Pharmaceuticals Inc. 302,197 3,796
* Viasys Healthcare Inc. 180,118 3,766
* Immucor Inc. 115,568 3,762
* American Pharmaceuticals
Partners, Inc. 123,583 3,754
* Haemonetics Corp. 124,542 3,693
West Pharmaceutical
Services, Inc. 86,831 3,673
25
Market
Value^
Small-Cap Index Fund Shares (000)
* IDX Systems Corp. 114,811 $ 3,661
* ArthroCare Corp. 125,153 3,639
* Possis Medical Inc. 106,158 3,625
* Dendreon Corp. 290,243 3,555
* Integra LifeSciences Holdings 100,331 3,539
* Intuitive Surgical, Inc. 185,953 3,533
* Eclipsys Corp. 231,362 3,531
* Wilson Greatbatch
Technologies, Inc. 125,313 3,502
Arrow International, Inc. 115,052 3,442
* Digene Corp. 91,380 3,338
* Enzon Pharmaceuticals, Inc. 257,445 3,285
* Sola International Inc. 187,780 3,235
* Medarex, Inc. 441,459 3,218
* Kos Pharmaceuticals, Inc. 97,470 3,214
* LabOne, Inc. 99,700 3,168
* CV Therapeutics, Inc. 184,784 3,097
* Molina Healthcare Inc. 80,354 3,068
* United Therapeutics Corp. 119,052 3,054
* PAREXEL International Corp. 153,346 3,036
* Noven Pharmaceuticals, Inc. 136,742 3,011
* Align Technology, Inc. 157,582 2,994
* First Horizon Pharmaceutical Corp. 158,243 2,991
* Inspire Pharmaceuticals, Inc. 177,746 2,972
* Tanox, Inc. 154,916 2,954
* Incyte Corp. 384,448 2,937
Datascope Corp. 73,798 2,929
* DJ Orthopedics Inc. 127,275 2,927
* Serologicals Corp. 144,999 2,899
Analogic Corp. 67,954 2,883
* CIMA Labs Inc. 85,422 2,881
* Thoratec Corp. 262,465 2,816
* Hologic, Inc. 118,567 2,757
* Genesis Healthcare Corp. 94,007 2,730
* Per-Se Technologies, Inc. 184,213 2,678
* Myriad Genetics, Inc. 179,417 2,677
* Kyphon Inc. 94,192 2,654
* Chattem, Inc. 91,780 2,650
* Encysive Pharmaceuticals, Inc. 310,125 2,636
* Cubist Pharmaceuticals, Inc. 236,261 2,622
* Discovery Laboratories, Inc. 271,297 2,602
* InterMune Inc. 168,020 2,591
* Cell Genesys, Inc. 244,609 2,541
* RehabCare Group, Inc. 94,842 2,526
* Transkaryotic Therapies, Inc. 164,879 2,467
* ICU Medical, Inc. 72,719 2,438
* EPIX Medical, Inc. 113,622 2,397
* Alexion Pharmaceuticals, Inc. 128,305 2,386
* Zymogenetics, Inc. 124,545 2,366
Landauer, Inc. 52,458 2,343
* Gentiva Health Services, Inc. 143,843 2,339
* Merit Medical Systems, Inc. 145,344 $ 2,315
* Orthodontic Centers
of America, Inc. 282,528 2,314
* OraSure Technologies, Inc. 235,694 2,293
* BioMarin Pharmaceutical Inc. 377,216 2,263
* XOMA Ltd. 494,233 2,214
* Adolor Corp. 171,200 2,171
* SurModics, Inc. 87,137 2,147
* Enzo Biochem, Inc. 140,761 2,111
Hooper Holmes, Inc. 362,636 2,082
* CTI Molecular Imaging, Inc. 146,368 2,075
* Kensey Nash Corp. 59,784 2,063
* SonoSite, Inc. 86,238 2,062
* Pharmion Corp. 42,075 2,058
* ARIAD Pharmaceuticals, Inc. 272,199 2,039
* Lexicon Genetics Inc. 259,632 2,036
* Geron Corp. 232,265 1,879
* Zoll Medical Corp. 53,529 1,878
* Regeneron Pharmaceuticals, Inc. 170,753 1,798
* Isis Pharmaceuticals, Inc. 295,135 1,694
* Inverness Medical
Innovations, Inc. 77,338 1,694
* Conceptus, Inc. 146,092 1,644
* Cell Therapeutics, Inc. 221,477 1,632
* Albany Molecular Research, Inc. 120,511 1,558
* Diversa Corp. 153,786 1,558
* CuraGen Corp. 250,981 1,508
* VistaCare, Inc. 80,793 1,499
* ImmunoGen, Inc. 237,843 1,453
* Hanger Orthopedic Group, Inc. 123,926 1,452
* Molecular Devices Corp. 80,491 1,431
* Maxygen Inc. 134,767 1,424
* Accelrys Inc. 139,183 1,372
* Trimeris, Inc. 94,851 1,369
* Antigenics, Inc. 155,904 1,335
* Corixa Corp. 275,452 1,286
National Healthcare Corp. 44,629 1,250
* Immunomedics Inc. 247,614 1,206
* Bruker BioSciences Corp. 237,522 1,157
* Closure Medical Corp. 45,841 1,151
* SciClone Pharmaceuticals, Inc. 224,030 1,145
* K-V Pharmaceutical Co. Class B 45,284 1,143
* CorVel Corp. 39,919 1,132
* NeoPharm, Inc. 108,178 1,117
* PRAECIS Pharmaceuticals Inc. 289,606 1,101
* CardioDynamics
International Corp. 217,599 1,099
Vital Signs, Inc. 37,741 1,096
* Savient Pharmaceuticals Inc. 355,843 882
* Columbia Laboratories Inc. 238,516 825
Young Innovations, Inc. 31,872 810
26
Market
Value^
Shares (000)
* Pozen Inc. 116,543 $ 797
Computer Programs and
Systems, Inc. 37,447 763
* Exact Sciences Corp. 120,942 744
* Genta Inc. 249,562 624
* Lannett Company, Inc. 35,411 532
* aaiPharma Inc. 88,664 481
* Specialty Laboratories, Inc. 45,845 411
* Alliance Imaging, Inc. 82,258 376
* MedQuist, Inc. 15,210 182
* Kinetic Concepts, Inc. 3,590 179
998,504
Integrated Oils
* KCS Energy, Inc. 274,221 3,653
Other Energy (5.5%)
Peabody Energy Corp. 361,711 20,252
Chesapeake Energy Corp. 1,352,727 19,912
* Reliant Energy, Inc. 1,741,351 18,859
* Newfield Exploration Co. 299,214 16,678
CONSOL Energy, Inc. 450,066 16,202
* Ultra Petroleum Corp. 428,594 15,999
Massey Energy Co. 446,894 12,607
* Grant Prideco, Inc. 682,275 12,595
* Varco International, Inc. 543,645 11,900
Patina Oil & Gas Corp. 390,846 11,675
Arch Coal, Inc. 302,614 11,073
* FMC Technologies Inc. 374,124 10,775
* Premcor, Inc. 283,086 10,616
* Calpine Corp. 2,436,802 10,527
* Tesoro Petroleum Corp. 380,663 10,506
* Evergreen Resources, Inc. 228,007 9,211
* Forest Oil Corp. 309,165 8,446
Cabot Oil & Gas Corp. 191,755 8,111
* Plains Exploration &
Production Co. 425,675 7,811
Helmerich & Payne, Inc. 296,390 7,751
* Cimarex Energy Co. 245,540 7,423
* Key Energy Services, Inc. 771,043 7,279
* Unit Corp. 229,382 7,214
* Dynegy, Inc. 1,649,535 7,027
* Houston Exploration Co. 128,282 6,650
* Cal Dive International, Inc. 212,829 6,453
* Stone Energy Corp. 140,274 6,408
* Spinnaker Exploration Co. 158,842 6,255
* Denbury Resources, Inc. 289,485 6,065
St. Mary Land & Exploration Co. 167,454 5,970
Range Resources Corp. 398,416 5,817
Vintage Petroleum, Inc. 321,492 5,456
* Quicksilver Resources, Inc. 80,644 5,409
* Magnum Hunter Resources Inc. 499,309 5,183
* Oceaneering International, Inc. 145,870 $ 4,996
* Veritas DGC Inc. 201,283 4,660
* Hanover Compressor Co. 387,756 4,614
* Encore Acquisition Co. 163,156 4,552
* Seacor Holdings Inc. 98,526 4,328
* Grey Wolf, Inc. 1,011,774 4,290
Texas Genco Holdings, Inc. 94,253 4,250
Penn Virginia Corp. 107,528 3,883
CARBO Ceramics Inc. 56,044 3,825
* Core Laboratories NV 163,595 3,763
* Universal Compression
Holdings, Inc. 116,632 3,578
* Comstock Resources, Inc. 183,692 3,575
* Swift Energy Co. 162,028 3,574
* TETRA Technologies, Inc. 130,557 3,505
* Input/Output, Inc. 408,121 3,383
Frontier Oil Corp. 155,707 3,299
* Superior Energy Services, Inc. 326,436 3,281
* W-H Energy Services, Inc. 161,777 3,171
* Harvest Natural Resources, Inc. 208,930 3,115
Berry Petroleum Class A 104,516 3,074
* Remington Oil & Gas Corp. 127,679 3,013
* Hydrill Co. 94,807 2,986
* Newpark Resources, Inc. 479,681 2,974
* FuelCell Energy, Inc. 252,875 2,954
* Global Industries Ltd. 487,146 2,786
* Atwood Oceanics, Inc. 65,307 2,727
* Oil States International, Inc. 159,586 2,442
* Energy Partners, Ltd. 153,051 2,342
* Prima Energy Corp. 57,188 2,263
* Enbridge Energy
Management LLC 51,290 2,185
* Parker Drilling Co. 558,192 2,132
* Plug Power, Inc. 278,948 2,087
Holly Corp. 54,891 2,053
* Plains Resources Inc. 112,307 1,904
* KFX, Inc. 207,223 1,579
* Global Power Equipment
Group Inc. 176,438 1,415
Gulf Island Fabrication, Inc. 49,554 1,072
* TransMontaigne Inc. 158,533 853
* Dril-Quip, Inc. 41,015 767
457,365
Materials & Processing (8.1%)
Precision Castparts Corp. 381,216 20,849
Boise Cascade Corp. 488,858 18,401
Louisiana-Pacific Corp. 608,371 14,388
Cabot Corp. 344,928 14,039
Martin Marietta Materials, Inc. 283,689 12,576
Harsco Corp. 241,834 11,366
Lubrizol Corp. 304,062 11,135
27
Market
Value^
Small-Cap Index Fund Shares (000)
The Timken Co. 395,625 $ 10,480
RPM International, Inc. 682,878 10,380
Cytec Industries, Inc. 219,486 9,976
York International Corp. 241,589 9,922
Hughes Supply, Inc. 165,936 9,779
* Crown Holdings, Inc. 972,149 9,692
Forest City Enterprise Class A 181,496 9,619
Corn Products International, Inc. 203,254 9,461
Airgas, Inc. 388,222 9,282
AptarGroup Inc. 204,393 8,930
IMC Global Inc. 648,452 8,689
* FMC Corp. 199,218 8,588
* Scotts Co. 133,932 8,556
Worthington Industries, Inc. 408,424 8,385
Florida Rock Industries, Inc. 190,851 8,048
* Dycom Industries, Inc. 286,529 8,023
Olin Corp. 408,251 7,193
Mueller Industries Inc. 196,041 7,018
Minerals Technologies, Inc. 120,608 6,995
Allegheny Technologies Inc. 381,798 6,891
Great Lakes Chemical Corp. 253,981 6,873
Clarcor Inc. 149,577 6,851
* Hercules, Inc. 559,909 6,825
* Rogers Corp. 97,445 6,811
Potlatch Corp. 162,237 6,756
Acuity Brands, Inc. 247,629 6,686
* Millennium Chemicals, Inc. 381,336 6,605
Ferro Corp. 246,235 6,570
Reliance Steel & Aluminum Co. 162,256 6,542
* Maverick Tube Corp. 247,072 6,488
Georgia Gulf Corp. 173,794 6,232
* Armor Holdings, Inc. 183,020 6,223
Albemarle Corp. 195,922 6,201
LNR Property Corp. 111,012 6,022
* Steel Dynamics, Inc. 202,838 5,807
* URS Corp. 211,689 5,800
* GrafTech International Ltd. 551,157 5,765
Simpson Manufacturing Co. 99,889 5,606
Lennox International Inc. 306,780 5,553
* OM Group, Inc. 167,548 5,531
Brady Corp. Class A 115,779 5,337
* Washington Group
International, Inc. 147,878 5,307
Albany International Corp. 153,509 5,152
* Coeur d'Alene Mines Corp. 1,259,847 5,140
Kaydon Corp. 165,841 5,129
Texas Industries, Inc. 124,270 5,116
H.B. Fuller Co. 168,628 4,789
Spartech Corp. 183,759 4,767
Quanex Corp. 97,173 4,732
Wausau-Mosinee Paper Corp. 273,323 4,728
Delta & Pine Land Co. 212,640 $ 4,667
Commercial Metals Co. 142,655 4,629
* Graphic Packaging Corp. 528,330 4,570
MacDermid, Inc. 133,841 4,531
* Cabot Microelectronics Corp. 146,001 4,469
USEC Inc. 484,617 4,250
Crompton Corp. 672,684 4,238
Schnitzer Steel Industries, Inc.
Class A 122,042 4,145
* Symyx Technologies, Inc. 169,565 4,090
Carpenter Technology Corp. 118,653 4,040
* Apex Silver Mines Ltd. 236,950 4,040
* Longview Fibre Co. 269,998 3,977
* Hecla Mining Co. 685,933 3,910
Eagle Materials, Inc. 54,664 3,882
* EMCOR Group, Inc. 88,240 3,881
* PolyOne Corp. 512,119 3,810
A. Schulman Inc. 176,775 3,799
Eagle Materials, Inc. B Shares 54,629 3,783
* Shaw Group, Inc. 371,364 3,762
* WCI Communities, Inc. 167,847 3,745
* NCI Building Systems, Inc. 114,373 3,723
Cambrex Corp. 145,609 3,674
Arch Chemicals, Inc. 125,434 3,615
* Stillwater Mining Co. 238,508 3,580
Granite Construction Co. 195,169 3,558
* Jacuzzi Brands, Inc. 440,836 3,553
* Cleveland-Cliffs Inc. 62,139 3,504
* Century Aluminum Co. 140,356 3,479
Watsco, Inc. 120,108 3,371
* USG Corp. 189,683 3,335
* Griffon Corp. 147,674 3,290
* AK Steel Corp. 605,491 3,191
* Ceradyne, Inc. 87,992 3,147
Universal Forest Products, Inc. 94,784 3,057
* Lone Star Technologies, Inc. 109,806 3,026
Chesapeake Corp. of Virginia 112,241 2,995
Gibraltar Steel 90,537 2,971
WD-40 Co. 94,831 2,839
Silgan Holdings, Inc. 70,049 2,824
Rock-Tenn Co. 165,790 2,810
* Trammell Crow Co. 195,841 2,761
Barnes Group, Inc. 94,849 2,749
Greif Inc. Class A 63,286 2,674
* Quanta Services, Inc. 406,742 2,530
* Insituform Technologies Inc.
Class A 155,079 2,523
ElkCorp 103,759 2,484
* Caraustar Industries, Inc. 168,695 2,380
Brookfield Homes Corp. 90,625 2,373
Glatfelter 166,692 2,347
28
Market
Value^
Shares (000)
Deltic Timber Corp. 60,008 $ 2,304
AMCOL International Corp. 121,550 2,303
* Mobile Mini, Inc. 80,914 2,299
* Interface, Inc. 260,339 2,273
Valmont Industries, Inc. 97,948 2,243
Tredegar Corp. 134,499 2,169
* Buckeye Technology, Inc. 184,244 2,119
* RTI International Metals, Inc. 125,024 1,994
Myers Industries, Inc. 133,052 1,876
Ennis Business Forms, Inc. 96,137 1,875
* Trex Co., Inc. 47,300 1,786
CIRCOR International, Inc. 85,863 1,751
* Encore Wire Corp. 62,754 1,730
Pope & Talbot, Inc. 87,412 1,728
* Avatar Holding, Inc. 41,223 1,715
Ameron International Corp. 45,940 1,568
Wellman, Inc. 189,801 1,543
Penn Engineering &
Manufacturing Corp. 70,964 1,521
Building Materials Holding Corp. 79,623 1,507
Apogee Enterprises, Inc. 144,744 1,505
* Tejon Ranch Co. 43,076 1,499
Quaker Chemical Corp. 53,741 1,484
Royal Gold, Inc. 103,173 1,462
Calgon Carbon Corp. 208,134 1,394
* Energy Conversion Devices, Inc. 122,972 1,385
LSI Industries Inc. 109,199 1,256
* AAON, Inc. 54,942 1,109
The Standard Register Co. 77,455 922
Stepan Co. 34,181 894
Alico, Inc. 21,183 850
NL Industries, Inc. 57,175 829
676,079
Producer Durables (8.6%)
* American Tower Corp. Class A 1,247,178 18,957
Pentair, Inc. 558,578 18,791
* Crown Castle International Corp. 1,174,412 17,323
* Andrew Corp. 842,069 16,850
* Toll Brothers, Inc. 329,014 13,924
Donaldson Co., Inc. 460,363 13,489
Cummins Inc. 215,208 13,451
* Polycom, Inc. 587,299 13,161
HNI Corp. 309,292 13,092
Herman Miller, Inc. 428,884 12,412
Roper Industries Inc. 216,718 12,331
* Mettler-Toledo International Inc. 249,339 12,253
Ametek, Inc. 393,789 12,168
Graco, Inc. 386,869 12,012
Briggs & Stratton Corp. 131,894 11,653
* Plantronics, Inc. 270,659 11,395
Ryland Group, Inc. 140,668 11,000
* United Defense Industries Inc. 308,867 $ 10,810
* AGCO Corp. 519,584 10,584
Kennametal, Inc. 213,652 9,785
Thomas & Betts Corp. 346,119 9,425
Standard Pacific Corp. 190,307 9,382
* Terex Corp. 274,790 9,379
MDC Holdings, Inc. 143,905 9,154
Cognex Corp. 236,761 9,111
IDEX Corp. 263,954 9,067
Joy Global Inc. 299,462 8,966
Engineered Support
Systems, Inc. 152,737 8,937
Crane Co. 279,799 8,783
* Varian Semiconductor
Equipment Associates, Inc. 212,861 8,208
* Flowserve Corp. 326,389 8,140
* Cymer, Inc. 216,028 8,088
Beazer Homes USA, Inc. 80,482 8,073
Nordson Corp. 176,669 7,662
* Axcelis Technologies, Inc. 588,133 7,316
* Hovnanian Enterprises Inc.
Class A 190,678 6,618
* Dionex Corp. 119,318 6,583
Lincoln Electric Holdings, Inc. 191,074 6,514
* Credence Systems Corp. 453,632 6,260
* Interdigital
Communications Corp. 325,672 6,126
* Rayovac Corp. 200,582 5,636
* Littelfuse, Inc. 130,449 5,532
* Actuant Corp. 139,053 5,422
* CUNO Inc. 99,596 5,313
* Brooks Automation, Inc. 262,828 5,296
Federal Signal Corp. 282,379 5,255
Mine Safety Appliances Co. 152,510 5,140
* Headwaters Inc. 196,387 5,092
The Manitowoc Co., Inc. 149,178 5,050
Curtiss-Wright Corp. 89,825 5,047
* ATMI, Inc. 182,313 4,979
* Technitrol, Inc. 224,943 4,926
* Moog Inc. 127,732 4,740
* Electro Scientific Industries, Inc. 164,749 4,664
* MKS Instruments, Inc. 204,156 4,659
* Genlyte Group, Inc. 72,231 4,542
* Powerwave Technologies, Inc. 583,797 4,495
Woodward Governor Co. 59,636 4,300
* Taser International Inc. 97,515 4,225
* Mykrolis Corp. 240,675 4,193
* Paxar Corp. 211,204 4,123
* Power-One, Inc. 368,647 4,048
* Veeco Instruments, Inc. 156,617 4,042
* ESCO Technologies Inc. 75,597 4,034
29
Market
Value^
Small-Cap Index Fund Shares (000)
* Meritage Corp. 58,385 $ 4,017
Watts Water Technologies, Inc. 146,280 3,942
* Orbital Sciences Corp. 281,674 3,890
Baldor Electric Co. 164,346 3,837
* LTX Corp. 349,678 3,780
* Champion Enterprises, Inc. 408,993 3,755
* Esterline Technologies Corp. 125,225 3,698
JLG Industries, Inc. 255,700 3,552
Tecumseh Products Co. Class A 85,177 3,508
A.O. Smith Corp. 110,353 3,508
* Imagistics International Inc. 98,898 3,501
* FEI Co. 146,363 3,500
* Photronics Inc. 181,481 3,437
* Photon Dynamics, Inc. 96,989 3,401
Steelcase Inc. 235,723 3,300
Regal-Beloit Corp. 147,475 3,283
Helix Technology Corp. 153,374 3,271
* Kulicke & Soffa Industries, Inc. 297,627 3,262
Belden, Inc. 151,641 3,250
* Teledyne Technologies, Inc. 162,189 3,247
* Entegris Inc. 278,287 3,220
Franklin Electric, Inc. 83,913 3,169
* Gardner Denver Inc. 113,062 3,154
Thomas Industries, Inc. 91,615 3,042
* Ionics, Inc. 106,202 3,000
* Triumph Group, Inc. 93,374 2,981
Applied Industrial Technology, Inc. 96,925 2,919
* Asyst Technologies, Inc. 276,697 2,861
Stewart & Stevenson
Services, Inc. 159,527 2,859
* Mattson Technology, Inc. 235,003 2,825
* Itron, Inc. 121,645 2,791
MTS Systems Corp. 118,990 2,790
NACCO Industries, Inc. Class A 29,032 2,758
* Arris Group Inc. 462,668 2,748
C & D Technologies, Inc. 150,285 2,680
* Cable Design Technologies Corp. 248,394 2,633
* Levitt Corp. Class A 98,182 2,529
* Applied Films Corp. 86,747 2,517
M/I Homes, Inc. 61,695 2,505
CTS Corp. 200,857 2,422
* William Lyon Homes, Inc. 25,831 2,380
Cohu, Inc. 119,232 2,270
* Vicor Corp. 123,370 2,254
* Ultratech, Inc. 133,006 2,165
* Presstek, Inc. 190,369 2,001
Kimball International, Inc. Class B 135,597 2,000
* Advanced Energy Industries, Inc. 124,202 1,952
Tennant Co. 44,968 1,864
* Audiovox Corp. 109,671 1,851
* Kadant Inc. 79,845 1,847
Keithley Instruments Inc. 81,010 $ 1,794
* DuPont Photomasks, Inc. 86,610 1,761
* Astec Industries, Inc. 92,644 1,744
Skyline Corp. 41,759 1,698
Standex International Corp. 60,702 1,651
Lindsay Manufacturing Co. 65,721 1,579
* MTC Technologies, Inc. 59,878 1,546
Robbins & Myers, Inc. 67,615 1,518
Technical Olympic USA, Inc. 65,525 1,460
United Industrial Corp. 58,497 1,366
* Rudolph Technologies, Inc. 73,942 1,345
HEICO Corp. 72,647 1,326
* Metrologic Instruments, Inc. 62,746 1,251
Gorman-Rupp Co. 44,940 1,221
* Semitool, Inc. 99,935 1,131
* Palm Harbor Homes, Inc. 59,978 1,063
* Tollgrade Communications, Inc. 80,076 850
* Mastec Inc. 156,341 849
* Terayon Communications
Systems, Inc. 349,780 818
* Powell Industries, Inc. 38,135 651
* General Binding Corp. 35,436 549
Curtiss-Wright Corp. Class B 9,720 523
HEICO Corp. Class A 17,947 250
Tecumseh Products Co. Class B 5,245 223
718,079
Technology (12.7%)
* Cognizant Technology
Solutions Corp. 761,364 19,346
* Arrow Electronics, Inc. 663,366 17,791
* Avnet, Inc. 708,731 16,088
* International Rectifier Corp. 388,005 16,071
* Atmel Corp. 2,520,836 14,923
PerkinElmer, Inc. 714,506 14,319
* SpectraSite, Inc. 284,546 12,298
Acxiom Corp. 479,744 11,912
* Integrated Circuit Systems, Inc. 425,824 11,565
* Akamai Technologies, Inc. 613,749 11,017
* FLIR Systems, Inc. 195,394 10,727
* Western Digital Corp. 1,219,324 10,559
* Advanced Fibre
Communications, Inc. 518,873 10,481
* Sybase, Inc. 573,266 10,319
* Cypress Semiconductor Corp. 724,736 10,284
* Avocent Corp. 276,917 10,174
* Cree, Inc. 434,269 10,110
* Avid Technology, Inc. 183,933 10,037
* Hyperion Solutions Corp. 224,869 9,831
* Applied Micro Circuits Corp. 1,828,751 9,729
* Macromedia, Inc. 396,228 9,727
* Semtech Corp. 412,993 9,722
30
Market
Value^
Shares (000)
* Maxtor Corp. 1,458,674 $ 9,671
* Rambus Inc. 534,097 9,491
* TIBCO Software Inc. 1,102,614 9,317
* Brocade Communications
Systems, Inc. 1,530,595 9,153
Reynolds & Reynolds Class A 390,065 9,022
* Electronics for Imaging, Inc. 319,106 9,018
Imation Corp. 208,491 8,884
* Varian, Inc. 205,267 8,652
ADTRAN Inc. 257,743 8,601
* Integrated Device Technology Inc. 620,319 8,585
* Trimble Navigation Ltd. 297,430 8,266
* RF Micro Devices, Inc. 1,094,616 8,210
* BearingPoint, Inc. 918,851 8,150
* PalmOne, Inc. 230,981 8,031
* Parametric Technology Corp. 1,582,639 7,913
* Silicon Laboratories Inc. 167,079 7,744
* Skyworks Solutions, Inc. 880,695 7,688
* RSA Security Inc. 361,499 7,400
* FileNET Corp. 227,751 7,190
* Benchmark Electronics, Inc. 242,669 7,062
* CACI International, Inc. 172,102 6,960
* CommScope, Inc. 324,423 6,959
* Emulex Corp. 483,527 6,919
* CSG Systems International, Inc. 317,663 6,576
* Sonus Networks, Inc. 1,371,281 6,555
* Macrovision Corp. 260,845 6,529
* Mentor Graphics Corp. 412,871 6,387
* The Titan Corp. 488,740 6,344
* Aeroflex, Inc. 436,061 6,249
* Perot Systems Corp. 468,397 6,216
* Vitesse Semiconductor Corp. 1,268,377 6,190
* Gateway, Inc. 1,322,010 5,949
* KEMET Corp. 482,840 5,900
Anixter International Inc. 170,627 5,806
* UNOVA, Inc. 286,122 5,794
* Ascential Software Corp. 354,833 5,674
* Tekelec 310,943 5,650
* Digital River, Inc. 168,565 5,500
* Anteon International Corp. 166,695 5,438
* Adaptec, Inc. 642,066 5,432
* Coherent, Inc. 177,316 5,293
* Silicon Storage Technology, Inc. 509,650 5,249
* MICROS Systems, Inc. 108,614 5,210
* F5 Networks, Inc. 190,548 5,046
* Amkor Technology, Inc. 616,291 5,041
* Websense, Inc. 135,130 5,031
Black Box Corp. 105,979 5,009
* Wind River Systems Inc. 425,613 5,005
* OmniVision Technologies, Inc. 312,240 4,980
* Intergraph Corp. 192,416 4,976
* Micrel, Inc. 408,576 $ 4,964
* Silicon Image, Inc. 374,170 4,913
* DRS Technologies, Inc. 151,546 4,834
* Transaction Systems
Architects, Inc. 224,466 4,833
* MEMC Electronic Materials, Inc. 487,417 4,816
* Openwave Systems Inc. 376,110 4,777
* SigmaTel Inc. 164,111 4,769
* Sycamore Networks, Inc. 1,125,010 4,759
* Microsemi Corp. 330,978 4,703
* Aspect Communications Corp. 330,320 4,691
* Manhattan Associates, Inc. 151,871 4,690
* Lattice Semiconductor Corp. 663,739 4,653
* DSP Group Inc. 169,850 4,627
* Zoran Corp. 250,637 4,599
* InVision Technologies, Inc. 91,515 4,567
* Progress Software Corp. 209,691 4,544
* Power Integrations, Inc. 180,450 4,493
* NetIQ Corp. 337,727 4,458
* RealNetworks, Inc. 644,685 4,410
* ScanSource, Inc. 73,655 4,377
* Dendrite International, Inc. 229,715 4,268
* ANSYS, Inc. 90,642 4,260
* Ditech Communications Corp. 182,304 4,255
* TriQuint Semiconductor, Inc. 757,565 4,136
* Keane, Inc. 300,564 4,115
* ON Semiconductor Corp. 818,775 4,110
* Internet Security Systems, Inc. 266,110 4,082
* Borland Software Corp. 477,586 4,055
* Gartner, Inc. Class A 295,929 3,912
* Identix, Inc. 506,963 3,787
* Epicor Software Corp. 269,108 3,781
* SafeNet, Inc. 136,572 3,780
* Hutchinson Technology, Inc. 152,949 3,761
* Newport Corp. 230,436 3,726
* Checkpoint Systems, Inc. 205,481 3,684
* SRA International, Inc. 86,665 3,668
* Extreme Networks, Inc. 663,702 3,664
* Informatica Corp. 476,237 3,634
* WebEx Communications, Inc. 165,450 3,600
* Harmonic, Inc. 421,836 3,594
* Exar Corp. 240,075 3,520
* Advanced Digital
Information Corp. 358,028 3,473
* Plexus Corp. 252,483 3,409
* Intermagnetics General Corp. 98,187 3,341
* Pixelworks, Inc. 217,160 3,327
* Quantum Corp. 1,065,510 3,303
* Digitas Inc. 298,410 3,291
* ViaSat, Inc. 131,681 3,285
* Artisan Components, Inc. 126,730 3,270
31
Market
Value^
Small-Cap Index Fund Shares (000)
* McDATA Corp. Class A 606,216 $ 3,261
* Corvis Corp. 2,273,798 3,206
* Quest Software, Inc. 248,454 3,205
* SERENA Software, Inc. 166,615 3,181
* Tessera Technologies, Inc. 173,364 3,124
* MicroStrategy Inc. 73,024 3,118
* Micromuse Inc. 462,238 3,092
* FormFactor Inc. 137,164 3,079
* j2 Global Communications, Inc. 108,714 3,022
* Ariba, Inc. 1,523,368 3,016
* Verity, Inc. 222,296 3,003
* Silicon Graphics, Inc. 1,357,164 2,986
* Cirrus Logic 495,655 2,979
* Altiris, Inc. 107,840 2,977
* Mercury Computer
Systems, Inc. 118,308 2,934
* SonicWALL, Inc. 333,789 2,871
* Mindspeed Technologies, Inc. 577,820 2,866
* Pinnacle Systems, Inc. 399,312 2,855
* Cray Inc. 427,452 2,830
* Sapient Corp. 470,429 2,827
Inter-Tel, Inc. 112,841 2,818
* Actel Corp. 151,389 2,801
Park Electrochemical Corp. 110,386 2,787
* Lexar Media, Inc. 414,920 2,772
* Dot Hill Systems Corp. 242,415 2,717
Methode Electronics, Inc. Class A 208,884 2,709
* Ciber, Inc. 325,326 2,674
* Magma Design Automation, Inc. 138,565 2,665
* Packeteer, Inc. 163,939 2,648
* Synaptics Inc. 137,915 2,641
* Genesis Microchip Inc. 188,553 2,596
* ScanSoft, Inc. 523,629 2,592
* Agile Software Corp. 291,754 2,553
* Vignette Corp. 1,513,536 2,512
* webMethods, Inc. 293,148 2,512
* Integrated Silicon Solution, Inc. 205,198 2,505
* Enterasys Networks, Inc. 1,174,241 2,478
* SeaChange International, Inc. 145,165 2,450
* Secure Computing Corp. 208,899 2,434
* Verint Systems Inc. 70,731 2,420
* Excel Technology, Inc. 70,298 2,337
Bel Fuse, Inc. Class B 55,873 2,330
* TTM Technologies, Inc. 192,690 2,283
* Opsware, Inc. 287,439 2,277
Agilysys, Inc. 162,024 2,234
* II-VI, Inc. 72,314 2,217
* Standard Microsystem Corp. 94,870 2,212
* Interwoven Inc. 214,095 2,162
* InterVoice, Inc. 187,035 2,145
* JDA Software Group, Inc. 161,764 2,130
EDO Corp. 87,610 $ 2,113
* Kopin Corp. 411,060 2,101
* Remec, Inc. 330,732 2,090
* Finisar Corp. 1,043,790 2,067
* Daktronics, Inc. 82,591 2,061
* AMIS Holdings Inc. 120,780 2,044
* Lawson Software Inc. 287,765 2,037
* E.piphany Inc. 417,497 2,017
* Retek Inc. 325,077 1,996
* Anaren, Inc. 122,111 1,995
* ChipPAC, Inc. 316,929 1,987
* InFocus Corp. 232,200 1,974
* ESS Technology, Inc. 184,222 1,973
Cubic Corp. 93,979 1,967
BEI Technologies, Inc. 69,424 1,965
* MatrixOne, Inc. 283,394 1,958
* Group 1 Software, Inc. 85,212 1,956
* Lionbridge Technologies, Inc. 245,245 1,876
* ManTech International Corp. 99,885 1,875
* Echelon Corp. 166,295 1,861
Talx Corp. 75,977 1,856
* OSI Systems Inc. 90,064 1,795
* Transmeta Corp. 812,691 1,780
* Siliconix, Inc. 35,408 1,757
* Inet Technologies, Inc. 139,224 1,736
* Tyler Technologies, Inc. 182,631 1,728
* Avanex Corp. 436,632 1,698
* Komag, Inc. 121,405 1,696
* MRO Software Inc. 124,189 1,690
* SPSS, Inc. 91,667 1,647
* Blue Coat Systems, Inc. 49,154 1,646
* Concur Technologies, Inc. 152,648 1,633
Iomega Corp. 289,773 1,617
* Safeguard Scientifics, Inc. 702,707 1,616
* ActivCard Corp. 221,866 1,611
* Westell Technologies, Inc. 313,521 1,599
* Netegrity, Inc. 188,304 1,593
* Ixia 160,277 1,577
* Pericom Semiconductor Corp. 140,631 1,506
* Universal Display Corp. 137,239 1,474
* At Road, Inc. 192,424 1,472
* Herley Industries Inc. 74,612 1,458
* MSC Software Corp. 162,017 1,450
* Stratex Networks, Inc. 489,564 1,444
* Entrust, Inc. 315,364 1,419
* SupportSoft, Inc. 161,897 1,405
* Keynote Systems Inc. 101,187 1,391
* Verso Technologies, Inc. 775,118 1,356
* PalmSource, Inc. 76,877 1,318
* The TriZetto Group, Inc. 192,024 1,287
* Digimarc Corp. 96,244 1,285
32
Market
Value^
Shares (000)
* EPIQ Systems, Inc. 88,485 $ 1,283
* WatchGuard Technologies, Inc. 176,751 1,276
* Concord Communications, Inc. 107,721 1,229
* Net2Phone, Inc. 258,887 1,173
* Planar Systems, Inc. 87,166 1,167
* Manugistics Group, Inc. 353,223 1,155
* FalconStor Software, Inc. 137,075 1,058
* SeeBeyond Technology Corp. 275,408 1,038
* Tier Technologies, Inc. 105,468 1,027
* Computer Network
Technology Corp. 162,593 974
* Monolithic System
Technology, Inc. 125,793 947
* Bioveris Corp. 111,115 925
* IXYS Corp. 116,448 918
* Oplink Communications, Inc. 469,953 902
Integral Systems, Inc. 55,633 895
* Embarcadero Technologies, Inc. 71,457 883
* Drexler Technology Corp. 63,219 843
* OpenTV Corp. 390,306 812
Syntel, Inc. 46,998 778
* Neoware Systems, Inc. 93,105 770
* PDF Solutions, Inc. 89,413 757
* White Electronic Designs Corp. 141,909 744
* Ulticom, Inc. 62,623 733
* Virage Logic Corp. 80,340 731
* QAD Inc. 68,530 727
* Concurrent Computer Corp. 366,599 726
* CompuCom Systems, Inc. 149,454 679
* PEC Solutions, Inc. 55,791 666
* SYNNEX Corp. 39,258 616
* iGATE Corp. 137,837 549
* Pegasystems Inc. 62,182 544
* NASSDA Corp. 61,643 255
* McDATA Corp. 29,601 151
Bel Fuse, Inc. Class A 240 9
* MicroStrategy Inc.
Warrants Exp. 6/24/2007 11,775 1
* ProcureNet, Inc. 136,100 --
1,061,950
Utilities (5.2%)
Alliant Energy Corp. 656,594 17,124
* Western Wireless Corp. Class A 475,818 13,756
OGE Energy Corp. 515,094 13,119
Great Plains Energy, Inc. 438,312 13,018
Hawaiian Electric Industries Inc. 471,984 12,319
ONEOK, Inc. 542,478 11,929
* Allegheny Energy, Inc. 748,904 11,541
National Fuel Gas Co. 457,636 11,441
Vectren Corp. 447,474 11,227
Aqua America, Inc. 545,965 10,947
* NII Holdings Inc. 319,530 $ 10,765
AGL Resources Inc. 362,362 10,527
Westar Energy, Inc. 493,252 9,821
Piedmont Natural Gas, Inc. 224,619 9,591
UGI Corp. Holding Co. 296,450 9,516
* Nextel Partners, Inc. 594,835 9,470
WPS Resources Corp. 202,558 9,389
Peoples Energy Corp. 219,871 9,268
Energen Corp. 192,970 9,261
Western Gas Resources, Inc. 282,524 9,176
NICOR Inc. 259,293 8,808
* CMS Energy Corp. 951,262 8,685
Duquesne Light Holdings, Inc. 446,306 8,618
WGL Holdings Inc. 286,985 8,242
Atmos Energy Corp. 306,298 7,838
* Kinder Morgan
Management, LLC 205,793 7,567
PNM Resources Inc. 355,920 7,392
* Southern Union Co. 323,047 6,810
New Jersey Resources Corp. 162,076 6,739
* Cincinnati Bell Inc. 1,440,110 6,394
* Southwestern Energy Co. 212,554 6,094
IDACORP, Inc. 224,751 6,068
Black Hills Corp. 180,701 5,692
* Commonwealth Telephone
Enterprises, Inc. 125,238 5,607
* Sierra Pacific Resources 689,623 5,317
UniSource Energy Corp. 200,310 4,978
Cleco Corp. 276,834 4,977
Avista Corp. 269,757 4,969
Southwest Gas Corp. 203,227 4,904
Northwest Natural Gas Co. 160,063 4,882
* El Paso Electric Co. 281,590 4,348
* IDT Corp. Class B 234,260 4,320
CH Energy Group, Inc. 92,910 4,315
* Aquila, Inc. 1,149,036 4,091
UIL Holdings Corp. 81,383 3,963
Otter Tail Corp. 144,092 3,870
* Price Communications Corp. 250,263 3,694
MGE Energy, Inc. 108,263 3,533
South Jersey Industries, Inc. 79,546 3,500
The Laclede Group, Inc. 115,837 3,175
* PTEK Holdings, Inc. 272,734 3,145
Empire District Electric Co. 148,954 2,995
* Mediacom Communications
Corp. 369,511 2,890
California Water Service Group 101,522 2,797
* Arch Wireless, Inc. 97,183 2,769
Surewest Communications 77,159 2,438
* Dobson Communications Corp. 669,659 2,183
* IDT Corp. 120,120 2,166
33
Market
Value^
Small-Cap Index Fund Shares (000)
American States Water Co. 89,552 $ 2,081
* Primus Telecommunications
Group, Inc. 390,356 1,983
* General Communication, Inc. 235,863 1,873
CT Communications, Inc. 100,595 1,514
North Pittsburgh Systems, Inc. 74,513 1,494
Cascade Natural Gas Corp. 65,542 1,447
Central Vermont Public
Service Corp. 70,392 1,442
NUI Corp. 93,722 1,368
* Intrado Inc. 79,535 1,280
SJW Corp. 37,313 1,269
Connecticut Water Services, Inc. 46,217 1,186
* Talk America Holdings, Inc. 148,002 1,135
* Time Warner Telecom Inc. 265,296 1,112
Shenandoah
Telecommunications Co. 40,638 1,097
* Centennial Communications Corp.
Class A 153,146 1,095
* Boston Communications
Group, Inc. 101,496 1,040
* Triton PCS, Inc. 214,702 936
* McLeod USA Inc. 561,478 270
437,600
Other (0.6%)
Carlisle Co., Inc. 182,799 11,379
Teleflex Inc. 212,079 10,636
Trinity Industries, Inc. 221,525 7,042
Lancaster Colony Corp. 168,691 7,024
* McDermott International, Inc. 349,328 3,549
GenCorp, Inc. 207,688 2,781
Walter Industries, Inc. 163,761 2,230
Kaman Corp. Class A 130,532 1,826
* Sequa Corp. Class A 27,526 1,609
48,076
TOTAL COMMON STOCKS
(Cost $6,251,943) 8,346,854
Face Market
Amount Value^
(000) (000)
TEMPORARY CASH INVESTMENTS (5.1%)(1)
Federal National Mortgage Assn.
(2) 1.03%, 7/7/2004 $ 1,000 $ 1,000
(2) 1.04%, 7/28/2004 2,000 1,998
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.46%, 7/1/2004--Note E 423,750 423,750
1.47%, 7/1/2004 182 182
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $426,930) 426,930
TOTAL INVESTMENTS (105.0%)
(Cost $6,678,873) 8,773,784
OTHER ASSETS AND LIABILITIES (-5.0%)
Other Assets--Note B 59,425
Security Lending Collateral
Payable to Brokers--Note E (423,750)
Other Liabilities (53,717)
(418,042)
NET ASSETS (100%) $8,355,742
^See Note A in Notes to Financial Statements.
*Non-income-producing security.
(1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 5.0%, respectively, of net assets. See Note C in Notes to Financial Statements.
(2)Securities with an aggregate value of $2,998,000 have been segregated as initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
34
Amount
(000)
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
Paid-in Capital $7,060,255
Undistributed Net Investment Income 30,819
Accumulated Net Realized Losses (830,257)
Unrealized Appreciation
Investment Securities 2,094,911
Futures Contracts 14
NET ASSETS $8,355,742
Investor Shares--Net Assets
Applicable to 231,807,057 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $5,640,100
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $24.33
Admiral Shares--Net Assets
Applicable to 47,932,707 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,166,933
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $24.35
Institutional Shares--Net Assets
Applicable to 60,421,189 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,472,056
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $24.36
VIPER Shares--Net Assets
Applicable to 1,506,080 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $76,653
NET ASSET VALUE PER SHARE--
VIPER SHARES $50.90
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
35
Market
Small-Cap Growth Value^
Index Fund Shares (000)
COMMON STOCKS (99.9%)
Auto & Transportation (4.1%)
* Navistar International Corp. 121,802 $ 4,721
J.B. Hunt Transport
Services, Inc. 109,362 4,219
Polaris Industries, Inc. 84,043 4,034
Oshkosh Truck Corp. 66,788 3,828
* Landstar System, Inc. 59,032 3,121
Thor Industries, Inc. 72,718 2,433
* AirTran Holdings, Inc. 147,929 2,092
Winnebago Industries, Inc. 52,823 1,969
* EGL, Inc. 73,287 1,949
* Swift Transportation Co., Inc. 105,808 1,899
Florida East Coast
Industries, Inc. Class A 46,591 1,801
Heartland Express, Inc. 63,379 1,734
* Delta Air Lines, Inc. 218,015 1,552
* Forward Air Corp. 39,811 1,489
* Kirby Corp. 38,152 1,484
Monaco Coach Corp. 50,952 1,435
* Knight Transportation, Inc. 47,647 1,369
* AMR Corp. 108,646 1,316
* Northwest Airlines Corp.
Class A 108,917 1,211
* Pacer International, Inc. 61,581 1,139
* Tenneco Automotive, Inc. 80,496 1,065
* Hayes Lemmerz
International, Inc. 69,681 1,052
* Fleetwood Enterprises, Inc. 67,797 986
* The Goodyear Tire
& Rubber Co. 107,641 978
* Old Dominion Freight Line, Inc. 32,842 968
* Wabash National Corp. 34,085 939
* Keystone Automotive
Industries, Inc. 29,582 825
Arctic Cat, Inc. 26,444 728
* Genesee & Wyoming Inc.
Class A 29,932 709
Wabtec Corp. 39,265 708
* ExpressJet Holdings, Inc. 57,854 702
* Gulfmark Offshore, Inc. 29,220 461
* Atlantic Coast Airlines
Holdings Inc. 78,900 453
* Mesa Air Group Inc. 39,759 322
* America West Holdings Corp.
Class B 33,877 308
* Aftermarket Technology Corp. 8,210 135
56,134
Consumer Discretionary (23.1%)
* Monster Worldwide Inc. 214,228 5,510
* Getty Images, Inc. 90,273 5,416
* O'Reilly Automotive, Inc. 96,007 $ 4,340
The Corporate Executive
Board Co. 72,799 4,207
Station Casinos, Inc. 85,832 4,154
* Education Management Corp. 120,922 3,973
* Copart, Inc. 139,087 3,714
Applebee's International, Inc. 159,612 3,674
Regis Corp. 82,303 3,670
* Timberland Co. 56,576 3,654
Claire's Stores, Inc. 163,231 3,542
Ruby Tuesday, Inc. 128,534 3,528
* Ask Jeeves, Inc. 88,004 3,435
* ITT Educational Services, Inc. 89,198 3,391
* Marvel Enterprises Inc. 170,248 3,323
* Earthlink, Inc. 307,577 3,183
* DeVry, Inc. 115,770 3,174
SCP Pool Corp. 69,300 3,119
* Valassis Communications, Inc. 101,479 3,092
* PETCO Animal Supplies, Inc. 95,469 3,075
* Urban Outfitters, Inc. 50,327 3,065
* Wynn Resorts Ltd. 78,280 3,024
* American Eagle Outfitters, Inc. 104,088 3,009
* Pacific Sunwear of
California, Inc. 152,395 2,982
Strayer Education, Inc. 26,287 2,933
* Laureate Education Inc. 76,451 2,923
Harte-Hanks, Inc. 119,302 2,912
* The Yankee Candle Co., Inc. 97,313 2,846
* Take-Two Interactive
Software, Inc. 86,960 2,664
* Sonic Corp. 115,231 2,622
* Fossil, Inc. 95,578 2,605
MSC Industrial Direct Co., Inc.
Class A 78,957 2,593
* Quiksilver, Inc. 108,573 2,585
* Linens `n Things, Inc. 87,889 2,576
* Corrections Corp. of
America REIT 64,834 2,560
* Kroll Inc. 68,943 2,543
* Waste Connections, Inc. 84,838 2,516
* Tractor Supply Co. 59,459 2,487
John Wiley & Sons Class A 74,127 2,372
* CNET Networks, Inc. 208,767 2,311
* Aeropostale, Inc. 82,195 2,212
* Arbitron Inc. 60,130 2,196
* CEC Entertainment Inc. 74,190 2,189
* Charter Communications, Inc. 546,107 2,141
* Scientific Games Corp. 109,518 2,096
Grey Global Group Inc. 2,121 2,089
* Penn National Gaming, Inc. 62,209 2,065
Matthews International Corp. 62,683 2,065
36
Market
Value^
Shares (000)
* Emmis Communications, Inc. 98,032 $ 2,057
* Krispy Kreme Doughnuts, Inc. 106,951 2,042
* Panera Bread Co. 55,307 1,984
* DoubleClick Inc. 254,863 1,980
* United Natural Foods, Inc. 68,491 1,980
* Sirva Inc. 85,559 1,968
* P.F. Chang's China Bistro, Inc. 47,297 1,946
Talbots Inc. 49,653 1,944
ADVO, Inc. 58,825 1,937
* Barnes & Noble, Inc. 56,286 1,913
* Hot Topic, Inc. 93,241 1,911
* Navigant Consulting, Inc. 88,396 1,895
* InfoSpace, Inc. 49,251 1,874
Choice Hotel International, Inc. 36,780 1,845
The Brink's Co. 52,860 1,810
* Jarden Corp. 50,242 1,808
* NetFlix.com, Inc. 50,142 1,803
* Dick's Sporting Goods, Inc. 53,966 1,800
* Shuffle Master, Inc. 48,643 1,766
* United Online, Inc. 99,750 1,757
* Tetra Tech, Inc. 106,503 1,738
* ValueClick, Inc. 145,042 1,738
* Men's Wearhouse, Inc. 65,124 1,719
* Catalina Marketing Corp. 93,646 1,713
* Guitar Center, Inc. 37,896 1,685
* Cumulus Media Inc. 100,122 1,683
Watson Wyatt & Co. Holdings 62,707 1,671
* Big Lots Inc. 113,990 1,648
* Resources Connection, Inc. 42,107 1,647
* Rare Hospitality
International Inc. 65,783 1,638
Ethan Allen Interiors, Inc. 44,797 1,609
* Alliance Gaming Corp. 89,569 1,537
Pier 1 Imports Inc. 86,333 1,527
* Tuesday Morning Corp. 51,764 1,501
* Select Comfort Corp. 52,774 1,499
CBRL Group, Inc. 48,502 1,496
* Gaylord Entertainment Co. 47,501 1,491
* Global Imaging Systems, Inc. 40,606 1,489
* Journal Register Co. 73,468 1,469
* CoStar Group, Inc. 31,770 1,459
Fred's, Inc. 64,756 1,430
* The Sports Authority, Inc. 39,026 1,401
* Cost Plus, Inc. 42,499 1,379
* Bright Horizons Family
Solutions, Inc. 25,649 1,375
* CMGI Inc. 703,284 1,371
* MAXIMUS, Inc. 38,359 1,360
* R.H. Donnelley Corp. 30,318 1,326
* Six Flags, Inc. 181,157 1,315
* Multimedia Games Inc. 48,766 1,308
Christopher & Banks Corp. 73,544 $ 1,302
Gevity HR, Inc. 49,727 1,302
* 99 Cents Only Stores 84,653 1,291
* Hibbett Sporting Goods, Inc. 45,216 1,237
* The Warnaco Group, Inc. 57,967 1,233
* WMS Industries, Inc. 40,721 1,213
* ProQuest Co. 44,293 1,207
* West Corp. 45,889 1,200
* CKE Restaurants Inc. 89,663 1,195
* Universal Technical Institute Inc. 29,789 1,191
* Priceline.com, Inc. 44,045 1,186
* Labor Ready, Inc. 76,083 1,179
* Too Inc. 67,190 1,122
* Lin TV Corp. 51,806 1,098
* Jo-Ann Stores, Inc. 36,076 1,061
* Elizabeth Arden, Inc. 49,889 1,050
K-Swiss, Inc. 51,703 1,045
Aaron Rents, Inc. Class B 31,280 1,037
* Genesco, Inc. 42,293 999
G & K Services, Inc. Class A 24,617 989
* The Advisory Board Co. 27,688 986
* Big 5 Sporting Goods Corp. 37,498 982
* Gemstar-TV Guide
International, Inc. 203,645 977
* Korn/Ferry International 47,978 929
* J. Jill Group, Inc. 38,934 918
Sinclair Broadcast Group, Inc. 89,415 918
Rollins, Inc. 39,847 917
* Overstock.com, Inc. 22,883 894
* The Gymboree Corp. 58,187 894
* aQuantive, Inc. 88,574 875
* Coinstar, Inc. 39,417 866
* Stein Mart, Inc. 52,883 860
* Leapfrog Enterprises, Inc. 43,019 856
* Insight Enterprises, Inc. 47,101 837
* Coldwater Creek Inc. 30,568 809
Blyth, Inc. 23,300 804
Ameristar Casinos, Inc. 23,689 795
* Sharper Image Corp. 23,845 748
* Hollywood Entertainment Corp. 55,448 741
* A.C. Moore Arts & Crafts, Inc. 26,442 727
* Spanish Broadcasting
System, Inc. 77,246 719
* The Dress Barn, Inc. 41,931 718
* Entravision Communications Corp. 92,992 714
* Papa John's International, Inc. 24,126 713
* Teletech Holdings Inc. 80,489 706
* Electronics Boutique
Holdings Corp. 26,748 705
* West Marine, Inc. 26,195 703
Hollinger International, Inc. 41,696 700
37
Market
Small-Cap Growth Value^
Index Fund Shares (000)
* Heidrick & Struggles
International, Inc. 23,354 $ 693
Oakley, Inc. 53,018 686
* Argosy Gaming Co. 18,219 685
* FTI Consulting, Inc. 41,296 681
* California Pizza Kitchen, Inc. 35,157 674
* Information Holdings Inc. 24,586 673
* Charlotte Russe Holding Inc. 31,424 672
* infoUSA Inc. 66,249 672
* Harris Interactive Inc. 99,308 667
* Salem Communications Corp. 23,820 646
Kenneth Cole Productions, Inc. 18,497 634
World Fuel Services Corp. 14,003 631
* TiVo Inc. 86,747 615
* Autobytel Inc. 67,292 611
* The Children's Place
Retail Stores, Inc. 25,945 610
* Steiner Leisure Ltd. 27,390 603
* Spherion Corp. 58,926 598
* Stage Stores, Inc. 15,862 597
* 4Kids Entertainment Inc. 24,934 596
* Red Robin Gourmet Burgers 21,767 596
* AMC Entertainment, Inc. 38,315 589
* Gartner, Inc. Class B 45,395 585
* USANA Health Sciences, Inc. 18,690 581
* Revlon, Inc. Class A 196,659 580
* GameStop Corp. 37,839 576
* Central European
Distribution Corp. 22,045 571
* MemberWorks, Inc. 19,083 565
* PRIMEDIA Inc. 203,260 565
* Cole National Corp. Class A 24,191 565
The Nautilus Group, Inc. 28,489 556
* Wireless Facilities, Inc. 56,384 554
* ValueVision Media, Inc. 42,178 549
* FreeMarkets, Inc. 83,382 544
* Pre-Paid Legal Services, Inc. 22,783 543
* Midway Games Inc. 46,962 541
* Insight Communications Co., Inc. 57,642 534
* MTR Gaming Group Inc. 48,662 533
* Forrester Research, Inc. 28,444 530
* Exult Inc. 95,928 516
* Skechers U.S.A., Inc. 39,584 515
* Playtex Products, Inc. 65,168 510
Movie Gallery, Inc. 25,323 495
* Steven Madden, Ltd. 24,682 493
* Carter's, Inc. 16,301 475
* Playboy Enterprises, Inc.
Class B 40,687 472
* Isle of Capri Casinos, Inc. 26,425 461
* AMN Healthcare Services, Inc. 30,143 461
* Saga Communications, Inc. 25,135 $ 459
* Regent Communications, Inc. 72,252 447
* Alloy, Inc. 69,558 428
Oshkosh B' Gosh, Inc. Class A 16,936 423
* Bombay Co. 68,403 419
* 1-800-FLOWERS.COM, Inc. 51,082 416
Gray Television, Inc. 29,886 415
Renaissance Learning, Inc. 18,094 406
* Finish Line, Inc. 13,400 404
World Wrestling
Entertainment, Inc. 30,724 392
* NetRatings, Inc. 23,041 375
* RC2 Corp. 10,027 356
Stamps.com Inc. 34,863 355
* bebe stores, inc. 14,977 300
* Party City Corp. 23,928 299
* Del Laboratories, Inc. 9,489 294
* Young Broadcasting Inc. 22,211 292
Triarc Cos., Inc. Class A 26,816 277
* Guess ?, Inc. 16,976 273
* Orbitz, Inc. 12,633 273
* Learning Tree International, Inc. 18,552 269
* Hudson Highland Group, Inc. 8,731 268
* Drugstore.com, Inc. 75,284 263
* Paxson Communications Corp. 80,432 261
* Cross Country Healthcare, Inc. 14,286 259
* Restoration Hardware, Inc. 34,708 254
* O'Charley's Inc. 14,488 249
* GSI Commerce, Inc. 24,101 232
* Martha Stewart Living
Omnimedia, Inc. 24,340 219
* PC Connection, Inc. 31,596 208
* Beasley Broadcast Group, Inc. 13,719 205
* Kirkland's, Inc. 16,448 196
* Fisher Communications, Inc. 3,861 194
* Vail Resorts Inc. 9,918 190
* Atari, Inc. 71,913 173
* 1-800 CONTACTS, Inc. 11,544 171
* Medical Staffing Network
Holdings, Inc. 23,117 149
Triarc Cos., Inc. Class B 14,304 145
Advanced Marketing Services 10,146 131
* The Wet Seal, Inc. Class A 24,214 127
* Lightbridge, Inc. 1,666 9
313,519
Consumer Staples (1.5%)
* Rite Aid Corp. 1,006,598 5,254
Church & Dwight, Inc. 80,002 3,662
* NBTY, Inc. 104,015 3,057
* Performance Food Group Co. 89,665 2,380
* 7-Eleven, Inc. 76,428 1,364
38
Market
Value^
Shares (000)
Sanderson Farms, Inc. 17,332 $ 929
Tootsie Roll Industries, Inc. 25,918 842
* Wild Oats Markets Inc. 46,953 661
* Peet's Coffee & Tea Inc. 24,279 607
Winn-Dixie Stores, Inc. 83,210 599
Vector Group Ltd. 30,393 479
* Boston Beer Co., Inc. Class A 15,772 318
Coca-Cola Bottling Co. 3,871 224
Arden Group Inc. Class A 2,372 213
* The Great Atlantic &
Pacific Tea Co., Inc. 11,540 88
20,677
Financial Services (7.7%)
Certegy, Inc. 125,588 4,873
Waddell & Reed Financial, Inc. 159,194 3,520
UCBH Holdings, Inc. 83,591 3,304
* BISYS Group, Inc. 234,351 3,295
* Alliance Data Systems Corp. 77,701 3,283
* Affiliated Managers Group, Inc. 62,508 3,149
East West Bancorp, Inc. 97,874 3,005
Jack Henry & Associates Inc. 139,807 2,810
International Bancshares Corp. 69,199 2,806
* Silicon Valley Bancshares 68,435 2,713
Global Payments Inc. 59,056 2,659
Southwest Bancorporation
of Texas, Inc. 56,794 2,506
* Kronos, Inc. 60,277 2,483
Fremont General Corp. 125,848 2,221
Maguire Properties, Inc. REIT 82,989 2,056
FactSet Research Systems Inc. 42,894 2,028
HCC Insurance Holdings, Inc. 59,682 1,994
Hilb, Rogal and Hamilton Co. 55,797 1,991
Wintrust Financial Corp. 37,479 1,893
Jefferies Group, Inc. 61,041 1,887
* The First Marblehead Corp. 46,544 1,874
* Alleghany Corp. 6,310 1,811
* eFunds Corp. 92,281 1,615
NDCHealth Corp. 69,240 1,606
John H. Harland Co. 53,920 1,583
CVB Financial Corp. 70,648 1,539
First BanCorp Puerto Rico 35,173 1,433
* Commercial Capital Bancorp, Inc. 82,469 1,432
* Digital Insight Corp. 64,900 1,345
United Community Banks, Inc. 52,239 1,315
* S1 Corp. 131,768 1,310
Manufactured Home
Communities, Inc. REIT 37,860 1,257
W Holding Co., Inc. 72,588 1,246
* USI Holdings Corp. 78,239 1,236
National Financial Partners Corp. 34,801 1,227
* Financial Federal Corp. 34,613 1,220
* Sotheby's Holdings Class A 74,641 $ 1,191
Gold Banc Corp., Inc. 73,697 1,142
Boston Private Financial
Holdings, Inc. 49,087 1,137
* Interactive Data Corp. 63,234 1,102
* Triad Guaranty, Inc. 18,368 1,069
* eSPEED, Inc. Class A 59,326 1,047
* Investment Technology Group, Inc. 80,998 1,036
* Ocwen Financial Corp. 79,315 955
Direct General Corp. 29,344 947
Aspen Insurance Holdings Ltd. 40,423 939
* Advent Software, Inc. 51,544 931
* Sterling Financial Corp. 27,919 890
PrivateBancorp, Inc. 31,044 852
* Instinet Group Inc. 161,203 851
* Arch Capital Group Ltd. 19,258 768
Harleysville National Corp. 28,518 730
* HomeStore, Inc. 175,594 701
* Accredited Home Lenders
Holding Co. 23,618 665
Main Street Banks, Inc. 22,625 636
* Nelnet, Inc. 34,712 616
Hanmi Financial Corp. 19,956 589
S.Y. Bancorp, Inc. 22,827 534
* iPayment Holdings, Inc. 12,795 525
* BankUnited Financial Corp. 18,971 489
City Holding Co. 15,418 487
Bank of the Ozarks, Inc. 20,632 481
Scottish Re Group Ltd. 20,487 476
* CCC Information Services Group 28,327 476
* Citizens, Inc. 57,685 473
* Portfolio Recovery
Associates, Inc. 16,488 455
* FelCor Lodging Trust, Inc. REIT 34,107 413
Peapack Gladstone
Financial Corp. 12,278 394
WFS Financial, Inc. 7,922 392
CoBiz Inc. 26,094 361
* PRG-Schultz International, Inc. 65,911 361
Old Second Bancorp, Inc. 6,288 332
* Rewards Network Inc. 35,160 316
Gabelli Asset Management Inc. 6,736 286
* Argonaut Group, Inc. 15,304 282
PXRE Group Ltd. 9,490 240
* Portal Software, Inc. 64,637 235
* InterCept, Inc. 12,636 207
* Federal Agricultural Mortgage
Corp. Class C 5,952 142
Charter Financial Corp. 3,917 133
* Metris Cos., Inc. 583 5
104,814
39
Market
Small-Cap Growth Value^
Index Fund Shares (000)
Health Care (20.7%)
* DaVita, Inc. 191,395 $ 5,901
* Cytyc Corp. 213,820 5,425
* Covance, Inc. 122,085 4,710
* Gen-Probe Inc. 95,617 4,525
* Renal Care Group, Inc. 132,906 4,403
* Charles River Laboratories, Inc. 89,916 4,394
Medicis Pharmaceutical Corp. 106,949 4,273
* IDEXX Laboratories Corp. 67,835 4,270
* Stericycle, Inc. 80,288 4,154
* Edwards Lifesciences Corp. 116,438 4,058
Cooper Cos., Inc. 63,219 3,994
* Andrx Group 141,514 3,952
* Respironics, Inc. 67,066 3,940
* Affymetrix, Inc. 117,373 3,842
* INAMED Corp. 58,767 3,694
* MGI Pharma, Inc. 136,668 3,691
* Accredo Health, Inc. 93,761 3,652
* Neurocrine Biosciences, Inc. 68,787 3,567
* OSI Pharmaceuticals, Inc. 49,468 3,485
* ResMed Inc. 65,606 3,343
* Protein Design Labs, Inc. 173,762 3,324
* Pediatrix Medical Group, Inc. 47,530 3,320
* Techne Corp. 76,081 3,306
* Martek Biosciences Corp. 57,039 3,204
* Pharmaceutical Product
Development, Inc. 98,473 3,128
* STERIS Corp. 135,990 3,068
* VCA Antech, Inc. 67,750 3,037
Mentor Corp. 85,623 2,936
* Apria Healthcare Group Inc. 98,868 2,838
* First Health Group Corp. 178,016 2,779
* eResearch Technology, Inc. 94,915 2,658
* LifePoint Hospitals, Inc. 70,487 2,624
* Nektar Therapeutics 130,654 2,608
* The Medicines Co. 83,645 2,552
* VISX Inc. 95,040 2,539
Invacare Corp. 55,807 2,496
* Cerner Corp. 55,714 2,484
* Advanced Medical Optics, Inc. 57,189 2,435
* PAR Pharmaceutical Cos. Inc. 68,315 2,405
* Alkermes, Inc. 174,057 2,367
* AMERIGROUP Corp. 48,069 2,365
* Amylin Pharmaceuticals, Inc. 101,128 2,306
* Dade Behring Holdings Inc. 47,930 2,278
* Sybron Dental Specialties, Inc. 75,054 2,240
* Eon Labs, Inc. 51,770 2,119
* Endo Pharmaceuticals
Holdings, Inc. 89,927 2,109
* Telik, Inc. 85,229 2,034
* Ligand Pharmaceuticals Inc.
Class B 114,642 1,992
* NeighborCare Inc. 62,828 $ 1,968
* Inveresk Research Group Inc. 62,938 1,941
* Bio-Rad Laboratories, Inc.
Class A 32,494 1,913
Diagnostic Products Corp. 42,233 1,856
* United Surgical Partners
International, Inc. 46,509 1,836
* ILEX Oncology, Inc. 72,137 1,803
* Human Genome Sciences, Inc. 147,369 1,714
* Priority Healthcare Corp. Class B 71,580 1,643
* Applera Corp.-
Celera Genomics Group 141,786 1,632
Valeant Pharmaceuticals
International 81,534 1,631
PolyMedica Corp. 51,143 1,587
* Nabi Biopharmaceuticals 111,435 1,585
* Tularik, Inc. 63,641 1,578
* American Healthways Inc. 59,203 1,576
* American Medical Systems
Holdings, Inc. 45,281 1,526
* Centene Corp. 39,422 1,520
* CONMED Corp. 54,640 1,497
Select Medical Corp. 111,536 1,497
* AmSurg Corp. 58,570 1,472
* Atrix Laboratories, Inc. 42,089 1,443
* Connetics Corp. 68,860 1,391
* Salix Pharmaceuticals, Ltd. 42,214 1,391
* AtheroGenics, Inc. 72,029 1,371
* Onyx Pharmaceuticals, Inc. 31,911 1,352
* Impax Laboratories, Inc. 67,690 1,312
* Biosite Inc. 28,863 1,297
* Cyberonics, Inc. 38,722 1,292
* Advanced Neuromodulation
Systems, Inc. 38,962 1,278
* Odyssey Healthcare, Inc. 67,888 1,278
* Ventana Medical Systems, Inc. 26,598 1,264
* Wright Medical Group, Inc. 35,327 1,258
* Immucor Inc. 38,537 1,254
* American Pharmaceuticals
Partners, Inc. 41,220 1,252
* K-V Pharmaceutical Co. Class A 54,014 1,247
* Haemonetics Corp. 41,243 1,223
* IDX Systems Corp. 37,931 1,210
* Possis Medical Inc. 35,158 1,201
* ArthroCare Corp. 41,077 1,195
* Abgenix, Inc. 100,445 1,177
* Eclipsys Corp. 76,927 1,174
* Integra LifeSciences Holdings 33,219 1,172
* Intuitive Surgical, Inc. 61,622 1,171
* Dendreon Corp. 95,467 1,169
* Wilson Greatbatch
Technologies, Inc. 41,532 1,161
40
Market
Value^
Shares (000)
Arrow International, Inc. 38,123 $ 1,141
* Digene Corp. 30,355 1,109
* Enzon Pharmaceuticals, Inc. 85,314 1,089
* Vertex Pharmaceuticals, Inc. 98,888 1,072
* Kos Pharmaceuticals, Inc. 32,303 1,065
* LabOne, Inc. 33,087 1,052
* CV Therapeutics, Inc. 61,280 1,027
* Molina Healthcare Inc. 26,592 1,015
* United Therapeutics Corp. 39,341 1,009
* Noven Pharmaceuticals, Inc. 45,126 994
* Align Technology, Inc. 52,196 992
* NPS Pharmaceuticals Inc. 47,031 988
* First Horizon
Pharmaceutical Corp. 52,226 987
* Inspire Pharmaceuticals, Inc. 58,829 984
* Serologicals Corp. 48,077 961
* CIMA Labs Inc. 28,439 959
* PSS World Medical, Inc. 85,291 955
* Thoratec Corp. 86,948 933
* Hologic, Inc. 39,392 916
* Sunrise Senior Living, Inc. 22,832 894
* Per-Se Technologies, Inc. 61,210 890
* Myriad Genetics, Inc. 59,545 888
* Kyphon Inc. 31,210 879
* Chattem, Inc. 30,422 878
* Encysive Pharmaceuticals, Inc. 102,568 872
* Cubist Pharmaceuticals, Inc. 78,484 871
* Exelixis, Inc. 85,941 867
* InterMune Inc. 55,764 860
* Discovery Laboratories, Inc. 89,308 856
* RehabCare Group, Inc. 31,583 841
* Transkaryotic Therapies, Inc. 54,571 816
* Vicuron Pharmaceuticals Inc. 64,916 815
Perrigo Co. 42,956 815
* ICU Medical, Inc. 24,094 808
* EPIX Medical, Inc. 37,540 792
* Merit Medical Systems, Inc. 48,417 771
* OraSure Technologies, Inc. 77,531 754
* BioMarin Pharmaceutical Inc. 125,221 751
* XOMA Ltd. 163,833 734
* Adolor Corp. 56,741 720
* SurModics, Inc. 29,025 715
* Enzo Biochem, Inc. 46,858 703
* Medarex, Inc. 95,338 695
* CTI Molecular Imaging, Inc. 48,572 689
* SonoSite, Inc. 28,753 687
* Pharmion Corp. 14,020 686
* Kensey Nash Corp. 19,843 685
* Lexicon Genetics Inc. 86,176 676
* PAREXEL International Corp. 33,044 654
* Tanox, Inc. 33,400 637
* Incyte Corp. 83,153 635
* Zoll Medical Corp. 17,847 $ 626
* Isis Pharmaceuticals, Inc. 98,400 565
* Inverness Medical
Innovations, Inc. 25,343 555
* Conceptus, Inc. 48,737 548
* Cell Therapeutics, Inc. 73,345 541
* K-V Pharmaceutical Co. Class B 20,864 527
* Albany Molecular Research, Inc. 39,956 517
* Alexion Pharmaceuticals, Inc. 27,532 512
* Diversa Corp. 50,108 508
* Zymogenetics, Inc. 26,679 507
* VistaCare, Inc. 26,775 497
* DJ Orthopedics Inc. 21,297 490
* ImmunoGen, Inc. 79,079 483
* Molecular Devices Corp. 26,134 465
* Accelrys Inc. 46,660 460
* Antigenics, Inc. 52,090 446
* ARIAD Pharmaceuticals, Inc. 58,552 439
* Corixa Corp. 91,474 427
* Cell Genesys, Inc. 40,429 420
* Immunomedics Inc. 81,800 398
* Regeneron Pharmaceuticals, Inc. 36,780 387
* Closure Medical Corp. 15,364 386
* Bruker BioSciences Corp. 78,720 383
* CorVel Corp. 13,457 382
* SciClone Pharmaceuticals, Inc. 73,052 373
* CardioDynamics
International Corp. 72,126 364
* Genesis Healthcare Corp. 10,939 318
* Maxygen Inc. 28,300 299
* Trimeris, Inc. 20,371 294
* Columbia Laboratories Inc. 78,260 271
* Pozen Inc. 39,179 268
Young Innovations, Inc. 10,520 267
* Gentiva Health Services, Inc. 16,430 267
* CuraGen Corp. 41,748 251
Computer Programs and
Systems, Inc. 12,268 250
* Exact Sciences Corp. 39,679 244
* Genta Inc. 86,571 216
* Geron Corp. 26,555 215
* NeoPharm, Inc. 17,676 183
* PRAECIS Pharmaceuticals Inc. 47,803 182
* Lannett Company, Inc. 11,786 177
* Savient Pharmaceuticals Inc. 56,871 141
* Specialty Laboratories, Inc. 15,144 136
Vital Signs, Inc. 4,531 132
* Alliance Imaging, Inc. 28,140 129
* aaiPharma Inc. 18,907 102
* MedQuist, Inc. 5,018 60
280,822
41
Market
Small-Cap Growth Value^
Index Fund Shares (000)
Integrated Oils (0.1%)
* KCS Energy, Inc. 90,122 $ 1,200
Other Energy (5.5%)
* Ultra Petroleum Corp. 141,348 5,277
* Grant Prideco, Inc. 225,869 4,170
* Varco International, Inc. 180,263 3,946
Patina Oil & Gas Corp. 129,440 3,866
* FMC Technologies Inc. 124,142 3,575
CONSOL Energy, Inc. 96,811 3,485
* Evergreen Resources, Inc. 75,538 3,052
* Newfield Exploration Co. 49,450 2,756
Helmerich & Payne, Inc. 98,107 2,565
* Key Energy Services, Inc. 254,522 2,403
* Unit Corp. 75,756 2,383
* Cal Dive International, Inc. 70,315 2,132
* Spinnaker Exploration Co. 52,472 2,066
* Denbury Resources, Inc. 95,752 2,006
St. Mary Land & Exploration Co. 55,332 1,973
* Quicksilver Resources, Inc. 26,604 1,784
* Oceaneering International, Inc. 48,563 1,663
* Hanover Compressor Co. 128,134 1,525
* Encore Acquisition Co. 53,799 1,501
* Grey Wolf, Inc. 335,332 1,422
Cabot Oil & Gas Corp. 31,689 1,340
Arch Coal, Inc. 34,919 1,278
CARBO Ceramics Inc. 18,657 1,273
* TETRA Technologies, Inc. 43,277 1,162
* Input/Output, Inc. 135,346 1,122
* Superior Energy Services, Inc. 108,036 1,086
* W-H Energy Services, Inc. 53,328 1,045
* Remington Oil & Gas Corp. 42,237 997
* Hydrill Co. 31,479 992
* Newpark Resources, Inc. 157,598 977
* Atwood Oceanics, Inc. 21,558 900
* Energy Partners, Ltd. 50,386 771
* Prima Energy Corp. 18,999 752
* Harvest Natural Resources, Inc. 44,869 669
Penn Virginia Corp. 17,820 643
* FuelCell Energy, Inc. 54,553 637
* Plains Resources Inc. 36,612 621
* Magnum Hunter Resources Inc. 57,507 597
Frontier Oil Corp. 25,819 547
* KFX, Inc. 69,116 527
* Global Power Equipment
Group Inc. 58,232 467
* Parker Drilling Co. 118,661 453
* Plug Power, Inc. 60,312 451
* Core Laboratories NV 19,255 443
* Comstock Resources, Inc. 21,128 411
* Oil States International, Inc. 26,098 399
* Global Industries Ltd. 56,030 320
Gulf Island Fabrication, Inc. 10,581 $ 229
* Dril-Quip, Inc. 8,759 164
* TransMontaigne Inc. 17,789 96
74,919
Materials & Processing (3.9%)
* Crown Holdings, Inc. 321,692 3,207
IMC Global Inc. 214,269 2,871
* Scotts Co. 44,251 2,827
* Rogers Corp. 32,146 2,247
Reliance Steel & Aluminum Co. 53,482 2,156
* Maverick Tube Corp. 81,797 2,148
* Armor Holdings, Inc. 60,359 2,052
Airgas, Inc. 83,522 1,997
* Steel Dynamics, Inc. 66,811 1,913
* GrafTech International Ltd. 182,556 1,910
Simpson Manufacturing Co. 33,255 1,866
Florida Rock Industries, Inc. 40,942 1,727
* Coeur d'Alene Mines Corp. 414,997 1,693
* Cabot Microelectronics Corp. 48,304 1,479
* Millennium Chemicals, Inc. 81,991 1,420
* Symyx Technologies, Inc. 55,835 1,347
* Apex Silver Mines Ltd. 78,411 1,337
* Hecla Mining Co. 226,804 1,293
Allegheny Technologies Inc. 62,991 1,137
Forest City Enterprise Class A 20,998 1,113
* AK Steel Corp. 200,757 1,058
* Ceradyne, Inc. 29,208 1,045
* Graphic Packaging Corp. 113,005 977
* Dycom Industries, Inc. 33,156 928
* Insituform Technologies Inc.
Class A 51,637 840
Brookfield Homes Corp. 30,108 789
AMCOL International Corp. 40,128 760
MacDermid, Inc. 22,285 754
* Century Aluminum Co. 30,082 746
* Lone Star Technologies, Inc. 23,498 648
* NCI Building Systems, Inc. 18,880 615
* Stillwater Mining Co. 39,579 594
* Trex Co., Inc. 15,682 592
* Encore Wire Corp. 20,959 578
Penn Engineering &
Manufacturing Corp. 23,404 502
* Tejon Ranch Co. 14,108 491
* Mobile Mini, Inc. 17,154 487
Royal Gold, Inc. 34,205 485
* Interface, Inc. 43,176 377
* AAON, Inc. 18,646 376
Silgan Holdings, Inc. 8,215 331
* Avatar Holding, Inc. 6,790 282
Apogee Enterprises, Inc. 24,261 252
* Energy Conversion Devices, Inc. 20,066 226
52,473
42
Market
Value^
Shares (000)
Producer Durables (9.5%)
* American Tower Corp. Class A 413,438 $ 6,284
* Crown Castle International Corp. 388,351 5,728
* Andrew Corp. 279,138 5,586
Donaldson Co., Inc. 152,415 4,466
* Polycom, Inc. 194,803 4,366
Herman Miller, Inc. 141,976 4,109
Roper Industries Inc. 71,854 4,088
* Mettler-Toledo International Inc. 82,455 4,052
Graco, Inc. 127,768 3,967
* Plantronics, Inc. 89,723 3,777
* United Defense Industries Inc. 102,294 3,580
Cognex Corp. 78,330 3,014
Joy Global Inc. 99,117 2,968
Engineered Support Systems, Inc. 50,537 2,957
* Varian Semiconductor
Equipment Associates, Inc. 70,340 2,712
* Cymer, Inc. 71,514 2,677
* Axcelis Technologies, Inc. 194,130 2,415
* Hovnanian Enterprises Inc.
Class A 63,118 2,191
* Dionex Corp. 39,403 2,174
* Interdigital Communications Corp. 107,877 2,029
Ametek, Inc. 65,028 2,009
* Rayovac Corp. 66,393 1,866
* CUNO Inc. 33,128 1,767
* Headwaters Inc. 64,705 1,678
* ATMI, Inc. 60,422 1,650
* Toll Brothers, Inc. 38,106 1,613
* MKS Instruments, Inc. 67,574 1,542
HNI Corp. 35,783 1,515
* Taser International Inc. 32,138 1,393
* Mykrolis Corp. 79,553 1,386
* Paxar Corp. 69,522 1,357
* Veeco Instruments, Inc. 51,946 1,341
* Orbital Sciences Corp. 93,309 1,289
Ryland Group, Inc. 16,259 1,271
* LTX Corp. 116,449 1,259
* Littelfuse, Inc. 27,884 1,183
* FEI Co. 48,609 1,162
* Actuant Corp. 29,808 1,162
* Imagistics International Inc. 32,590 1,154
* Photronics Inc. 60,325 1,143
* Photon Dynamics, Inc. 32,265 1,132
* Kulicke & Soffa Industries, Inc. 98,954 1,085
* Teledyne Technologies, Inc. 53,678 1,075
* Entegris Inc. 92,037 1,065
MDC Holdings, Inc. 16,731 1,064
* Mattson Technology, Inc. 77,613 933
* Itron, Inc. 40,195 922
* Arris Group Inc. 151,994 903
* Cable Design Technologies Corp. 81,907 $ 868
* Levitt Corp. Class A 32,676 842
* Applied Films Corp. 28,767 835
* Champion Enterprises, Inc. 88,195 810
* William Lyon Homes, Inc. 8,560 789
* Powerwave Technologies, Inc. 96,699 745
* Ultratech, Inc. 43,758 712
Helix Technology Corp. 33,153 707
Franklin Electric, Inc. 18,168 686
* Power-One, Inc. 61,398 674
* Meritage Corp. 9,721 669
* Presstek, Inc. 63,210 664
* Advanced Energy Industries, Inc. 41,272 649
Stewart & Stevenson
Services, Inc. 34,605 620
* Asyst Technologies, Inc. 59,705 617
Keithley Instruments Inc. 26,997 598
* DuPont Photomasks, Inc. 28,271 575
* Electro Scientific Industries, Inc. 18,950 536
* MTC Technologies, Inc. 19,819 512
* Vicor Corp. 26,695 488
* ESCO Technologies Inc. 8,726 466
United Industrial Corp. 19,184 448
* Rudolph Technologies, Inc. 24,511 446
* Metrologic Instruments, Inc. 20,499 409
CTS Corp. 33,395 403
* Astec Industries, Inc. 19,943 376
* Semitool, Inc. 33,100 375
* Palm Harbor Homes, Inc. 19,998 355
Curtiss-Wright Corp. Class B 6,348 341
Lindsay Manufacturing Co. 14,099 339
* Tollgrade Communications, Inc. 26,727 284
Cohu, Inc. 13,715 261
* General Binding Corp. 11,755 182
* Terayon Communications
Systems, Inc. 39,812 93
128,433
Technology (21.7%)
* Cognizant Technology
Solutions Corp. 251,766 6,397
* International Rectifier Corp. 128,217 5,311
* Atmel Corp. 833,386 4,934
PerkinElmer, Inc. 236,645 4,742
* SpectraSite, Inc. 94,043 4,065
Acxiom Corp. 158,508 3,936
* Integrated Circuit Systems, Inc. 140,965 3,829
* Akamai Technologies, Inc. 203,347 3,650
* FLIR Systems, Inc. 64,607 3,547
* Western Digital Corp. 403,516 3,494
* Cypress Semiconductor Corp. 239,865 3,404
* Avocent Corp. 91,554 3,364
43
Market
Small-Cap Growth Value^
Index Fund Shares (000)
* Cree, Inc. 143,599 $ 3,343
* Avid Technology, Inc. 60,974 3,327
* Hyperion Solutions Corp. 74,433 3,254
* Applied Micro Circuits Corp. 605,830 3,223
* Macromedia, Inc. 131,109 3,219
* Semtech Corp. 136,573 3,215
* Rambus Inc. 176,184 3,131
* TIBCO Software Inc. 365,070 3,085
* Brocade Communications
Systems, Inc. 506,107 3,027
Reynolds & Reynolds Class A 128,929 2,982
* Varian, Inc. 67,796 2,858
* Integrated Device
Technology Inc. 205,886 2,849
ADTRAN Inc. 85,358 2,848
* Trimble Navigation Ltd. 98,525 2,738
* RF Micro Devices, Inc. 361,260 2,709
* Avnet, Inc. 117,283 2,662
* Silicon Laboratories Inc. 55,230 2,560
* Skyworks Solutions, Inc. 291,233 2,542
* RSA Security Inc. 120,065 2,458
* FileNET Corp. 75,157 2,373
* CACI International, Inc. 56,781 2,296
* Emulex Corp. 159,664 2,285
* CommScope, Inc. 106,492 2,284
* Sonus Networks, Inc. 452,806 2,164
* Macrovision Corp. 86,378 2,162
* Mentor Graphics Corp. 136,346 2,109
* The Titan Corp. 161,872 2,101
* Aeroflex, Inc. 144,208 2,067
* Vitesse Semiconductor Corp. 418,483 2,042
* UNOVA, Inc. 94,284 1,909
* Tekelec 103,067 1,873
* Digital River, Inc. 55,529 1,812
* Anteon International Corp. 55,182 1,800
* Coherent, Inc. 58,775 1,754
* Silicon Storage Technology, Inc. 167,896 1,729
* MICROS Systems, Inc. 35,772 1,716
* Parametric Technology Corp. 339,232 1,696
* F5 Networks, Inc. 63,306 1,676
Black Box Corp. 35,169 1,662
* Websense, Inc. 44,484 1,656
* Wind River Systems Inc. 140,700 1,655
* Micrel, Inc. 135,815 1,650
* OmniVision Technologies, Inc. 102,952 1,642
* Intergraph Corp. 63,439 1,641
* Silicon Image, Inc. 123,708 1,624
* Transaction Systems
Architects, Inc. 74,287 1,599
* MEMC Electronic Materials, Inc. 161,390 1,595
* SigmaTel Inc. 54,473 1,583
* Openwave Systems Inc. 124,058 $ 1,576
* Microsemi Corp. 109,662 1,558
* Aspect Communications Corp. 109,587 1,556
* Manhattan Associates, Inc. 49,957 1,543
* DSP Group Inc. 56,252 1,532
* InVision Technologies, Inc. 30,323 1,513
* Progress Software Corp. 69,477 1,506
* Power Integrations, Inc. 59,851 1,490
* NetIQ Corp. 111,626 1,473
* RealNetworks, Inc. 213,552 1,461
* ScanSource, Inc. 24,233 1,440
* Ditech Communications Corp. 60,690 1,417
* Dendrite International, Inc. 76,027 1,413
* ANSYS, Inc. 29,851 1,403
* Gartner, Inc. Class A 103,798 1,372
* TriQuint Semiconductor, Inc. 250,454 1,367
* ON Semiconductor Corp. 271,753 1,364
* Internet Security Systems, Inc. 88,098 1,351
* PalmOne, Inc. 38,203 1,328
* KEMET Corp. 104,003 1,271
* Identix, Inc. 167,907 1,254
* SafeNet, Inc. 45,309 1,254
* Epicor Software Corp. 88,518 1,244
* SRA International, Inc. 28,738 1,216
* Extreme Networks, Inc. 219,775 1,213
* Advanced Fibre
Communications, Inc. 59,791 1,208
* Informatica Corp. 157,714 1,203
* WebEx Communications, Inc. 54,873 1,194
* Exar Corp. 79,662 1,168
* Advanced Digital
Information Corp. 118,742 1,152
* Plexus Corp. 83,717 1,130
* Intermagnetics General Corp. 32,535 1,107
* Pixelworks, Inc. 71,376 1,093
* Digitas Inc. 98,849 1,090
* ViaSat, Inc. 43,587 1,087
* Quantum Corp. 350,165 1,086
* Amkor Technology, Inc. 132,555 1,084
* Artisan Components, Inc. 42,009 1,084
* Corvis Corp. 754,277 1,064
* Quest Software, Inc. 82,221 1,061
* SERENA Software, Inc. 55,233 1,054
* Electronics for Imaging, Inc. 36,885 1,042
* MicroStrategy Inc. 24,294 1,037
* Tessera Technologies, Inc. 57,260 1,032
* Micromuse Inc. 153,716 1,028
* Perot Systems Corp. 77,234 1,025
* FormFactor Inc. 45,254 1,016
* j2 Global Communications, Inc. 35,973 1,000
* Ariba, Inc. 502,462 995
44
Market
Value^
Shares (000)
* Verity, Inc. 73,638 $ 995
* Silicon Graphics, Inc. 449,847 990
* Altiris, Inc. 35,750 987
* Cirrus Logic 164,181 987
* Gateway, Inc. 218,429 983
* Mercury Computer Systems, Inc. 39,177 972
* SonicWALL, Inc. 110,483 950
* Mindspeed Technologies, Inc. 190,973 947
* Pinnacle Systems, Inc. 132,237 945
* Ascential Software Corp. 58,453 935
Inter-Tel, Inc. 37,419 934
* Sapient Corp. 154,924 931
* Actel Corp. 50,184 928
* Cray Inc. 140,126 928
Park Electrochemical Corp. 36,690 926
* Lexar Media, Inc. 137,550 919
* Dot Hill Systems Corp. 80,136 898
* Magma Design Automation, Inc. 45,932 883
* Packeteer, Inc. 54,453 879
* Synaptics Inc. 45,756 876
* Borland Software Corp. 102,576 871
* Genesis Microchip Inc. 62,529 861
* ScanSoft, Inc. 172,610 854
* Agile Software Corp. 97,019 849
* webMethods, Inc. 97,376 835
* Vignette Corp. 499,505 829
* Benchmark Electronics, Inc. 28,083 817
* SeaChange International, Inc. 47,724 806
* Verint Systems Inc. 23,484 804
* Secure Computing Corp. 68,947 803
* Excel Technology, Inc. 23,448 780
* Harmonic, Inc. 90,895 774
* CSG Systems International, Inc. 36,809 762
* TTM Technologies, Inc. 63,210 749
* Opsware, Inc. 94,522 749
* Standard Microsystem Corp. 31,650 738
* II-VI, Inc. 23,835 731
* Interwoven Inc. 71,136 718
* InterVoice, Inc. 61,910 710
* JDA Software Group, Inc. 53,632 706
EDO Corp. 29,237 705
* Kopin Corp. 136,342 697
* Finisar Corp. 346,517 686
* Daktronics, Inc. 27,415 684
* Keane, Inc. 49,660 680
* E.piphany Inc. 138,243 668
* ChipPAC, Inc. 105,588 662
* Retek Inc. 107,713 661
* ESS Technology, Inc. 61,562 659
* Anaren, Inc. 40,187 657
Cubic Corp. 31,136 652
BEI Technologies, Inc. 22,971 $ 650
* MatrixOne, Inc. 94,012 650
* Group 1 Software, Inc. 28,143 646
* Lionbridge Technologies, Inc. 81,792 626
* ManTech International Corp. 33,253 624
* Echelon Corp. 55,044 616
Talx Corp. 25,121 614
* McDATA Corp. 118,916 608
* Transmeta Corp. 271,248 594
* OSI Systems Inc. 29,752 593
* Siliconix, Inc. 11,780 585
* Tyler Technologies, Inc. 60,878 576
* Inet Technologies, Inc. 45,749 570
* Avanex Corp. 144,394 562
* Komag, Inc. 39,970 558
* Sycamore Networks, Inc. 130,872 554
* Blue Coat Systems, Inc. 16,356 548
* Concur Technologies, Inc. 50,789 543
* Lattice Semiconductor Corp. 77,083 540
* Integrated Silicon Solution, Inc. 44,104 539
* ActivCard Corp. 73,480 533
* Zoran Corp. 28,981 532
* Netegrity, Inc. 62,262 527
* Westell Technologies, Inc. 103,093 526
* Ixia 52,041 512
* McDATA Corp. Class A 92,640 498
* Pericom Semiconductor Corp. 46,520 498
* Universal Display Corp. 45,496 489
* At Road, Inc. 63,319 484
* MSC Software Corp. 53,831 482
* SupportSoft, Inc. 53,584 465
* Keynote Systems Inc. 33,646 463
* Verso Technologies, Inc. 257,006 450
* Remec, Inc. 70,967 449
* PalmSource, Inc. 25,691 440
* Lawson Software Inc. 61,641 436
* The TriZetto Group, Inc. 63,516 426
* WatchGuard Technologies, Inc. 58,916 425
* EPIQ Systems, Inc. 29,260 424
* Digimarc Corp. 31,484 420
* Enterasys Networks, Inc. 192,549 406
* Concord Communications, Inc. 35,290 403
* Net2Phone, Inc. 85,988 390
* Manugistics Group, Inc. 117,024 383
* MRO Software Inc. 26,612 362
* FalconStor Software, Inc. 45,700 353
Iomega Corp. 61,314 342
* SeeBeyond Technology Corp. 89,862 339
* AMIS Holdings Inc. 19,776 335
* Monolithic System
Technology, Inc. 41,572 313
45
Market
Small-Cap Growth Value^
Index Fund Shares (000)
* Stratex Networks, Inc. 106,009 $ 313
* IXYS Corp. 38,346 302
Integral Systems, Inc. 18,564 299
* Embarcadero Technologies, Inc. 23,946 296
* Drexler Technology Corp. 21,333 284
* OpenTV Corp. 130,087 271
* Safeguard Scientifics, Inc. 116,146 267
Syntel, Inc. 15,468 256
* Neoware Systems, Inc. 30,917 256
* PDF Solutions, Inc. 29,586 251
* White Electronic Designs Corp. 46,809 245
* Concurrent Computer Corp. 123,008 244
* Virage Logic Corp. 26,641 242
* Ulticom, Inc. 20,700 242
* Entrust, Inc. 53,140 239
* QAD Inc. 22,536 239
* PEC Solutions, Inc. 18,900 225
* Computer Network
Technology Corp. 35,295 211
* SPSS, Inc. 10,919 196
* Oplink Communications, Inc. 101,752 195
Bel Fuse, Inc. Class B 4,400 183
* Pegasystems Inc. 20,491 179
* iGATE Corp. 44,505 177
* Planar Systems, Inc. 9,709 130
* NASSDA Corp. 20,366 84
Bel Fuse, Inc. Class A 132 5
294,695
Utilities (2.0%)
* Western Wireless Corp. Class A 157,439 4,552
* NII Holdings Inc. 105,826 3,565
* Nextel Partners, Inc. 196,797 3,133
Western Gas Resources, Inc. 93,150 3,026
* Southwestern Energy Co. 70,118 2,010
* Commonwealth Telephone
Enterprises, Inc. 41,365 1,852
* IDT Corp. Class B 77,067 1,421
* PTEK Holdings, Inc. 90,295 1,041
* Arch Wireless, Inc. 32,344 921
* Dobson Communications Corp. 222,868 727
* IDT Corp. 40,114 723
* Primus Telecommunications
Group, Inc. 130,188 661
* Mediacom Communications Corp. 79,290 620
Surewest Communications 16,527 522
* Intrado Inc. 26,450 426
* General Communication, Inc. 50,926 404
* Centennial Communications
Corp. Class A 49,733 356
* Boston Communications
Group, Inc. 33,555 344
* Triton PCS, Inc. 71,245 $ 311
* Time Warner Telecom Inc. 56,223 236
Shenandoah
Telecommunications Co. 4,740 128
26,979
Other (0.1%)
* McDermott International, Inc. 115,768 1,176
Walter Industries, Inc. 35,160 479
1,655
TOTAL COMMON STOCKS
(Cost $1,143,657) 1,356,320
Amount
(000)
TEMPORARY CASH INVESTMENTS (4.0%)
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.46%, 7/1/2004--Note E $47,801 47,801
1.47%, 7/1/2004 6,758 6,758
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $54,559) 54,559
TOTAL INVESTMENTS (103.9%)
(Cost $1,198,216) 1,410,879
OTHER ASSETS AND LIABILITIES (-3.9%)
Other Assets--Note B 4,326
Security Lending Collateral
Payable to Brokers--Note E (47,801)
Other Liabilities (9,386)
(52,861)
NET ASSETS (100%) $1,358,018
^See Note A in Notes to Financial Statements.
*Non-income-producing security.
REIT--Real Estate Investment Trust.
46
Amount
(000)
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
Paid-in Capital $1,213,546
Overdistributed Net Investment Income (135)
Accumulated Net Realized Losses (68,056)
Unrealized Appreciation 212,663
NET ASSETS $1,358,018
Investor Shares--Net Assets
Applicable to 89,699,660 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,257,591
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $14.02
Institutional Shares--Net Assets
Applicable to 2,529,911 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $35,542
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $14.05
VIPER Shares--Net Assets
Applicable to 1,300,000 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $64,885
NET ASSET VALUE PER SHARE--
VIPER SHARES $49.91
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
47
Market
Small-Cap Value Value^
Index Fund Shares (000)
COMMON STOCKS (99.9%)
Auto & Transportation (4.8%)
BorgWarner, Inc. 175,024 $ 7,661
CNF Inc. 157,242 6,535
Yellow Roadway Corp. 135,513 5,402
Tidewater Inc. 178,173 5,310
American Axle & Manufacturing
Holdings, Inc. 139,435 5,070
Cooper Tire & Rubber Co. 209,556 4,820
Visteon Corp. 410,141 4,786
Alexander & Baldwin, Inc. 119,855 4,009
* AMR Corp. 325,558 3,942
ArvinMeritor, Inc. 196,096 3,838
Overseas Shipholding Group Inc. 80,233 3,541
Werner Enterprises, Inc. 162,551 3,430
OMI Corp. 283,120 3,369
Modine Manufacturing Co. 97,150 3,094
USF Corp. 86,218 3,029
* Kansas City Southern 195,247 3,026
Skywest, Inc. 173,192 3,015
* The Goodyear Tire & Rubber Co. 322,570 2,932
Overnite Corp. 87,302 2,567
* Continental Airlines, Inc.
Class B 207,724 2,362
Arkansas Best Corp. 70,810 2,331
Superior Industries
International, Inc. 67,171 2,247
* Alaska Air Group, Inc. 83,858 2,002
Offshore Logistics, Inc. 67,332 1,893
* General Maritime Corp. 58,070 1,593
TBC Corp. 65,268 1,553
Bandag, Inc. 33,453 1,490
RailAmerica, Inc. 99,216 1,449
* Aviall Inc. 75,308 1,432
* Frontier Airlines, Inc. 112,015 1,219
Wabtec Corp. 63,240 1,141
Sea Containers Ltd. Class A 63,866 1,120
* Fleetwood Enterprises, Inc. 58,968 858
Wabash National Corp. 29,574 815
Strattec Security Corp. 11,902 814
Stoneridge, Inc. 42,400 721
Coachmen Industries, Inc. 44,027 704
Tower Automotive, Inc. 179,519 653
* Genesee & Wyoming Inc.
Class A 26,145 620
* America West Holdings Corp.
Class B 55,152 501
* Dura Automotive Systems, Inc. 52,688 482
* Covenant Transport, Inc. 27,056 462
* Collins & Aikman Corp. 77,962 436
* Aftermarket Technology Corp. 24,811 409
P.A.M. Transportation
Services, Inc. 21,392 $ 409
* Mesa Air Group Inc. 35,171 285
Bandag, Inc. Class A 2,500 104
109,481
Consumer Discretionary (13.3%)
The Neiman Marcus Group, Inc.
Class A 135,943 7,565
Service Corp. International 954,508 7,035
* Activision, Inc. 424,627 6,752
* AnnTaylor Stores Corp. 213,428 6,185
Snap-On Inc. 183,181 6,146
Borders Group, Inc. 245,735 5,760
* BJ's Wholesale Club, Inc. 219,318 5,483
Lee Enterprises, Inc. 113,015 5,426
The Toro Co. 76,000 5,325
IKON Office Solutions, Inc. 463,746 5,319
Reader's Digest Association, Inc. 311,076 4,974
Dillard's Inc. 211,902 4,725
* American Greetings Corp.
Class A 196,276 4,550
Zale Corp. 166,758 4,546
The Pep Boys
(Manny, Moe & Jack) 170,340 4,318
* Tommy Hilfiger Corp. 284,992 4,315
United Stationers, Inc. 106,519 4,231
Furniture Brands
International Inc. 168,501 4,221
Media General, Inc. Class A 65,027 4,176
* MPS Group, Inc. 324,388 3,932
Kellwood Co. 85,035 3,703
Banta Corp. 81,380 3,614
Nu Skin Enterprises, Inc. 134,294 3,400
* Jack in the Box Inc. 114,067 3,388
Wolverine World Wide, Inc. 123,866 3,251
Tupperware Corp. 165,480 3,215
Scholastic Corp. 106,905 3,202
Payless ShoeSource, Inc. 213,967 3,190
Boyd Gaming Corp. 120,027 3,189
* Charming Shoppes, Inc. 356,049 3,180
* Helen of Troy Ltd. 83,940 3,095
* Barnes & Noble, Inc. 91,042 3,094
Bob Evans Farms, Inc. 110,817 3,034
* Aztar Corp. 107,435 3,008
La-Z-Boy Inc. 165,293 2,972
The Brink's Co. 85,423 2,926
THQ Inc. 119,396 2,734
* Big Lots Inc. 183,329 2,651
Liberty Corp. 54,310 2,550
ABM Industries Inc. 129,925 2,530
Stewart Enterprises, Inc.
Class A 310,105 2,524
48
Market
Value^
Shares (000)
* CSK Auto Corp. 146,013 $ 2,503
Pier 1 Imports Inc. 139,205 2,463
Callaway Golf Co. 213,729 2,424
Blyth, Inc. 69,701 2,404
CBRL Group, Inc. 77,745 2,398
IHOP Corp. 63,816 2,282
Landry's Restaurants, Inc. 74,170 2,217
Brown Shoe Co., Inc. 53,727 2,199
* Dollar Thrifty Automotive
Group, Inc. 79,161 2,172
School Specialty, Inc. 59,600 2,164
R.H. Donnelley Corp. 48,611 2,126
Ryan's Restaurant Group, Inc. 132,678 2,096
Hollinger International, Inc. 124,539 2,091
* K2 Inc. 130,575 2,050
Sonic Automotive, Inc. 91,596 2,029
* Argosy Gaming Co. 53,916 2,027
United Auto Group, Inc. 65,700 2,014
* Group 1 Automotive, Inc. 60,359 2,005
* Central Garden and Pet Co. 54,794 1,960
Oxford Industries, Inc. 43,132 1,879
Kelly Services, Inc. Class A 59,280 1,767
Handleman Co. 74,859 1,734
* Consolidated Graphics, Inc. 38,057 1,676
* JAKKS Pacific, Inc. 78,851 1,639
Lone Star Steakhouse
& Saloon, Inc. 59,794 1,626
Speedway Motorsports, Inc. 47,277 1,581
* Gemstar-TV Guide
International, Inc. 327,400 1,572
Phillips-Van Heusen Corp. 81,220 1,563
Journal Communications, Inc. 82,164 1,547
Bowne & Co., Inc. 97,153 1,540
Chemed Corp. 30,920 1,500
Steak n Shake Co. 81,541 1,486
* Boca Resorts, Inc. Class A 74,675 1,480
Russell Corp. 81,692 1,467
Prime Hospitality Corp. 133,805 1,421
Cato Corp. Class A 62,617 1,406
SOURCECORP, Inc. 50,701 1,395
Ethan Allen Interiors, Inc. 38,843 1,395
CDI Corp. 39,763 1,376
The Stride Rite Corp. 122,900 1,356
* Insight Enterprises, Inc. 75,739 1,345
ShopKo Stores, Inc. 92,064 1,302
* Gaylord Entertainment Co. 41,462 1,301
Gray Television, Inc. 90,488 1,257
* Finish Line, Inc. 40,387 1,218
Burlington Coat Factory
Warehouse Corp. 63,089 1,218
* Hollywood Entertainment Corp. 89,362 1,194
The Topps Co., Inc. 120,970 $ 1,173
Central Parking Corp. 62,646 1,171
Lithia Motors, Inc. 46,518 1,153
American Woodmark Corp. 19,145 1,146
Libbey, Inc. 40,799 1,133
Startek, Inc. 31,632 1,132
* MarineMax, Inc. 39,070 1,121
The Marcus Corp. 64,165 1,107
* FTI Consulting, Inc. 66,850 1,103
Orient-Express Hotel Ltd. 64,556 1,093
RC2 Corp. 30,076 1,068
The Warnaco Group, Inc. 50,037 1,064
Pulitzer, Inc. 21,150 1,034
Pegasus Solutions Inc. 76,255 1,001
Stage Stores, Inc. 25,644 966
Spherion Corp. 93,938 953
Movado Group, Inc. 54,400 938
Haverty Furniture Cos., Inc. 52,993 926
Aaron Rents, Inc. Class B 27,296 905
The Nautilus Group, Inc. 45,914 896
G & K Services, Inc. Class A 21,199 852
Courier Corp. 20,372 850
Churchill Downs, Inc. 20,866 849
CSS Industries, Inc. 24,100 844
Volt Information Sciences Inc. 26,442 833
Wesco International, Inc. 45,186 831
* Brightpoint, Inc. 60,446 831
UniFirst Corp. 28,337 824
Sturm, Ruger & Co., Inc. 67,414 816
* Korn/Ferry International 41,710 808
* Century Business Services, Inc. 184,197 803
Movie Gallery, Inc. 41,006 802
Navigant International, Inc. 43,900 781
Action Performance Cos., Inc. 51,674 779
* Cross Country Healthcare, Inc. 42,400 770
* Clark, Inc. 40,787 757
The Buckle, Inc. 26,600 751
Hancock Fabrics, Inc. 58,812 750
O'Charley's Inc. 43,163 742
Blair Corp. 24,300 702
Angelica Corp. 27,549 692
Russ Berrie and Co., Inc. 35,523 690
Triarc Cos., Inc. Class B 66,788 679
Lawson Products, Inc. 16,312 622
National Presto Industries, Inc. 15,080 622
* Asbury Automotive Group, Inc. 40,650 610
* Heidrick & Struggles
International, Inc. 20,294 602
* Geo Group Inc. 29,434 600
Vail Resorts Inc. 29,801 571
* Fisher Communications, Inc. 11,300 569
49
Market
Small-Cap Value Value^
Index Fund Shares (000)
World Fuel Services Corp. 12,127 $ 547
* AMC Entertainment, Inc. 33,326 512
* Bally Total Fitness Holding Corp. 95,458 477
* Midway Games Inc. 40,586 468
* Insight Communications Co., Inc. 49,855 462
Neoforma, Inc. 37,100 450
* Hudson Highland Group, Inc. 13,779 422
Advanced Marketing Services 31,198 403
Dover Downs Gaming &
Entertainment, Inc. 31,964 360
Deb Shops, Inc. 14,900 358
Tweeter Home
Entertainment Group, Inc. 63,800 345
Shoe Carnival, Inc. 19,745 296
Young Broadcasting Inc. 19,762 260
* The Boyds Collection, Ltd. 63,034 209
The Wet Seal, Inc. Class A 38,989 204
301,387
Consumer Staples (1.8%)
Universal Corp. (VA) 79,075 4,028
Ralcorp Holdings, Inc. 91,407 3,218
Flowers Foods, Inc. 120,135 3,142
Sensient Technologies Corp. 139,373 2,994
* Chiquita Brands International, Inc. 127,441 2,666
Casey's General Stores, Inc. 141,149 2,583
Ruddick Corp. 109,370 2,455
Longs Drug Stores, Inc. 88,102 2,103
American Italian Pasta Co. 56,659 1,727
* Hain Celestial Group, Inc. 94,579 1,712
Interstate Bakeries Corp. 140,717 1,527
Pilgrim's Pride Corp. 52,165 1,510
Schweitzer-Mauduit
International, Inc. 46,901 1,437
* Robert Mondavi Corp. Class A 32,356 1,198
* Duane Reade Inc. 72,934 1,191
Weis Markets, Inc. 29,768 1,043
Winn-Dixie Stores, Inc. 133,234 959
Lance, Inc. 59,525 917
* J & J Snack Foods Corp. 20,622 842
Dimon Inc. 140,854 806
Tootsie Roll Industries, Inc. 22,602 735
Standard Commercial
Tobacco Co. 32,300 583
Riviana Foods, Inc. 20,527 537
Coca-Cola Bottling Co. 6,322 366
Ingles Markets, Inc. 31,839 356
* The Great Atlantic &
Pacific Tea Co., Inc. 35,789 274
40,909
Financial Services (37.7%)
Developers Diversified Realty
Corp. REIT 303,867 $ 10,748
* AmeriCredit Corp. 493,945 9,647
* Conseco, Inc. 453,111 9,017
Chelsea Property Group REIT 137,395 8,961
The Macerich Co. REIT 185,088 8,860
Ryder System, Inc. 203,916 8,171
Catellus Development Corp.
REIT 323,570 7,976
United Dominion Realty Trust
REIT 400,582 7,924
Webster Financial Corp. 166,793 7,843
Mack-Cali Realty Corp. REIT 188,988 7,820
Mills Corp. REIT 158,009 7,379
Colonial BancGroup, Inc. 379,433 6,894
Rayonier Inc. REIT 154,994 6,889
Federal Realty Investment
Trust REIT 161,901 6,733
American Capital
Strategies, Ltd. 238,090 6,671
FirstMerit Corp. 252,859 6,668
Cullen/Frost Bankers, Inc. 146,673 6,564
Sky Financial Group, Inc. 263,185 6,509
Thornburg Mortgage, Inc. REIT 237,447 6,399
Annaly Mortgage
Management Inc. REIT 370,643 6,286
StanCorp Financial Group, Inc. 92,124 6,172
Ventas, Inc. REIT 262,735 6,135
IndyMac Bancorp, Inc. REIT 192,120 6,071
Arden Realty Group, Inc. REIT 205,286 6,037
Washington Federal Inc. 246,114 5,907
Pan Pacific Retail
Properties, Inc. REIT 113,970 5,758
Camden Property Trust REIT 125,050 5,727
Reckson Associates
Realty Corp. REIT 207,020 5,685
* Allmerica Financial Corp. 166,660 5,633
SL Green Realty Corp. REIT 120,263 5,628
HRPT Properties Trust REIT 557,417 5,580
CenterPoint Properties
Corp. REIT 72,674 5,578
First American Corp. 212,431 5,500
BRE Properties Inc.
Class A REIT 157,426 5,471
Whitney Holdings Corp. 120,987 5,404
The South Financial Group, Inc. 187,086 5,302
Westamerica Bancorporation 100,349 5,263
Hudson United Bancorp 140,787 5,249
Health Care Inc. REIT 160,566 5,218
Realty Income Corp. REIT 124,479 5,195
50
Market
Value^
Shares (000)
Old National Bancorp 207,963 $ 5,164
AmerUs Group Co. 123,591 5,117
Healthcare Realty Trust Inc. REIT 135,177 5,066
CarrAmerica Realty Corp. REIT 166,422 5,031
CBL & Associates
Properties, Inc. REIT 90,535 4,979
BancorpSouth, Inc. 219,827 4,953
* The MONY Group Inc. 157,518 4,930
American Financial Realty
Trust REIT 339,687 4,854
Shurgard Storage Centers, Inc.
Class A REIT 129,160 4,831
Greater Bay Bancorp 166,173 4,802
Crescent Real Estate, Inc. REIT 296,837 4,785
First Industrial Realty Trust REIT 127,734 4,711
Trizec Properties, Inc. REIT 285,456 4,642
First Midwest Bancorp, Inc. 131,780 4,640
Impac Mortgage
Holdings, Inc. REIT 201,660 4,541
Raymond James Financial, Inc. 171,649 4,540
Trustmark Corp. 155,671 4,502
IPC Holdings Ltd. 121,238 4,477
* La Quinta Corp. REIT 531,625 4,466
New Century Financial Corp. 95,215 4,458
Prentiss Properties Trust REIT 132,261 4,433
Park National Corp. 34,569 4,415
Essex Property Trust, Inc. REIT 64,510 4,409
Reinsurance Group of
America, Inc. 107,493 4,370
Cathay General Bancorp 62,414 4,163
Chittenden Corp. 115,459 4,058
Home Properties, Inc. REIT 102,043 3,978
Highwood Properties, Inc. REIT 168,202 3,953
Nationwide Health
Properties, Inc. REIT 208,962 3,949
Platinum Underwriters
Holdings, Ltd. 129,066 3,927
Brandywine Realty Trust REIT 143,630 3,905
Washington REIT 130,523 3,835
Pacific Capital Bancorp 135,457 3,810
United Bankshares, Inc. 116,806 3,796
Cousins Properties, Inc. REIT 115,186 3,795
Delphi Financial Group, Inc. 84,908 3,778
Texas Regional Bancshares, Inc. 82,295 3,778
MAF Bancorp, Inc. 88,439 3,775
United Rentals, Inc. 206,649 3,697
Ohio Casualty Corp. 182,665 3,677
Pennsylvania REIT 106,797 3,658
Susquehanna Bancshares, Inc. 144,900 3,646
People's Bank 116,970 3,644
Taubman Co. REIT 158,544 3,629
Citizens Banking Corp. 115,683 $ 3,592
GATX Corp. 131,361 3,573
Community First
Bankshares, Inc. 110,193 3,547
American Financial Group, Inc. 115,028 3,516
Downey Financial Corp. 65,711 3,499
Commercial Federal Corp. 128,580 3,485
Commerce Group, Inc. 70,198 3,466
The Phoenix Cos., Inc. 281,927 3,454
Alexandria Real Estate
Equities, Inc. REIT 60,748 3,449
Newcastle Investment Corp.
REIT 112,810 3,379
Post Properties, Inc. REIT 115,598 3,370
Capital Automotive REIT 113,880 3,340
Philadelphia Consolidated
Holding Corp. 55,469 3,332
Westcorp, Inc. 73,076 3,321
* Knight Trading Group, Inc. 330,330 3,310
Redwood Trust, Inc. REIT 59,140 3,293
HCC Insurance Holdings, Inc. 96,027 3,208
Gables Residential Trust REIT 91,186 3,099
Selective Insurance Group 77,277 3,082
Colonial Properties Trust REIT 79,875 3,078
Kilroy Realty Corp. REIT 89,057 3,037
Provident Bankshares Corp. 102,999 2,970
Seacoast Financial
Services Corp. 85,709 2,966
F.N.B. Corp. 145,332 2,965
ProAssurance Corp. 86,910 2,965
Lexington Corporate
Properties Trust REIT 148,286 2,952
American Home Mortgage
Investment Corp. REIT 112,900 2,927
R & G Financial Corp. Class B 88,137 2,914
TrustCo Bank NY 221,179 2,897
Senior Housing Properties
Trust REIT 169,638 2,848
First National Bankshares
of Florida 149,956 2,842
Novastar Financial, Inc. REIT 73,875 2,804
Endurance Specialty
Holdings Ltd. 80,417 2,798
Piper Jaffray Cos., Inc. 60,733 2,747
Brookline Bancorp, Inc. 185,046 2,715
* Jones Lang Lasalle Inc. 99,976 2,709
First Niagara Financial
Group, Inc. 224,779 2,697
BankAtlantic Bancorp, Inc.
Class A 145,408 2,683
Provident Financial Services Inc. 151,348 2,656
51
Market
Small-Cap Value Value^
Index Fund Shares (000)
Republic Bancorp, Inc. 190,877 $ 2,653
Commercial Net Lease
Realty REIT 151,830 2,611
Waypoint Financial Corp. 94,007 2,594
Bank Mutual Corp. 235,367 2,566
Summit Properties, Inc. REIT 98,632 2,529
Corporate Office Properties
Trust, Inc. REIT 100,600 2,500
MB Financial, Inc. 67,743 2,494
Entertainment Properties
Trust REIT 69,405 2,481
R.L.I. Corp. 67,250 2,455
Glimcher Realty Trust REIT 110,275 2,439
UICI 101,867 2,425
First Commonwealth
Financial Corp. 186,063 2,413
NCO Group, Inc. 88,405 2,360
Horace Mann Educators Corp. 134,234 2,346
First BanCorp Puerto Rico 56,469 2,301
* Arch Capital Group Ltd. 57,615 2,298
S & T Bancorp, Inc. 71,291 2,280
Mid-America Apartment
Communities, Inc. REIT 60,001 2,273
Chemical Financial Corp. 59,968 2,212
EastGroup Properties, Inc. REIT 65,678 2,211
LandAmerica Financial Group, Inc. 56,529 2,201
Keystone Property Trust REIT 90,741 2,181
Corus Bankshares Inc. 52,737 2,168
Amcore Financial, Inc. 71,598 2,159
Infinity Property & Casualty Corp. 64,822 2,139
Sun Communities, Inc. REIT 56,590 2,131
LaSalle Hotel Properties REIT 87,072 2,125
* First Federal Financial Corp. 50,973 2,120
NBT Bancorp, Inc. 92,982 2,077
AMLI Residential Properties
Trust REIT 70,200 2,060
Glacier Bancorp, Inc. 73,081 2,059
Saxon Capital Inc. 89,843 2,051
PS Business Parks, Inc. REIT 50,901 2,048
First Charter Corp. 93,462 2,037
MFA Mortgage
Investments, Inc. REIT 226,834 2,019
W Holding Co., Inc. 117,255 2,013
First Citizens BancShares
Class A 16,477 2,010
Equity One, Inc. REIT 109,786 1,985
Heritage Property Investment
Trust REIT 73,318 1,984
RAIT Investment Trust REIT 79,289 1,954
First Financial Bancorp 110,206 1,953
UMB Financial Corp. 37,757 1,949
Hancock Holding Co. 67,046 $ 1,948
Koger Equity, Inc. REIT 84,252 1,948
National Health Investors REIT 71,511 1,944
Cash America International Inc. 84,412 1,941
National Penn Bancshares Inc. 65,075 1,935
Community Bank System, Inc. 84,850 1,934
First Republic Bank 44,682 1,925
Flagstar Bancorp, Inc. 95,481 1,898
Sterling Bancshares, Inc. 133,247 1,891
Alabama National
BanCorporation 33,720 1,870
Anthracite Capital Inc. REIT 155,166 1,859
* MeriStar Hospitality Corp. REIT 266,895 1,826
Stewart Information
Services Corp. 53,708 1,814
Umpqua Holdings Corp. 84,870 1,781
Sovran Self Storage, Inc. REIT 46,065 1,759
Harbor Florida Bancshares, Inc. 63,867 1,757
Frontier Financial Corp. 49,590 1,733
Glenborough Realty
Trust, Inc. REIT 93,178 1,710
Unizan Financial Corp. 65,030 1,697
PFF Bancorp, Inc. 45,000 1,676
Dime Community Bancshares 95,476 1,669
Mid-State Bancshares 70,228 1,651
Jefferies Group, Inc. 53,198 1,645
Anworth Mortgage
Asset Corp. REIT 137,869 1,638
Tanger Factory Outlet
Centers, Inc. REIT 41,734 1,632
Westbanco Inc. 55,842 1,627
Anchor Bancorp Wisconsin Inc. 61,325 1,621
Net.Bank, Inc. 148,148 1,619
Zenith National Insurance Corp. 32,700 1,589
Alfa Corp. 113,392 1,587
First Community Bancorp 41,167 1,582
Sandy Spring Bancorp, Inc. 45,421 1,578
* Metris Cos., Inc. 181,361 1,576
* Alleghany Corp. 5,452 1,565
Oriental Financial Group Inc. 57,517 1,557
Getty Realty Holding Corp. REIT 61,783 1,554
Northwest Bancorp, Inc. 67,558 1,547
MCG Capital Corp. 100,077 1,539
Max Re Capital Ltd. 78,973 1,538
First Financial Bankshares, Inc. 36,325 1,523
Parkway Properties Inc. REIT 34,100 1,516
Cornerstone Realty
Income Trust, Inc. REIT 171,426 1,503
First Federal Capital Corp. 52,815 1,470
* BankUnited Financial Corp. 56,889 1,468
Hudson River Bancorp. Inc. 85,428 1,458
52
Market
Value^
Shares (000)
LaBranche & Co. Inc. 169,225 $ 1,425
Scottish Re Group Ltd. 61,177 1,422
Fidelity Bankshares, Inc. 40,085 1,421
Independent Bank Corp. (MI) 55,592 1,412
Sterling Financial Corp. (PA) 54,127 1,409
Irwin Financial Corp. 53,226 1,405
United Fire & Casualty Co. 23,603 1,363
First Merchants Corp. 52,388 1,359
Bedford Property
Investors, Inc. REIT 46,460 1,358
First Sentinel Bancorp Inc. 65,946 1,355
Riggs National Corp. 63,101 1,333
Equity Inns, Inc. REIT 142,687 1,326
Town & Country Trust REIT 52,041 1,314
Sterling Bancorp 46,128 1,274
Investors Real Estate Trust REIT 121,015 1,256
Ramco-Gershenson
Properties Trust REIT 51,690 1,252
Central Pacific Financial Co. 45,246 1,244
* FelCor Lodging Trust, Inc. REIT 102,683 1,242
TierOne Corp. 57,530 1,237
Independent Bank Corp. (MA) 41,145 1,191
Presidential Life Corp. 64,288 1,158
Innkeepers USA Trust REIT 112,264 1,157
State Auto Financial Corp. 37,542 1,153
Kramont Realty Trust REIT 71,500 1,144
First Financial Holdings, Inc. 39,455 1,137
Suffolk Bancorp 34,390 1,121
IBERIABANK Corp. 18,901 1,119
Community Trust Bancorp Inc. 36,101 1,101
CB Bancshares Inc. (HI) 11,669 1,088
FBL Financial Group, Inc. Class A 38,322 1,083
Washington Trust Bancorp, Inc. 41,652 1,082
Integra Bank Corp. 48,951 1,078
U.S. Restaurant
Properties, Inc. REIT 70,600 1,072
United Community
Financial Corp. 81,540 1,060
McGrath Rent Corp. 28,464 1,052
National Western Life
Insurance Co. Class A 6,828 1,048
Saul Centers, Inc. REIT 32,500 1,044
Prosperity Bancshares, Inc. 42,621 1,038
Simmons First National Corp. 39,782 1,036
First Financial Corp. (IN) 31,779 1,014
West Coast Bancorp 47,093 1,010
Community Banks, Inc. 34,255 1,006
Universal Health Realty
Income REIT 35,000 1,005
First Community Bancshares, Inc. 29,852 1,000
Capital City Bank Group, Inc. 24,907 986
BSB Bancorp, Inc. 27,709 $ 985
Columbia Banking System, Inc. 44,214 982
Odyssey Re Holdings Corp. 40,846 980
Capitol Bancorp Ltd. 37,518 976
Quaker City Bancorp, Inc. 17,734 974
Midland Co. 32,205 955
Banner Corp. 32,457 943
Advanta Corp. Class A 42,100 923
Flushing Financial Corp. 51,704 913
Tompkins Trustco, Inc. 19,153 910
First Source Corp. 35,928 897
WSFS Financial Corp. 18,418 896
Urstadt Biddle Properties
Class A REIT 59,801 886
Great Southern Bancorp, Inc. 30,236 884
First Busey Corp. 29,997 877
Universal American
Financial Corp. 76,324 838
* Argonaut Group, Inc. 45,121 831
Omega Financial Corp. 23,976 825
Seacoast Banking Corp.
of Florida 38,970 816
Union Bankshares Corp. 25,775 814
Midwest Banc Holdings, Inc. 36,371 811
Bank of Granite Corp. 38,258 800
Arrow Financial Corp. 26,259 799
First Bancorp (NC) 23,909 799
* ITLA Capital Corp. 19,693 799
Harleysville Group, Inc. 42,349 798
Peoples Holding Co. 23,050 797
Navigators Group, Inc. 27,497 794
Second Bancorp, Inc. 25,367 794
CityBank Lynnwood WA 24,730 792
City Holding Co. 24,851 785
Sterling Financial Corp. 24,107 768
* CompuCredit Corp. 44,279 766
First Place Financial Corp. 40,883 759
SWS Group, Inc. 48,088 736
Virginia Financial Group, Inc. 21,221 729
PXRE Group Ltd. 28,698 725
Capital Southwest Corp. 9,018 713
OceanFirst Financial Corp. 29,403 704
First Indiana Corp. 36,741 700
Peoples Bancorp, Inc. 26,266 698
Electro Rent Corp. 66,288 694
Pennrock Financial
Services Corp. 22,869 691
Acadia Realty Trust REIT 50,200 690
SCBT Financial Corp. 22,783 687
Camden National Corp. 20,500 678
Mission West
Properties Inc. REIT 55,780 675
53
Market
Small-Cap Value Value^
Index Fund Shares (000)
PMA Capital Corp. Class A 73,300 $ 660
Financial Institutions, Inc. 26,428 653
First Oak Brook Bancshares, Inc. 21,326 646
Lakeland Bancorp, Inc. 39,983 645
Farmers Capital Bank Corp. 18,015 644
WFS Financial, Inc. 12,900 639
Harleysville National Corp. 24,528 628
* InterCept, Inc. 37,400 613
Baldwin & Lyons, Inc. Class B 22,600 607
NBC Capital Corp. 21,901 591
* CNA Surety Corp. 53,560 586
Pennfed Financial Services, Inc. 17,148 583
Advanta Corp. Class B 25,340 581
* Credit Acceptance Corp. 37,200 561
Citizens 1st Bancorp, Inc. 21,421 510
BancFirst Corp. 8,500 508
Republic Bancorp, Inc. Class A 25,136 507
Hanmi Financial Corp. 17,000 502
Capstead Mortgage Corp. REIT 36,100 486
German American Bancorp 28,852 485
Gabelli Asset Management Inc. 10,946 465
* Federal Agricultural
Mortgage Corp. Class C 18,376 440
Royal Bancshares of
Pennsylvania, Inc. 14,189 352
Partners Trust
Financial Group, Inc. 17,756 348
Old Second Bancorp, Inc. 5,401 285
Charter Financial Corp. 6,207 211
Crawford & Co. Class B 27,501 136
Urstadt Biddle Properties REIT 9,300 131
853,165
Health Care (3.5%)
PacifiCare Health Systems, Inc. 269,380 10,414
Sierra Health Services, Inc. 76,604 3,424
Owens & Minor, Inc. Holding Co. 123,240 3,192
US Oncology, Inc. 214,438 3,157
OSI Pharmaceuticals, Inc. 42,868 3,020
* Beverly Enterprises, Inc. 337,075 2,899
Valeant Pharmaceuticals
International 131,296 2,626
Province Healthcare Co. 152,997 2,624
Alpharma, Inc. Class A 126,245 2,585
Perrigo Co. 128,974 2,447
* Kindred Healthcare, Inc. 91,410 2,409
Ocular Sciences, Inc. 61,610 2,341
Onyx Pharmaceuticals, Inc. 51,318 2,174
Viasys Healthcare Inc. 96,421 2,016
* Amylin Pharmaceuticals, Inc. 87,846 2,003
* Dade Behring Holdings Inc. 41,558 1,975
West Pharmaceutical
Services, Inc. 46,175 1,953
Sola International Inc. 100,253 $ 1,727
Datascope Corp. 39,324 1,561
Analogic Corp. 36,258 1,538
* Human Genome Sciences, Inc. 127,943 1,488
Tularik, Inc. 55,236 1,370
Landauer, Inc. 27,840 1,243
Orthodontic Centers of
America, Inc. 149,656 1,226
Hooper Holmes, Inc. 193,032 1,108
* Abgenix, Inc. 86,769 1,017
* Genesis Healthcare Corp. 32,689 949
Vertex Pharmaceuticals, Inc. 85,680 929
NPS Pharmaceuticals Inc. 40,916 859
PSS World Medical, Inc. 73,992 829
* Gentiva Health Services, Inc. 49,441 804
* DJ Orthopedics Inc. 34,004 782
* Hanger Orthopedic Group, Inc. 66,661 781
Sunrise Senior Living, Inc. 19,854 777
* Exelixis, Inc. 74,600 753
Vicuron Pharmaceuticals Inc. 56,345 708
* Cell Genesys, Inc. 65,800 684
National Healthcare Corp. 23,800 667
* Geron Corp. 80,739 653
* Medarex, Inc. 81,721 596
PAREXEL International Corp. 28,804 570
Tanox, Inc. 28,622 546
* Incyte Corp. 71,311 545
* Alexion Pharmaceuticals, Inc. 23,958 446
Zymogenetics, Inc. 22,789 433
* CuraGen Corp. 66,805 401
* ARIAD Pharmaceuticals, Inc. 51,603 387
Vital Signs, Inc. 13,184 383
Regeneron Pharmaceuticals, Inc. 32,189 339
NeoPharm, Inc. 28,694 296
PRAECIS Pharmaceuticals Inc. 76,615 291
* Maxygen Inc. 25,260 267
Trimeris, Inc. 18,010 260
Savient Pharmaceuticals Inc. 91,264 226
* aaiPharma Inc. 16,378 89
79,787
Other Energy (5.4%)
Peabody Energy Corp. 192,985 10,805
Chesapeake Energy Corp. 721,250 10,617
Reliant Energy, Inc. 929,236 10,064
Massey Energy Co. 238,242 6,721
Premcor, Inc. 150,723 5,652
* Calpine Corp. 1,298,978 5,612
Tesoro Petroleum Corp. 203,150 5,607
* Forest Oil Corp. 164,963 4,507
Newfield Exploration Co. 79,662 4,440
Plains Exploration &
Production Co. 227,387 4,173
54
Market
Value^
Shares (000)
* Cimarex Energy Co. 130,828 $ 3,955
Arch Coal, Inc. 104,574 3,826
* Dynegy, Inc. 880,650 3,752
* Houston Exploration Co. 68,380 3,545
Stone Energy Corp. 74,732 3,414
Range Resources Corp. 212,352 3,100
CONSOL Energy, Inc. 83,985 3,023
Vintage Petroleum, Inc. 171,818 2,916
Veritas DGC Inc. 106,836 2,473
Seacor Holdings Inc. 52,503 2,306
Texas Genco Holdings, Inc. 50,205 2,264
Cabot Oil & Gas Corp. 50,907 2,153
Swift Energy Co. 86,414 1,906
Universal Compression
Holdings, Inc. 61,851 1,898
* Magnum Hunter Resources Inc. 172,396 1,789
Berry Petroleum Class A 55,885 1,643
* Core Laboratories NV 56,484 1,299
* Comstock Resources, Inc. 63,780 1,241
* Enbridge Energy
Management LLC 27,156 1,157
Holly Corp. 29,300 1,096
Penn Virginia Corp. 28,508 1,029
* Global Industries Ltd. 169,401 969
Frontier Oil Corp. 41,495 879
Oil States International, Inc. 42,675 653
* Harvest Natural Resources, Inc. 38,636 576
* FuelCell Energy, Inc. 46,689 545
Parker Drilling Co. 103,473 395
Plug Power, Inc. 52,547 393
TransMontaigne Inc. 54,895 295
Gulf Island Fabrication, Inc. 9,201 199
* Dril-Quip, Inc. 7,377 138
123,025
Materials & Processing (12.2%)
Precision Castparts Corp. 203,082 11,107
Boise Cascade Corp. 260,615 9,810
Louisiana-Pacific Corp. 324,460 7,673
Cabot Corp. 184,082 7,492
Martin Marietta Materials, Inc. 151,221 6,704
Harsco Corp. 128,733 6,050
Lubrizol Corp. 162,057 5,935
The Timken Co. 210,615 5,579
RPM International, Inc. 364,092 5,534
Cytec Industries, Inc. 116,928 5,314
York International Corp. 128,909 5,294
Hughes Supply, Inc. 88,430 5,211
Corn Products International, Inc. 108,272 5,040
AptarGroup Inc. 108,727 4,750
* FMC Corp. 106,017 4,570
Worthington Industries, Inc. 217,447 4,464
Olin Corp. 217,185 $ 3,827
Mueller Industries Inc. 104,277 3,733
Minerals Technologies, Inc. 64,249 3,726
Great Lakes Chemical Corp. 135,191 3,658
Clarcor Inc. 79,575 3,645
* Hercules, Inc. 297,937 3,632
Potlatch Corp. 86,341 3,595
Acuity Brands, Inc. 131,860 3,560
Ferro Corp. 131,070 3,497
Forest City Enterprise Class A 62,834 3,330
Georgia Gulf Corp. 92,750 3,326
Albemarle Corp. 104,250 3,299
LNR Property Corp. 58,965 3,199
URS Corp. 112,932 3,094
Lennox International Inc. 163,829 2,965
OM Group, Inc. 89,128 2,942
Brady Corp. Class A 61,757 2,847
Washington Group
International, Inc. 79,158 2,841
* Dycom Industries, Inc. 98,882 2,769
Albany International Corp. 81,789 2,745
Kaydon Corp. 88,489 2,737
Texas Industries, Inc. 66,169 2,724
Spartech Corp. 98,289 2,550
H.B. Fuller Co. 89,644 2,546
Wausau-Mosinee Paper Corp. 145,825 2,523
Quanex Corp. 51,570 2,511
Delta & Pine Land Co. 113,694 2,496
Commercial Metals Co. 75,982 2,466
USEC Inc. 259,267 2,274
Crompton Corp. 358,955 2,261
Schnitzer Steel Industries, Inc.
Class A 65,220 2,215
Carpenter Technology Corp. 63,344 2,157
* Longview Fibre Co. 144,562 2,129
* EMCOR Group, Inc. 47,056 2,070
Eagle Materials, Inc. 28,996 2,059
A. Schulman Inc. 94,620 2,033
PolyOne Corp. 273,182 2,032
Shaw Group, Inc. 199,032 2,016
Eagle Materials, Inc. B Shares 28,901 2,001
WCI Communities, Inc. 89,544 1,998
Cambrex Corp. 77,740 1,961
Arch Chemicals, Inc. 66,976 1,930
Granite Construction Co. 104,239 1,900
* Jacuzzi Brands, Inc. 235,299 1,897
* Cleveland-Cliffs Inc. 33,131 1,868
Allegheny Technologies Inc. 101,456 1,831
Watsco, Inc. 64,268 1,804
USG Corp. 101,500 1,784
* Griffon Corp. 79,052 1,761
55
Market
Small-Cap Value Value^
Index Fund Shares (000)
Airgas, Inc. 72,474 $ 1,733
Universal Forest Products, Inc. 50,655 1,634
Chesapeake Corp. of Virginia 60,143 1,605
Gibraltar Steel 48,327 1,586
WD-40 Co. 50,800 1,521
Rock-Tenn Co. 88,325 1,497
Florida Rock Industries, Inc. 35,463 1,495
Trammell Crow Co. 104,970 1,480
Barnes Group, Inc. 50,700 1,469
Greif Inc. Class A 33,700 1,424
Quanta Services, Inc. 216,805 1,349
ElkCorp 55,226 1,322
* Caraustar Industries, Inc. 89,695 1,266
Glatfelter 89,649 1,262
* Millennium Chemicals, Inc. 71,152 1,232
Deltic Timber Corp. 31,992 1,228
MacDermid, Inc. 35,509 1,202
Valmont Industries, Inc. 52,250 1,197
Tredegar Corp. 71,869 1,159
* Buckeye Technology, Inc. 98,553 1,133
RTI International Metals, Inc. 66,343 1,058
Ennis Business Forms, Inc. 51,500 1,004
Myers Industries, Inc. 70,766 998
* NCI Building Systems, Inc. 30,465 992
Silgan Holdings, Inc. 24,408 984
Stillwater Mining Co. 63,623 955
Pope & Talbot, Inc. 47,048 930
CIRCOR International, Inc. 45,417 926
* Graphic Packaging Corp. 97,680 845
Ameron International Corp. 24,431 834
Wellman, Inc. 100,575 818
Building Materials Holding Corp. 41,987 795
Quaker Chemical Corp. 28,663 792
Calgon Carbon Corp. 109,551 734
LSI Industries Inc. 58,809 676
* Century Aluminum Co. 26,111 647
* Interface, Inc. 68,938 602
* Lone Star Technologies, Inc. 20,597 568
The Standard Register Co. 41,147 490
Stepan Co. 18,371 480
* Avatar Holding, Inc. 11,089 461
NL Industries, Inc. 30,780 446
Alico, Inc. 11,102 446
* Mobile Mini, Inc. 15,009 426
Apogee Enterprises, Inc. 38,850 404
* Energy Conversion Devices, Inc. 32,733 369
275,765
Producer Durables (7.8%)
Pentair, Inc. 298,098 10,028
Cummins Inc. 114,624 7,164
Briggs & Stratton Corp. 70,117 6,195
* AGCO Corp. 277,430 $ 5,651
Kennametal, Inc. 113,900 5,217
Thomas & Betts Corp. 184,358 5,020
Terex Corp. 146,736 5,008
Standard Pacific Corp. 101,311 4,995
IDEX Corp. 140,543 4,828
Toll Brothers, Inc. 113,903 4,820
Crane Co. 149,481 4,692
HNI Corp. 107,079 4,533
* Flowserve Corp. 173,738 4,333
Beazer Homes USA, Inc. 42,699 4,283
Nordson Corp. 94,118 4,082
Ryland Group, Inc. 48,594 3,800
Lincoln Electric Holdings, Inc. 102,216 3,485
* Credence Systems Corp. 242,105 3,341
Ametek, Inc. 105,084 3,247
MDC Holdings, Inc. 49,699 3,161
* Brooks Automation, Inc. 139,651 2,814
Federal Signal Corp. 150,779 2,806
Mine Safety Appliances Co. 81,620 2,751
The Manitowoc Co., Inc. 79,540 2,692
Technitrol, Inc. 119,825 2,624
* Moog Inc. 68,355 2,537
* Genlyte Group, Inc. 38,358 2,412
Curtiss-Wright Corp. 42,650 2,397
Woodward Governor Co. 31,815 2,294
Watts Water Technologies, Inc. 77,736 2,095
Baldor Electric Co. 87,759 2,049
* Esterline Technologies Corp. 66,714 1,970
JLG Industries, Inc. 136,631 1,898
A.O. Smith Corp. 59,025 1,876
Tecumseh Products Co. Class A 44,933 1,851
Steelcase Inc. 125,974 1,764
Regal-Beloit Corp. 78,459 1,746
Belden, Inc. 80,968 1,735
* Gardner Denver Inc. 60,457 1,687
Thomas Industries, Inc. 49,117 1,631
* Electro Scientific
Industries, Inc. 57,209 1,620
* Ionics, Inc. 56,642 1,600
Triumph Group, Inc. 49,918 1,594
Applied Industrial
Technology, Inc. 51,972 1,565
MTS Systems Corp. 63,022 1,478
NACCO Industries, Inc. Class A 15,481 1,471
C & D Technologies, Inc. 80,182 1,430
* ESCO Technologies Inc. 26,233 1,400
M/I Homes, Inc. 32,924 1,337
Powerwave Technologies, Inc. 155,898 1,200
Power-One, Inc. 98,184 1,078
* Meritage Corp. 15,600 1,073
56
Market
Value^
Shares (000)
Kimball International, Inc.
Class B 72,592 $ 1,071
* Littelfuse, Inc. 24,197 1,026
* Actuant Corp. 25,830 1,007
Tennant Co. 24,001 995
* Audiovox Corp. 58,443 987
* Kadant Inc. 42,205 976
Skyline Corp. 22,352 909
Standex International Corp. 32,511 884
Robbins & Myers, Inc. 36,255 814
Cohu, Inc. 41,459 789
Technical Olympic USA, Inc. 35,179 784
HEICO Corp. 40,937 747
* Champion Enterprises, Inc. 76,549 703
Gorman-Rupp Co. 24,116 655
CTS Corp. 53,636 647
Helix Technology Corp. 28,480 607
Franklin Electric, Inc. 15,746 595
Stewart & Stevenson
Services, Inc. 29,686 532
* Asyst Technologies, Inc. 51,305 530
* Mastec Inc. 82,750 449
Vicor Corp. 23,218 424
Powell Industries, Inc. 20,000 342
* Astec Industries, Inc. 17,513 330
Lindsay Manufacturing Co. 12,099 291
Terayon Communications
Systems, Inc. 123,340 289
Tecumseh Products Co. Class B 2,900 123
HEICO Corp. Class A 8,010 112
175,976
Technology (4.0%)
* Arrow Electronics, Inc. 353,767 9,488
Sybase, Inc. 305,765 5,504
* Maxtor Corp. 777,124 5,152
Imation Corp. 111,100 4,734
* BearingPoint, Inc. 489,132 4,339
* Avnet, Inc. 188,857 4,287
* Advanced Fibre
Communications, Inc. 179,564 3,627
* Electronics for Imaging, Inc. 110,565 3,125
Anixter International Inc. 91,148 3,102
* Adaptec, Inc. 343,295 2,904
* DRS Technologies, Inc. 80,623 2,572
* Benchmark Electronics, Inc. 84,079 2,447
* CSG Systems International, Inc. 109,913 2,275
PalmOne, Inc. 61,424 2,136
* Hutchinson Technology, Inc. 81,901 2,014
Newport Corp. 123,034 1,989
* Checkpoint Systems, Inc. 110,009 1,972
Perot Systems Corp. 124,302 1,649
Sycamore Networks, Inc. 389,608 $ 1,648
* Lattice Semiconductor Corp. 229,732 1,610
Zoran Corp. 86,688 1,591
* Gateway, Inc. 351,801 1,583
* Ascential Software Corp. 94,678 1,514
Parametric Technology Corp. 294,050 1,470
Methode Electronics, Inc. Class A 111,000 1,440
* Ciber, Inc. 174,208 1,432
Agilysys, Inc. 85,615 1,181
* KEMET Corp. 90,535 1,106
* Keane, Inc. 79,386 1,087
* InFocus Corp. 124,048 1,054
Bel Fuse, Inc. Class B 22,610 943
* Amkor Technology, Inc. 114,614 938
* Herley Industries Inc. 39,841 778
* Borland Software Corp. 89,071 756
* Harmonic, Inc. 78,900 672
* Enterasys Networks, Inc. 310,614 655
SPSS, Inc. 31,615 568
Tier Technologies, Inc. 56,214 548
* AMIS Holdings Inc. 32,233 545
* Bioveris Corp. 60,018 499
* Integrated Silicon Solution, Inc. 37,903 463
Safeguard Scientifics, Inc. 188,947 435
Planar Systems, Inc. 29,332 393
Remec, Inc. 61,551 389
* Lawson Software Inc. 53,882 381
* Entrust, Inc. 84,662 381
* CompuCom Systems, Inc. 78,060 354
SYNNEX Corp. 20,227 318
* MRO Software Inc. 22,817 311
Iomega Corp. 54,259 303
Stratex Networks, Inc. 91,139 269
* Computer Network
Technology Corp. 29,399 176
Oplink Communications, Inc. 85,288 164
91,271
Utilities (8.4%)
Alliant Energy Corp. 349,863 9,124
OGE Energy Corp. 275,063 7,006
Great Plains Energy, Inc. 233,488 6,935
Hawaiian Electric Industries Inc. 251,752 6,571
ONEOK, Inc. 289,590 6,368
* Allegheny Energy, Inc. 399,266 6,153
National Fuel Gas Co. 244,211 6,105
Vectren Corp. 238,276 5,978
Aqua America, Inc. 291,459 5,844
AGL Resources Inc. 193,064 5,608
Westar Energy, Inc. 263,407 5,244
Piedmont Natural Gas, Inc. 119,618 5,108
UGI Corp. Holding Co. 157,777 5,065
57
Market
Small-Cap Value Value^
Index Fund Shares (000)
WPS Resources Corp. 107,896 $ 5,001
Peoples Energy Corp. 117,079 4,935
Energen Corp. 102,730 4,930
NICOR Inc. 138,358 4,700
* CMS Energy Corp. 506,606 4,625
Duquesne Light Holdings, Inc. 237,891 4,594
WGL Holdings Inc. 152,908 4,392
Atmos Energy Corp. 162,954 4,170
* Kinder Morgan
Management, LLC 109,401 4,023
PNM Resources Inc. 189,783 3,942
Southern Union Co. 171,920 3,624
New Jersey Resources Corp. 86,346 3,590
* Cincinnati Bell Inc. 768,028 3,410
IDACORP, Inc. 120,069 3,242
Black Hills Corp. 96,514 3,040
Sierra Pacific Resources 368,813 2,844
UniSource Energy Corp. 107,002 2,659
Avista Corp. 144,276 2,658
Cleco Corp. 147,568 2,653
Southwest Gas Corp. 108,500 2,618
Northwest Natural Gas Co. 85,528 2,609
* El Paso Electric Co. 149,414 2,307
CH Energy Group, Inc. 49,603 2,304
* Aquila, Inc. 613,725 2,185
UIL Holdings Corp. 43,152 2,101
Otter Tail Corp. 77,018 2,069
Price Communications Corp. 133,835 1,975
MGE Energy, Inc. 58,036 1,894
South Jersey Industries, Inc. 42,500 1,870
The Laclede Group, Inc. 62,015 1,700
Empire District Electric Co. 79,341 1,596
California Water Service Group 54,195 1,493
American States Water Co. 47,886 1,113
North Pittsburgh Systems, Inc. 40,121 804
CT Communications, Inc. 52,683 793
Cascade Natural Gas Corp. 35,188 777
Central Vermont Public
Service Corp. 37,825 775
NUI Corp. 50,136 732
SJW Corp. 19,900 677
Connecticut Water Services, Inc. 25,040 643
Talk America Holdings, Inc. 79,817 612
* Mediacom Communications Corp. 68,300 534
Surewest Communications 14,392 455
Shenandoah
Telecommunications Co. 13,942 376
* General Communication, Inc. 44,128 350
Time Warner Telecom Inc. 48,281 202
* McLeod USA Inc. 298,756 143
189,848
Other (1.0%)
Carlisle Co., Inc. 97,656 $ 6,079
Teleflex Inc. 113,120 5,673
Trinity Industries, Inc. 117,966 3,750
Lancaster Colony Corp. 89,873 3,742
GenCorp, Inc. 111,245 1,490
Kaman Corp. Class A 68,961 965
Sequa Corp. Class A 14,566 852
Walter Industries, Inc. 30,691 418
22,969
TOTAL COMMON STOCKS
(Cost $1,826,107) 2,263,583
Amount
(000)
TEMPORARY CASH INVESTMENTS (2.6%)
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.46%, 7/1/2004--Note E $55,081 55,081
1.47%, 7/1/2004 2,422 2,422
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $57,503) 57,503
TOTAL INVESTMENTS (102.5%)
(Cost $1,883,610) 2,321,086
OTHER ASSETS AND LIABILITIES (-2.5%)
Other Assets--Note B 14,376
Security Lending Collateral
Payable to Brokers--Note E (55,081)
Other Liabilities (15,431)
(56,136)
NET ASSETS (100%) $2,264,950
^See Note A in Notes to Financial Statements.
*Non-income-producing security.
REIT-Real Estate Investment Trust.
58
Amount
(000)
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
Paid-in Capital $2,088,882
Undistributed Net Investment Income 16,919
Accumulated Net Realized Losses (278,327)
Unrealized Appreciation 437,476
NET ASSETS $2,264,950
Investor Shares--Net Assets
Applicable to 170,718,701 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $2,120,963
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $12.42
Institutional Shares--Net Assets
Applicable to 9,459,652 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $117,824
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $12.46
VIPER Shares--Net Assets
Applicable to 504,096 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $26,163
NET ASSET VALUE PER SHARE--
VIPER SHARES $51.90
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
59
STATEMENT OF OPERATIONS
This Statement shows the types of income earned by each fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period.
Small-Cap Small-Cap
Small-Cap Growth Value
Index Fund Index Fund Index Fund
Six Months Ended June 30, 2004
(000) (000) (000)
INVESTMENT INCOME
Income
Dividends $ 44,519 $ 1,857 $20,027
Interest 190 24 18
Security Lending 1,493 214 330
Total Income 46,202 2,095 20,375
Expenses
The Vanguard Group--Note B
Investment Advisory Services 37 37 37
Management and Administrative
Investor Shares 6,268 1,144 2,122
Admiral Shares 703 -- --
Institutional Shares 411 4 25
VIPER Shares 33 27 21
Marketing and Distribution
Investor Shares 365 86 154
Admiral Shares 96 -- --
Institutional Shares 117 3 10
VIPER Shares 2 1 1
Custodian Fees 160 185 138
Shareholders' Reports
Investor Shares 114 10 20
Admiral Shares 1 -- --
Institutional Shares 1 -- --
VIPER Shares -- -- --
Trustees' Fees and Expenses 4 1 1
Total Expenses 8,312 1,498 2,529
NET INVESTMENT INCOME 37,890 597 17,846
REALIZED NET GAIN (LOSS)
Investment Securities Sold 184,592 36,854 52,399
Futures Contracts (353) 59 60
REALIZED NET GAIN (LOSS) 184,239 36,913 52,459
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 335,225 31,901 87,875
Futures Contracts (253) -- --
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 334,972 31,901 87,875
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $557,101 $69,411 $158,180
60
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each fund’s total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund’s net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares.
Small-Cap Small-Cap Growth
Index Fund Index Fund
Six Months Year Six Months Year
Ended Ended Ended Ended
June 30, 2004 Dec. 31, 2003 June 30, 2004 Dec. 31, 2003
(000) (000) (000) (000)
INCREASE (DECREASE) IN
NET ASSETS
Operations
Net Investment Income $ 37,890 $ 62,761 $ 597 $ 1,369
Realized Net Gain (Loss) 184,239 (841,217) 36,913 46,692
Change in Unrealized
Appreciation 334,972 2,807,750 31,901 166,882
(Depreciation)
Net Increase (Decrease) in
Net Assets
Resulting from Operations 557,101 2,029,294 69,411 214,943
Distributions
Net Investment Income
Investor Shares -- (43,573) -- (1,547)
Admiral Shares -- (10,499) -- --
Institutional Shares -- (10,910) -- (68)
VIPER Shares -- -- -- --
Realized Capital Gain
Investor Shares -- -- -- --
Admiral Shares -- -- -- --
Institutional Shares -- -- -- --
VIPER Shares -- -- -- --
Total Distributions -- (64,982) -- (1,615)
Capital Share Transactions
- --Note F
Investor Shares 388,573 559,646 283,281 313,013
Admiral Shares 31,393 173,758 -- --
Institutional Shares 264,961 120,654 3,648 (81,321)
VIPER Shares 76,199 -- 65,122 --
Net Increase (Decrease) from
Capital Share Transactions 761,126 854,058 352,051 231,692
Total Increase (Decrease) 1,318,227 2,818,370 421,462 445,020
Net Assets
Beginning of Period 7,037,515 4,219,145 936,556 491,536
End of Period $8,355,742 $7,037,515 $1,358,018 $936,556
61
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
Small-Cap Value
Index Fund
Six Months Year
Ended Ended
June 30, 2004 Dec. 31, 2003
(000) (000)
INCREASE (DECREASE) IN NET ASSETS
Operations
Net Investment Income $ 17,846 $ 30,366
Realized Net Gain (Loss) 52,459 (159,971)
Change in Unrealized Appreciation
(Depreciation) 87,875 583,355
Net Increase (Decrease) in Net
Assets Resulting from Operations 158,180 453,750
Distributions
Net Investment Income
Investor Shares -- (29,307)
Institutional Shares -- (1,838)
VIPER Shares -- --
Realized Capital Gain
Investor Shares -- --
Institutional Shares -- --
VIPER Shares -- --
Total Distributions -- (31,145)
Capital Share Transactions--Note F
Investor Shares 241,542 145,432
Institutional Shares 3,593 (246,367)
VIPER Shares 25,470 --
Net Increase (Decrease) from Capital
Share Transactions 270,605 (100,935)
Total Increase (Decrease) 428,785 321,670
Net Assets
Beginning of Period 1,836,165 1,514,495
End of Period $2,264,950 $1,836,165
62
FINANCIAL HIGHLIGHTS
This table summarizes each fund’s investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund’s net income and total returns from year to year; the relative contributions of net income and capital gains to the fund’s total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
Small-Cap Index Fund Investor Shares
Six Months Ended Year Ended December 31,
For a Share Outstanding June 30,
Throughout Each Period 2004 2003 2002 2001 2000 1999
Net Asset Value,
Beginning of Period $22.60 $15.66 $19.82 $19.44 $23.60 $21.20
Investment Operations
Net Investment Income .11 .200 .192 .217 .270 .256
Net Realized and Unrealized
Gain (Loss) on Investments 1.62 6.944 (4.160) .388 (1.145) 4.491
Total from Investment Operations 1.73 7.144 (3.968) .605 (.875) 4.747
Distributions
Dividends from Net
Investment Income -- (.204) (.192) (.225) (.260) (.267)
Distributions from Realized
Capital Gains -- -- -- -- (3.025) (2.080)
Total Distributions -- (.204) (.192) (.225) (3.285) (2.347)
Net Asset Value, End of Period $24.33 $22.60 $15.66 $19.82 $19.44 $23.60
Total Return* 7.65% 45.63% -20.02% 3.10% -2.67% 23.13%
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $5,640 $4,871 $2,943 $3,545 $3,577 $3,553
Ratio of Total Expenses to
Average Net Assets 0.26%† 0.27% 0.27% 0.27% 0.27% 0.25%
Ratio of Net Investment Income
to Average Net Assets 0.92%† 1.17% 1.11% 1.16% 1.17% 1.25%
Portfolio Turnover Rate** 19%† 39%†† 32% 39% 49% 42%
*Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2000, or the $10 annual account maintenance fee applied on balances under $10,000.
**Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation units.
†Annualized.
††Includes activity related to a change in the fund’s target index.
63
FINANCIAL HIGHLIGHTS (CONTINUED)
Small-Cap Index Fund Admiral Shares
Nov. 13* to
Six Months Ended Year Ended December 31,
June 30, Dec. 31,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000
Net Asset Value, Beginning
of Period $22.60 $15.66 $19.82 $19.44 $22.40
Investment Operations
Net Investment Income .13 .220 .207 .231 .053
Net Realized and Unrealized
Gain
(Loss) on Investments 1.62 6.944 (4.160) .388 .062
Total from Investment
Operations 1.75 7.164 (3.953) .619 .115
Distributions
Dividends from Net
Investment Income -- (.224) (.207) (.239) (.265)
Distributions from
Realized Capital Gains -- -- -- -- (2.810)
Total Distributions -- (.224) (.207) (.239) (3.075)
Net Asset Value,
End of Period $24.35 $22.60 $15.66 $19.82 $19.44
Total Return 7.74% 45.76% -19.95% 3.17% 1.75%
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $1,167 $1,056 $591 $547 $252
Ratio of Total Expenses
to Average Net Assets 0.15%** 0.18% 0.18% 0.20% 0.20%**
Ratio of Net Investment
Income to Average Net Assets 1.04%** 1.26% 1.22% 1.24% 1.79%**
Portfolio Turnover Rate† 19%** 39%†† 32% 39% 49%
*Inception.
**Annualized.
†Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation units.
††Includes activity related to a change in the fund’s target index.
64
Small-Cap Index Fund Institutional Shares
Six Months Ended Year Ended December 31,
June 30,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000 1999
Net Asset Value, Beginning
of Period $22.61 $ 15.66 $19.82 $19.44 $23.61 $21.20
Investment Operations
Net Investment Income .13 .240 .219 .251 .292 .295
Net Realized and Unrealized
Gain (Loss) on Investments 1.62 6.944 (4.160) .388 (1.145) 4.491
Total from Investment Operations 1.75 7.184 (3.941) .639 (.853) 4.786
Distributions
Dividends from Net
Investment Income -- (.234) (.219) (.259) (.292) (.296)
Distributions from
Realized Capital Gains -- -- -- -- (3.025) (2.080)
Total Distributions -- (.234) (.219) (.259) (3.317) (2.376)
Net Asset Value,
End of Period $24.36 $22.61 $15.66 $19.82 $19.44 $23.61
Total Return* 7.74% 45.88% -19.89% 3.27% -2.56% 23.33%
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $1,472 $1,111 $686 $584 $490 $415
Ratio of Total Expenses to
Average Net Assets 0.08%** 0.10% 0.10% 0.10% 0.13% 0.12%
Ratio of Net Investment
Income to Average Net Assets 1.09%** 1.33% 1.32% 1.34% 1.32% 1.37%
Portfolio Turnover Rate† 19%** 39%†† 32% 39% 49% 42%
*Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2000.
**Annualized.
†Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation units.
††Includes activity related to a change in the fund’s target index.
65
FINANCIAL HIGHLIGHTS (CONTINUED)
Small-Cap Index Fund VIPER Shares
Jan. 26* to
For a Share Outstanding Throughout The Period June 30, 2004
Net Asset Value, Beginning of Period $50.65
Investment Operations
Net Investment Income .21
Net Realized and Unrealized Gain (Loss) on Investments .04
Total from Investment Operations .25
Distributions
Dividends from Net Investment Income --
Distributions from Realized Capital Gains --
Total Distributions --
Net Asset Value, End of Period $50.90
Total Return 0.49%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $77
Ratio of Total Expenses to Average Net Assets 0.18%**
Ratio of Net Investment Income to Average Net Assets 0.96%**
Portfolio Turnover Rate† 19%**
*Inception.
**Annualized.
†Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation units.
66
Small-Cap Growth Index Fund Investor Shares
Six Months Ended Year Ended December 31,
June 30,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000 1999
Net Asset Value,
Beginning of Period $13.08 $ 9.17 $10.87 $10.97 $11.38 $ 9.53
Investment Operations
Net Investment Income .01 .021 .027 .009 .009 .025
Net Realized and Unrealized
Gain (Loss) on Investments .93 3.911 (1.702) (.094) .154 1.860
Total from Investment
Operations .94 3.932 (1.675) (.085) .163 1.885
Distributions
Dividends from Net
Investment Income -- (.022) (.025) (.015) (.003) (.035)
Distributions from
Realized Capital Gains -- -- -- -- (.570) --
Total Distributions -- (.022) (.025) (.015) (.573) (.035)
Net Asset Value,
End of Period $14.02 $13.08 $ 9.17 $10.87 $10.97 $11.38
Total Return* 7.19% 42.88% -15.41% -0.78% 1.59% 19.80%
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $1,258 $907 $388 $357 $356 $167
Ratio of Total Expenses to
Average Net Assets 0.26%** 0.27% 0.27% 0.27% 0.27% 0.25%
Ratio of Net Investment
Income to Average Net Assets 0.09%** 0.21% 0.24% 0.11% 0.03% 0.33%
Portfolio Turnover Rate†† 40%** 91%+ 61% 74% 136% 82%
*Total returns do not reflect transaction fees on purchases (0.5% from March 1, 1999, through March 31, 2002; 1.0% from inception through February 28, 1999) or the $10 annual account maintenance fee applied on balances under $10,000.
**Annualized.
†Includes activity related to a change in the fund’s target index.
††Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation units.
67
FINANCIAL HIGHLIGHTS (CONTINUED)
Small-Cap Growth Index Fund Institutional Shares
Six Months Ended Year Ended May 24* to
June 30, December 31, Dec. 31,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000
Net Asset Value, Beginning of Period $13.09 $ 9.17 $10.87 $10.97 $11.03
Investment Operations
Net Investment Income .03 .039 .043 .024 .009
Net Realized and Unrealized
Gain (Loss) on Investments .93 3.911 (1.702) (.094) .513
Total from Investment Operations .96 3.950 (1.659) (.070) .522
Distributions
Dividends from Net
Investment Income -- (.030) (.041) (.030) (.012)
Distributions from
Realized Capital Gains -- -- -- -- (.570)
Total Distributions -- (.030) (.041) (.030) (.582)
Net Asset Value,
End of Period $14.05 $13.09 $ 9.17 $10.87 $10.97
Total Return** 7.33% 43.08% -15.26% -0.64% 4.90%
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $36 $30 $104 $109 $73
Ratio of Total Expenses
to Average Net Assets 0.08%† 0.10% 0.10% 0.10% 0.13%†
Ratio of Net Investment
Income to Average Net Assets 0.27%† 0.38% 0.41% 0.28% 0.11%†
Portfolio Turnover Rate†† 40%† 91%†† 61% 74% 136%
*Inception.
**Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2002.
†Annualized.
††Includes activity related to a change in the fund
’s target index.
‡Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation units.
68
Small-Cap Growth Index Fund VIPER Shares
Jan. 26* to
For a Share Outstanding Throughout The Period June 30, 2004
Net Asset Value, Beginning of Period $50.77
Investment Operations
Net Investment Income .02
Net Realized and Unrealized Gain (Loss) on Investments (.88)
Total from Investment Operations (.86)
Distributions
Dividends from Net Investment Income --
Distributions from Realized Capital Gains --
Total Distributions --
Net Asset Value, End of Period $49.91
Total Return -1.69%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $65
Ratio of Total Expenses to Average Net Assets 0.22%**
Ratio of Net Investment Income to Average Net Assets 0.14%**
Portfolio Turnover Rate† 40%**
*Inception.
**Annualized.
†Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation units.
69
FINANCIAL HIGHLIGHTS (CONTINUED)
Small-Cap Value Index Fund Investor Shares
Six Months Ended Year Ended December 31,
June 30,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000 1999
Net Asset Value,
Beginning of Period $11.49 $8.52 $10.29 $ 9.65 $8.45 $8.74
Investment Operations
Net Investment Income .10 .192 .090 .074 .084 .065
Net Realized and
Unrealized Gain (Loss)on Investments .83 2.976 (1.494) 1.176 1.698 .210
Total from Investment Operations .93 3.168 (1.404) 1.250 1.782 .275
Distributions
Dividends from Net
Investment Income -- (.198) (.090) (.065) (.082) (.070)
Distributions from
Realized Capital Gains -- -- (.276) (.545) (.500) (.495)
Total Distributions -- (.198) (.366) (.610) (.582) (.565)
Net Asset Value, End of Period $12.42 $11.49 $ 8.52 $10.29 $9.65 $8.45
Total Return* 8.09% 37.19% -14.20% 13.70% 21.88% 3.35%
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $2,121 $1,730 $1,176 $802 $317 $204
Ratio of Total Expenses to
Average Net Assets 0.26%** 0.27% 0.27% 0.27% 0.27% 0.25%
Ratio of Net Investment
Income to Average Net Assets 1.73%** 2.07% 0.93% 0.97% 1.16% 0.96%
Portfolio Turnover Rate†† 25%** 100%† 57% 59% 82% 80%
*Total returns do not reflect transaction fees on purchases (0.5% from March 1, 1999, through March 31, 2002; 1.0% from inception through February 28, 1999) or the $10 annual account maintenance fee applied on balances under $10,000.
**Annualized.
†Includes activity related to a change in the fund’s target index.
††Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation units.
70
Small-Cap Value Index Fund Institutional Shares
Six Months Ended Year Ended Dec. 7* to
June 30, December 31, Dec. 31,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000 1999
Net Asset Value,
Beginning of Period $11.50 $8.53 $10.29 $ 9.65 $8.45 $8.74
Investment Operations
Net Investment Income .13 .198 .114 .089 .097 .009
Net Realized and
Unrealized Gain (Loss)
on Investments .83 2.976 (1.494) 1.176 1.698 .226
Total from Investment
Operations .96 3.174 (1.380) 1.265 1.795 .235
Distributions
Dividends from Net
Investment Income -- (.204) (.104) (.080) (.095) (.070)
Distributions from
Realized Capital Gains -- -- (.276) (.545) (.500) (.455)
Total Distributions -- (.204) (.380) (.625) (.595) (.525)
Net Asset Value,
End of Period $12.46 $11.50 $ 8.53 $10.29 $9.65 $8.45
Total Return** 8.35% 37.22% -13.96% 13.86% 22.04% 2.83%
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $118 $106 $338 $325 $86 $10
Ratio of Total Expenses
to Average Net Assets 0.08%† 0.10% .10% 0.10% 0.13% 0.13%†
Ratio of Net Investment
Income to Average Net Assets 1.92%† 2.24% 1.08% 1.14% 1.36% 1.37%†
Portfolio Turnover Rate†† 25%† 100%†† 57% 59% 82% 80%
*Inception.
**Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2002.
†Annualized. ††Includes activity related to a change in the fund’s target index.
‡Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation units.
71
FINANCIAL HIGHLIGHTS (CONTINUED)
Small-Cap Value Index Fund VIPER Shares
Jan. 26* to
For a Share Outstanding Throughout The Period June 30, 2004
Net Asset Value, Beginning of Period $50.53
Investment Operations
Net Investment Income .40
Net Realized and Unrealized Gain (Loss)
on Investments .97
Total from Investment Operations 1.37
Distributions
Dividends from Net Investment Income --
Distributions from Realized Capital Gains --
Total Distributions --
Net Asset Value, End of Period $51.90
Total Return 2.71%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $26
Ratio of Total Expenses to Average Net Assets 0.22%**
Ratio of Net Investment Income to Average Net Assets 1.83%**
Portfolio Turnover Rate+ 25%**
*Inception.
**Annualized.
†Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation units.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
72
NOTES TO FINANCIAL STATEMENTS
Vanguard Small-Cap Index, Small-Cap Growth Index, and Small-Cap Value Index Funds are registered under the Investment Company Act of 1940 as open-end investment companies, or mutual funds. The Small-Cap Index Fund offers four classes of shares: Investor Shares, Admiral Shares, Institutional Shares, and VIPER Shares. The Small-Cap Growth Index and Small-Cap Value Index Funds each offer three classes of shares, Investor Shares, Institutional Shares, and VIPER Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $10 million. VIPER Shares are listed for trading on the American Stock Exchange; they can be purchased and sold through a broker. The Small-Cap Index, Small-Cap Growth Index, and Small-Cap Value Index Funds VIPER Shares were first issued on January 26, 2004, and offered to the public on January 30, 2004.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The funds consistently follow such policies in preparing their financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the funds’ pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The funds use Russell 2000 Index and S&P MidCap 400 Index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. A fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. A fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Repurchase Agreements: The funds, along with other members of The Vanguard Group, transfer uninvested cash balances to a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
73
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
4. Federal Income Taxes: Each fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
6. Other: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2004, the funds had contributed capital to Vanguard (included in Other Assets) of:
Capital Contribution Percentage Percentage of
to Vanguard of Fund Vanguard's
Index Fund (000) Net Assets Capitalization
Small-Cap $1,159 0.01% 1.16%
Small-Cap Growth 186 0.01 0.19
Small-Cap Value 310 0.01 0.31
The funds’ trustees and officers are also directors and officers of Vanguard.
C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2004, the Small-Cap Index and Small-Cap Growth Index Funds realized $4,910,000 and $1,801,000, respectively, of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the funds, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital.
74
The funds’ tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2003, the following funds had tax-basis capital losses available to offset future net capital gains:
Capital Losses
Expiration: Fiscal
Amount Years Ending
Index Fund (000) December 31
Small-Cap $1,009,290 2009-2012
Small-Cap Growth 103,165 2009-2012
Small-Cap Value 328,412 2010-2011
The funds will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2004; should the funds realize net capital losses for the year, the losses will be added to the loss carryforward balances above.
At June 30, 2004, net unrealized appreciation of investment securities for tax purposes was:
(000)
Net Unrealized
Appreciated Depreciated Appreciation
Index Fund Securities Securities (Depreciation)
Small-Cap $2,391,639 $(296,728) $2,094,911
Small-Cap Growth 257,991 (45,328) 212,663
Small-Cap Value 467,042 (29,566) 437,476
At June 30, 2004, the aggregate settlement value of open futures contracts expiring in September 2004 and the related unrealized appreciation (depreciation) were:
(000)
Aggregate Unrealized
Number of Settlement Appreciation
Index Fund/Futures Contracts Long Contracts Value (Depreciation)
Small-Cap/
E-mini Russell 2000 Index 80 $4,739 $14
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D. During the six months ended June 30, 2004, purchases and sales of investment securities other than temporary cash investments were:
(000)
Index Fund Purchases Sales
Small-Cap $1,589,153 $770,481
Small-Cap Growth 591,438 238,583
Small-Cap Value 553,203 260,294
75
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
E. The market value of securities on loan to broker/dealers at June 30, 2004, and collateral received with respect to such loans were:
(000)
Market Value Cash
of Loaned Collateral
Index Fund Securities Received
Small-Cap $393,181 $423,750
Small-Cap Growth 43,071 47,801
Small-Cap Value 51,446 55,081
The funds invest cash collateral received in repurchase agreements, and record a liability for the return of the collateral, during the period the securities are on loan.
F. Capital share transactions for each class of shares were:
ix Months Ended Year Ended
June 30, 2004 December 31, 2003
Amount Shares Amount Shares
Index Fund (000) (000) (000) (000)
Small-Cap
Investor Shares
Issued $943,262 39,931 $1,255,911 65,734
Issued in Lieu of Cash
Distributions -- -- 40,382 1,799
Redeemed (554,689) (23,643) (736,647) (39,926)
Net Increase (Decrease)
- --Investor Shares 388,573 16,288 559,646 27,607
Admiral Shares
Issued 345,075 14,620 370,576 19,377
Issued in Lieu of Cash
Distributions -- -- 8,958 399
Redeemed (313,682) (13,419) (205,776) (10,747)
Net Increase (Decrease)
- --Admiral Shares 31,393 1,201 173,758 9,029
Institutional Shares
Issued 478,499 20,432 301,591 15,201
Issued in Lieu of Cash
Distributions -- -- 9,885 440
Redeemed (213,538) (9,146) (190,822) (10,272)
Net Increase (Decrease)
- --Institutional Shares 264,961 11,286 120,654 5,369
VIPER Shares
Issued 86,071 1,706 -- --
Issued in Lieu of Cash
Distributions -- -- -- --
Redeemed (9,872) (200) -- --
Net Increase (Decrease)
- --VIPER Shares 76,199 1,506 -- --
76
Six Months Ended Year Ended
June 30, 2004 December 31, 2003
Amount Shares Amount Shares
Index Fund (000) (000) (000) (000)
Small-Cap Growth
Investor Shares
Issued $449,312 32,569 $477,577 41,583
Issued in Lieu of Cash
Distributions -- -- 1,307 101
Redeemed (166,031) (12,214) (165,871) (14,657)
Net Increase (Decrease)
- --Investor Shares 283,281 20,355 313,013 27,027
Institutional Shares
Issued 6,812 502 34,063 3,404
Issued in Lieu of Cash
Distributions -- -- 68 5
Redeemed (3,164) (243) (115,452) (12,427)
Net Increase (Decrease)
- --Institutional Shares 3,648 259 (81,321) (9,018)
VIPER Shares
Issued 70,023 1,400 -- --
Issued in Lieu of Cash
Distributions -- -- -- --
Redeemed (4,901) (100) -- --
Net Increase (Decrease)
- --VIPER Shares 65,122 1,300 -- --
Small-Cap Value
Investor Shares
Issued $491,648 41,155 $523,908 54,116
Issued in Lieu of Cash
Distributions -- -- 26,862 2,345
Redeemed (250,106) (21,103) (405,338) (43,803)
Net Increase (Decrease)
- --Investor Shares 241,542 20,052 145,432 12,658
Institutional Shares
Issued 9,564 786 91,334 10,337
Issued in Lieu of Cash
Distributions -- -- 1,528 133
Redeemed (5,971) (515) (339,229) (40,928)
Net Increase (Decrease)
- --Institutional Shares 3,593 271 (246,367) (30,458)
VIPER Shares
Issued 25,470 504 -- --
Issued in Lieu of Cash
Distributions -- -- -- --
Redeemed -- -- -- --
Net Increase (Decrease)
- --VIPER Shares 25,470 504 -- --
77
INVESTING IS FAST, EASY, AND SECURE ON VANGUARD.COM
If you’re like many Vanguard investors, you believe in planning and taking control of your own investments. Vanguard.com was built for you—and it keeps getting better.
RESEARCH AND PLAN YOUR INVESTMENTS WITH CONFIDENCE
Use our Planning & Advice and Research Funds & Stocks sections to: • Determine what asset allocation might best suit your needs—by taking our Investor Questionnaire.
• Find out how much to save for retirement and your children’s college education—by using our planning tools.
• Learn how to achieve your goals—by reading our PlainTalk® investment guides. • Find your next fund—by using the Compare Funds, Compare Costs, and Narrow Your Fund Choices tools.
• Look up fund price, performance history, and distribution information—in a snap.
INVEST AND MANAGE ACCOUNTS WITH EASE
Log on to Vanguard.com to:
• See what you own (at Vanguard and elsewhere) and how your investments are doing. • Elect to receive online statements, fund reports (like this one), prospectuses, and tax forms.
• Analyze your portfolio’s holdings and performance.
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Find out what Vanguard.com can do for you. Log on today!
78
CAPITALIZE ON YOUR IRA
Are you taking full advantage of your individual retirement account? You really should be. These tax-deferred accounts are powerful options for retirement savers.
Here’s how you can exploit your IRA—and improve your chances of having the retirement of your dreams.
CONTRIBUTE THE MAXIMUM AMOUNT EACH YEAR
It may be an obvious point, but if you invest as much in your IRA as the law allows—currently $3,000 per tax year if you are under age 50 and $3,500 if you are age 50 or over—you will increase the odds of meeting your retirement goals. “Max out” every year you can.
MAKE IT AUTOMATIC
Put your IRA on autopilot by taking advantage of Vanguard’s Automatic Investment Plan. Your IRA contributions will be deducted from your bank account on a schedule of your choosing, making retirement investing a healthy habit.
CONSIDER COST
The owners of low-cost investments keep a larger portion of their gross returns than the owners of high-cost investments. Over the long term, avoiding costlier mutual funds and brokerage commissions could significantly boost your retirement savings. Our low costs are one reason a Vanguard IRA® is such a smart choice.
REQUEST A DIRECT ROLLOVER WHEN YOU CHANGE JOBS
Don’t spend your retirement assets before you’ve retired. When you change jobs, roll your 401(k) or other employer-sponsored retirement plan assets directly into your IRA.
If you have questions about your IRA, want to transfer an IRA from another institution to Vanguard, or need help with any other IRA transaction, call our Retirement Resource Center at 1-800-205-6189 or visit Vanguard.com. You can open or fund your IRA on our website and have a confirmation in your hand within minutes.
79
THE PEOPLE WHO GOVERN YOUR FUND
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard® funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of
Position(s) Held With
Name Fund (Number of
(Year of Birth) Vanguard Funds
Trustee/officer Overseen by
Since Trustee/officer) Principal Occupation(s) During the Past
Five Years
John J. Brennan* Chairman of the Chairman of the Board, Chief Executive
(1954) Board, Chief Officer, and Director/Trustee of The
May 1987 Executive Officer, Vanguard Group, Inc., and of each of the
and Trustee investment companies served by The
(131) Vanguard Group.
INDEPENDENT TRUSTEES
Charles D. Ellis Trustee The Partners of `63 (pro bono ventures
(1937) (131) in education); Senior Advisor to
January 2001 Greenwich); Associates (international
business strategy consulting Successor
Trustee of Yale University; Overseer
of the Stern School of Business at
New York University; of the Whitehead
Institute Biomedical Research.
Rajiv L. Gupta Trustee Chairman and Chief Executive Officer
(1945) (131) (since October 1999), Vice Chairman
December 2001 (January-September 1999), and Vice
President (prior to September 1999) of
Rohm and Haas Co. (chemicals); Director
of Technitrol, Inc. (electronic
components), and Agere Systems
(communications components); Board
Member of the American Chemistry
Council; Trustee of Drexel University.
Joann Heffernan Trustee Vice President, Chief Information
Heisen (131) Officer, and Member of the Executive
(1950) Committee of Johnson & Johnson
July 1998 (pharmaceuticals/consumer products);
Director of the University Medical Center
at Princeton and Women's Research and
Education Institute.
Burton G. Malkiel Trustee Chemical Bank Chairman's Professor
(1932) (129) of Economics, Princeton University;
May 1977 Director of Vanguard Investment Series
plc (Irish invest-ent fund) (since
November 2001), Vanguard Group (Ireland)
Limited (Irish investment management
firm) (since November 2001), Prudential
Insurance Co. of America, BKF Capital
(investment management), The Jeffrey Co.
(holding company), and NeuVis, Inc.
(software company).
the funds. Among board members’ responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee’s retirement, resignation, or death; or otherwise as specified in the fund’s organizational documents. Any trustee may be removed at a shareholders’ meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
Position(s) Held With
Name Fund (Number of
(Year of Birth) Vanguard Funds
Trustee/officer Overseen by
Since Trustee/officer) Principal Occupation(s) During the Past
Five Years
Alfred M. Rankin, Jr. Trustee Chairman, President, Chief
(1941) (131) Executive Officer, and Director of NACCO
January 1993 Industries, Inc. (forklift trucks/
housewares/lignite); Director of
Goodrich Corporation (industrial
products/aircraft systems and
services); Director of Standard
Products Company (supplier for the
automotive industry) until 1998.
J. Lawrence Wilson Trustee Retired Chairman and Chief
(1936) (131) Executive Officer of Rohm and Haas Co.
April 1985 (chemicals); Director of Cummins Inc.
(diesel engines), MeadWestvacoCorp.
(paper products), and
AmerisourceBergen Corp.
(pharmaceutical distribution);
Trustee of Vanderbilt University.
EXECUTIVE OFFICERS*
R. Gregory Barton Secretary Managing Director and General
(1951) (131) Counsel of The Vanguard Group, Inc.;
June 2001 Secretary of The Vanguard Group and
of each of the investmentcompanies
served by The Vanguard Group.
Thomas J. Higgins Treasurer Principal of The Vanguard
(1957) (131) Group, Inc.; Treasurer of each of
July 1998 the investment companies served by
The Vanguard Group.
More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group.
VANGUARD SENIOR MANAGEMENT TEAM
Mortimer J. Buckley, Information Technology.
James H. Gately, Investment Programs and Services.
Kathleen C. Gubanich, Human Resources.
F. William McNabb, III, Client Relationship Group.
Michael S. Miller, Planning and Development.
Ralph K. Packard, Finance.
George U. Sauter, Chief Investment Officer.
John C. Bogle, Founder; Chairman and Chief Executive Officer, 1974-1996.
Post Office Box 2600
Valley Forge, PA 19482-2600
Vanguard, The Vanguard Group, Vanguard.com, Vanguard IRA, Admiral, PlainTalk, VIPER, VIPERS, and the ship logo are trademarks of The Vanguard Group, Inc.
S&P 500 ®, Standard & Poor’s 500, and 500 are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the funds.
The funds or securities referred to herein that are offered by The Vanguard Group and track an MSCI index are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities. For such funds or securities, the prospectus or the Statement of Additional Information contains a more detailed description of the limited relationship MSCI has with The Vanguard Group.
All other marks are the exclusive property of their respective owners.
All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted.
About Our Cover
The photographs that appear on the cover of this report are copyrighted by Michael Kahn.
For More Information
This report is intended for the funds’ shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus.
To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the funds or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through Vanguard.com. Prospectuses may also be viewed online.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting our website, www.vanguard.com, and searching for “proxy voting guidelines,” or by calling 1-800-662-2739. They are also available from the SEC’s website, www.sec.gov. In addition, beginning August 31, 2004, you may obtain a free report on how the fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either www.vanguard.com or www.sec.gov.
World Wide Web
www.vanguard.com
Fund Information
1-800-662-7447
Direct Investor Account Services
1-800-662-2739
Institutional Investor Services
1-800-523-1036
Text Telephone
1-800-952-3335
© 2004 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q482 082004
Vanguard(R) U.S. Stock Index FundsMid-Capitalization Portfolios
June 30, 2004
semiannual report
Vanguard® Extended Market Index Fund Vanguard®
Mid-Cap Index Fund
HOW TO READ YOUR FUND REPORT
This report contains information that can help you evaluate your investment. It includes details about your fund’s return and presents data and analysis that provide insight into the fund’s performance and investment approach.
By reading the letter from Vanguard’s chairman, John J. Brennan, you’ll get an understanding of how the fund invests and how the market environment affected its performance. The statistical information that follows can help you understand how the fund’s performance and characteristics stack up against those of similar funds and market benchmarks.
It’s important to keep in mind that the opinions expressed here are just that: informed opinions. They should not be considered promises or advice. These opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in the fund are spelled out in the prospectus.
Frequent updates on the fund’s performance and information about some of its holdings are available on Vanguard.com®.
CONTENTS
1 LETTER FROM THE CHAIRMAN
7 FUND PROFILES
9 GLOSSARY OF INVESTMENT TERMS
10 PERFORMANCE SUMMARIES
12 ABOUT YOUR FUND'S EXPENSES
14 FINANCIAL STATEMENTS
71 ADVANTAGES OF VANGUARD.COM
Summary
* During the first half of 2004, the Investor Shares of Vanguard Extended Market Index Fund returned 6.0%, and those of Vanguard Mid-Cap Index Fund returned 5.8%.
** Both funds outperformed the average mid-capitalization core fund.
* The Extended Market Index Fund’s exposure to small-cap stocks—many of which were among the market’s best performers—enhanced its return for the period.
Want Less Clutter in Your Mailbox? Just Register With Vanguard.com and Opt to Get Fund Reports Online.
[GRAPHIC]
LETTER FROM THE CHAIRMAN
Dear Shareholder,
The impressive rebound in the returns of mid-capitalization stocks that began in 2003 continued into the first quarter of 2004, then slowed notably in the second quarter. The Investor Shares of both Vanguard Extended Market Index Fund and Vanguard Mid-Cap Index Fund posted six-month returns of 6.0% and 5.8%, respectively.
Both funds met their objectives of closely tracking their target indexes, and both outperformed the average return of mid-cap core mutual funds by a small margin.
- -------------------------------------------------------------------
Total Returns Six Months Ended
June 30, 2004
- -------------------------------------------------------------------
Vanguard Extended Market Index FunD
Investor Shares 6.0%
Admiral Shares 6.1
Institutional Shares 6.1
VIPER Shares
Market Price 5.7
Net Asset Value 6.1
Dow Jones Wilshire 4500 Index 5.8
Average Mid-Cap Core Fund* 5.6
- -------------------------------------------------------------------
Vanguard Mid-cap Index Fund
Investor Shares 5.8%
Admiral Shares 5.8
Institutional Shares 5.8
VIPER Shares
Market Price 1.2**
Net Asset Value 1.2**
MSCI US Mid Cap 450 Index 5.9
Average Mid-Cap Core Fund* 5.6
- -------------------------------------------------------------------
*Derived from data provided by Lipper Inc.
**Return since inception on January 26, 2004.
The table at left shows the total returns for the funds’ various share classes, in addition to the returns for the funds’ target indexes and the average mid-cap core fund. For more information about starting and ending share prices and distributions to shareholders, see page 5.
STOCKS GAINED AS THE ECONOMY
REBOUNDED
Stock markets worldwide showed moderate gains across the board as investors took heart from a generally positive economic environment. In the United States, corporate earnings were strong, and Wall Street boosted its earnings-growth forecasts as
1
Admiral™ Shares
A Lower-cost Class of Shares Available to Many Longtime Shareholders and to Those With Significant Investments in the Fund.
Institutional Shares
This Class of Shares Also Carries Low Expenses and is Available for a Minimum Investment of $10 Million.
VIPER® SHARES
Traded On the American Stock Exchange, Vipers® are Available Only Through Brokers. the Table On Page 1 Shows Viper Returns Based On Both the Amex Market Price and the Net Asset Value for a Share.
the economic expansion accelerated. Consumer confidence solidified during the half-year as job creation increased.
Gains were tempered, however, by a two-month period in which indicators of rising inflation rattled investors. Unrest in the Middle East and growing global demand pushed the price of crude oil past a level last seen more than 20 years earlier, during the Iran-Iraq War. But good economic news was back in the headlines in May and June, prompting a snapback for stocks.
For the six months, the broad U.S. stock market, as measured by the Dow Jones Wilshire 5000 Composite Index, returned 3.9%. The Russell 1000 Index of mid- to large-cap stocks produced a 3.3% gain, while the Russell 2000 Index, a proxy for small-cap stocks, jumped 6.8%. Across the market-cap spectrum, value-oriented stocks (those that generally trade at below-market valuations relative to their earnings and other fundamental measures) outdistanced growth stocks (those expected to produce above-average earnings growth).
European and Pacific markets produced local-currency returns topping those of U.S. stocks. However, international stock returns were dampened somewhat for U.S.-based investors as the rebounding domestic economy and rising interest rates caused the U.S. dollar to strengthen against many currencies. (A stronger U.S. currency means that foreign returns translate into fewer dollars.) Emerging-markets returns, in the aggregate, were negative for the six-month period.
BONDS REACTED TO THE STRONGER ECONOMY
In the fixed income markets, interest rates rose across bond maturities, depressing prices. Rates stayed at historically low levels during the first half of the period, then rose sharply in April as the economy strengthened. For the six months, the yield of the benchmark 10-year U.S.
2
Treasury note increased 33 basis points (0.33 percentage point), from 4.25% to 4.58%. At the short end of the maturity spectrum, rates climbed more sharply in anticipation that the Federal Reserve Board
- -------------------------------------------------------------------------
Market Barometer Total Returns
Periods Ended June 30, 2004
---------------------------
Six One Five
Months Year Years*
- -------------------------------------------------------------------------
Stocks Russell 1000 Index (Large-caps) 3.3% 19.5% -1.6%
Russell 2000 Index (Small-caps) 6.8 33.4 6.6
Dow Jones Wilshire 5000 Index 3.9 21.2 -1.0
(Entire market)
MSCI All Country World Index
ex USA (International) 4.1 32.5 1.0
- -------------------------------------------------------------------------
Bonds Lehman Aggregate Bond Index 0.2% 0.3% 6.9%
(Broad taxable market)
Lehman Municipal Bond Index -0.7 0.8 5.9
Citigroup 3-Month Treasury Bill Index 0.5 1.0 3.1
=========================================================================
CPI Consumer Price Index 2.9% 3.3% 2.7%
- -------------------------------------------------------------------------
*Annualized.
would increase its target for the federal funds rate. The Fed acted on June 30, lifting its target by 25 basis points, the first increase in four years. The yield of the 3-month Treasury bill, a proxy for money market rates, climbed from 0.92% at year-end 2003 to 1.26% on June 30.
As earnings growth fortified corporate balance sheets, corporate bonds became more attractive, enhancing their performance relative to Treasuries. This trend particularly benefited lower-quality bonds; the Lehman Brothers High Yield Bond Index, a benchmark of below-investment-grade bonds, posted a six-month return of 1.4%, compared with the 0.2% return of the broad market, as measured by the Lehman Aggregate Bond Index.
THE FUND’S MID-CAP HOLDINGS DID WELL
The six-month results for both funds were very good, and both funds satisfied their respective objectives of closely tracking their target benchmarks’ returns. The 6.0% return of the Extended Market Index Fund’s Investor Shares was marginally higher than the 5.8% return of the unmanaged Dow Jones Wilshire 4500 Completion Index, while the 5.8% return of the Mid-Cap Index Fund’s Investor Shares slightly lagged the 5.9% return of the Morgan Stanley Capital International (MSCI) US Mid Cap 450 Index. While both funds scored solid gains in the first quarter, their results in the second quarter were significantly lower, owing to higher energy prices, rising interest rates, and ongoing geopolitical tensions—factors that affected stocks of all market capitalizations.
The Extended Market Index Fund drew positive returns from 10 of its 12 constituent sectors. The fund had a competitive advantage over its
3
average mid-cap peer due to the fact that its benchmark also includes small-cap stocks (which, on average, produced some of the best returns in the period). The strongest result was in the “other energy” sector—made up of companies that provide exploration, research, and other services to oil companies—which had a six-month return of almost 23%. Many consumer-oriented stocks that tend to perform well during economic rebounds also produced beneficial returns. The consumer staples and consumer discretionary sectors added 0.3 and 1.6 percentage points, respectively, to the fund’s Investor Shares’ 6.0% return. Stock gains in the health care and materials & processing groups also bolstered the fund’s return. The fund’s holdings in the economically sensitive financial services sector (the fund’s largest sector holding) and in the utilities sector were understandable disappointments in the rising-rate environment. Technology stocks suffered losses as global competition and overvaluations were cited as reasons for poor performances.
The Mid-Cap Index Fund saw gains by 11 of the fund’s 12 sectors. The best showing was the 30% return posted by large integrated-oils companies, a gain driven by rising oil prices and global demand. As was the case for the Extended Market Index Fund, the consumer staples and consumer discretionary industry groups were among the leading contributors, adding 0.5 and 1.4 percentage points, respectively, to the fund’s return. Several other sectors, including materials & processing, “other energy,” and utilities, also posted index-beating returns that added to the fund’s return. Again, technology was the poorest-performing sector, for the reasons noted previously.
CHOOSE YOUR COURSE AND STICK TO IT
The financial markets can be very difficult to navigate. Indeed, their ups and downs can make the process of reaching your goals seem indirect at best. But, as we have advised investors for years, the most productive response to this uncertainty is to have reasonable expectations and to maintain a balanced portfolio that meets your needs and risk tolerance. Over the long run, a prudent, balanced approach allows you to participate in the markets’ gains while cushioning the effects of the markets’ darker days.
The Extended Market and Mid-Cap Index Funds, with their low-cost exposure to mid-capitalization companies within the U.S. equity market, can serve as valuable components of your balanced portfolio.
4
We appreciate your ongoing confidence in Vanguard, and thank you for entrusting your hard-earned money to us.
Sincerely,
John J. Brennan
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
JULY 15, 2004
- --------------------------------------------------------------------------------
Your Fund's Performance At a Glance December 31, 2003--June 30, 2004
Distributions Per Share
---------------------------
Starting Ending Income Capital
Share Price Share Price Dividends Gains
- -------------------------------------------------------------------------------
Extended Market Index Fund
Investor Shares $26.66 $28.27 $0.00 $0.00
Admiral Shares 26.66 28.29 0.00 0.00
Institutional Shares 26.67 28.31 0.00 0.00
VIPER Shares 70.37 74.63 0.00 0.00
- -------------------------------------------------------------------------------
Mid-Cap Index Fund
Investor Shares $13.13 $13.89 $0.00 $0.00
Admiral Shares 59.55 63.00 0.00 0.00
Institutional Shares 13.16 13.92 0.00 0.00
VIPER Shares 50.34* 50.94 0.00 0.00
- -------------------------------------------------------------------------------
*Share price at inception, January 26, 2004.
5
- --------------------------------------------------------------------------------
Extended Market Index Fund Viper Shares
Premium/discount: December 27, 2001*-June 30, 2004
Closing Price
Above or Equal to Closing Price Below
Closing Net Asset Value Closing Net Asset Value
----------------------- -----------------------
Number Percentage of Number Percentage of
Basis Point Differential** of Days Total Days of Days Total Days
- --------------------------------------------------------------------------------
0-24.9 348 55.15% 205 32.48%
25-49.9 50 7.92 20 3.17
50-74.9 3 0.48 3 0.48
75-100.0 1 0.16 1 0.16
>100.0 0 0.00 0 0.00
- --------------------------------------------------------------------------------
Total 402 63.71% 229 36.29%
- --------------------------------------------------------------------------------
*Inception.
**One basis point equals 1/100th of 1%.
- --------------------------------------------------------------------------------
Mid-cap Index Fund Viper Shares
Premium/discount: January 26, 2004*-June 30, 2004
Closing Price
Above or Equal to Closing Price Below
Closing Net Asset Value Closing Net Asset Value
----------------------- -----------------------
Number Percentage of Number Percentage of
Basis Point Differential** of Days Total Days of Days Total Days
- --------------------------------------------------------------------------------
0-24.9 60 55.05% 48 44.03%
25-49.9 0 0.00 1 0.92
50-74.9 0 0.00 0 0.00
75-100.0 0 0.00 0 0.00
>100.0 0 0.00 0 0.00
- --------------------------------------------------------------------------------
Total 60 55.05% 49 44.95%
- --------------------------------------------------------------------------------
*Inception.
**One basis point equals 1/100th of 1%.
6
FUND PROFILES
As Of 6/30/2004 These Profiles provide snapshots of each fund’s characteristics, compared where indicated with the fund’s target index and a broad market index. Key terms are defined on page 9.
EXTENDED MARKET INDEX FUND
- --------------------------------------------------------------------------------
Portfolio Characteristics
Target Broad
Fund Index* Index**
- --------------------------------------------------------------------------------
Number of Stocks 3,360 4,567 5,064
Median Market Cap $2.1B $2.1B $27.1B
Price/Earnings Ratio 34.3x 34.3x 22.5x
Price/Book Ratio 2.1x 2.1x 2.8x
Yield 1.1% 1.6%
Investor Shares 0.9%
Admiral Shares 1.0%
Institutional Shares 1.0%
VIPER Shares 0.9%
Return on Equity 7.5% 7.5% 15.7%
Earnings Growth Rate 6.9% 7.0% 6.7%
Foreign Holdings 1.1% 1.1% 0.9%
Turnover Rate 13%+ -- --
Expense Ratio -- --
Investor Shares 0.25%+
Admiral Shares 0.15%+
Institutional Shares 0.09%+
VIPER Shares 0.20%+
Short-Term Reserves 0% -- --
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------
Volatility Measures
TARGET BROAD
FUND INDEX* FUND INDEX**
- ------------------------------------------------------------------
R-Squared 1.00 1.00 0.86 1.00
Beta 1.01 1.00 1.04 1.00
- ------------------------------------------------------------------
- ------------------------------------------------------------------------
Sector Diversification (% of portfolio)++
Target Broad
Fund Index* Index**
Auto & Transportation 3% 3% 3%
Consumer Discretionary 22 22 15
Consumer Staples 3 3 7
Financial Services 27 27 23
Health Care 12 12 13
Integrated Oils 0 0 4
Other Energy 5 5 3
Materials & Processing 6 6 4
Producer Durables 5 5 4
Technology 11 11 14
Utilities 5 5 6
Other 1 1 4
- ----------------------------------------------------------------------
- ------------------------------------------------------------
Ten Largest Holdings (% of total net assets)
Berkshire Hathaway Inc. 3.2%
(financial services)
Genentech, Inc. 0.9
(biotechnology)
Liberty Media Corp. 0.8
(media)
DirecTV Group, Inc. 0.7
(telecommunications)
Amazon.com, Inc. 0.7
(retail)
InterActiveCorp 0.7
(retail)
Cox Communications, Inc. Class A 0.5
(telecommunications)
Juniper Networks, Inc. 0.4
(computer hardware)
Fox Entertainment Group, Inc. Class A 0.4
(entertainment)
Genworth Financial Inc. 0.4
(insurance)
- ------------------------------------------------------------
Top Ten 8.7%
- ------------------------------------------------------------
"Ten Largest Holdings" excludes any temporary
cash investments and equity index products.
- ------------------------------------------------------------
Investments Focus
MARKET CAP MEDIUM
STYLE BLEND
*Dow Jones Wilshire 4500 Index.
**Dow Jones Wilshire 5000 Index.
†Annualized. Turnover rate excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
††Security classification based on Wilshire Associates methodology.
7
FUND PROFILES (CONTINUED)
Mid-cap Index Fund
- ------------------------------------------------------------
Portfolio Characteristics
- ------------------------------------------------------------
Target Broad
Fund Index* Index**
Number of Stocks 454 454 5,064
Median Market Cap $5.0B $5.0B $27.1B
Price/Earnings Ratio 22.8x 22.7x 22.5x
Price/Book Ratio 2.5x 2.5x 2.8x
Yield 1.3% 1.6%
Investor Shares 1.1%
Admiral Shares 1.2%
Institutional Shares 1.3%
VIPER Shares 1.2%
Return on Equity 14.4% 14.4% 15.7%
Earnings Growth Rate 10.5% 10.5% 6.7%
Foreign Holdings 0.5% 0.5% 0.9%
Turnover Rate 18%+ -- --
Expense Ratio -- --
Investor Shares 0.23%+
Admiral Shares 0.13%+
Institutional Shares 0.08%+
VIPER Shares 0.18%+
Short-Term Reserves 0% -- --
- ------------------------------------------------------------
- -------------------------------------------------------------------
Volatility Measures
Spliced Broad
Fund Index++ Fund Index**
- -------------------------------------------------------------------
R-Squared 1.00 1.00 0.88 1.00
Beta 1.00 1.00 0.98 1.00
- -------------------------------------------------------------------
- -----------------------------------------------------------------------------
Sector Diversification (% of portfolio)
Target Broad
Fund Index* Index**
- -----------------------------------------------------------------------------
Auto & Transportation 3% 3% 3%
Consumer Discretionary 19 19 15
Consumer Staples 3 3 7
Financial Services 22 22 23
Health Care 9 9 13
Integrated Oils 1 1 4
Other Energy 6 6 3
Materials & Processing 7 7 4
Producer Durables 6 6 4
Technology 14 14 14
Utilities 8 8 6
Other 2 2 4
- -----------------------------------------------------------------------------
*MSCI US Mid Cap 450 Index.
**Dow Jones Wilshire 5000 Index.
†Annualized. Turnover rate excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
††S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index thereafter.
- -----------------------------------------------------------
Ten Largest Holdings (% Of total net assets)
TXU Corp. 0.7%
(electrical utilities)
Apple Computer, Inc. 0.7
(computer technology)
Xerox Corp. 0.6
(electronic business equipment)
J.C. Penney Co., Inc. (Holding Co.) 0.6
(retail)
Monsanto Co. 0.6
(chemicals)
Medco Health Solutions, Inc. 0.6
(health care)
CIGNA Corp. 0.5
(insurance)
PACCAR, Inc. 0.5
(automotive and transport)
Valero Energy Corp. 0.5
(energy and utilities)
Eaton Corp. 0.5
(manufacturing)
- -----------------------------------------------------------
Top Ten 5.8%
- -----------------------------------------------------------
"Ten Largest Holdings" excludes any temporary
cash investments and equity index products.
- -----------------------------------------------------------
INVESTMENTS FOCUS
MARKET CAP MEDIUM
STYLE BLEND
8
GLOSSARY OF INVESTMENT TERMS
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index.
The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price
rise or fall by 12% when the index rose or fell by 10%. A fund’s beta should be reviewed in conjunction with its R-squared (see definition
below). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator
of volatility.
- ------------------------------------------------------------------------------------------------------------------------------------
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
- ------------------------------------------------------------------------------------------------------------------------------------
Expense Ratio. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These
expenses directly reduce returns to investors.
- ------------------------------------------------------------------------------------------------------------------------------------
Foreign Holdings. The percentage of a fund’s equity assets represented by stocks or depositary receipts of companies based
outside the United States.
- ------------------------------------------------------------------------------------------------------------------------------------
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price
x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half
of the fund’s assets have market
capitalizations above the median, and the rest are below it.
- ------------------------------------------------------------------------------------------------------------------------------------
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average
price/book ratio of the stocks it holds.
- ------------------------------------------------------------------------------------------------------------------------------------
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted
average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater
the expectations for a company’s
future growth.
- ------------------------------------------------------------------------------------------------------------------------------------
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as
measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If
the fund’s returns bore no relationship
to the index’s returns, its R-squared would be 0.
- ------------------------------------------------------------------------------------------------------------------------------------
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of
shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies
whose stocks it holds.
- ------------------------------------------------------------------------------------------------------------------------------------
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to
cash.
- ------------------------------------------------------------------------------------------------------------------------------------
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and
may be more likely to distribute capital gains (which may be taxable to investors).
- ------------------------------------------------------------------------------------------------------------------------------------
Yield. A snapshot of a fund’s income from interest and dividends. The yield, expressed as a percentage of the fund’s net asset value,
is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on
the current annualized rate of
income provided by securities in the index.
- ------------------------------------------------------------------------------------------------------------------------------------
9
PERFORMANCE SUMMARIES
As of 6/30/2004 All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the funds. (For the performance data current to the most recent month-end, which may be higher or lower than that cited, visit our website at www.Vanguard.Com.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
EXTENDED MARKET INDEX FUND
- ---------------------------------------------------------------
Fiscal-year Total Returns (%) December 31, 1993-June 30, 2004
[BAR GRAPH APPEARS - -30 TO 50%]
Extended Market Index Fund Investor Shares
1994 -1.8
1995 33.8
1996 17.6
1997 26.7
1998 8.3
1999 36.2
2000 -15.5
2001 -9.1
2002 -18.1
2003 43.4
2004* 6.0
Dow Jones Wilshire 4500 Index
1994 -2.7
1995 33.5
1996 17.2
1997 25.7
1998 8.6
1999 35.5
2000 -15.8
2001 -9.3
2002 -17.8
2003 43.8
2004* 5.8
- ---------------------------------------------------------------
*Six months ended June 30, 2004.
Note: See Financial Highlights tables on pages 60–62 for dividend and capital gains information.
- --------------------------------------------------------------------------------
Average Annual Total Returns for Periods Ended June 30, 2004
One Five Ten Years
Inception Date Year Years Capital Income Total
- --------------------------------------------------------------------------------
Extended Market Index Fund
Investor Shares* 12/21/1987 29.66% 3.13% 10.16% 1.20% 11.36%
Admiral Shares 11/13/2000 29.80 2.30** -- -- --
Institutional Shares 7/7/1997 29.90 3.29 5.72 1.18 6.90
VIPER Shares
Market Price 12/27/2001 29.57 9.20** -- -- --
Net Asset Value 12/27/2001 29.75 9.26** -- -- --
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
**Return since inception.10
MID-CAP INDEX FUND
- ----------------------------------------------------------
Fiscal-year Total Returns (%) May 21, 1998-June 30, 2004
[BAR GRAPH APPEARS - -30 TO 50%]
Mid-Cap Index Fund Investor Shares
1998 8.6
1999 15.3
2000 18.1
2001 -0.5
2002 -14.6
2003 34.1
2004** 5.8
Spliced Mid Cap Index*
1998 7.8
1999 14.7
2000 18.1
2001 -0.6
2002 -14.5
2003 33.8
2004** 5.9
- ---------------------------------------------------------
*S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index thereafter.
**Six months ended June 30, 2004.
Note: See Financial Highlights tables on pages 63–66 for dividend and capital gains information.
- --------------------------------------------------------------------------------
Average Annual Total Returns for Periods Ended June 30, 2004
One Five Ten Years
Inception Date Year Years Capital Income Total
- --------------------------------------------------------------------------------
Mid-Cap Index Fund
Investor Shares* 5/21/1998 27.69% 8.92% 9.16% 0.76% 9.92%
Admiral Shares 11/12/2001 27.73 10.85** -- -- --
Institutional Shares 5/21/1998 27.76 9.07 9.19 0.88 10.07
VIPER Shares
Market Price 1/26/2004 1.15** -- -- -- --
Net Asset Value 1/26/2004 1.19** -- -- -- --
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
**Return since inception.11
ABOUT YOUR FUND’S EXPENSES
- --------------------------------------------------------------------------------
Six Months Ended June 30, 2004*
Beginning Ending Expenses
Account Value Account Value Paid During
Index Fund 12/31/2003 6/30/2004 Period**
- --------------------------------------------------------------------------------
BASED ON ACTUAL FUND RETURN
Extended Market
Investor Shares $1,000 $1,060 $1.28
Admiral Shares 1,000 1,061 0.77
Institutional Shares 1,000 1,061 0.46
VIPER Shares 1,000 1,061 1.02
- --------------------------------------------------------------------------------
Mid-Cap
Investor Shares $1,000 $1,058 $1.18
Admiral Shares 1,000 1,058 0.67
Institutional Shares 1,000 1,058 0.41
- --------------------------------------------------------------------------------
BASED ON HYPOTHETICAL 5% RETURN
Extended Market
Investor Shares $1,000 $1,049 $1.27
Admiral Shares 1,000 1,049 0.76
Institutional Shares 1,000 1,050 0.46
VIPER Shares 1,000 1,049 1.02
- --------------------------------------------------------------------------------
Mid-Cap
Investor Shares $1,000 $1,049 $1.17
Admiral Shares 1,000 1,049 0.66
Institutional Shares 1,000 1,050 0.41
- --------------------------------------------------------------------------------
*The table does not include data for funds or share classes of funds with fewer than six months of history.
**Expenses are equal to the fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366.
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The table above illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
12
• Based on hypothetical 5% return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the
- ----------------------------------------------------------------------------
Annualized Expense Ratios:
Your Fund Compared With Its Peer Group
Fund Peer Group*
- ----------------------------------------------------------------------------
Extended Market Index Fund 1.53%
Investor Shares 0.25%
Admiral Shares 0.15
Institutional Shares 0.09
VIPER Shares 0.20
- ----------------------------------------------------------------------------
Mid-Cap Index Fund 1.53%
Investor Shares 0.23%
Admiral Shares 0.13
Institutional Shares 0.08
VIPER Shares 0.18
- ----------------------------------------------------------------------------
*The peer group for both the Extended Market Index Fund and the Mid-Cap Index Fund is the Average Mid-Cap Core Fund. Peer group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2003.Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table on page 12 are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs or account maintenance fees. They do not include your fund’s low-balance fee, which is described in the prospectus. If this fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios for the past five years, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate fund prospectus.
13
As of 6/30/2004 FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each fund’s holdings, including each security’s market value on the last day of the reporting period. Securities are grouped and subtotaled by asset type (common stocks, bonds, etc.) and by industry sector according to Frank Russell Company. Other assets are added to, and liabilities are subtracted from, the value of Total Investments to calculate the fund’s Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund’s net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
- -------------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- -------------------------------------------------------------------------------
COMMON STOCKS (99.8%)(1)
- -------------------------------------------------------------------------------
Auto & Transportation (3.0%)
Expeditors International of
Washington, Inc. 264,095 $ 13,049
Lear Corp. 172,834 10,195
C.H. Robinson Worldwide, Inc. 214,328 9,825
J.B. Hunt Transport Services, Inc. 201,375 7,769
Gentex Corp. 193,720 7,687
* JetBlue Airways Corp. 257,123 7,554
BorgWarner, Inc. 139,378 6,101
CNF Inc. 126,837 5,271
Polaris Industries, Inc. 107,874 5,178
Oshkosh Truck Corp. 86,392 4,951
* AMR Corp. 400,097 4,845
Thor Industries, Inc. 144,020 4,819
* Yellow Roadway Corp. 120,631 4,808
American Axle & Manufacturing
Holdings, Inc. 131,277 4,773
* TRW Automotive Holdings Corp. 247,100 4,658
Overseas Shipholding Group Inc. 98,732 4,357
Tidewater Inc. 143,172 4,267
Werner Enterprises, Inc. 199,108 4,201
* Landstar System, Inc. 74,881 3,959
* Swift Transportation Co., Inc. 202,305 3,631
Florida East Coast
Industries, Inc. Class A 92,528 3,576
Alexander & Baldwin, Inc. 106,751 3,571
- -------------------------------------------------------------------------------
Market
Value^
Shares (000)
- -------------------------------------------------------------------------------
Heartland Express, Inc. 125,284 $ 3,428
ArvinMeritor, Inc. 174,501 3,415
* Laidlaw International Inc. 260,205 3,372
Winnebago Industries, Inc. 85,656 3,193
* EGL, Inc. 113,302 3,014
* AirTran Holdings, Inc. 211,673 2,993
Modine Manufacturing Co. 86,212 2,746
OMI Corp. 227,706 2,710
* Knight Transportation, Inc. 94,216 2,707
* General Maritime Corp. 92,979 2,551
Skywest, Inc. 145,676 2,536
USF Corp. 69,557 2,444
* Kansas City Southern 156,989 2,433
* Northwest Airlines Corp. Class A 216,412 2,407
* Kirby Corp. 61,200 2,381
Superior Industries
International, Inc. 66,837 2,236
Bandag, Inc. 47,714 2,125
Monaco Coach Corp. 74,037 2,086
Arkansas Best Corp. 62,978 2,073
Overnite Corp. 70,341 2,068
Sauer-Danfoss, Inc. 118,768 2,027
* Forward Air Corp. 54,163 2,026
Wabtec Corp. 110,179 1,988
* Continental Airlines, Inc. Class B 166,631 1,895
* Wabash National Corp. 68,286 1,881
* Offshore Logistics, Inc. 65,063 1,830
14
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
* Old Dominion Freight Line, Inc. 60,474 $ 1,783
* Pacer International, Inc. 93,076 1,722
* Tenneco Automotive, Inc. 128,566 1,701
* ExpressJet Holdings, Inc. 139,394 1,692
* Alaska Air Group, Inc. 69,036 1,648
* Aviall Inc. 84,533 1,607
Marine Products Corp. 84,158 1,561
* Genesee & Wyoming Inc. Class A 65,296 1,548
* RailAmerica, Inc. 104,846 1,531
* TBC Corp. 63,007 1,500
* Fleetwood Enterprises, Inc. 93,236 1,357
* Keystone Automotive
Industries, Inc. 48,408 1,350
* A.S.V., Inc. 41,841 1,310
* AAR Corp. 110,642 1,256
Arctic Cat, Inc. 41,524 1,143
* Collins & Aikman Corp. 197,231 1,103
* Hayes Lemmerz International, Inc. 72,902 1,101
* SCS Transportation, Inc. 39,346 1,038
* Gulfmark Offshore, Inc. 64,445 1,017
* Frontier Airlines, Inc. 92,675 1,008
* Aftermarket Technology Corp. 53,395 881
* America West Holdings Corp.
Class B 93,549 849
* Mesa Air Group Inc. 103,348 836
Coachmen Industries, Inc. 50,476 807
* Hub Group, Inc. 23,205 791
* P.A.M. Transportation
Services, Inc. 39,519 755
* The Greenbrier Cos., Inc. 39,231 747
Noble International, Ltd. 30,166 747
* Stoneridge, Inc. 43,637 742
* MAIR Holdings, Inc. 84,995 694
* Celadon Group Inc. 39,345 692
Spartan Motors, Inc. 55,305 677
* Pinnacle Airlines Corp. 56,200 635
Maritrans Inc. 41,813 629
Todd Shipyards Corp. 35,642 626
* Tower Automotive, Inc. 170,237 620
* Atlantic Coast Airlines
Holdings Inc. 96,885 556
* National R.V. Holdings, Inc. 35,870 529
* USA Truck, Inc. 42,603 515
* Republic Airways Holdings Inc. 35,690 509
* Starcraft Corp. 35,636 485
Standard Motor Products, Inc. 29,848 440
* Marten Transport, Ltd. 21,995 410
* Quantum Fuel Systems
Technologies Worldwide, Inc. 64,593 393
* Impco Technologies Inc. 59,863 379
* Strattec Security Corp. 5,504 377
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
* Covenant Transport, Inc. 20,961 $ 358
* R&B, Inc. 17,997 353
* Sports Resorts International, Inc. 75,618 287
* Quality Distribution Inc. 25,789 284
* Dura Automotive Systems, Inc. 30,950 283
* U.S. Xpress Enterprises, Inc. 17,759 279
Quixote Corp. 13,436 269
* Seabulk International, Inc. 30,533 252
* Petroleum Helicopters, Inc. 12,835 249
Titan International, Inc. 22,900 236
* Midwest Air Group Inc. 45,588 190
* Allied Holdings, Inc. 37,300 161
* Raytech Corp. 67,141 111
* ATA Holdings, Inc. 19,003 99
* Hawaiian Holdings, Inc. 11,600 83
* Central Freight Lines, Inc. 8,400 67
Providence and Worcester
Railroad Co. 2,700 28
Bandag, Inc. Class A 600 25
* Frozen Food Express
Industries, Inc. 1,100 8
* Oglebay Norton Co. 14,000 2
--------
241,531
--------
Consumer Discretionary (22.1%)
Liberty Media Corp. 7,308,438 65,703
* DirecTV Group, Inc. 3,474,866 59,420
* Amazon.com, Inc. 1,015,589 55,248
* InterActiveCorp 1,758,397 52,998
* Fox Entertainment Group, Inc.
Class A 1,069,640 28,559
Washington Post Co. Class B 23,773 22,109
E.W. Scripps Co. Class A 203,795 21,398
Royal Caribbean Cruises, Ltd. 491,816 21,350
* Coach, Inc. 471,790 21,320
* EchoStar Communications Corp.
Class A 591,643 18,193
* MGM Mirage, Inc. 356,553 16,737
* Kmart Holding Corp. 225,099 16,162
Harman International
Industries, Inc. 165,982 15,104
Estee Lauder Cos. Class A 305,496 14,902
CDW Corp. 209,644 13,367
* XM Satellite Radio Holdings, Inc. 480,567 13,115
* Liberty Media International Inc.
Class A 337,755 12,531
* VeriSign, Inc. 622,071 12,379
* Mohawk Industries, Inc. 167,557 12,287
PETsMART, Inc. 361,929 11,745
* Caesars Entertainment, Inc. 772,304 11,585
Mandalay Resort Group 168,718 11,581
* Career Education Corp. 253,293 11,540
15
- ----------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- ----------------------------------------------------------------------------
Manpower Inc. 225,371 11,442
Republic Services, Inc. Class A 386,637 11,189
Fastenal Co. 190,207 10,809
* Iron Mountain, Inc. 215,829 10,416
* Weight Watchers
International, Inc. 265,401 10,388
* ChoicePoint Inc. 221,866 10,130
Ross Stores, Inc. 377,776 10,109
* Chico's FAS, Inc. 223,587 10,097
* Pixar, Inc. 141,074 9,806
* Williams-Sonoma, Inc. 291,900 9,621
* Lamar Advertising Co. Class A 221,199 9,589
* Sirius Satellite Radio, Inc. 3,089,024 9,514
Michaels Stores, Inc. 172,195 9,471
* Fisher Scientific International Inc. 160,627 9,276
Abercrombie & Fitch Co. 236,608 9,169
ServiceMaster Co. 727,676 8,965
Foot Locker, Inc. 364,390 8,869
* Getty Images, Inc. 146,083 8,765
Polo Ralph Lauren Corp. 250,322 8,624
* Brinker International, Inc. 242,208 8,264
* Advance Auto Parts, Inc. 185,780 8,208
The McClatchy Co. Class A 116,290 8,158
* Wynn Resorts Ltd. 206,292 7,969
* Dollar Tree Stores, Inc. 284,689 7,809
Belo Corp. Class A 289,862 7,783
Outback Steakhouse 186,482 7,713
Station Casinos, Inc. 159,182 7,704
Aramark Corp. Class B 263,332 7,573
Metro-Goldwyn-Mayer Inc. 593,753 7,184
GTECH Holdings Corp. 148,943 6,898
The Neiman Marcus Group, Inc.
Class A 123,448 6,870
International Speedway Corp. 133,361 6,487
* Hewitt Associates, Inc. 235,255 6,470
* O'Reilly Automotive, Inc. 137,368 6,209
* Urban Outfitters, Inc. 100,674 6,132
* Rent-A-Center, Inc. 202,101 6,049
* Education Management Corp. 183,497 6,030
* Copart, Inc. 225,096 6,010
Viad Corp. 222,134 6,000
* Barnes & Noble, Inc. 172,919 5,876
* Westwood One, Inc. 243,335 5,791
* CarMax, Inc. 260,744 5,702
* Tech Data Corp. 145,479 5,693
* Timberland Co. 87,626 5,660
* Service Corp. International 764,092 5,631
Talbots Inc. 143,183 5,606
* Corinthian Colleges, Inc. 226,204 5,596
* Ask Jeeves, Inc. 142,146 5,548
* Columbia Sportswear Co. 101,501 5,544
- ------------------------------------------------------------------------------
Market
Value^
Shares (000)
- ------------------------------------------------------------------------------
Lee Enterprises, Inc. 112,425 $ 5,398
* Activision, Inc. 338,552 5,383
Saks Inc. 357,378 5,361
Harte-Hanks, Inc. 218,968 5,345
The Corporate
Executive Board Co. 92,442 5,342
* Marvel Enterprises Inc. 273,397 5,337
* American Eagle Outfitters, Inc. 179,825 5,199
* The Cheesecake Factory 130,118 5,177
Claire's Stores, Inc. 235,354 5,107
* Gemstar-TV Guide
International, Inc. 1,062,063 5,098
* AnnTaylor Stores Corp. 173,088 5,016
John Wiley & Sons Class A 155,478 4,975
Regis Corp. 111,247 4,961
The Brink's Co. 141,990 4,863
* DeVry, Inc. 177,006 4,853
* Citadel Broadcasting Corp. 331,373 4,828
* Entercom Communications Corp. 129,388 4,826
* Fossil, Inc. 176,903 4,821
Applebee's International, Inc. 207,156 4,769
* NetFlix.com, Inc. 129,764 4,665
* PETCO Animal Supplies, Inc. 143,772 4,631
Ruby Tuesday, Inc. 167,014 4,585
Borders Group, Inc. 194,643 4,562
Nu Skin Enterprises, Inc. 179,348 4,541
Choice Hotel International, Inc. 89,393 4,484
Boyd Gaming Corp. 166,970 4,436
* West Corp. 168,463 4,405
* BJ's Wholesale Club, Inc. 175,310 4,383
* ITT Educational Services, Inc. 114,676 4,360
* Laureate Education Inc. 113,030 4,322
The Toro Co. 60,923 4,269
IKON Office Solutions, Inc. 371,851 4,265
* Earthlink, Inc. 394,801 4,086
* Sirva Inc. 175,842 4,044
SCP Pool Corp. 89,400 4,023
* Tractor Supply Co. 96,019 4,016
* Valassis Communications, Inc. 130,989 3,991
* CNET Networks, Inc. 358,897 3,973
Reader's Digest
Association, Inc. 248,317 3,971
Blyth, Inc. 115,041 3,968
Pier 1 Imports Inc. 220,245 3,896
Strayer Education, Inc. 34,877 3,891
CBRL Group, Inc. 122,293 3,773
* Pacific Sunwear of
California, Inc. 192,393 3,765
* Aeropostale, Inc. 139,252 3,747
Media General, Inc. Class A 58,195 3,737
* Kroll Inc. 100,477 3,706
16
- ------------------------------------------------------------------------------
Market
Value^
Shares (000)
- ------------------------------------------------------------------------------
* American Greetings Corp.
Class A 159,056 $ 3,687
The Pep Boys
(Manny, Moe & Jack) 145,125 3,679
Hollinger International, Inc. 218,195 3,663
* The Yankee Candle Co., Inc. 124,799 3,650
Journal Communications, Inc. 191,675 3,609
Speedway Motorsports, Inc. 107,531 3,596
* Zale Corp. 130,450 3,556
Furniture Brands
International Inc. 140,659 3,524
* Corrections Corp. of
America REIT 88,235 3,484
* Take-Two Interactive
Software, Inc. 112,622 3,451
United Auto Group, Inc. 112,569 3,450
MSC Industrial Direct Co., Inc.
Class A 104,777 3,441
* R.H. Donnelley Corp. 78,222 3,421
Grey Global Group Inc. 3,459 3,407
* Sonic Corp. 149,101 3,392
* United Stationers, Inc. 85,154 3,382
Ethan Allen Interiors, Inc. 93,604 3,361
Hearst-Argyle Television Inc. 130,024 3,352
* Penn National Gaming, Inc. 100,918 3,350
* Quiksilver, Inc. 139,654 3,325
* Linens `n Things, Inc. 113,034 3,313
* Waste Connections, Inc. 109,411 3,245
* Tempur-Pedic International Inc. 230,652 3,231
* MPS Group, Inc. 264,032 3,200
* Gaylord Entertainment Co. 99,459 3,122
* Scientific Games Corp. 158,403 3,032
* Tuesday Morning Corp. 102,853 2,983
Kellwood Co. 68,186 2,970
* InfoSpace, Inc. 77,732 2,957
* Charter Communications, Inc. 749,799 2,939
* Krispy Kreme Doughnuts, Inc. 153,866 2,937
* Emmis Communications, Inc. 139,252 2,921
Tupperware Corp. 147,246 2,861
* Scholastic Corp. 95,078 2,848
* Arbitron Inc. 77,664 2,836
* United Natural Foods, Inc. 98,069 2,835
* Dick's Sporting Goods, Inc. 83,948 2,800
Banta Corp. 62,691 2,784
* Universal Technical Institute Inc. 69,608 2,783
* Argosy Gaming Co. 73,805 2,775
* CEC Entertainment Inc. 93,797 2,768
* 99 Cents Only Stores 181,344 2,765
* United Online, Inc. 155,436 2,737
* Jack in the Box Inc. 91,556 2,719
Aaron Rents, Inc. Class B 81,895 2,714
- ------------------------------------------------------------------------------
Market
Value^
Shares (000)
- ------------------------------------------------------------------------------
Matthews International Corp. 80,553 $ 2,653
* P.F. Chang's China Bistro, Inc. 64,305 2,646
* DoubleClick Inc. 340,427 2,645
Wolverine World Wide, Inc. 100,030 2,626
Kelly Services, Inc. Class A 88,056 2,624
* Helen of Troy Ltd. 71,035 2,619
Rollins, Inc. 113,430 2,610
* Select Comfort Corp. 91,321 2,594
* Panera Bread Co. 71,897 2,580
* Charming Shoppes, Inc. 288,662 2,578
* Payless ShoeSource, Inc. 171,089 2,551
* Priceline.com, Inc. 94,461 2,544
* Guitar Center, Inc. 56,338 2,505
ADVO, Inc. 75,977 2,501
* Navigant Consulting, Inc. 115,267 2,471
* The Warnaco Group, Inc. 115,284 2,452
* Jarden Corp. 68,119 2,452
* Aztar Corp. 86,660 2,426
* Cumulus Media Inc. 144,004 2,421
Bob Evans Farms, Inc. 88,302 2,418
* Hot Topic, Inc. 117,184 2,401
* Men's Wearhouse, Inc. 90,826 2,397
Regal Entertainment
Group Class A 132,408 2,397
* Catalina Marketing Corp. 130,919 2,395
* ValueClick, Inc. 198,574 2,379
La-Z-Boy Inc. 132,009 2,374
ABM Industries Inc. 121,822 2,372
* The Sports Authority, Inc. 64,355 2,310
* Tetra Tech, Inc. 140,565 2,294
* Resources Connection, Inc. 58,159 2,275
* Shuffle Master, Inc. 62,548 2,271
Liberty Corp. 48,204 2,263
* WMS Industries, Inc. 75,596 2,253
Ameristar Casinos, Inc. 66,546 2,235
Oakley, Inc. 172,001 2,226
* Alliance Gaming Corp. 129,076 2,215
* Radio One, Inc. 137,056 2,208
Fred's, Inc. 99,668 2,202
Watson Wyatt & Co. Holdings 82,574 2,201
* THQ Inc. 95,586 2,189
* Orbitz, Inc. 100,762 2,178
Burlington Coat Factory
Warehouse Corp. 112,252 2,166
* Insight Enterprises, Inc. 121,271 2,154
Callaway Golf Co. 188,676 2,140
* Stewart Enterprises, Inc.
Class A 261,668 2,130
G & K Services, Inc. Class A 52,639 2,116
* Rare Hospitality International Inc. 84,477 2,103
* Journal Register Co. 105,112 2,102
17
- -------------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- -------------------------------------------------------------------------------
Landry's Restaurants, Inc. 69,425 $ 2,075
* Carter's, Inc. 70,507 2,052
* Radio One, Inc. Class D 126,800 2,030
World Wrestling
Entertainment, Inc. 159,020 2,028
* Global Imaging Systems, Inc. 55,285 2,027
* Hollywood Entertainment Corp. 151,677 2,026
* CSK Auto Corp. 116,815 2,002
* Boca Resorts, Inc. Class A 99,802 1,978
* Midway Games Inc. 171,176 1,972
* MAXIMUS, Inc. 55,222 1,958
* ProQuest Co. 71,367 1,945
* bebe stores, inc. 97,197 1,944
* CMGI Inc. 996,618 1,943
* CKE Restaurants Inc. 144,476 1,926
IHOP Corp. 53,836 1,925
* Coldwater Creek Inc. 72,638 1,923
* Labor Ready, Inc. 123,869 1,920
* Hibbett Sporting Goods, Inc. 70,194 1,920
* Wesco International, Inc. 102,081 1,878
* Group 1 Automotive, Inc. 56,471 1,875
Brown Shoe Co., Inc. 45,558 1,865
* CoStar Group, Inc. 40,337 1,853
* Cox Radio, Inc. 105,283 1,830
* Multimedia Games Inc. 68,223 1,830
* PRIMEDIA Inc. 655,137 1,821
* Finish Line, Inc. 59,851 1,806
* Big 5 Sporting Goods Corp. 68,581 1,796
* Cost Plus, Inc. 55,332 1,796
* Bright Horizons
Family Solutions, Inc. 33,198 1,780
* Guess ?, Inc. 110,319 1,776
Gevity HR, Inc. 67,617 1,771
Oxford Industries, Inc. 40,522 1,765
* FTI Consulting, Inc. 106,842 1,763
* Korn/Ferry International 90,328 1,750
Central Parking Corp. 93,402 1,746
* Dollar Thrifty
Automotive Group, Inc. 63,606 1,745
Gray Television, Inc. 125,520 1,743
* Stein Mart, Inc. 107,188 1,743
Renaissance Learning, Inc. 77,537 1,738
* RC2 Corp. 48,493 1,722
Christopher & Banks Corp. 97,133 1,720
* School Specialty, Inc. 47,241 1,715
* Stage Stores, Inc. 45,512 1,714
* Ryan's Restaurant Group, Inc. 108,442 1,713
Handleman Co. 73,803 1,709
* Six Flags, Inc. 234,370 1,702
Kenneth Cole Productions, Inc. 49,569 1,699
CDI Corp. 48,926 1,693
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
* Electronics Boutique
Holdings Corp. 63,897 $1,683
K-Swiss, Inc. 83,258 1,683
* Central Garden and Pet Co. 46,949 1,679
* The Advisory Board Co. 46,544 1,657
Sonic Automotive, Inc. 74,438 1,649
Movie Gallery, Inc. 84,012 1,642
* Teletech Holdings Inc. 185,733 1,629
Phillips-Van Heusen Corp. 84,082 1,619
* Papa John's International, Inc. 54,611 1,613
* Crown Media Holdings, Inc. 189,218 1,612
* The Children's Place
Retail Stores, Inc. 68,262 1,606
* Wireless Facilities, Inc. 163,173 1,604
* Genesco, Inc. 67,534 1,596
* K2 Inc. 101,224 1,589
* Consolidated Graphics, Inc. 35,870 1,580
* Steak n Shake Co. 84,859 1,546
World Fuel Services Corp. 34,182 1,541
* Jo-Ann Stores, Inc. 52,377 1,540
* Overstock.com, Inc. 39,264 1,534
Bowne & Co., Inc. 96,487 1,529
* USANA Health Sciences, Inc. 49,060 1,525
* Too Inc. 91,012 1,520
* aQuantive, Inc. 153,726 1,519
* Elizabeth Arden, Inc. 72,105 1,517
* Leapfrog Enterprises, Inc. 76,190 1,515
* Carmike Cinemas, Inc. 38,352 1,513
* Exult Inc. 277,970 1,495
Startek, Inc. 41,015 1,468
* The Gymboree Corp. 94,984 1,459
Lone Star Steakhouse &
Saloon, Inc. 53,570 1,457
* Charlotte Russe Holding Inc. 68,046 1,455
* Sharper Image Corp. 46,262 1,452
* The Dress Barn, Inc. 84,361 1,444
Russell Corp. 79,860 1,434
The Nautilus Group, Inc. 73,476 1,434
* MarineMax, Inc. 49,600 1,423
* Lin TV Corp. 66,550 1,411
* Red Robin Gourmet Burgers 51,515 1,410
* Pinnacle Entertainment, Inc. 111,547 1,407
Chemed Corp. 28,761 1,395
Blockbuster Inc. Class A 91,848 1,394
* PDI, Inc. 45,683 1,386
* JAKKS Pacific, Inc. 66,310 1,379
* The Pantry, Inc. 63,137 1,376
* TiVo Inc. 193,906 1,375
Churchill Downs, Inc. 33,655 1,370
The Stride Rite Corp. 123,990 1,368
* Central European
Distribution Corp. 52,650 1,364
18
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
* Entravision
Communications Corp. 176,157 $ 1,353
* Vail Resorts Inc. 70,556 1,352
* Volt Information Sciences Inc. 42,239 1,331
* Playtex Products, Inc. 168,792 1,320
* Isle of Capri Casinos, Inc. 75,308 1,314
* Cross Country Healthcare, Inc. 72,298 1,312
* AMN Healthcare Services, Inc. 85,499 1,307
Sinclair Broadcast Group, Inc. 126,982 1,304
Cato Corp. Class A 56,585 1,270
* ValueVision Media, Inc. 97,257 1,266
* Trans World Entertainment Corp. 125,545 1,258
* Navarre Corp. 87,170 1,254
* Forrester Research, Inc. 66,976 1,249
* Spherion Corp. 122,480 1,242
* Vans, Inc. 59,781 1,229
The Buckle, Inc. 43,408 1,226
* J. Jill Group, Inc. 51,757 1,221
* Information Holdings Inc. 44,479 1,217
* California Pizza Kitchen, Inc. 63,320 1,213
* SOURCECORP, Inc. 43,448 1,196
* infoUSA Inc. 117,628 1,193
* Century Business Services, Inc. 271,213 1,182
* West Marine, Inc. 43,886 1,178
* Spanish Broadcasting
System, Inc. 126,263 1,176
Lawson Products, Inc. 30,738 1,173
The Topps Co., Inc. 119,834 1,162
* O'Charley's Inc. 67,120 1,154
* AMC Entertainment, Inc. 74,634 1,147
* Ventiv Health, Inc. 74,084 1,147
* Saga Communications, Inc. 62,571 1,142
* Asbury Automotive Group, Inc. 75,132 1,127
* NetRatings, Inc. 68,947 1,123
* Lifeline Systems, Inc. 47,149 1,116
* Heidrick & Struggles
International, Inc. 37,438 1,111
Triarc Cos., Inc. Class B 108,679 1,105
* iPass Inc. 104,106 1,102
Escalade, Inc. 47,582 1,100
* A.C. Moore Arts & Crafts, Inc. 39,844 1,096
* Administaff, Inc. 65,961 1,095
* Salem Communications Corp. 39,976 1,085
* 1-800-FLOWERS.COM, Inc. 132,252 1,077
* Amerco, Inc. 44,809 1,064
* Fisher Communications, Inc. 21,135 1,064
* Insight Communications Co., Inc. 114,823 1,063
* Casella Waste Systems, Inc. 79,431 1,045
* Pre-Paid Legal Services, Inc. 43,803 1,044
* 4Kids Entertainment Inc. 43,514 1,041
The Marcus Corp. 59,957 1,034
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
* Maxwell Shoe Co. Inc. 44,202 $ 1,027
* MemberWorks, Inc. 34,559 1,024
* Blue Nile Inc. 27,101 1,019
Russ Berrie and Co., Inc. 52,161 1,013
Pulitzer, Inc. 20,544 1,005
* Pegasus Solutions Inc. 76,013 998
* Coinstar, Inc. 45,418 998
Goody's Family Clothing 95,783 993
* ShopKo Stores, Inc. 69,689 985
* FindWhat.com 42,395 981
Deb Shops, Inc. 40,550 976
* Midas Inc. 55,852 972
* Navigant International, Inc. 54,541 970
* Prime Hospitality Corp. 91,050 967
American Woodmark Corp. 16,103 964
* Dave & Busters, Inc. 51,280 964
* Alderwoods Group, Inc. 78,966 963
* SITEL Corp. 226,974 958
* FreeMarkets, Inc. 145,717 950
* Steven Madden, Ltd. 47,484 948
Oshkosh B' Gosh, Inc. Class A 37,736 942
* Retail Ventures, Inc. 121,712 942
* Steinway Musical
Instruments Inc. 26,672 936
Bassett Furniture Industries, Inc. 42,669 928
National Presto Industries, Inc. 22,290 919
* Brookstone, Inc. 45,464 912
* MTR Gaming Group Inc. 83,211 911
* Rent-Way, Inc. 99,771 898
* Galyan's Trading Co. 53,651 895
Ambassadors Group, Inc. 37,999 893
Blair Corp. 30,893 893
Libbey, Inc. 30,720 853
* Source Interlink Cos., Inc. 76,255 848
Lithia Motors, Inc. 34,218 848
* Perry Ellis International Corp. 33,334 842
Advanced Marketing Services 64,858 837
* Skechers U.S.A., Inc. 64,221 835
Cherokee Inc. 33,088 830
* Water Pik Technologies, Inc. 49,983 828
Frisch's Restaurants, Inc. 27,750 826
* PC Mall, Inc. 43,020 812
Angelica Corp. 32,119 807
* MarketWatch.com, Inc. 68,354 802
* NIC Inc. 111,208 797
* Digital Theater Systems Inc. 30,431 796
* Chicago Pizza & Brewery, Inc. 51,749 787
* Luby's, Inc. 113,565 785
* Autobytel Inc. 86,253 783
* Applica Inc. 87,736 781
* Insurance Auto Auctions, Inc. 45,666 776
19
- -----------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- -----------------------------------------------------------------------------
* GSI Commerce, Inc. 80,286 $ 773
* Lakes Entertainment, Inc. 66,692 773
* Brightpoint, Inc. 56,049 771
Inter Parfums, Inc. 36,904 769
* Charles River Associates Inc. 24,738 766
* Harris Interactive Inc. 113,600 763
* Cache, Inc. 56,187 759
CSS Industries, Inc. 21,629 758
* Learning Tree International, Inc. 51,977 754
Waste Industries USA, Inc. 67,006 748
* Universal Electronics, Inc. 42,547 746
* Clark, Inc. 39,738 737
* Greg Manning Auctions, Inc. 48,120 736
Movado Group, Inc. 42,478 733
* Regent Communications, Inc. 117,796 729
* Conn's, Inc. 46,200 728
Haverty Furniture Cos., Inc. 41,625 728
Hancock Fabrics, Inc. 56,634 722
* Department 56 Inc. 45,923 707
Flexsteel Industries, Inc. 30,096 704
* Cole National Corp. Class A 30,121 703
* Jackson Hewitt Tax Service Inc. 39,000 683
* Empire Resorts Inc. 48,530 682
* Jos. A. Bank Clothiers, Inc. 21,672 680
Dover Motorsports, Inc. 169,783 679
* Martha Stewart Living
Omnimedia, Inc. 75,397 679
* Rush Enterprises, Inc. Class A 52,100 677
* LECG Corp. 38,316 663
* iVillage Inc. 103,950 660
* Checkers Drive-In
Restaurants, Inc. 56,974 658
Saucony Inc. 31,139 655
* LookSmart, Ltd. 301,129 653
* Benihana Inc. Class A 43,721 651
* Geo Group Inc. 31,888 651
* Clean Harbors Inc. 68,577 650
* LoJack Corp. 73,098 643
* Barrett Business Services, Inc. 42,943 640
Ambassadors International, Inc. 50,012 640
* LKQ Corp. 34,210 634
* EZCORP, Inc. 63,725 632
* Internap Network Services Corp. 514,536 623
* Kforce Inc. 65,312 617
* GameStop Corp. 40,437 615
* The Sportsman's Guide Inc. 25,915 606
* Drugstore.com, Inc. 173,174 604
* Kirkland's, Inc. 50,313 600
* EVCI Career Colleges 56,900 598
CPI Corp. 40,435 595
* DiamondCluster International, Inc. 68,241 593
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
The First Years Inc. 31,728 $ 590
Dover Downs Gaming &
Entertainment, Inc. 52,448 590
* Beasley Broadcast Group, Inc. 39,163 586
Scope Industries 8,400 584
* Worldwide Restaurant
Concepts Inc. 166,665 582
* QRS Corp. 88,638 581
* Hampshire Group, Ltd. 19,834 575
* Casual Male Retail Group, Inc. 78,749 575
* Party City Corp. 45,935 574
* Atari, Inc. 236,190 569
* Rocky Shoes & Boots, Inc. 23,900 568
Thomas Nelson, Inc. 24,942 567
* SM&A Corp. 65,363 565
* Rentrak Corp. 59,727 561
* Young Broadcasting Inc. 42,371 557
* Revlon, Inc. Class A 188,160 555
Action Performance Cos., Inc. 36,814 555
* Monro Muffler Brake, Inc. 22,816 554
Courier Corp. 13,229 552
* E. Gottschalk & Co., Inc. 92,800 550
* Pegasus Communications Corp. 22,452 549
* Famous Dave's of America, Inc. 71,063 546
Sturm, Ruger & Co., Inc. 44,999 545
* 1-800 CONTACTS, Inc. 36,532 542
* Foodarama Supermarkets, Inc. 12,541 539
* Nexstar Broadcasting Group, Inc. 48,476 532
* Neoforma, Inc. 43,746 531
* Alloy, Inc. 86,091 529
* Marchex, Inc. 46,964 524
* Friendly Ice Cream Corp. 39,615 521
* Wilsons The Leather Experts Inc. 133,607 520
* Deckers Outdoor Corp. 17,515 517
* Charles & Colvard Ltd. 84,136 510
* Hollywood Media Corp. 139,457 509
Traffix, Inc. 77,092 507
* PC Connection, Inc. 76,308 502
* Nashua Corp. 51,521 499
* Image Entertainment, Inc. 137,338 494
* Bombay Co. 80,593 494
* Gander Mountain Co. 21,493 493
* First Consulting Group, Inc. 89,012 491
Knape & Vogt Manufacturing Co. 37,868 488
* Rubio's Restaurants, Inc. 61,180 486
* Playboy Enterprises, Inc. Class B 41,462 481
* Buca, Inc. 89,834 479
* America's Car-Mart, Inc. 15,930 478
* Cellstar Corp. 64,956 478
* Books-a-Million Inc. 80,073 473
* Del Laboratories, Inc. 15,232 472
20
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
Triarc Cos., Inc. Class A 45,566 $ 471
* Rainmaker Systems, Inc. 226,160 470
* Restoration Hardware, Inc. 64,162 469
* EasyLink Services Corp. 283,365 462
* eMerge Interactive, Inc. 241,768 462
* Mikohn Gaming Corp. 95,113 459
Delta Apparel, Inc. 18,809 458
* Hudson Highland Group, Inc. 14,923 458
* Perficient, Inc. 113,656 452
* LodgeNet Entertainment Corp. 27,304 451
Schawk, Inc. 32,170 449
* Nobel Learning Communities, Inc. 64,187 449
* The Boyds Collection, Ltd. 135,108 449
L.S. Starrett Co. Class A 27,600 446
* Enesco Group, Inc. 49,683 445
* A.T. Cross Co. Class A 92,596 442
* Glacier Water Services, Inc. 23,800 441
* The Smith & Wollensky
Restaurant Group, Inc. 69,570 433
* Medical Staffing Network
Holdings, Inc. 66,969 431
* Shoe Carnival, Inc. 28,581 429
* Oneida Ltd. 264,590 429
Rock of Ages Corp. 52,600 427
* Franklin Electronic Publishers, Inc. 89,661 417
* Spherix Inc. 80,464 410
Stamps.com Inc. 39,935 407
Mannatech, Inc. 41,441 398
* Systemax Inc. 59,247 397
Stanley Furniture Co., Inc. 9,229 389
* The Leather Factory, Inc. 87,200 388
* Zones, Inc. 135,890 386
* Paxson Communications Corp. 111,202 361
* Tweeter Home Entertainment
Group, Inc. 66,561 359
Strategic Distribution, Inc. 27,330 359
* APAC Teleservices, Inc. 206,761 358
UniFirst Corp. 12,264 357
* Meta Group, Inc. 89,375 349
* Interstate Hotels & Resorts, Inc. 64,439 347
* SciQuest, Inc. 55,983 347
* WCA Waste Corp. 39,000 347
* Competitive Technologies, Inc. 69,164 339
* Ultimate Electronics, Inc. 68,423 338
* Management Network Group Inc. 135,633 338
Boston Acoustics, Inc. 29,287 336
Haggar Corp. 16,639 335
* Verticalnet, Inc. 213,122 335
* Exponent, Inc. 12,370 332
* Bally Total Fitness Holding Corp. 65,796 329
* PLATO Learning, Inc. 32,652 324
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
* Lightbridge, Inc. 56,862 $ 318
* The Wet Seal, Inc. Class A 59,584 312
* U.S. Home Systems, Inc. 42,739 306
* On Assignment, Inc. 51,591 304
* NTN Communications, Inc. 96,422 303
* Syms Corp. 32,470 301
* Wyndham International, Inc.
Class A 292,312 292
* Salton, Inc. 53,911 289
Bowl America, Inc. Class A 20,176 288
* Digital Impact, Inc. 148,605 282
* The Princeton Review, Inc. 37,070 281
* Buffalo Wild Wings Inc. 10,117 280
* Register.com, Inc. 46,931 280
* Correctional Services Corp. 82,980 277
* Hartmarx Corp. 43,461 274
Lifetime Hoan Corp. 11,931 272
* SPEEDUS Corp. 113,500 269
* Metro One
Telecommunications, Inc. 178,327 262
* Brillian Corp. 32,453 261
* Digital Generation Systems 175,091 259
Fedders Corp. 58,700 255
* Paul-Son Gaming Corp. 62,100 255
* Playboy Enterprises Inc. Class A 22,850 255
* Gadzooks, Inc. 97,160 251
Craftmade International, Inc. 12,431 246
* ShoLodge, Inc. 44,298 244
* PriceSmart, Inc. 38,867 243
* Raindance Communications, Inc. 114,019 237
* Cenveo Inc. 79,297 232
* Medialink Worldwide, Inc. 63,411 228
* 24/7 Real Media, Inc. 40,193 225
* Gaiam, Inc. 32,919 223
Nitches Inc. 33,141 221
* ParkerVision, Inc. 38,358 219
* Cabela's Inc. 8,050 217
* Commerce One, Inc. 219,109 208
* Franklin Covey Co. 77,906 203
* Gartner, Inc. Class B 15,427 199
* Concord Camera Corp. 58,929 194
* VCampus Corp. 62,830 193
* MPW Industrial
Services Group, Inc. 84,000 191
* ARK Restaurants Corp. 8,078 190
* Cornell Companies, Inc. 13,806 188
* RedEnvelope Inc. 22,137 186
Bon-Ton Stores, Inc. 12,445 182
* Modem Media Inc. 34,496 181
* Integrated Alarm
Services Group, Inc. 32,999 178
21
- ----------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- ----------------------------------------------------------------------------
* E Com Ventures, Inc. 19,037 $ 174
Outlook Group Corp. 29,100 173
* America Online Latin
America, Inc. 243,927 168
* BAM! Entertainment Inc. 290,875 160
* Obie Media Corp. 39,210 151
* Emerson Radio Corp. 47,237 148
CNS, Inc. 14,663 147
* Advantage Marketing
Systems, Inc. 23,400 143
* Finlay Enterprises, Inc. 7,546 142
Weyco Group, Inc. 4,077 140
* Cosi, Inc. 23,091 138
Ohio Art Co. 14,800 135
* Onvia.com, Inc. 22,267 132
* Mothers Work, Inc. 6,336 130
* Knology, Inc. 25,400 126
* Providence Service Corp. 6,709 126
* J. Alexander's Corp. 15,100 121
* Monarch Casino & Resort, Inc. 8,325 117
* Youbet.com, Inc. 27,500 114
* Mayor's Jeweler's, Inc. 138,600 107
* Gallery of History, Inc. 25,900 102
* ICT Group, Inc. 11,158 102
* Whitehall Jewellers, Inc. 12,886 96
* Home Products International Inc. 67,520 96
* REX Stores Corp. 7,391 91
* Innotrac Corp. 9,949 88
* SportsLine.com, Inc. 79,680 86
* Rush Enterprises, Inc. Class B 6,327 82
Friedman's, Inc. Class A 24,997 80
* Johnson Outdoors Inc. 4,044 79
* Catalina Lighting, Inc. 7,160 76
* Acme Communications, Inc. 9,838 68
* Acclaim Entertainment Inc. 193,412 66
* Total Entertainment
Restaurant Corp. 4,532 61
* TRM Corp. 3,800 55
* Hanover Direct, Inc. 378,734 53
* Shoe Pavilion, Inc. 21,100 53
* Protection One, Inc. 164,000 48
* HyperFeed Technologies, Inc. 13,778 47
* CoActive Marketing Group, Inc. 22,500 42
Aaron Rents, Inc. 1,350 41
* American Technology 6,200 36
* Max & Erma's Restaurant, Inc. 2,169 34
* MediaBay, Inc. 83,112 34
* Delta Woodside Industries, Inc. 27,175 30
Cadmus Communications 2,000 29
ILX Resorts Inc. 3,100 29
* Winmark Corp. 1,000 25
- -----------------------------------------------------------------------------
Market
Value^
Shares (000)
- -----------------------------------------------------------------------------
* Liquid Audio, Inc. 61,700 $ 18
* Bush Industries, Inc. 55,432 15
* Bluefly, Inc. 5,222 11
Superior Uniform Group, Inc. 599 10
* Calton, Inc. 15,400 5
* Panavision, Inc. 174 1
* Travis Boats & Motors, Inc. 700 1
----------
1,751,551
----------
Consumer Staples (2.7%)
Kraft Foods Inc. 702,550 22,257
Tyson Foods, Inc. 883,118 18,501
Whole Foods Market, Inc. 155,267 14,820
* Dean Foods Co. 393,212 14,671
Hormel Foods Corp. 347,637 10,812
* Constellation Brands, Inc.
Class A 265,331 9,852
* Smithfield Foods, Inc. 278,177 8,178
PepsiAmericas, Inc. 344,783 7,323
* Rite Aid Corp. 1,297,283 6,772
J.M. Smucker Co. 145,393 6,675
* Del Monte Foods Co. 525,275 5,337
* 7-Eleven, Inc. 280,030 4,999
* NBTY, Inc. 167,371 4,919
Pilgrim's Pride Corp. 166,896 4,830
Church & Dwight, Inc. 103,008 4,716
Tootsie Roll Industries, Inc. 128,297 4,170
Fresh Del Monte Produce Inc. 142,650 3,605
Universal Corp. (VA) 62,892 3,204
* Performance Food Group Co. 116,326 3,087
Flowers Foods, Inc. 110,680 2,894
Sanderson Farms, Inc. 49,760 2,668
Ruddick Corp. 116,560 2,617
* Ralcorp Holdings, Inc. 73,281 2,579
Sensient Technologies Corp. 117,622 2,527
Weis Markets, Inc. 68,137 2,388
Casey's General Stores, Inc. 125,754 2,301
Longs Drug Stores, Inc. 94,302 2,251
* Chiquita Brands
International, Inc. 102,181 2,138
* Hain Celestial Group, Inc. 90,081 1,630
Vector Group Ltd. 100,504 1,583
Lance, Inc. 93,127 1,434
American Italian Pasta Co. 45,509 1,387
Interstate Bakeries Corp. 120,957 1,312
Farmer Brothers, Inc. 48,510 1,302
Schweitzer-Mauduit
International, Inc. 42,097 1,289
Seaboard Corp. 2,467 1,228
* J & J Snack Foods Corp. 29,596 1,208
Coca-Cola Bottling Co. 19,414 1,124
* Smart & Final Inc. 93,380 1,122
22
- -----------------------------------------------------------------------------
Market
Value^
Shares (000)
- -----------------------------------------------------------------------------
National Beverage Corp. 112,768 $ 1,120
* Peet's Coffee & Tea Inc. 43,929 1,098
Riviana Foods, Inc. 41,408 1,084
* John B. Sanfilippo & Son, Inc. 38,009 1,016
* Robert Mondavi Corp. Class A 27,359 1,013
* M&F Worldwide Corp. 70,901 971
* Wild Oats Markets Inc. 64,662 910
* The Great Atlantic &
Pacific Tea Co., Inc. 105,418 808
Nature's Sunshine Inc. 56,654 807
* Duane Reade Inc. 48,662 795
Dimon Inc. 134,072 767
* Lifeway Foods, Inc. 48,092 729
* Chalone Wine Group Ltd. 64,234 691
* Star Scientific, Inc. 147,292 583
* Pathmark Stores, Inc. 72,308 551
Ingles Markets, Inc. 49,015 547
Nash-Finch Co. 21,590 540
Standard Commercial
Tobacco Co. 28,390 512
* Omega Protein Corp. 50,253 487
* Monterey Pasta Co. 122,114 444
Arden Group Inc. Class A 4,736 424
* Provide Commerce Inc. 20,800 410
* Hansen Natural Corp. 14,800 375
* Nutraceutical International Corp. 16,357 349
* Maui Land & Pineapple Co., Inc. 9,877 336
Golden Enterprises Inc. 114,400 309
* Boston Beer Co., Inc. Class A 10,732 216
* Food Technology Service, Inc. 181,836 213
* Seneca Foods Corp. 7,007 135
Reliv' International, Inc. 11,115 104
* Green Mountain Coffee
Roasters, Inc. 5,408 100
* Medifast, Inc. 18,109 96
* Weider Nutritional
International, Inc. 18,207 85
* Diedrich Coffee, Inc. 11,350 62
--------
214,397
--------
Financial Services (24.0%)
* Genworth Financial Inc. 1,226,469 28,147
UnionBanCal Corp. 370,162 20,877
CIT Group Inc. 531,048 20,334
* CNA Financial Corp. 626,922 18,551
Vornado Realty Trust REIT 313,338 17,895
National Commerce
Financial Corp. 511,878 16,636
General Growth Properties Inc.
REIT 544,683 16,106
Fidelity National Financial, Inc. 430,514 16,075
Hudson City Bancorp, Inc. 475,138 15,889
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
Legg Mason Inc. 166,659 $ 15,168
Public Storage, Inc. REIT 321,513 14,793
Archstone-Smith Trust REIT 492,692 14,451
Popular, Inc. 333,868 14,280
Banknorth Group, Inc. 431,918 14,029
Boston Properties, Inc. REIT 266,870 13,365
Compass Bancshares Inc. 307,223 13,211
Green Point Financial Corp. 330,959 13,139
New York Community
Bancorp, Inc. 663,555 13,026
Kimco Realty Corp. REIT 278,590 12,676
Rouse Co. REIT 257,305 12,222
The Chicago
Mercantile Exchange 82,921 11,971
* Ameritrade Holding Corp. 1,047,703 11,891
White Mountains
Insurance Group Inc. 22,694 11,574
Duke Realty Corp. REIT 355,989 11,324
Radian Group, Inc. 235,815 11,296
iStar Financial Inc. REIT 276,014 11,041
Total System Services, Inc. 496,223 10,867
Old Republic International Corp. 455,114 10,795
Commerce Bancorp, Inc. 195,428 10,750
Transatlantic Holdings, Inc. 131,896 10,682
The PMI Group Inc. 238,930 10,398
TCF Financial Corp. 176,839 10,266
* DST Systems, Inc. 211,713 10,181
Avalonbay Communities, Inc.
REIT 179,666 10,155
* Host Marriott Corp. REIT 805,035 9,950
* The Dun & Bradstreet Corp. 178,154 9,604
Hibernia Corp. Class A 389,416 9,463
Assurant, Inc. 355,756 9,385
Doral Financial Corp. 270,737 9,340
Mercantile Bankshares Corp. 198,169 9,278
W.R. Berkley Corp. 210,161 9,026
Developers Diversified
Realty Corp. REIT 255,051 9,021
Leucadia National Corp. 178,171 8,855
Liberty Property Trust REIT 212,555 8,547
* Alliance Data Systems Corp. 200,814 8,484
Associated Banc-Corp. 276,293 8,187
City National Corp. 122,256 8,032
Health Care Properties
Investors REIT 330,852 7,954
Allied Capital Corp. 320,677 7,831
* AmeriCredit Corp. 395,283 7,720
Commerce Bancshares, Inc. 165,978 7,626
Independence Community
Bank Corp. 207,833 7,565
SEI Corp. 259,938 7,549
23
- -----------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- -----------------------------------------------------------------------------
Erie Indemnity Co. Class A 158,987 $ 7,437
Brown & Brown, Inc. 172,512 7,435
People's Bank 235,595 7,339
Unitrin, Inc. 171,573 7,309
Investors Financial Services Corp. 165,712 7,222
Chelsea Property Group REIT 110,421 7,202
* CapitalSource Inc. 294,367 7,197
* Conseco, Inc. 361,243 7,189
Astoria Financial Corp. 196,154 7,175
AMB Property Corp. REIT 207,139 7,173
Hospitality Properties Trust REIT 168,516 7,128
Friedman, Billings, Ramsey
Group, Inc. REIT 357,417 7,073
The Macerich Co. REIT 146,816 7,028
Arthur J. Gallagher & Co. 227,974 6,942
* Markel Corp. 24,716 6,859
A.G. Edwards & Sons, Inc. 200,776 6,832
Mercury General Corp. 136,681 6,786
* CheckFree Corp. 225,330 6,760
Student Loan Corp. 49,476 6,753
Weingarten Realty
Investors REIT 215,391 6,737
Protective Life Corp. 173,581 6,712
Regency Centers Corp. REIT 152,454 6,540
* WellChoice Inc. 157,341 6,514
Eaton Vance Corp. 169,349 6,471
Fulton Financial Corp. 320,645 6,461
Catellus Development Corp. REIT 258,407 6,370
Reinsurance Group of
America, Inc. 156,170 6,348
Webster Financial Corp. 134,571 6,328
Mack-Cali Realty Corp. REIT 151,732 6,279
United Dominion Realty
Trust REIT 317,211 6,274
Nuveen Investments, Inc. Class A 233,786 6,265
Valley National Bancorp 247,505 6,257
Mills Corp. REIT 132,978 6,210
Certegy, Inc. 159,772 6,199
Wilmington Trust Corp. 166,491 6,197
Trizec Properties, Inc. REIT 380,904 6,193
American National Insurance Co. 66,498 6,140
Bank of Hawaii Corp. 133,387 6,032
Fair, Isaac, Inc. 177,182 5,914
Westcorp, Inc. 129,726 5,896
New Plan Excel Realty Trust REIT 251,345 5,871
Colonial BancGroup, Inc. 319,255 5,801
* BOK Financial Corp. 147,148 5,778
Sky Financial Group, Inc. 233,380 5,771
Cullen/Frost Bankers, Inc. 128,849 5,766
First American Corp. 222,240 5,754
American Financial Group, Inc. 184,146 5,629
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
FirstMerit Corp. 212,756 $ 5,610
Rayonier Inc. REIT 124,193 5,520
Capitol Federal Financial 184,413 5,514
Thornburg Mortgage, Inc. REIT 203,866 5,494
* Alleghany Corp. 19,104 5,483
HCC Insurance Holdings, Inc. 161,637 5,400
Federal Realty Investment
Trust REIT 128,565 5,347
Nationwide Financial
Services, Inc. 141,729 5,330
International Bancshares Corp. 129,710 5,260
Pan Pacific Retail
Properties, Inc. REIT 101,119 5,109
WFS Financial, Inc. 103,108 5,105
Annaly Mortgage
Management Inc. REIT 295,371 5,009
Ventas, Inc. REIT 210,203 4,908
Raymond James Financial, Inc. 184,294 4,875
American Capital Strategies, Ltd. 173,230 4,854
StanCorp Financial Group, Inc. 72,221 4,839
Arden Realty Group, Inc. REIT 164,399 4,835
Washington Federal Inc. 197,022 4,729
Reckson Associates
Realty Corp. REIT 167,448 4,598
W Holding Co., Inc. 267,696 4,596
Camden Property Trust REIT 100,131 4,586
IndyMac Bancorp, Inc. REIT 145,027 4,583
Waddell &Reed Financial, Inc. 206,842 4,573
Whitney Holdings Corp. 101,940 4,554
SL Green Realty Corp. REIT 96,769 4,529
Jack Henry & Associates Inc. 225,056 4,524
* Allmerica Financial Corp. 133,452 4,511
CenterPoint
Properties Corp. REIT 58,593 4,497
UCBH Holdings, Inc. 113,067 4,468
HRPT Properties Trust REIT 444,638 4,451
Jefferies Group, Inc. 143,489 4,437
* The First Marblehead Corp. 110,004 4,429
* Instinet Group Inc. 832,439 4,395
Park National Corp. 34,414 4,395
BRE Properties Inc. Class A REIT 125,721 4,369
BancorpSouth, Inc. 193,807 4,366
Shurgard Storage Centers, Inc.
Class A REIT 114,834 4,295
Global Payments Inc. 95,067 4,280
* BISYS Group, Inc. 302,789 4,257
The South Financial Group, Inc. 149,751 4,244
CBL & Associates
Properties, Inc. REIT 77,059 4,238
Trustmark Corp. 146,403 4,234
Hudson United Bancorp 112,815 4,206
24
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
Health Care Inc. REIT 128,896 $ 4,189
Westamerica Bancorporation 79,588 4,174
Cathay General Bancorp 62,362 4,160
Realty Income Corp. REIT 99,516 4,153
Old National Bancorp 166,422 4,132
First Midwest Bancorp, Inc. 117,049 4,121
CarrAmerica Realty Corp. REIT 136,271 4,119
First BanCorp Puerto Rico 100,913 4,112
AmerUs Group Co. 98,754 4,088
* Interactive Data Corp. 233,997 4,076
Cousins Properties, Inc. REIT 123,146 4,058
Healthcare Realty Trust Inc. REIT 108,060 4,050
Commerce Group, Inc. 81,778 4,037
Crescent Real Estate, Inc. REIT 249,916 4,029
* NewAlliance Bancshares, Inc. 286,370 3,998
New Century Financial Corp. 85,086 3,984
* The MONY Group Inc. 126,027 3,945
* La Quinta Corp. REIT 469,505 3,944
Essex Property Trust, Inc. REIT 57,383 3,922
Odyssey Re Holdings Corp. 163,028 3,913
East West Bancorp, Inc. 125,782 3,862
American Financial
Realty Trust REIT 268,995 3,844
* National Processing, Inc. 133,258 3,831
First Industrial Realty Trust REIT 103,271 3,809
FactSet Research Systems Inc. 80,314 3,796
Southwest Bancorporation of
Texas, Inc. 86,002 3,794
Downey Financial Corp. 70,274 3,742
Prentiss Properties Trust REIT 111,526 3,738
Greater Bay Bancorp 128,429 3,712
* Affiliated Managers Group, Inc. 72,813 3,668
Impac Mortgage
Holdings, Inc. REIT 160,608 3,617
Texas Regional Bancshares, Inc. 78,572 3,607
United Bankshares, Inc. 109,516 3,559
* Silicon Valley Bancshares 88,659 3,515
MAF Bancorp, Inc. 82,119 3,505
Delphi Financial Group, Inc. 78,290 3,484
* United Rentals, Inc. 193,614 3,464
Fremont General Corp. 193,464 3,415
Citizens Banking Corp. 108,894 3,381
GATX Corp. 123,333 3,355
* Arch Capital Group Ltd. 84,057 3,352
* Philadelphia Consolidated
Holding Corp. 55,414 3,329
Chittenden Corp. 92,333 3,245
Hilb, Rogal and Hamilton Co. 90,408 3,226
* Kronos, Inc. 78,047 3,216
Pacific Capital Bancorp 114,079 3,209
Home Properties, Inc. REIT 82,320 3,209
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
Equity One, Inc. REIT 176,216 3,186
Heritage Property Investment
Trust REIT 117,567 3,181
First Citizens BancShares
Class A 26,061 3,179
Highwood Properties, Inc. REIT 134,496 3,161
Nationwide Health
Properties, Inc. REIT 166,503 3,147
Brandywine Realty Trust REIT 114,826 3,122
* Ohio Casualty Corp. 154,033 3,101
Washington REIT 104,853 3,081
Pennsylvania REIT 89,763 3,074
State Auto Financial Corp. 98,656 3,031
Flagstar Bancorp, Inc. 152,086 3,023
Susquehanna Bancshares, Inc. 119,205 2,999
Community First Bankshares, Inc. 92,705 2,984
National Financial Partners Corp. 84,207 2,970
* Knight Trading Group, Inc. 291,748 2,923
BlackRock, Inc. 45,793 2,923
Post Properties, Inc. REIT 99,747 2,908
The Phoenix Cos., Inc. 237,333 2,907
Corus Bankshares Inc. 70,235 2,887
Redwood Trust, Inc. REIT 51,776 2,883
Taubman Co. REIT 124,772 2,856
Alfa Corp. 201,135 2,816
UMB Financial Corp. 54,392 2,808
* UICI 116,734 2,779
Selective Insurance Group 69,602 2,776
21st Century Insurance Group 214,297 2,773
Commercial Federal Corp. 102,095 2,767
Alexandria Real Estate
Equities, Inc. REIT 48,702 2,765
Northwest Bancorp, Inc. 119,722 2,742
Senior Housing Properties
Trust REIT 159,139 2,672
MB Financial, Inc. 72,532 2,670
Santander BanCorp 107,927 2,668
Capital Automotive REIT 90,814 2,664
Maguire Properties, Inc. REIT 107,424 2,661
CVB Financial Corp. 121,493 2,646
Seacoast Financial Services Corp. 75,742 2,621
Newcastle Investment Corp. REIT 87,319 2,615
Colonial Properties Trust REIT 67,575 2,604
Wintrust Financial Corp. 50,477 2,550
First Niagara Financial Group, Inc. 211,660 2,540
BankAtlantic Bancorp, Inc.
Class A 137,225 2,532
Gables Residential Trust REIT 73,426 2,495
* ProAssurance Corp. 72,628 2,477
American Home Mortgage
Investment Corp. REIT 95,262 2,470
25
- ----------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- ----------------------------------------------------------------------------
R & G Financial Corp. Class B 74,222 $ 2,454
TrustCo Bank NY 186,539 2,444
Kilroy Realty Corp. REIT 71,184 2,427
Lexington Corporate Properties
Trust REIT 121,118 2,411
Provident Bankshares Corp. 82,869 2,390
Novastar Financial, Inc. REIT 62,850 2,386
F.N.B. Corp. 116,506 2,377
Hancock Holding Co. 81,696 2,374
* CB Richard Ellis Group, Inc. 124,056 2,369
R.L.I. Corp. 63,388 2,314
Waypoint Financial Corp. 83,587 2,306
Zenith National Insurance Corp. 47,424 2,305
First National
Bankshares of Florida 120,397 2,282
* Commercial Capital Bancorp, Inc. 131,016 2,276
* Piper Jaffray Cos., Inc. 49,834 2,254
First Commonwealth
Financial Corp. 172,904 2,243
Republic Bancorp, Inc. 160,664 2,233
Commercial Net Lease
Realty REIT 129,624 2,230
Chemical Financial Corp. 59,974 2,212
* Nelnet, Inc. 124,400 2,208
PS Business Parks, Inc. REIT 54,736 2,203
Brookline Bancorp, Inc. 148,080 2,172
* Jones Lang Lasalle Inc. 79,870 2,164
Bank Mutual Corp. 198,499 2,164
United Community Banks, Inc. 85,702 2,158
* Apollo Investment Corp. 155,997 2,148
S & T Bancorp, Inc. 67,063 2,145
Alabama National BanCorporation 38,529 2,137
* NCO Group, Inc. 79,442 2,120
* Triad Guaranty, Inc. 36,203 2,107
* eFunds Corp. 120,135 2,102
NDCHealth Corp. 90,511 2,100
* CompuCredit Corp. 120,524 2,085
* Alexander's, Inc. REIT 12,335 2,069
John H. Harland Co. 70,293 2,063
* Ocwen Financial Corp. 170,857 2,057
Summit Properties, Inc. REIT 79,328 2,034
Glimcher Realty Trust REIT 89,209 1,973
* Financial Federal Corp. 55,898 1,971
First Financial Bancorp 110,431 1,957
FBL Financial Group, Inc. Class A 69,019 1,950
Cash America International Inc. 84,772 1,950
* BankUnited Financial Corp. 74,979 1,934
Mid-America Apartment
Communities, Inc. REIT 50,951 1,931
EastGroup Properties, Inc. REIT 57,024 1,920
Amcore Financial, Inc. 63,328 1,910
- -----------------------------------------------------------------------------
Market
Value^*
Shares (000)
- -----------------------------------------------------------------------------
First Republic Bank 44,107 1,900
Manufactured Home
Communities, Inc. REIT 57,163 1,897
Corporate Office Properties
Trust, Inc. REIT 76,225 1,894
Hanmi Financial Corp. 64,183 1,893
Great American Financial
Resources, Inc. 118,858 1,890
Horace Mann Educators Corp. 107,315 1,876
National Health Investors REIT 68,924 1,874
Entertainment Properties
Trust REIT 52,247 1,867
Irwin Financial Corp. 70,703 1,867
First Federal Capital Corp. 67,055 1,866
Keystone Property Trust REIT 77,643 1,866
AMLI Residential Properties
Trust REIT 63,535 1,864
* USI Holdings Corp. 117,225 1,852
NBT Bancorp, Inc. 82,720 1,848
* Sotheby's Holdings Class A 115,662 1,846
Sterling Bancshares, Inc. 129,740 1,841
Infinity Property & Casualty Corp. 55,754 1,840
* Credit Acceptance Corp. 121,752 1,835
Charter Financial Corp. 53,848 1,831
* Digital Insight Corp. 88,202 1,828
LandAmerica Financial Group, Inc. 46,760 1,820
National Penn Bancshares Inc. 61,099 1,817
Community Bank System, Inc. 79,236 1,806
Advanta Corp. Class A 82,172 1,802
* FelCor Lodging Trust, Inc. REIT 148,814 1,801
Sun Communities, Inc. REIT 47,731 1,797
Anthracite Capital Inc. REIT 149,803 1,795
* First Federal Financial Corp. 42,852 1,783
* Euronet Worldwide, Inc. 77,006 1,781
* S1 Corp. 178,828 1,778
* Sterling Financial Corp. 55,479 1,768
Glacier Bancorp, Inc. 62,125 1,750
First Financial Bankshares, Inc. 41,722 1,749
Harbor Florida Bancshares, Inc. 63,430 1,745
Sovran Self Storage, Inc. REIT 45,166 1,724
Dime Community Bancshares 98,085 1,715
Affordable Residential
Communities 103,254 1,714
First Sentinel Bancorp Inc. 82,643 1,698
* eSPEED, Inc. Class A 95,967 1,694
* HealthExtras, Inc. 101,806 1,687
* iPayment Holdings, Inc. 41,043 1,683
Mid-State Bancshares 71,269 1,676
Boston Private Financial
Holdings, Inc. 72,286 1,674
Main Street Banks, Inc. 59,336 1,667
26
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
Westbanco Inc. 57,018 $ 1,661
MFA Mortgage
Investments, Inc. REIT 185,830 1,654
Frontier Financial Corp. 47,328 1,654
* Saxon Capital Inc. 71,997 1,644
First Charter Corp. 75,223 1,639
Harleysville National Corp. 63,354 1,622
Stewart Information
Services Corp. 47,993 1,621
Saul Centers, Inc. REIT 50,347 1,617
PFF Bancorp, Inc. 43,249 1,611
Getty Realty Holding Corp. REIT 63,768 1,604
* Metris Cos., Inc. 183,809 1,597
* Argonaut Group, Inc. 86,666 1,597
Kansas City Life Insurance Co. 37,865 1,594
Gold Banc Corp., Inc. 102,287 1,585
KNBT Bancorp Inc. 94,369 1,576
Hudson River Bancorp. Inc. 91,806 1,567
RAIT Investment Trust REIT 63,575 1,567
Parkway Properties Inc. REIT 34,930 1,553
* Universal American
Financial Corp. 140,475 1,542
* Investment Technology
Group, Inc. 120,192 1,537
Sterling Financial Corp. (PA) 58,126 1,513
Glenborough Realty
Trust, Inc. REIT 82,393 1,512
* National Western Life
Insurance Co. Class A 9,833 1,510
MCG Capital Corp. 97,710 1,503
Anchor Bancorp Wisconsin Inc. 56,835 1,503
Bedford Property
Investors, Inc. REIT 51,146 1,496
* Accredited Home Lenders
Holding Co. 52,948 1,490
Independent Bank Corp. (MI) 58,522 1,486
* Signature Bank 62,209 1,478
Koger Equity, Inc. REIT 63,689 1,472
* Advent Software, Inc. 81,383 1,471
Oriental Financial Group Inc. 54,275 1,469
Tanger Factory Outlet
Centers, Inc. REIT 37,546 1,468
Prosperity Bancshares, Inc. 60,259 1,467
Cornerstone Realty Income
Trust, Inc. REIT 166,500 1,460
United Community
Financial Corp. 109,442 1,423
Riggs National Corp. 67,074 1,417
First Merchants Corp. 53,852 1,397
Umpqua Holdings Corp. 66,293 1,391
LaSalle Hotel Properties REIT 56,634 1,382
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
Anworth Mortgage
Asset Corp. REIT 116,011 $ 1,378
BancFirst Corp. 23,047 1,377
* CCC Information
Services Group 80,342 1,349
Independent Bank Corp. (MA) 46,499 1,346
City Holding Co. 42,201 1,333
* CNA Surety Corp. 121,240 1,328
Great Southern Bancorp, Inc. 45,070 1,318
Harleysville Group, Inc. 69,904 1,318
Sterling Bancorp 47,181 1,303
IBERIABANK Corp. 21,985 1,301
U.S.B. Holding Co., Inc. 56,261 1,290
United Fire & Casualty Co. 22,174 1,281
Net.Bank, Inc. 116,811 1,277
Community Trust Bancorp Inc. 41,402 1,263
LaBranche & Co. Inc. 149,819 1,261
Midwest Banc Holdings, Inc. 56,342 1,256
Innkeepers USA Trust REIT 120,715 1,245
Town & Country Trust REIT 49,153 1,241
First Community Bancorp 31,944 1,228
Provident Bancorp, Inc. 107,017 1,220
Presidential Life Corp. 67,263 1,212
* Navigators Group, Inc. 41,937 1,212
Bank of the Ozarks, Inc. 51,614 1,203
First Financial Holdings, Inc. 41,710 1,202
WSFS Financial Corp. 24,680 1,201
Investors Real Estate Trust REIT 115,709 1,201
Simmons First National Corp. 46,109 1,200
PrivateBancorp, Inc. 43,266 1,188
Integra Bank Corp. 53,849 1,186
Suffolk Bancorp 35,878 1,170
Flushing Financial Corp. 66,261 1,169
Unizan Financial Corp. 44,717 1,167
Baldwin & Lyons, Inc. Class B 43,454 1,166
BSB Bancorp, Inc. 32,640 1,160
Capital City Bank Group, Inc. 29,157 1,154
* TNS Inc. 52,600 1,147
Universal Health Realty
Income REIT 39,833 1,143
Sandy Spring Bancorp, Inc. 32,873 1,142
* World Acceptance Corp. 61,939 1,135
First Busey Corp. 38,394 1,123
* HomeStore, Inc. 280,904 1,121
Columbia Banking System, Inc. 50,049 1,111
Cascade Bancorp 59,720 1,104
First Financial Corp. (IN) 34,544 1,102
Banner Corp. 37,304 1,084
OceanFirst Financial Corp. 45,089 1,080
First Source Corp. 42,954 1,073
Midland Co. 36,078 1,070
27
- ----------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- ----------------------------------------------------------------------------
Omega Healthcare
Investors, Inc. REIT 106,434 $ 1,069
Correctional Properties
Trust REIT 36,284 1,061
TriCo Bancshares 55,462 1,048
Fidelity Bankshares, Inc. 29,384 1,042
* Portfolio Recovery
Associates, Inc. 37,762 1,041
S.Y. Bancorp, Inc. 44,461 1,041
Bristol West Holdings, Inc. 57,200 1,040
* Ace Cash Express, Inc. 40,479 1,040
Washington Trust Bancorp, Inc. 39,752 1,032
* Greenhill & Co., Inc. 49,300 1,031
Gabelli Asset Management Inc. 24,227 1,030
Seacoast Banking
Corp. of Florida 48,930 1,024
* Sun Bancorp, Inc. (NJ) 47,780 1,016
* Encore Capital Group, Inc. 76,789 1,014
Ramco-Gershenson
Properties Trust REIT 41,839 1,014
Central Pacific Financial Co. 35,973 989
* United PanAm Financial Corp. 56,944 971
* Citizens, Inc. 116,809 958
* MeriStar Hospitality Corp. REIT 138,736 949
* Danielson Holdings Corp. 136,650 944
Urstadt Biddle Properties
Class A REIT 63,694 943
* PICO Holdings, Inc. 48,783 933
NYMAGIC, Inc. 35,289 932
First Place Financial Corp. 49,886 926
* Tradestation Group Inc. 128,173 922
Vesta Insurance Group, Inc. 142,028 919
* First Cash Financial Services, Inc. 42,077 895
Bank of Granite Corp. 42,680 892
* FPIC Insurance Group, Inc. 35,945 887
Acadia Realty Trust REIT 64,467 886
Omega Financial Corp. 25,693 885
Pennfed Financial Services, Inc. 25,830 878
Winston Hotels, Inc. REIT 84,097 870
* ITLA Capital Corp. 21,419 869
Yardville National Bancorp 34,680 867
* Franklin Bank Corp. 54,193 857
* Capital Crossing Bank 15,297 854
Mission West
Properties Inc. REIT 70,476 853
* Rewards Network Inc. 94,318 849
Capital Corp. of the West 21,797 847
PMA Capital Corp. Class A 91,953 828
* Stifel Financial Corp. 30,211 822
Nara Bancorp, Inc. 47,970 822
* AmericanWest Bancorporation 41,860 802
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
Value Line, Inc. 22,474 $ 798
SWS Group, Inc. 51,978 795
Second Bancorp, Inc. 25,178 788
* Central Coast Bancorp 42,852 784
McGrath Rent Corp. 21,163 782
Old Second Bancorp, Inc. 14,824 782
U.S. Restaurant
Properties, Inc. REIT 51,322 780
Peoples Holding Co. 22,534 779
State Financial Services Corp.
Class A 26,118 775
Farmers Capital Bank Corp. 21,567 771
* Ceres Group, Inc. 125,104 768
ASTA Funding, Inc. 44,072 767
Capitol Bancorp Ltd. 29,403 765
Summit Bancshares, Inc. 26,135 761
Highland Hospitality Corp. 75,300 757
Sanders Morris Harris Group Inc. 51,294 757
Horizon Financial Corp. 38,004 756
BostonFed Bancorp, Inc. 18,940 754
* Hypercom Corp. 89,101 753
Ashford Hospitality Trust 89,337 746
ABC Bancorp 36,588 744
Columbia Bancorp 25,387 742
Donegal Group Inc. 36,872 741
* PRG-Schultz International, Inc. 135,155 739
American Equity Investment
Life Holding Co. 74,100 737
* Marlin Business Services Inc. 49,001 736
Kramont Realty Trust REIT 45,965 735
* Intersections Inc. 30,379 729
* E-LOAN, Inc. 269,066 726
Community Banks, Inc. 24,423 717
* American Independence Corp. 43,213 714
* Criimi Mae, Inc. REIT 59,567 713
HMN Financial, Inc. 26,964 711
Interchange Financial
Services Corp. 28,364 706
* American Physicians Capital, Inc. 30,483 706
Associated Estates
Realty Corp. REIT 87,372 703
Cross Timbers Royalty Trust 25,415 703
Partners Trust Financial
Group, Inc. 35,851 703
CB Bancshares Inc. (HI) 7,455 695
Capstead Mortgage Corp. REIT 51,644 695
Ohio Valley Banc Corp. 20,921 695
Humboldt Bancorp 32,953 689
Equity Inns, Inc. REIT 73,986 687
* Virginia Commerce Bancorp, Inc. 23,187 684
* Florida Banks, Inc. 31,588 683
28
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
Medallion Financial Corp. 85,887 $ 683
Mainsource Financial Group, Inc. 33,609 682
Safety Insurance Group, Inc. 31,840 682
Tompkins Trustco, Inc. 14,333 681
First of Long Island Corp. 14,713 679
Luminent Mortgage Capital, Inc. 55,700 668
* The Bancorp Bank 37,666 667
First Albany Companies Inc. 66,126 664
Merchants Bancshares, Inc. 24,977 656
Clifton Savings Bancorp, Inc. 55,306 653
Sound Federal Bancorp Inc. 47,767 641
PVF Capital Corp. 39,691 637
Redwood Empire Bancorp 26,213 631
Newmil Bancorp, Inc. 21,389 631
Greater Delaware Valley
Savings Bank 22,242 628
Sizeler Property
Investors, Inc. REIT 67,754 624
California National Bancorp 46,035 616
BWC Financial Corp. 27,655 611
* Heritage Commerce Corp. 41,697 608
Heritage Financial Corp. 32,571 607
Parkvale Financial Corp. 23,059 607
* Cardinal Financial Corp. 66,679 603
Financial Institutions, Inc. 24,254 599
* Sunset Financial Resources, Inc. 58,000 593
Quaker City Bancorp, Inc. 10,789 593
CityBank Lynnwood WA 18,509 593
NASB Financial Inc. 13,935 588
First Oak Brook Bancshares, Inc. 19,406 588
American Land Lease, Inc. REIT 31,114 587
* Falcon Financial
Investment Trust REIT 75,200 587
CFS Bancorp, Inc. 44,201 586
* CyberSource Corp. 70,009 585
* Texas Capital Bancshares, Inc. 35,226 585
* InterCept, Inc. 35,318 579
* Matrix Bancorp, Inc. 47,736 577
North Valley Bancorp 36,175 573
SCPIE Holdings Inc. 62,935 573
* Boykin Lodging Co. REIT 73,989 566
BNP Residential
Properties, Inc. REIT 42,700 561
Republic Bancorp, Inc. Class A 27,327 552
West Coast Bancorp 25,692 551
* Republic First Bancorp, Inc. 42,373 548
Lakeland Financial Corp. 16,307 546
First Bancorp (NC) 16,290 545
LSB Bancshares, Inc. 33,577 542
Home Federal Bancorp 21,526 538
Unity Bancorp, Inc. 40,067 536
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
Landmark Bancorp Inc. 17,054 535
TF Financial Corp. 17,734 532
Timberland Bancorp, Inc. 23,654 529
Cavalry Bancorp, Inc. 33,010 528
First Financial Service Corp. 21,513 525
MutualFirst Financial Inc. 23,977 519
Penn-America Group, Inc. 36,920 517
Urstadt Biddle Properties REIT 36,600 516
Capital Title Group, Inc. 118,798 512
FLAG Financial Corp. 39,479 510
FirstBank Corp. 18,560 504
Merrill Merchants
Bancshares, Inc. 21,020 503
* Carreker Corp. 50,032 501
LTC Properties, Inc. REIT 30,179 501
* Ameriserv Financial Inc. 90,191 501
* Willis Lease Finance Corp. 59,845 497
Royal Bancshares of
Pennsylvania, Inc. 19,999 496
Mystic Financial, Inc. 15,388 495
Chester Valley Bancorp 22,925 492
Jefferson Bancshares, Inc. 37,800 490
* Newtek Business Services, Inc. 130,604 490
BRT Realty Trust REIT 25,063 489
Community Capital Corp. 23,210 487
Union Bankshares Corp. 15,398 487
Humphrey Hospitality
Trust, Inc. REIT 109,508 484
Greater Community Bancorp 33,815 483
FNB Financial Services Corp. 28,326 482
Capital Bank Corp. 29,214 479
Maxcor Financial Group Inc. 43,767 468
Government Properties Trust, Inc. 44,800 468
Crawford & Co. Class B 94,793 467
The Washington Savings Bank 46,100 466
First Indiana Corp. 24,392 465
Hanover Capital Mortgage
Holdings, Inc. 39,500 465
Arrow Financial Corp. 15,236 464
CoBiz Inc. 33,477 463
Pennrock Financial
Services Corp. 15,259 461
* Arbor Realty Trust, Inc. 23,000 459
* MicroFinancial Inc. 134,455 456
Belmont Bancorp 74,557 454
Merchants Group, Inc. 17,450 449
One Liberty Properties, Inc. REIT 24,700 449
* United National Group Ltd.
Class A 29,593 447
Capital Trust Class A 16,697 446
Peoples Bancorp, Inc. 16,711 444
29
- ------------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- ------------------------------------------------------------------------------
Rainier Pacific Financial
Group Inc. 26,800 $ 436
Onyx Acceptance Corp. 26,310 433
Guaranty Federal
Bancshares, Inc. 22,245 431
Camden National Corp. 13,003 430
Citizens South Banking Corp. 32,513 429
German American Bancorp 25,497 428
* BNCCORP, Inc. 24,298 425
Cooperative Bankshares, Inc. 19,089 425
Oak Hill Financial, Inc. 13,297 419
CNB Florida Bancshares, Inc. 17,640 417
Peoples Bancorp of
North Carolina 21,479 416
Central Bancorp, Inc. 12,300 412
American Mortgage
Acceptance Co. REIT 29,628 406
* Corillian Corp. 80,530 406
Commercial Bankshares, Inc. 15,165 403
Electro Rent Corp. 37,988 398
Coastal Financial Corp. 26,465 396
Century Bancorp, Inc. Class A 11,950 393
First Mutual Bancshares, Inc. 15,511 392
Bay View Capital Corp. 188,649 389
MFB Corp. 12,500 387
FNB Corp. (VA) 13,214 381
* Meadowbrook Insurance
Group, Inc. 71,531 379
Peoples BancTrust Co., Inc. 26,400 374
* Consumer Portfolio Services, Inc. 82,928 373
Independence Holding Co. 10,957 373
PMC Commercial Trust REIT 25,804 372
Wainwright Bank & Trust Co. 30,832 371
Peoples Community Bancorp 16,000 371
EMC Insurance Group, Inc. 15,769 368
First M&F Corp. 11,803 368
Southwest Bancorp, Inc. 19,987 365
* Asset Acceptance Capital Corp. 21,400 364
National Health Realty Inc. REIT 21,161 358
Agree Realty Corp. REIT 14,121 357
Monmouth Real Estate
Investment Corp. REIT 45,812 357
Exchange National
Bancshares, Inc. 12,029 351
Provident Financial Holdings, Inc. 14,800 350
* Standard Management Corp. 98,974 349
* Financial Industries Corp. 37,626 349
PFS Bancorp, Inc. 16,961 348
* Portal Software, Inc. 95,207 346
First Potomac REIT 17,989 345
Union Community Bancorp 19,398 343
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
BancTrust Financial Group, Inc. 19,289 $ 338
Commercial National
Financial Corp. 13,935 324
* Banc Corp. 48,572 316
First State Bancorporation 10,262 315
Citizens First Financial Corp. 13,552 308
* TheStreet.com, Inc. 82,330 306
Peapack Gladstone
Financial Corp. 9,472 304
Presidential Realty Corp. REIT 40,700 304
Foothill Independent Bancorp. 14,363 300
Northern States Financial Corp. 11,022 299
Summit Financial Corp. 16,027 296
United Mobile Homes, Inc. REIT 22,206 292
Westfield Financial, Inc. 14,322 291
FFLC Bancorp, Inc. 11,476 289
Camco Financial Corp. 20,306 284
First United Corp. 14,374 280
Shore Bancshares, Inc. 10,471 268
Berkshire Hills Bancorp, Inc. 6,884 255
* Federal Agricultural
Mortgage Corp. Class A 13,288 252
State Bancorp, Inc. 10,129 247
* Harris & Harris Group, Inc. 19,987 244
* InsWeb Corp. 54,148 239
First Midwest Financial, Inc. 10,011 238
Cedar Shopping Centers, Inc. 20,600 237
FNB Corp. (NC) 11,960 233
Citizens 1st Bancorp, Inc. 9,793 233
Willow Grove Bancorp, Inc. 14,572 232
Center Bancorp, Inc. 19,895 223
Pamrapo Bancorp, Inc. 9,280 218
Eastern Virginia Bankshares, Inc. 10,798 213
Harrodsburg First Financial
Bancorp, Inc. 12,084 211
Westwood Holdings Group, Inc. 11,726 211
Massbank Corp. 6,012 208
Security Bank Corp. 5,980 208
Bryn Mawr Bank Corp. 8,975 204
* Bankrate, Inc. 21,985 188
ESB Financial Corp. 14,763 185
Community Bank of
Northern Virginia 13,218 178
Berkshire Bancorp Inc. 10,230 176
* Prime Group Realty Trust REIT 33,184 175
* Transcontinental Realty
Investors, Inc. REIT 12,703 172
* K-Fed Bancorp 13,298 170
First Federal Bancorp, Inc. 19,000 156
Warwick Community
Bancorp, Inc. 4,645 149
30
- -----------------------------------------------------------------------------
Market
Value^
Shares (000)
- -----------------------------------------------------------------------------
* Intelidata Technologies Corp. 200,477 $ 132
Price Legacy Corp. REIT 6,867 127
* Capital Lease Funding, Inc. 12,000 125
Cascade Financial Corp. 6,947 122
American National
Bankshares Inc. 5,559 121
Northeast Indiana Bancorp, Inc. 5,504 120
AmeriVest Properties, Inc. REIT 20,113 118
First Defiance Financial Corp. 5,212 115
Delta Financial Corp. 14,312 114
First South Bancorp, Inc. 4,719 106
Hersha Hospitality Trust REIT 10,700 106
Sun Bancorp, Inc. 4,597 103
Falmouth Bancorp, Inc. 2,400 89
* ProCentury Corp. 7,700 75
Northrim Bancorp Inc. 3,364 68
Woronoco Bancorp Inc. 1,600 57
PAB Bankshares, Inc. 4,397 53
Cotton States Life Insurance Co. 2,237 43
Fidelity Southern Corp. 2,739 38
* American Pacific Bank 4,132 36
Sovereign Bancorp, Inc. 1,426 32
FMS Financial Corp. 1,120 20
BCSB Bankcorp, Inc. 1,400 19
* Horizon Group
Properties, Inc. REIT 3,415 18
* Landenburg Thalmann
Financial Services, Inc. 18,943 17
EFC Bancorp, Inc. 600 14
Hoenig Group, Inc.
Rights Exp. 9/1/2006 54,300 12
Wilber Corp. 900 11
Gladstone Commercial Corp. 600 10
Provident Financial Group, Inc. 250 10
* Olympic Cascade Financial Corp. 2,900 5
* Investors Capital Holdings, Ltd. 900 4
* Analytical Surveys, Inc. 2,531 4
* Diamond Hill Investment Group 200 2
* SVB Financial Services 100 2
* Origen Financial, Inc. REIT 123 1
* Pinnacle Warrants
Exp. 11/13/2007 350 --
----------
1,903,641
----------
Health Care (11.9%)
* Genentech, Inc. 1,333,186 74,925
* ImClone Systems, Inc. 191,673 16,444
* Laboratory Corp. of
America Holdings 354,577 14,077
* Varian Medical Systems, Inc. 171,840 13,636
* Patterson Dental Co. 171,212 13,096
* IVAX Corp. 494,881 11,872
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
* Celgene Corp. 205,267 $ 11,754
* Sepracor Inc. 214,627 11,354
Oxford Health Plans, Inc. 204,594 11,261
Omnicare, Inc. 260,491 11,152
* Coventry Health Care Inc. 222,387 10,875
* Millennium Pharmaceuticals, Inc. 764,471 10,550
DENTSPLY International Inc. 202,176 10,533
* Kinetic Concepts, Inc. 210,269 10,492
* Eon Labs, Inc. 231,528 9,476
* Invitrogen Corp. 131,164 9,442
Beckman Coulter, Inc. 154,647 9,433
* Barr Pharmaceuticals Inc. 261,575 8,815
* PacifiCare Health Systems, Inc. 216,074 8,353
* Lincare Holdings, Inc. 249,078 8,185
* Endo Pharmaceuticals
Holdings, Inc. 330,786 7,757
* Cephalon, Inc. 140,780 7,602
* DaVita, Inc. 246,026 7,585
* Health Net Inc. 282,987 7,499
* WebMD Corp. 783,028 7,298
* Apogent Technologies Inc. 224,501 7,184
* Triad Hospitals, Inc. 190,723 7,101
* OSI Pharmaceuticals, Inc. 99,918 7,038
* Cytyc Corp. 277,234 7,033
* Henry Schein, Inc. 110,499 6,977
* Community Health
Systems, Inc. 247,461 6,625
Universal Health
Services Class B 136,999 6,287
* Covance, Inc. 157,073 6,060
* Gen-Probe Inc. 123,531 5,845
* Charles River Laboratories, Inc. 116,083 5,673
* Stericycle, Inc. 108,743 5,626
Medicis Pharmaceutical Corp. 140,696 5,621
* INAMED Corp. 89,085 5,599
* Renal Care Group, Inc. 167,471 5,548
* IDEXX Laboratories Corp. 87,251 5,492
* Amylin Pharmaceuticals, Inc. 235,527 5,370
* American Pharmaceuticals
Partners, Inc. 175,732 5,339
* Edwards Lifesciences Corp. 149,141 5,198
Cooper Cos., Inc. 81,346 5,139
* Respironics, Inc. 87,444 5,137
* Andrx Group 182,562 5,099
* Dade Behring Holdings Inc. 106,819 5,076
* Affymetrix, Inc. 151,530 4,960
* MGI Pharma, Inc. 176,624 4,771
* ICOS Corp. 159,216 4,751
* Accredo Health, Inc. 121,565 4,735
* Neurocrine Biosciences, Inc. 91,285 4,733
* VCA Antech, Inc. 102,149 4,578
31
- ----------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- ----------------------------------------------------------------------------
* Protein Design Labs, Inc. 236,994 $ 4,534
* Pharmaceutical Product
Development, Inc. 141,290 4,489
* Techne Corp. 103,199 4,484
* ResMed Inc. 84,888 4,326
* Pediatrix Medical Group, Inc. 61,377 4,287
Valeant Pharmaceuticals
International 210,107 4,202
* Tularik, Inc. 168,888 4,188
* Nektar Therapeutics 209,236 4,176
* Martek Biosciences Corp. 73,239 4,114
* Cerner Corp. 89,752 4,001
* STERIS Corp. 175,610 3,962
* Bio-Rad Laboratories, Inc.
Class A 64,361 3,788
* Human Genome Sciences, Inc. 325,419 3,785
* The Medicines Co. 119,750 3,654
* Onyx Pharmaceuticals, Inc. 86,030 3,644
Mentor Corp. 105,715 3,625
* eResearch Technology, Inc. 128,834 3,607
* Apria Healthcare Group Inc. 125,614 3,605
* First Health Group Corp. 229,510 3,583
* LifePoint Hospitals, Inc. 95,946 3,571
Select Medical Corp. 258,970 3,475
* NeighborCare Inc. 109,711 3,437
Invacare Corp. 75,701 3,385
Perrigo Co. 177,114 3,360
* VISX Inc. 122,525 3,274
Arrow International, Inc. 109,184 3,267
* Ligand Pharmaceuticals Inc.
Class B 185,205 3,219
Diagnostic Products Corp. 72,836 3,200
* US Oncology, Inc. 217,196 3,197
* Advanced Medical Optics, Inc. 73,947 3,148
* Pharmion Corp. 63,705 3,116
* Sierra Health Services, Inc. 69,065 3,087
* Kos Pharmaceuticals, Inc. 93,002 3,066
* AMERIGROUP Corp. 62,317 3,066
* Alkermes, Inc. 224,091 3,048
* PAR Pharmaceutical Cos. Inc. 85,878 3,024
* Magellan Health Services, Inc. 88,843 2,972
* Wright Medical Group, Inc. 83,108 2,959
* Inveresk Research Group Inc. 95,125 2,934
* Sybron Dental Specialties, Inc. 96,838 2,891
* Align Technology, Inc. 149,534 2,841
* K-V Pharmaceutical Co. Class A 123,040 2,841
* Impax Laboratories, Inc. 145,809 2,826
* American Medical Systems
Holdings, Inc. 83,101 2,800
* United Surgical Partners
International, Inc. 70,654 2,789
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
* Kyphon Inc. 98,439 $ 2,774
* Telik, Inc. 109,586 2,616
* Abgenix, Inc. 223,173 2,616
* Molina Healthcare Inc. 68,393 2,611
Owens & Minor, Inc. Holding Co. 98,597 2,554
* Integra LifeSciences Holdings 71,504 2,522
* Zymogenetics, Inc. 131,545 2,499
* ILEX Oncology, Inc. 98,328 2,457
* IDX Systems Corp. 75,862 2,419
* Genencor International Inc. 146,991 2,406
* Kindred Healthcare, Inc. 90,106 2,374
* Beverly Enterprises, Inc. 269,479 2,318
* Ocular Sciences, Inc. 60,577 2,302
* American Healthways Inc. 81,664 2,174
* Vertex Pharmaceuticals, Inc. 197,535 2,141
* Province Healthcare Co. 123,560 2,119
* Priority Healthcare Corp.
Class B 92,310 2,119
* Tanox, Inc. 110,550 2,108
* Applera Corp.-Celera
Genomics Group 182,838 2,104
Alpharma, Inc. Class A 101,499 2,079
PolyMedica Corp. 66,223 2,056
* Nabi Biopharmaceuticals 144,431 2,054
* CONMED Corp. 74,832 2,050
* Sunrise Senior Living, Inc. 51,536 2,017
* NPS Pharmaceuticals Inc. 93,709 1,968
* Ventana Medical Systems, Inc. 41,373 1,966
* Salix Pharmaceuticals, Ltd. 59,438 1,958
* Centene Corp. 50,633 1,952
* Cyberonics, Inc. 58,484 1,951
* AmSurg Corp. 75,835 1,906
* Atrix Laboratories, Inc. 55,096 1,889
* ArthroCare Corp. 64,843 1,886
* Haemonetics Corp. 62,788 1,862
* Exelixis, Inc. 182,924 1,846
* Immucor Inc. 56,611 1,843
* PSS World Medical, Inc. 162,729 1,823
* Digene Corp. 49,665 1,814
* Dendreon Corp. 147,269 1,804
* Connetics Corp. 88,363 1,785
* Eclipsys Corp. 116,017 1,770
* Biosite Inc. 39,293 1,765
* AtheroGenics, Inc. 92,491 1,760
* Odyssey Healthcare, Inc. 92,235 1,736
* First Horizon
Pharmaceutical Corp. 91,309 1,726
* Genesis Healthcare Corp. 59,303 1,722
West Pharmaceutical
Services, Inc. 40,486 1,713
* Vicuron Pharmaceuticals Inc. 135,843 1,706
32
- ------------------------------------------------------------------------------
Market
Value^
Shares (000)
- ------------------------------------------------------------------------------
* Advanced Neuromodulation
Systems, Inc. 50,150 $ 1,645
* CTI Molecular Imaging, Inc. 115,534 1,638
* Inspire Pharmaceuticals, Inc. 97,785 1,635
* Viasys Healthcare Inc. 77,511 1,621
Datascope Corp. 39,542 1,569
* Lexicon Genetics Inc. 198,839 1,559
* Noven Pharmaceuticals, Inc. 70,698 1,557
* Serologicals Corp. 76,842 1,536
* CIMA Labs Inc. 44,981 1,517
* Thoratec Corp. 141,370 1,517
* DJ Orthopedics Inc. 65,811 1,514
* Wilson Greatbatch
Technologies, Inc. 54,054 1,511
* Incyte Corp. 194,191 1,484
* United Therapeutics Corp. 57,796 1,482
* Medarex, Inc. 201,998 1,473
* PAREXEL International Corp. 74,191 1,469
Analogic Corp. 34,548 1,466
* ICU Medical, Inc. 43,333 1,453
* LabOne, Inc. 45,190 1,436
* Adolor Corp. 113,131 1,434
* Laserscope 52,008 1,433
* Enzon Pharmaceuticals, Inc. 112,008 1,429
* Bradley Pharmaceuticals, Inc. 51,119 1,426
* Cell Genesys, Inc. 136,744 1,421
* Regeneron Pharmaceuticals, Inc. 134,515 1,416
* OraSure Technologies, Inc. 145,107 1,412
* Sola International Inc. 81,614 1,406
* Chattem, Inc. 48,368 1,396
* Per-Se Technologies, Inc. 96,015 1,396
* RehabCare Group, Inc. 52,242 1,391
* Kensey Nash Corp. 37,736 1,302
* Cepheid, Inc. 112,301 1,296
* Intuitive Surgical, Inc. 66,669 1,267
* Possis Medical Inc. 36,641 1,251
* Encysive Pharmaceuticals, Inc. 145,606 1,238
* American Medical
Security Group, Inc. 45,367 1,236
* Aspect Medical Systems, Inc. 65,380 1,208
* Albany Molecular Research, Inc. 92,914 1,201
* Abaxis, Inc. 62,965 1,195
* InterMune Inc. 77,133 1,189
* Dyax Corp. 100,442 1,180
* Hologic, Inc. 50,637 1,177
Landauer, Inc. 26,141 1,167
* LCA-Vision Inc. 39,836 1,160
Vital Signs, Inc. 39,866 1,158
* VaxGen, Inc. 81,259 1,151
* Diversa Corp. 112,618 1,141
* SonoSite, Inc. 47,542 1,137
- ------------------------------------------------------------------------------
Market
Value^
Shares (000)
- ------------------------------------------------------------------------------
* CV Therapeutics, Inc. 66,631 $ 1,117
* Enzo Biochem, Inc. 74,221 1,113
* TriPath Imaging, Inc. 118,069 1,111
* BioMarin Pharmaceutical Inc. 183,928 1,104
* Closure Medical Corp. 43,837 1,101
* Merit Medical Systems, Inc. 68,555 1,092
* Transkaryotic Therapies, Inc. 71,101 1,064
* Psychiatric Solutions, Inc. 42,118 1,050
* MedQuist, Inc. 87,598 1,049
* XOMA Ltd. 232,276 1,041
* LifeCell Corp. 91,850 1,037
* Res-Care, Inc. 81,619 1,037
* Eyetech Pharmaceuticals Inc. 23,991 1,030
Healthcare Services Group, Inc. 64,274 983
* Bone Care International, Inc. 41,838 980
* EPIX Medical, Inc. 45,655 963
* SurModics, Inc. 38,998 961
* Alexion Pharmaceuticals, Inc. 51,532 958
* Omnicell, Inc. 65,452 956
* CorVel Corp. 33,124 939
* Orthologic Corp. 107,845 935
* SFBC International, Inc. 29,340 919
* Gentiva Health Services, Inc. 56,373 917
* ARIAD Pharmaceuticals, Inc. 122,017 914
* Regeneration Technologies, Inc. 84,858 911
* Maxim Pharmaceuticals, Inc. 93,817 905
* Myriad Genetics, Inc. 60,250 899
* Trimeris, Inc. 62,201 898
* Orthodontic Centers
of America, Inc. 108,138 886
* ImmunoGen, Inc. 144,476 883
* Cubist Pharmaceuticals, Inc. 78,792 875
* Geron Corp. 107,731 872
* America Service Group Inc. 24,910 866
* Molecular Devices Corp. 48,545 863
* Urologix, Inc. 55,881 863
* Matria Healthcare, Inc. 33,813 848
* Indevus Pharmaceuticals, Inc. 136,687 841
* Bruker BioSciences Corp. 172,408 840
* Discovery Laboratories, Inc. 86,650 831
* Allscripts Healthcare
Solutions, Inc. 105,484 827
* CardioDynamics
International Corp. 162,587 821
* Orthovita, Inc. 159,613 820
* BioLase Technology, Inc. 60,839 819
* Inverness Medical
Innovations, Inc. 36,632 802
* Northfield Laboratories, Inc. 55,985 798
E-Z-EM, Inc. 42,729 785
* Candela Corp. 79,392 778
33
- -------------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- -------------------------------------------------------------------------------
* Antigenics, Inc. 90,671 $ 776
* Seattle Genetics, Inc. 110,169 774
* Luminex Corp. 76,975 774
* Amedisys Inc. 23,417 774
* Oscient Pharmaceuticals 147,686 755
* Santarus Inc. 50,400 743
* Prime Medical Services, Inc. 93,400 742
Hooper Holmes, Inc. 127,143 730
* Medical Action Industries Inc. 39,539 728
* Zoll Medical Corp. 20,130 706
* US Physical Therapy, Inc. 51,331 704
* Neose Technologies, Inc. 83,276 694
* VistaCare, Inc. 37,351 693
* Cell Therapeutics, Inc. 93,842 692
* ThermoGenesis Corp. 142,257 673
* Advanced Magnetics, Inc. 44,407 672
* Maxygen Inc. 63,235 668
* ABIOMED, Inc. 52,315 658
* VitalWorks Inc. 188,758 653
* Genaera Corp. 154,965 651
* American Dental Partners, Inc. 36,187 648
* NeoPharm, Inc. 62,361 644
* Ciphergen Biosystems, Inc. 86,994 637
D&K Healthcare Resources, Inc. 53,047 637
* Nuvelo, Inc. 66,112 636
* SuperGen, Inc. 97,974 632
* MedCath Corp. 31,479 630
* Isis Pharmaceuticals, Inc. 108,880 625
* Nastech Pharmaceutical Co., Inc. 60,903 621
* Guilford Pharmaceuticals, Inc. 130,567 620
* Somanetics Corp. 44,985 617
* BioCryst Pharmaceuticals, Inc. 88,653 612
* Collagenex Pharmaceuticals, Inc. 64,814 611
* Accelrys Inc. 61,465 606
* Cytokinetics, Inc. 40,794 606
* Zila, Inc. 122,598 602
* Embrex, Inc. 44,242 599
* Pharmos Corp. 145,373 597
* Natus Medical Inc. 93,437 595
* Array BioPharma Inc. 73,724 586
* Radiologix Inc. 129,518 585
* Penwest Pharmaceuticals Co. 45,616 584
* Pain Therapeutics, Inc. 71,640 577
* Nanogen, Inc. 85,897 577
* Cypress Bioscience, Inc. 41,741 573
* Hanger Orthopedic Group, Inc. 48,692 571
* Animas Corp. 30,523 569
* Cholestech Corp. 69,732 568
* CuraGen Corp. 94,443 568
* Immunomedics Inc. 116,260 566
* Orphan Medical, Inc. 56,248 565
- -------------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- -------------------------------------------------------------------------------
* HealthTronics Surgical
Services, Inc. 70,188 $ 561
* Able Laboratories, Inc. 27,268 561
* Matrixx Initiatives, Inc. 54,308 553
* Quality Systems, Inc. 11,200 550
* CYTOGEN Corp. 33,893 539
* Progenics Pharmaceuticals, Inc. 31,899 537
* Q-Med, Inc. 62,085 527
* IMPAC Medical Systems, Inc. 35,844 524
* Orchid Biosciences, Inc. 67,346 519
* Pharmacyclics, Inc. 50,813 517
* Illumina, Inc. 81,079 515
* Exactech, Inc. 23,618 513
National Healthcare Corp. 18,284 512
* Lipid Sciences, Inc. 116,825 512
* Vivus, Inc. 139,816 509
* North American Scientific, Inc. 60,549 509
Option Care, Inc. 33,006 504
* Theragenics Corp. 108,598 502
* Allied Healthcare
International Inc. 101,909 501
* Acusphere, Inc. 77,967 499
* Repligen Corp. 201,518 496
* Harvard Bioscience, Inc. 110,460 495
* Genta Inc. 197,695 494
* Kendle International Inc. 62,710 486
* aaiPharma Inc. 88,891 482
* Neurobiological
Technologies, Inc. 126,002 473
* Specialty Laboratories, Inc. 52,508 470
* Genelabs Technologies, Inc. 203,632 470
* Endologix, Inc. 95,084 465
* Caliper Life Sciences, Inc. 99,830 464
* Conceptus, Inc. 41,257 464
* SONUS Pharmaceuticals, Inc. 99,747 464
Young Innovations, Inc. 18,254 464
* Biosource International Inc. 65,132 460
* Corixa Corp. 98,258 459
* Enpath Medical, Inc. 40,125 456
* Alcide Corp. 22,033 456
* Encore Medical Corp. 72,363 456
Computer Programs and
Systems, Inc. 22,100 450
* Covalent Group, Inc. 117,091 448
* SciClone Pharmaceuticals, Inc. 87,499 447
* AP Pharma Inc. 133,025 446
* Mediware Information
Systems, Inc. 33,490 444
* Columbia Laboratories Inc. 127,450 441
* Novavax, Inc. 80,712 435
* Rita Medical Systems, Inc. 100,960 430
34
- -----------------------------------------------------------------------------
Market
Value^
Shares (000)
- -----------------------------------------------------------------------------
* Oxigene, Inc. 68,004 $ 428
* Vasomedical, Inc. 375,164 428
* Rigel Pharmaceuticals, Inc. 30,044 427
* Interpharm Holdings, Inc. 107,155 425
* Fonar Corp. 331,626 424
* AVANT Immunotherapeutics, Inc. 159,433 424
* Cellegy Pharmaceuticals, Inc. 108,526 418
* Kosan Biosciences, Inc. 51,757 409
* Alliance Imaging, Inc. 88,671 405
* Axonyx Inc. 77,240 405
* Carrington Labs Inc. 90,440 402
* Compex Technologies Inc. 64,970 400
* Bentley Pharmaceuticals, Inc. 29,026 399
Psychemedics Corp. 37,780 397
Meridian Bioscience Inc. 35,658 395
* Immtech International, Inc. 31,563 389
* InKine Pharmaceutical Co., Inc. 100,584 389
* ChromaVision Medical
Systems, Inc. 209,272 389
Netsmart Technologies, Inc. 40,234 387
* MedSource Technologies, Inc. 54,350 386
* Insmed Inc. 171,514 384
* Cardiac Science, Inc. 156,709 384
* Quidel Corp. 65,065 383
* Palomar Medical
Technologies, Inc. 22,798 383
* Cortex Pharmaceuticals, Inc. 144,583 380
* V.I. Technologies, Inc. 342,176 376
* Chronimed Inc. 46,077 376
* Novoste Corp. 136,584 374
* MIM Corp. 42,989 374
* Hemispherx Biopharma, Inc. 108,392 373
* PRAECIS Pharmaceuticals Inc. 96,485 367
* DOV Pharmaceutical, Inc. 25,868 361
* Osteotech, Inc. 55,326 359
* Neurogen Corp. 47,809 358
* Pozen Inc. 52,192 357
* Spectranetics Corp. 62,895 352
* GTC Biotherapeutics, Inc. 222,549 349
* Hi-Tech Pharmacal Co., Inc. 21,320 348
* Savient Pharmaceuticals Inc. 139,193 345
* Peregrine Pharmaceuticals, Inc. 234,388 345
* Hollis-Eden Pharmaceuticals, Inc. 28,362 342
* Micro Therapeutics, Inc. 80,646 341
* BioSphere Medical Inc. 104,528 334
* I-Flow Corp. 28,151 334
* The Immune Response Corp. 271,241 331
* Nuvasive, Inc. 30,300 331
* Microvision, Inc. 39,027 328
* Durect Corp. 93,321 326
* Sangamo BioSciences, Inc. 53,606 323
- -----------------------------------------------------------------------------
Market
Value^
Shares (000)
- -----------------------------------------------------------------------------
* National Medical Health Card
Systems, Inc. 11,956 $ 321
* Natural Alternatives
International, Inc. 37,700 320
* Medtox Scientific, Inc. 31,212 316
* Epimmune Inc. 186,139 316
* ViroPharma Inc. 176,432 316
* Arena Pharmaceuticals, Inc. 57,261 313
* Third Wave Technologies 69,584 312
* Synovis Life Technologies, Inc. 29,022 312
* Sonic Innovations, Inc. 54,743 311
* Aclara Biosciences, Inc. 68,850 310
* Natrol, Inc. 108,400 309
* Heska Corp. 251,610 304
* Iridex Corp. 41,633 304
* Allos Therapeutics Inc. 134,159 302
* Vion Pharmaceuticals, Inc. 72,500 302
* Microtek Medical Holdings, Inc. 57,853 296
* SIGA Technologies, Inc. 209,154 293
* Symbion, Inc. 16,550 289
* Alteon, Inc. 243,572 287
* Pharmacopeia
Drug Discovery Inc. 49,404 281
* Immunicon Corp. 35,638 280
* Large Scale Biology Corp. 200,218 276
* Escalon Medical Corp. 28,100 273
* Aksys, Ltd. 45,355 264
* Gene Logic Inc. 64,479 261
* Tercica, Inc. 31,905 261
* Emeritus Corp. 34,730 260
* Endocardial Solutions, Inc. 25,044 259
* CryoLife Inc. 49,031 258
* Corgentech Inc. 16,003 258
* Neogen Corp. 14,925 257
* DepoMed, Inc. 51,298 254
* Emisphere Technologies, Inc. 61,566 252
* The Med-Design Corp. 120,326 250
* EntreMed, Inc. 124,448 250
* Superior Consultant
Holdings Corp. 40,925 246
* Palatin Technologies, Inc. 58,074 244
* Corcept Therapeutics Inc. 31,568 244
* Ista Pharmaceuticals Inc. 23,278 243
* Vical, Inc. 41,686 243
* Sequenom, Inc. 166,291 243
* Titan Pharmaceuticals, Inc. 88,144 237
* Curon Medical Inc. 137,462 232
* Curis, Inc. 49,989 221
* Digital Angel Corp. 66,250 219
* Barrier Therapeutics Inc. 15,318 215
* GlycoGenesys, Inc. 331,054 215
35
- -----------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- -----------------------------------------------------------------------------
* SRI/Surgical Express, Inc. 30,380 $ 205
* Proxymed Pharmacy, Inc. 12,100 204
* Cantel Medical Corp. 9,283 200
* NeoRx Corp. 79,872 200
* Quinton Cardiology Systems, Inc. 19,500 198
* Aphton Corp. 49,221 197
* Lynx Therapeutics, Inc. 85,060 196
* Applied Imaging Corp. 207,986 195
* Exact Sciences Corp. 31,654 195
* Bioanalytical Systems, Inc. 48,481 194
* Myogen, Inc. 24,800 192
* IVAX Diagnostics, Inc. 29,389 188
* BioTime, Inc. 107,087 181
* National Research Corp. 10,506 180
* IGI, Inc. 72,000 175
* Avigen, Inc. 51,015 172
* STAAR Surgical Co. 21,980 171
* Horizon Medical Products, Inc. 97,600 171
* DUSA Pharmaceuticals, Inc. 17,500 166
* GenVec, Inc. 51,433 158
* ArQule, Inc. 29,202 154
* La Jolla Pharmaceutical Co. 61,061 148
* Questcor Pharmaceuticals, Inc. 171,500 146
* CardioTech International, Inc. 34,754 146
* Introgen Therapeutics, Inc. 33,503 143
* Genitope Corp. 13,617 134
* NitroMed, Inc. 21,693 130
* Sirna Therapeutics, Inc. 44,188 130
* IntraBiotics Pharmaceuticals, Inc. 31,922 124
* Curative Health Services, Inc. 14,017 121
* Anadys Pharmaceuticals Inc. 17,018 121
* Discovery Partners International 23,079 118
* Biopure Corp. 162,188 114
Mesa Laboratories, Inc. 11,338 112
* Avanir Pharmaceuticals Class A 65,480 110
* Cerus Corp. 44,768 107
* Five Star Quality Care, Inc. 23,837 105
* GTx, Inc. 9,800 102
* Renovis, Inc. 11,100 102
* Cutera, Inc. 7,148 97
* Targeted Genetics Corp. 60,303 96
* Retractable Technologies, Inc. 14,985 93
* Anika Resh Inc. 5,000 87
* Virologic, Inc. 33,050 81
* Capital Senior Living Corp. 16,584 80
* Continucare Corp. 38,300 74
* AVI BioPharma, Inc. 29,895 73
* Memory Pharmaceuticals Corp. 7,950 72
* Physiometrix, Inc. 42,506 70
* eXegenics Inc. 91,207 67
* BioSpecifics Technology 40,800 65
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- -----------------------------------------------------------------------------
* BriteSmile, Inc. 5,996 $ 65
* ATS Medical, Inc. 17,300 65
* Gilead Sciences, Inc. 966 65
* Dynacq Healthcare, Inc. 10,646 65
* Wellcare Group Inc. 3,700 63
* Integrated Biopharma, Inc. 5,751 47
* Vision-Sciences Inc. 8,100 34
* Advancis Pharmaceuticals 4,900 33
* Almost Family Inc. 2,600 22
* Aradigm Corp. 23,311 21
* Angiodynamics Inc. 1,400 20
* Sunlink Health Systems, Inc. 3,600 20
* Precision Optics Corp., Inc. 17,201 20
* Alnylam Pharmaceuticals Inc. 1,600 12
Precision Optics Corp., Inc.
Rights Exp. 7/14/2004 51,603 10
* DiaSys Corp. 15,600 10
* Zonagen, Inc. 3,300 8
* HMS Holdings Corp. 900 5
* Vista Medical Technologies, Inc. 1,300 2
* Valley Forge Scientific Corp. 1,100 2
* Manhattan Pharmaceuticals, Inc. 681 1
--------
941,072
--------
Integrated Oils (0.3%)
Murphy Oil Corp. 230,831 17,012
Hugoton Royalty Trust 100,227 2,291
* KCS Energy, Inc. 147,024 1,958
* Delta Petroleum Corp. 103,820 1,396
* NewMarket Corp. 57,067 1,225
* Giant Industries, Inc. 44,400 977
* Mission Resources Corp. 153,663 876
* GMX Resources Inc. 66,040 522
* Tipperary Corp. 36,769 131
-------
26,388
-------
Other Energy (5.0%)
XTO Energy, Inc. 639,773 19,059
GlobalSantaFe Corp. 588,703 15,601
* Weatherford International Ltd. 332,248 14,945
* Smith International, Inc. 260,679 14,535
ENSCO International, Inc. 378,157 11,004
Pioneer Natural Resources Co. 301,201 10,566
Texas Genco Holdings, Inc. 200,438 9,038
Chesapeake Energy Corp. 608,393 8,956
Peabody Energy Corp. 159,053 8,905
* Premcor, Inc. 223,129 8,367
CONSOL Energy, Inc. 225,456 8,116
Equitable Resources, Inc. 156,610 8,098
* Reliant Energy, Inc. 742,706 8,044
Pogo Producing Co. 160,282 7,918
* Newfield Exploration Co. 141,073 7,863
Diamond Offshore Drilling, Inc. 324,620 7,736
36
- ------------------------------------------------------------------------------
Market
Value^
Shares (000)
- ------------------------------------------------------------------------------
Noble Energy, Inc. 145,759 $ 7,434
Patterson-UTI Energy, Inc. 209,267 6,992
* Ultra Petroleum Corp. 185,922 6,940
* National-Oilwell, Inc. 215,172 6,776
* Cooper Cameron Corp. 134,696 6,560
* NRG Energy 250,789 6,220
* Pride International, Inc. 340,212 5,821
* Grant Prideco, Inc. 306,266 5,654
Massey Energy Co. 190,456 5,373
* Varco International, Inc. 243,390 5,328
Patina Oil & Gas Corp. 176,886 5,284
Arch Coal, Inc. 136,818 5,006
* FMC Technologies Inc. 168,308 4,847
* Tesoro Petroleum Corp. 164,482 4,540
* Evergreen Resources, Inc. 108,020 4,364
* Quicksilver Resources, Inc. 62,149 4,168
* Forest Oil Corp. 144,908 3,959
* Unit Corp. 114,840 3,612
* Houston Exploration Co. 68,560 3,554
* Plains Exploration &
Production Co. 193,153 3,544
Cabot Oil & Gas Corp. 82,667 3,497
* Spinnaker Exploration Co. 84,726 3,337
Helmerich & Payne, Inc. 126,569 3,310
* Cimarex Energy Co. 103,830 3,139
* Key Energy Services, Inc. 327,365 3,090
* Stone Energy Corp. 67,059 3,063
* Cal Dive International, Inc. 95,878 2,907
* Denbury Resources, Inc. 137,055 2,871
Vintage Petroleum, Inc. 162,439 2,757
CARBO Ceramics Inc. 39,241 2,678
St. Mary Land & Exploration Co. 71,621 2,553
* Hanover Compressor Co. 213,782 2,544
Range Resources Corp. 168,935 2,466
* Universal Compression
Holdings, Inc. 78,152 2,398
* TODCO 140,800 2,178
* Oceaneering International, Inc. 62,830 2,152
* Encore Acquisition Co. 76,442 2,133
* Seacor Holdings Inc. 46,505 2,043
* Grey Wolf, Inc. 466,887 1,980
* Veritas DGC Inc. 85,370 1,976
Penn Virginia Corp. 54,182 1,957
* Comstock Resources, Inc. 98,826 1,923
* Remington Oil & Gas Corp. 81,413 1,921
* Superior Energy Services, Inc. 187,695 1,886
* Oil States International, Inc. 122,302 1,871
Berry Petroleum Class A 63,552 1,869
* Swift Energy Co. 83,571 1,844
* Magnum Hunter Resources Inc. 174,118 1,807
Holly Corp. 48,183 1,802
- ------------------------------------------------------------------------------
Market
Value^
Shares (000)
- ------------------------------------------------------------------------------
* Atwood Oceanics, Inc. 42,383 $ 1,769
Frontier Oil Corp. 81,468 1,726
* Harvest Natural Resources, Inc. 110,425 1,646
* Global Industries Ltd. 281,522 1,610
* Hydrill Co. 50,314 1,585
* Prima Energy Corp. 39,584 1,566
* Energy Partners, Ltd. 101,670 1,556
* Plug Power, Inc. 204,866 1,532
* The Meridian Resource Corp. 215,531 1,496
* Whiting Petroleum Corp. 59,063 1,485
* Input/Output, Inc. 173,306 1,437
* Petroleum Development Corp. 51,257 1,405
* KFX, Inc. 183,518 1,398
* Newpark Resources, Inc. 223,166 1,384
* FuelCell Energy, Inc. 116,448 1,360
* Enbridge Energy
Management LLC 31,841 1,357
* Plains Resources Inc. 79,732 1,351
Resource America, Inc. 56,943 1,344
* Parker Drilling Co. 325,116 1,242
* Brigham Exploration Co. 132,203 1,214
* W-H Energy Services, Inc. 60,726 1,190
* TETRA Technologies, Inc. 43,908 1,179
RPC Inc. 73,208 1,157
* McMoRan Exploration Co. 63,198 985
* FX Energy, Inc. 109,160 973
* Syntroleum Corp. 144,744 958
* Edge Petroleum Corp. 52,272 889
* TransMontaigne Inc. 159,255 857
Lufkin Industries 26,463 846
* Clayton Williams Energy, Inc. 34,764 831
* Callon Petroleum Co. 58,219 830
* Dril-Quip, Inc. 44,372 830
* PetroQuest Energy, Inc. 182,873 781
* ATP Oil & Gas Corp. 101,476 778
* Carrizo Oil & Gas, Inc. 74,558 761
* Westmoreland Coal Co. 35,077 682
* Toreador Resources Corp. 85,238 627
* Global Power
Equipment Group Inc. 76,315 612
Crosstex Energy, Inc. 15,180 609
* Double Eagle Petroleum Co. 43,782 599
* Royale Energy, Inc. 38,716 569
* The Exploration Co. of
Delaware, Inc. 139,663 529
* NATCO Group Inc. 65,819 507
* Evergreen Solar, Inc. 148,735 482
* Mitcham Industries, Inc. 88,458 455
* Goodrich Petroleum Corp. 53,600 444
* Beta Oil & Gas Inc. 60,137 394
* Millennium Cell Inc. 211,633 394
37
- ---------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- ---------------------------------------------------------------------------
Gulf Island Fabrication, Inc. 17,783 385
* Capstone Turbine Corp. 174,862 381
* Harken Energy Corp. 697,941 363
* Wilshire Enterprises, Inc. 60,400 302
* Infinity, Inc. 77,318 298
* Atlas America, Inc. 14,225 285
* Hornbeck Offshore Services, Inc. 19,200 251
* Matrix Service Co. 23,950 219
APCO Argentina Inc. 5,995 216
* Torch Offshore, Inc. 70,051 203
* Horizon Offshore, Inc. 139,530 138
* Trico Marine Services, Inc. 199,114 90
* OMNI Energy Services Corp. 2,466 12
--------
398,033
--------
MATERIALS & PROCESSING (5.8%)
Smurfit-Stone Container Corp. 632,512 12,619
Bunge Ltd. 272,031 10,593
* Energizer Holdings, Inc. 205,741 9,258
Precision Castparts Corp. 162,187 8,870
Lyondell Chemical Co. 449,190 7,811
Lafarge North America Inc. 175,882 7,616
The St. Joe Co. 190,008 7,543
* International Steel Group, Inc. 244,600 7,277
Forest City Enterprise Class A 125,919 6,674
Valspar Corp. 128,473 6,474
Packaging Corp. of America 266,310 6,365
Cabot Corp. 156,347 6,363
Sonoco Products Co. 245,295 6,255
* Owens-Illinois, Inc. 373,183 6,255
The Timken Co. 224,316 5,942
Bowater Inc. 139,396 5,797
* Glamis Gold, Ltd. 325,190 5,701
* Jacobs Engineering Group Inc. 141,135 5,558
Martin Marietta Materials, Inc. 120,974 5,363
* Scotts Co. 81,972 5,236
Harsco Corp. 103,115 4,846
Lubrizol Corp. 129,658 4,748
Florida Rock Industries, Inc. 108,646 4,582
Southern Peru Copper Corp. 109,894 4,542
Hughes Supply, Inc. 76,880 4,531
Cytec Industries, Inc. 97,534 4,433
RPM International, Inc. 291,049 4,424
Airgas, Inc. 184,088 4,402
Corn Products International, Inc. 91,536 4,261
York International Corp. 103,683 4,258
* Crown Holdings, Inc. 414,114 4,129
AptarGroup Inc. 91,708 4,007
* FMC Corp. 91,032 3,924
IMC Global Inc. 290,578 3,894
* Steel Dynamics, Inc. 123,765 3,543
Valhi, Inc. 302,574 3,440
- ---------------------------------------------------------------------------
Market
Value^
Shares (000)
- ---------------------------------------------------------------------------
Simpson Manufacturing Co. 60,966 3,421
* Dycom Industries, Inc. 121,871 3,412
* Stillwater Mining Co. 226,256 3,396
Eagle Materials, Inc. 47,328 3,361
Albemarle Corp. 104,098 3,295
Reliance Steel & Aluminum Co. 81,316 3,279
* Meridian Gold Co. 249,180 3,232
Mueller Industries Inc. 87,817 3,144
Potlatch Corp. 73,920 3,078
Olin Corp. 174,253 3,070
Minerals Technologies, Inc. 51,673 2,997
Georgia Gulf Corp. 82,906 2,973
Clarcor Inc. 63,869 2,925
* URS Corp. 105,993 2,904
* Graphic Packaging Corp. 335,154 2,899
Acuity Brands, Inc. 106,957 2,888
* Rogers Corp. 40,701 2,845
* Millennium Chemicals, Inc. 162,851 2,821
Ferro Corp. 105,049 2,803
Lennox International Inc. 154,200 2,791
* Maverick Tube Corp. 106,062 2,785
* Armor Holdings, Inc. 81,047 2,756
LNR Property Corp. 50,089 2,717
MacDermid, Inc. 75,968 2,572
* GrafTech International Ltd. 243,251 2,544
Brady Corp. Class A 55,077 2,539
Albany International Corp. 75,033 2,518
* WCI Communities, Inc. 109,951 2,453
Greif Inc. Class A 56,372 2,382
Commercial Metals Co. 73,126 2,373
* OM Group, Inc. 71,324 2,354
Kronos Worldwide, Inc. 66,722 2,282
Wausau-Mosinee Paper Corp. 129,401 2,239
Texas Industries, Inc. 53,357 2,197
Kaydon Corp. 70,806 2,190
* Coeur d'Alene Mines Corp. 536,730 2,190
Delta & Pine Land Co. 96,532 2,119
Crompton Corp. 328,262 2,068
* PolyOne Corp. 275,698 2,051
Brookfield Homes Corp. 77,554 2,031
H.B. Fuller Co. 71,444 2,029
Quanex Corp. 41,289 2,011
Spartech Corp. 76,268 1,978
* Lone Star Technologies, Inc. 71,545 1,972
Carpenter Technology Corp. 57,454 1,956
* Symyx Technologies, Inc. 80,475 1,941
* Cabot Microelectronics Corp. 62,543 1,914
Granite Construction Co. 104,926 1,913
* USG Corp. 108,001 1,899
* Longview Fibre Co. 128,134 1,887
* DHB Industries, Inc. 123,903 1,881
38
- ---------------------------------------------------------------------------
Market
Value^
Shares (000)
- ---------------------------------------------------------------------------
* Century Aluminum Co. 75,195 $ 1,864
Silgan Holdings, Inc. 46,140 1,860
USEC Inc. 210,095 1,843
* Cleveland-Cliffs Inc. 32,632 1,840
* Quanta Services, Inc. 291,637 1,814
Watsco, Inc. 63,755 1,790
Schnitzer Steel Industries, Inc.
Class A 52,346 1,778
NL Industries, Inc. 122,068 1,770
* Ceradyne, Inc. 48,583 1,738
* EMCOR Group, Inc. 39,107 1,720
* Griffon Corp. 76,726 1,709
Barnes Group, Inc. 58,850 1,705
* Hecla Mining Co. 297,149 1,694
Cambrex Corp. 65,672 1,657
* Trammell Crow Co. 117,016 1,650
* AK Steel Corp. 310,611 1,637
* Shaw Group, Inc. 155,918 1,579
* Jacuzzi Brands, Inc. 194,641 1,569
Arch Chemicals, Inc. 54,272 1,564
A. Schulman Inc. 71,800 1,543
* Trex Co., Inc. 40,226 1,519
Tredegar Corp. 93,619 1,510
* Hexcel Corp. 125,955 1,459
WD-40 Co. 48,195 1,443
Glatfelter 100,951 1,421
* Tejon Ranch Co. 40,610 1,413
Valmont Industries, Inc. 60,566 1,387
* NCI Building Systems, Inc. 42,413 1,381
* Mobile Mini, Inc. 47,957 1,362
* W.R. Grace & Co. 214,119 1,328
Gibraltar Steel 40,219 1,320
* Oregon Steel Mills, Inc. 88,163 1,300
* Interface, Inc. 148,835 1,299
AMCOL International Corp. 67,974 1,288
Rock-Tenn Co. 75,957 1,287
ElkCorp 53,457 1,280
* Insituform Technologies Inc.
Class A 76,747 1,249
* Avatar Holding, Inc. 29,687 1,235
* Bluegreen Corp. 85,879 1,185
* NS Group Inc. 71,839 1,181
* RTI International Metals, Inc. 73,145 1,167
* Caraustar Industries, Inc. 82,632 1,166
Compass Minerals International 59,800 1,159
Universal Forest Products, Inc. 35,011 1,129
Pope & Talbot, Inc. 56,063 1,108
* Brush Engineered Materials Inc. 57,850 1,093
* Encore Wire Corp. 39,599 1,092
CIRCOR International, Inc. 51,453 1,049
Myers Industries, Inc. 74,400 1,049
- ---------------------------------------------------------------------------
Market
Value^
Shares (000)
- ---------------------------------------------------------------------------
* Terra Industries, Inc. 185,126 $ 1,042
Aceto Corp. 58,422 1,028
* Integrated Electrical
Services, Inc. 127,350 1,025
MGP Ingredients, Inc. 26,260 1,016
Chesapeake Corp. of Virginia 37,448 999
Ameron International Corp. 28,101 959
* AAON, Inc. 47,440 958
* Titanium Metals Corp. 10,229 947
* Ultralife Batteries, Inc. 47,097 912
Apogee Enterprises, Inc. 87,590 911
Royal Gold, Inc. 63,768 904
Penn Engineering &
Manufacturing Corp. 42,053 902
* Huttig Building Products, Inc. 116,902 898
* Shiloh Industries, Inc. 59,450 872
* IMCO Recycling, Inc. 63,996 846
Deltic Timber Corp. 21,974 844
* Olympic Steel, Inc. 41,232 842
* A.M. Castle & Co. 74,591 802
* Tarragon Realty
Investors Inc. REIT 53,973 796
Calgon Carbon Corp. 118,627 795
* Buckeye Technology, Inc. 68,780 791
Wellman, Inc. 96,163 782
* Wheeling-Pittsburgh Corp. 37,067 773
* Perini Corp. 71,921 767
* Maxxam Inc. 28,660 762
Ryerson Tull, Inc. 46,886 745
* Drew Industries, Inc. 18,089 736
The Standard Register Co. 60,349 718
Penford Corp. 39,381 691
* Medis Technology Ltd. 42,331 687
* First Acceptance Corp. 98,054 686
* Infrasource Services Inc. 54,900 673
* Comfort Systems USA, Inc. 100,599 643
Ampco-Pittsburgh Corp. 49,122 632
* Lesco, Inc. 46,176 627
American Vanguard Corp. 18,496 624
* Energy Conversion Devices, Inc. 53,934 607
* Zoltek Cos., Inc. 82,596 591
Anchor Glass Container Corp. 43,331 586
Intermet Corp. 135,831 584
Bairnco Corp. 63,000 567
Steel Technologies, Inc. 24,763 547
* Universal Stainless &
Alloy Products, Inc. 46,450 519
NN, Inc. 40,607 516
* Industrial Distribution Group, Inc. 61,500 505
* Acmat Corp. Class A 39,041 497
Packaging Dynamics Corp. 35,745 495
39
- ----------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- ----------------------------------------------------------------------------
Quaker Fabric Corp. 64,095 $ 494
* Nanophase Technologies Corp. 66,110 494
* Omnova Solutions Inc. 80,645 492
* Valence Technology Inc. 142,233 488
* Unifi, Inc. 162,867 477
Ennis Business Forms, Inc. 22,906 447
* Continental Materials Corp. 15,451 442
* TransPro Inc. 72,410 417
Vulcan International Corp. 8,600 407
* Reading International Inc.
Class A 46,095 401
* Layne Christensen Co. 23,874 395
Consolidated-Tomoka Land Co. 10,378 392
Alico, Inc. 9,717 390
* Multi-Color Corp. 27,283 384
* Commonwealth Industries Inc. 36,490 377
Quaker Chemical Corp. 13,622 376
United Guardian, Inc. 54,600 371
* Modtech Holdings, Inc. 48,074 371
* Lydall, Inc. 36,057 352
* U.S. Energy Corp. 145,340 352
Stepan Co. 12,307 322
* Liquidmetal Technologies Inc. 224,596 319
Building Materials Holding Corp. 16,678 316
* Tor Minerals International, Inc. 73,901 314
* Foamex International, Inc. 63,830 311
* Material Sciences Corp. 28,951 308
LSI Industries Inc. 26,516 305
* U.S. Concrete, Inc. 43,163 304
Penn Engineering &
Manufacturing Corp. Class A 16,600 303
* Landec Corp. 41,591 284
Hawkins, Inc. 20,563 246
* Innovo Group Inc. 212,401 242
* Astronics Corp. 42,246 228
* NuCo2, Inc. 11,505 227
* PW Eagle, Inc. 67,730 223
Andersons, Inc. 12,962 220
Malan Realty Investors, Inc. REIT 43,800 219
* Mod-Pac Corp. 20,246 181
* Mestek, Inc. 10,448 174
* Eden Bioscience Corp. 204,084 173
* Hawk Corp. Class A 24,243 169
* Gold Reserve Inc. Class A 47,151 143
* California Coastal
Communities, Inc. 6,482 130
* American Realty Investors, Inc. 14,035 127
* Virbac Corp. 39,294 104
Nevada Chemicals, Inc. 16,997 100
Noland Co. 2,271 99
* Zapata Corp. 1,459 90
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
Roanoke Electric Steel Corp. 6,296 $ 86
Calavo Growers, Inc. 6,484 84
* Wolverine Tube, Inc. 5,000 55
International Aluminum Corp. 1,700 49
* Canyon Resources Cor. 12,300 48
* The Dixie Group, Inc. 3,300 39
* EarthShell Corp. 17,586 36
* Culp, Inc. 4,128 32
* WHX Corp. 19,055 31
* Applied Extrusion
Technologies, Inc. 48,600 23
Balchem Corp. 758 21
Capital Properties, Inc. Class A 1,100 19
* Baker (Michael) Corp. 400 6
* Corrpro Cos., Inc. 2,400 4
* FiberMark, Inc. 19,600 4
* Prolong International Corp. 2,500 1
Capital Properties, Inc. Class B 90 1
* BMC Industries, Inc. 126,104 1
--------
463,681
--------
Producer Durables (5.5%)
D. R. Horton, Inc. 584,381 16,596
Lennar Corp. Class A 363,912 16,274
Diebold, Inc. 182,126 9,629
* LAM Research Corp. 335,980 9,004
* American Tower Corp. Class A 560,426 8,518
Pentair, Inc. 251,638 8,465
* Crown Castle International Corp. 560,531 8,268
* Toll Brothers, Inc. 186,555 7,895
* NVR, Inc. 16,188 7,838
Hubbell Inc. Class B 151,728 7,087
Donaldson Co., Inc. 217,392 6,370
HNI Corp. 145,264 6,149
* Alliant Techsystems, Inc. 93,383 5,915
* Polycom, Inc. 250,349 5,610
Graco, Inc. 174,208 5,409
* Hovnanian Enterprises Inc.
Class A 153,456 5,326
Roper Industries Inc. 92,454 5,261
Herman Miller, Inc. 180,581 5,226
Ametek, Inc. 169,102 5,225
MDC Holdings, Inc. 81,890 5,209
* Plantronics, Inc. 119,551 5,033
Briggs & Stratton Corp. 56,395 4,982
Ryland Group, Inc. 60,171 4,705
* United Defense Industries Inc. 131,999 4,620
* AGCO Corp. 226,216 4,608
Cognex Corp. 113,264 4,358
IDEX Corp. 123,876 4,255
* Terex Corp. 123,650 4,220
Standard Pacific Corp. 85,389 4,210
40
-------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------
Kennametal, Inc. 91,773 $ 4,203
Joy Global Inc. 128,521 3,848
Nordson Corp. 88,402 3,834
Engineered Support
Systems, Inc. 65,057 3,806
* Varian Semiconductor
Equipment Associates, Inc. 91,033 3,510
Lincoln Electric Holdings, Inc. 101,986 3,477
Beazer Homes USA, Inc. 34,457 3,456
* Cymer, Inc. 92,302 3,456
* Flowserve Corp. 136,236 3,398
Mine Safety Appliances Co. 92,401 3,114
* Axcelis Technologies, Inc. 249,629 3,105
* MKS Instruments, Inc. 134,208 3,063
* Taser International Inc. 70,618 3,060
* Dionex Corp. 52,781 2,912
* Interdigital
Communications Corp. 139,239 2,619
* Credence Systems Corp. 189,727 2,618
Technical Olympic USA, Inc. 112,832 2,514
* Rayovac Corp. 86,620 2,434
* Moog Inc. 65,404 2,427
* Littelfuse, Inc. 55,449 2,352
A.O. Smith Corp. 73,264 2,329
* Actuant Corp. 59,430 2,317
* Electro Scientific Industries, Inc. 81,835 2,317
* Powerwave Technologies, Inc. 295,680 2,277
The Manitowoc Co., Inc. 67,256 2,277
* CUNO Inc. 42,472 2,266
* Meritage Corp. 32,924 2,265
* Brooks Automation, Inc. 112,183 2,260
* William Lyon Homes, Inc. 24,377 2,246
Federal Signal Corp. 120,269 2,238
* Technitrol, Inc. 101,436 2,221
* Headwaters Inc. 84,484 2,191
Watts Water Technologies, Inc. 80,732 2,176
* ATMI, Inc. 78,474 2,143
* Genlyte Group, Inc. 34,056 2,141
Franklin Electric, Inc. 56,600 2,137
Curtiss-Wright Corp. 37,659 2,116
* Entegris Inc. 182,600 2,113
Woodward Governor Co. 28,494 2,055
* FEI Co. 83,433 1,995
* Orbital Sciences Corp. 140,555 1,941
* Paxar Corp. 98,665 1,926
Baldor Electric Co. 82,327 1,922
* Veeco Instruments, Inc. 74,220 1,916
* ESCO Technologies Inc. 33,991 1,814
* Mykrolis Corp. 103,595 1,805
Steelcase Inc. 126,879 1,776
* Vicor Corp. 96,430 1,762
-------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------
Applied Industrial
Technology, Inc. 55,961 $ 1,686
* Esterline Technologies Corp. 56,846 1,679
* Teledyne Technologies, Inc. 82,336 1,648
* LTX Corp. 151,783 1,641
JLG Industries, Inc. 117,239 1,628
* Champion Enterprises, Inc. 175,809 1,614
The Middleby Corp. 28,112 1,535
* Imagistics International Inc. 42,978 1,521
* Itron, Inc. 65,541 1,504
* Triumph Group, Inc. 47,086 1,503
* Photronics Inc. 79,228 1,501
Thomas Industries, Inc. 44,579 1,480
M/I Homes, Inc. 36,310 1,474
* Gardner Denver Inc. 51,732 1,443
Tecumseh Products Co. Class A 34,677 1,428
* Mattson Technology, Inc. 117,783 1,416
* Blount International, Inc. 110,803 1,411
* Photon Dynamics, Inc. 39,762 1,394
Helix Technology Corp. 65,169 1,390
* Ionics, Inc. 48,796 1,378
* Kulicke & Soffa Industries, Inc. 124,703 1,367
Regal-Beloit Corp. 59,129 1,316
* Arris Group Inc. 220,561 1,310
* Levitt Corp. Class A 50,572 1,303
* Advanced Energy Industries, Inc. 82,438 1,296
NACCO Industries, Inc. Class A 13,532 1,286
Kimball International, Inc.
Class B 86,678 1,279
Stewart & Stevenson
Services, Inc. 70,166 1,257
* Metrologic Instruments, Inc. 61,396 1,224
CTS Corp. 100,290 1,209
* Presstek, Inc. 115,047 1,209
* C-COR Electronics, Inc. 116,536 1,199
* Rofin-Sinar Technologies Inc. 46,229 1,174
* Asyst Technologies, Inc. 113,031 1,169
* Artesyn Technologies, Inc. 129,170 1,163
Cohu, Inc. 60,865 1,159
* Astec Industries, Inc. 60,871 1,146
C & D Technologies, Inc. 63,957 1,140
Keithley Instruments Inc. 49,463 1,096
* American Superconductor Corp. 83,018 1,086
* General Cable Corp. 126,829 1,084
Standex International Corp. 39,772 1,082
Lennar Corp. Class B 25,998 1,077
* Applied Films Corp. 36,823 1,069
Belden, Inc. 49,369 1,058
* Audiovox Corp. 62,509 1,055
* Kadant Inc. 45,214 1,046
Lindsay Manufacturing Co. 43,372 1,042
41
- ----------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- ----------------------------------------------------------------------------
Cascade Corp. 32,726 $ 1,023
* DuPont Photomasks, Inc. 48,906 994
MTS Systems Corp. 42,301 992
* Symmetricom Inc. 110,496 983
* ADE Corp. 45,230 977
Skyline Corp. 23,868 970
* Ultratech, Inc. 57,607 938
* Rudolph Technologies, Inc. 50,651 921
* Magnatek, Inc. 109,000 909
* Sonic Solutions, Inc. 41,739 887
BHA Group Holdings Inc. 23,388 885
* Cable Design Technologies Corp. 83,382 884
Tennant Co. 20,948 868
* EnPro Industries, Inc. 37,531 862
* General Binding Corp. 54,921 851
HEICO Corp. Class A 59,591 831
* Milacron Inc. 203,669 815
Curtiss-Wright Corp. Class B 15,116 813
* Palm Harbor Homes, Inc. 44,625 791
* MTC Technologies, Inc. 30,123 778
* Viisage Technology, Inc. 85,657 747
* Team, Inc. 45,134 731
Applied Signal Technology, Inc. 20,478 718
* BE Aerospace, Inc. 94,219 714
* Therma-Wave Inc. 143,453 707
* FSI International, Inc. 89,728 701
* Mastec Inc. 126,854 689
Badger Meter, Inc. 15,436 683
Met-Pro Corp. 45,501 678
* FARO Technologies, Inc. 26,381 677
HEICO Corp. 34,705 633
* Pemco Aviation Group, Inc. 20,894 627
* Park-Ohio Holdings Corp. 52,948 625
* Electroglas, Inc. 116,051 621
* Flanders Corp. 74,947 620
* Columbus McKinnon Corp. 83,693 592
* Darling International, Inc. 139,939 588
* Orleans Homebuilders, Inc. 29,806 574
Nobility Homes, Inc. 27,673 568
* Semitool, Inc. 49,446 560
* Ducommun, Inc. 25,841 552
MOCON, Inc. 62,565 532
* EMCORE Corp. 162,116 528
X-Rite Inc. 36,253 527
* August Technology Corp. 41,736 523
* Somera Communications, Inc. 323,085 520
Robbins & Myers, Inc. 22,808 512
Tecumseh Products Co. Class B 11,900 505
* Copper Mountain
Networks, Inc. 41,482 504
* Tollgrade Communications, Inc. 47,142 501
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
SpectraLink Corp. 33,341 $ 497
* Distributed Energy
Systems Corp. 178,293 485
United Industrial Corp. 20,590 481
Communications Systems, Inc. 59,841 479
* CPI Aerostructures, Inc. 41,515 469
* Aetrium, Inc. 63,529 467
* Terayon Communications
Systems, Inc. 197,372 462
* Measurement Specialties, Inc. 20,567 444
* TransAct Technologies Inc. 13,659 432
* TransTechnology Corp. 60,541 425
* Virco Manufacturing Corp. 60,901 424
* Fairchild Corp. 97,453 417
* Arotech Corp. 199,167 416
* Global ePoint, Inc. 74,225 414
* UQM Technologies, Inc. 155,857 413
* Serrento Networks Corp. 120,405 412
* Catalytica Energy Systems, Inc. 137,167 390
Astro-Med, Inc. 37,085 376
Liberty Homes, Inc. Class A 83,500 376
* Zygo Corp. 33,413 374
* Duratek, Inc. 24,694 373
* RF Monolithics, Inc. 47,338 373
* XETA Technologies Inc. 73,124 365
* Allied Motion Technologies, Inc. 75,346 362
* Nanometrics Inc. 30,243 344
* SBA Communications Corp. 76,937 342
* TRC Cos., Inc. 19,751 329
Woodhead Industries, Inc. 20,290 314
* Intevac, Inc. 34,899 310
* Insignia Systems, Inc. 201,899 303
* Active Power, Inc. 94,552 302
* DDi Corp. 35,900 295
* Dominion Homes, Inc. 12,423 287
Gorman-Rupp Co. 10,066 273
* Icad Inc. 73,714 273
* Proxim Corp. Class A 210,246 249
* Optical Cable Corp. 46,852 248
* Katy Industries, Inc. 39,722 194
* Powell Industries, Inc. 11,245 192
* Tut Systems, Inc. 59,980 189
* American Ecology Corp. 14,546 174
* Applied Innovation Inc. 42,902 172
* Beacon Power Corp. 402,535 169
* Peco II, Inc. 187,170 150
* The Allied Defense Group, Inc. 7,603 137
* California Amplifier, Inc. 18,869 133
* American Access
Technologies Inc. 80,800 133
* Genus, Inc. 37,111 127
42
- ---------------------------------------------------------------------------
Market
Value^
Shares (000)
- ---------------------------------------------------------------------------
* Radyne Comstream Inc. 15,050 $ 120
Alamo Group, Inc. 6,652 106
Ecology and Environment, Inc. 10,325 98
Preformed Line Products Co. 3,337 78
* EFJ, Inc. 8,300 73
* Cognitronics Corp. 17,100 70
* Airnet Communications Corp. 99,290 69
* Ault Inc. 22,500 67
* Perma-Fix Environmental
Services, Inc. 32,402 58
* Kaiser Ventures LLC Class A 36,800 55
* Ibis Technology Corp. 8,944 54
* Teleglobe International
Holdings Ltd. 9,627 49
* Cavco Industries, Inc. 562 22
Hubbell Inc. Class A 500 22
* Evercel, Inc. 47,164 20
* Andrea Radio Corp. 85,700 12
L.S. Starrett Co. Class B 400 6
* Hudson Technology, Inc. 6,000 5
* LMI Aerospace, Inc. 3,600 5
* General Bearing Corp. 1,200 5
--------
434,576
--------
Technology (11.0%)
* Juniper Networks, Inc. 1,324,250 32,537
L-3 Communications
Holdings, Inc. 265,737 17,751
Seagate Technology 1,140,001 16,450
Microchip Technology, Inc. 518,634 16,358
* Synopsys, Inc. 389,121 11,063
* Red Hat, Inc. 456,761 10,492
* Zebra Technologies
Corp. Class A 119,519 10,398
* Cadence Design Systems, Inc. 683,609 10,001
* SanDisk Corp. 404,658 8,777
* PanAmSat Corp. 376,807 8,749
* UTStarcom, Inc. 284,623 8,610
* BEA Systems, Inc. 1,029,600 8,463
Harris Corp. 166,754 8,463
* Ceridian Corp. 372,831 8,389
* Cognizant Technology
Solutions Corp. 320,902 8,154
* Storage Technology Corp. 280,960 8,148
* Arrow Electronics, Inc. 289,105 7,754
Intersil Corp. 351,692 7,618
* Network Associates, Inc. 414,635 7,517
* Vishay Intertechnology, Inc. 402,803 7,484
* Amphenol Corp. 220,986 7,363
* Atmel Corp. 1,192,455 7,059
* International Rectifier Corp. 165,696 6,863
* Avnet, Inc. 302,273 6,862
--------------------------------------------------------------------------
Market
Value^
Shares (000)
- ---------------------------------------------------------------------------
ADTRAN Inc. 199,626 $ 6,662
AVX Corp. 436,102 6,302
* 3Com Corp. 980,874 6,130
National Instruments Corp. 198,127 6,073
* Silicon Laboratories Inc. 129,566 6,005
* Agere Systems Inc. Class A 2,550,518 5,866
* Ingram Micro, Inc. Class A 389,852 5,641
* Akamai Technologies, Inc. 308,155 5,531
Acxiom Corp. 214,626 5,329
* SpectraSite, Inc. 120,714 5,217
* MEMC Electronic Materials, Inc. 516,953 5,107
* Conexant Systems, Inc. 1,161,948 5,031
* Integrated Circuit Systems, Inc. 182,036 4,944
* Fairchild Semiconductor
International, Inc. 298,892 4,893
* Foundry Networks, Inc. 339,041 4,770
* FLIR Systems, Inc. 84,510 4,640
* Rambus Inc. 256,854 4,564
* Western Digital Corp. 522,484 4,525
* Avocent Corp. 122,755 4,510
* Semtech Corp. 189,235 4,455
* Advanced Fibre
Communications, Inc. 220,491 4,454
* Cypress Semiconductor Corp. 309,623 4,394
* Sybase, Inc. 242,947 4,373
* BearingPoint, Inc. 492,381 4,367
* Cree, Inc. 186,013 4,330
* Avid Technology, Inc. 79,300 4,327
* Hyperion Solutions Corp. 97,892 4,280
* Macromedia, Inc. 173,170 4,251
* TIBCO Software Inc. 497,721 4,206
* Gartner, Inc. Class A 313,029 4,138
* Maxtor Corp. 620,568 4,114
* PalmOne, Inc. 115,613 4,020
* Brocade Communications
Systems, Inc. 651,169 3,894
* Electronics for Imaging, Inc. 134,516 3,801
Imation Corp. 89,127 3,798
Reynolds & Reynolds Class A 162,782 3,765
* Siliconix, Inc. 75,152 3,729
* Perot Systems Corp. 279,237 3,705
* Varian, Inc. 87,262 3,678
* Integrated Device
Technology Inc. 264,723 3,664
* Amkor Technology, Inc. 438,105 3,584
* Agere Systems Inc. Class B 1,650,000 3,547
* Trimble Navigation Ltd. 127,272 3,537
* RF Micro Devices, Inc. 466,731 3,500
* AMIS Holdings Inc. 205,638 3,479
* CommScope, Inc. 154,039 3,304
* Skyworks Solutions, Inc. 375,269 3,276
43
- ---------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- ---------------------------------------------------------------------------
* ON Semiconductor Corp. 633,375 $ 3,180
* RSA Security Inc. 154,950 3,172
* Macrovision Corp. 123,755 3,098
Anixter International Inc. 90,982 3,096
* FileNET Corp. 97,467 3,077
* UNOVA, Inc. 151,934 3,077
* Quest Software, Inc. 237,407 3,063
* Benchmark Electronics, Inc. 103,116 3,001
* CACI International, Inc. 73,327 2,965
* Emulex Corp. 206,062 2,949
* Sonus Networks, Inc. 615,078 2,940
* Anteon International Corp. 89,102 2,907
* Sycamore Networks, Inc. 686,223 2,903
* RealNetworks, Inc. 423,439 2,896
* Tekelec 156,472 2,843
* Micrel, Inc. 231,714 2,815
* CSG Systems International, Inc. 135,353 2,802
* The Titan Corp. 210,684 2,735
* SRA International, Inc. 64,521 2,731
* Mentor Graphics Corp. 175,795 2,720
* Aeroflex, Inc. 186,323 2,670
* Vitesse Semiconductor Corp. 543,913 2,654
* KEMET Corp. 216,999 2,652
* Digital River, Inc. 80,074 2,613
* Verint Systems Inc. 75,420 2,581
* SigmaTel Inc. 87,559 2,544
* Silicon Storage Technology, Inc. 241,027 2,483
* Silicon Image, Inc. 185,797 2,440
* Wind River Systems Inc. 205,643 2,418
* WebEx Communications, Inc. 110,489 2,404
* Ascential Software Corp. 149,269 2,387
* Intergraph Corp. 91,802 2,374
* Adaptec, Inc. 274,622 2,323
* Manhattan Associates, Inc. 75,160 2,321
* F5 Networks, Inc. 86,591 2,293
* Coherent, Inc. 75,958 2,267
* MICROS Systems, Inc. 46,625 2,237
* OmniVision Technologies, Inc. 140,104 2,235
* Keane, Inc. 159,166 2,179
* DRS Technologies, Inc. 67,751 2,161
* Websense, Inc. 57,687 2,148
* InVision Technologies, Inc. 42,912 2,141
Black Box Corp. 45,276 2,140
* Microsemi Corp. 149,764 2,128
* SERENA Software, Inc. 110,775 2,115
* Aspect Communications Corp. 147,134 2,089
* Openwave Systems Inc. 161,413 2,050
* Transaction Systems
Architects, Inc. 93,246 2,008
* DSP Group Inc. 73,350 1,998
* Lattice Semiconductor Corp. 284,777 1,996
-------------------------------------------------------------------------
Market
Value^
Shares (000)
- ---------------------------------------------------------------------------
* Zoran Corp. 107,121 $ 1,966
* Progress Software Corp. 89,898 1,948
* Dendrite International, Inc. 104,202 1,936
* FormFactor Inc. 85,961 1,930
* Power Integrations, Inc. 77,488 1,929
* ScanSource, Inc. 32,024 1,903
* Ditech Communications Corp. 81,387 1,900
* TriQuint Semiconductor, Inc. 341,098 1,862
* Internet Security Systems, Inc. 121,183 1,859
* Sapient Corp. 306,767 1,844
* NetIQ Corp. 138,731 1,831
* Altiris, Inc. 66,109 1,825
* ANSYS, Inc. 38,326 1,801
* Digitas Inc. 162,250 1,790
* Novatel Wireless, Inc. 67,305 1,784
* Tessera Technologies, Inc. 98,931 1,783
* Lawson Software Inc. 250,050 1,770
* Intermagnetics General Corp. 51,837 1,764
* Borland Software Corp. 201,737 1,713
* Pixelworks, Inc. 111,787 1,713
* Checkpoint Systems, Inc. 95,211 1,707
* MicroStrategy Inc. 39,652 1,693
* Newport Corp. 103,638 1,676
* Extreme Networks, Inc. 302,661 1,671
* ViaSat, Inc. 66,696 1,664
* Corvis Corp. 1,176,127 1,658
* Informatica Corp. 216,979 1,656
* SafeNet, Inc. 59,763 1,654
Syntel, Inc. 99,403 1,645
* Identix, Inc. 220,194 1,645
* Hutchinson Technology, Inc. 66,714 1,640
* Magma Design Automation, Inc. 84,871 1,632
Inter-Tel, Inc. 64,284 1,605
* McDATA Corp. Class A 298,145 1,604
* Opsware, Inc. 202,491 1,604
* Advanced Digital
Information Corp. 163,786 1,589
* Inet Technologies, Inc. 125,958 1,571
* ChipPAC, Inc. 250,171 1,569
* Exar Corp. 104,608 1,534
* Epicor Software Corp. 108,622 1,526
* Daktronics, Inc. 60,410 1,507
* j2 Global Communications, Inc. 53,860 1,497
* Harmonic, Inc. 175,380 1,494
* Ixia 151,147 1,487
* TTM Technologies, Inc. 125,254 1,484
* ScanSoft, Inc. 299,051 1,480
* Plexus Corp. 109,539 1,479
* SonicWALL, Inc. 171,527 1,475
* SiRF Technology Holdings, Inc. 112,060 1,465
* Artisan Components, Inc. 56,173 1,449
44
- ---------------------------------------------------------------------------
Market
Value^
Shares (000)
- ---------------------------------------------------------------------------
Cubic Corp. 68,213 $ 1,428
* Pinnacle Systems, Inc. 198,403 1,419
* II-VI, Inc. 46,169 1,416
* Quantum Corp. 450,626 1,397
* Packeteer, Inc. 86,418 1,396
* Ariba, Inc. 695,073 1,376
* Echelon Corp. 122,846 1,375
* Verity, Inc. 101,393 1,370
* Ciber, Inc. 165,133 1,357
Bel Fuse, Inc. Class B 32,500 1,355
BEI Technologies, Inc. 47,751 1,352
* Lexar Media, Inc. 199,906 1,335
Methode Electronics, Inc.
Class A 102,502 1,329
* Mercury Computer Systems, Inc. 53,486 1,326
* Avanex Corp. 339,036 1,319
* Micromuse Inc. 197,007 1,318
* Cirrus Logic 215,631 1,296
* Interwoven Inc. 127,098 1,284
* Infonet Services Corp. 721,099 1,262
* InterVoice, Inc. 109,262 1,253
* Mindspeed Technologies, Inc. 247,792 1,229
* Dot Hill Systems Corp. 107,614 1,206
EDO Corp. 49,669 1,198
* Anaren, Inc. 72,385 1,183
* Enterasys Networks, Inc. 554,818 1,171
* Cray Inc. 176,806 1,170
* Actel Corp. 62,855 1,163
* Silicon Graphics, Inc. 527,373 1,160
Agilysys, Inc. 84,003 1,158
* Ulticom, Inc. 98,214 1,149
* QAD Inc. 108,076 1,147
* ESS Technology, Inc. 106,041 1,136
* Equinix, Inc. 33,034 1,121
* Xicor, Inc. 73,251 1,108
* webMethods, Inc. 128,931 1,105
* Jupitermedia Corp. 77,512 1,098
* Sykes Enterprises, Inc. 144,555 1,093
* Finisar Corp. 548,968 1,087
* Integrated Silicon Solution, Inc. 88,989 1,087
* Vignette Corp. 632,689 1,050
* Agile Software Corp. 119,723 1,048
* Pegasystems Inc. 119,704 1,047
* ManTech International Corp. 55,668 1,045
* At Road, Inc. 136,133 1,041
* Catapult Communications Corp. 44,795 1,030
* Atheros Communications 96,711 1,019
* SeeBeyond Technology Corp. 263,783 994
* Diodes Inc. 41,539 984
Park Electrochemical Corp. 38,542 973
* Keynote Systems Inc. 70,685 972
- ---------------------------------------------------------------------------
Market
Value^
Shares (000)
- ---------------------------------------------------------------------------
* Transmeta Corp. 435,825 $ 954
* Genesis Microchip Inc. 69,247 954
* Standard Microsystem Corp. 40,842 952
* MRV Communications Inc. 344,781 945
* PLX Technology, Inc. 54,233 936
* Tyler Technologies, Inc. 98,453 931
* SBS Technologies, Inc. 57,702 927
* Synaptics Inc. 48,405 927
* Actuate Software Corp. 234,033 924
* Aspen Technologies, Inc. 126,137 916
* MIPS Technologies, Inc. 148,906 911
* Mapics Inc. 85,912 907
* MatrixOne, Inc. 130,940 905
* SPSS, Inc. 50,300 904
* Netegrity, Inc. 106,175 898
* Remec, Inc. 142,001 897
* Excel Technology, Inc. 26,943 896
* Secure Computing Corp. 76,439 891
* SeaChange International, Inc. 52,738 890
* Kopin Corp. 172,326 881
* Digi International, Inc. 81,313 872
* JDA Software Group, Inc. 66,130 871
* RadiSys Corp. 46,150 857
* Entrust, Inc. 189,841 854
* CyberOptics Corp. 32,791 852
* Comtech Telecommunications
Corp. 37,276 841
* EMS Technologies, Inc. 42,629 828
* Herley Industries Inc. 42,266 826
* PC-Tel, Inc. 68,793 812
* Carrier Access Corp. 68,087 812
* Manugistics Group, Inc. 247,554 810
* Captaris Inc. 124,111 802
* Concur Technologies, Inc. 74,916 802
* Zix Corp. 98,573 783
* Marimba, Inc. 94,792 771
* Stratex Networks, Inc. 258,847 764
* SYNNEX Corp. 47,700 749
* Komag, Inc. 53,542 748
SS&C Technologies, Inc. 39,905 746
* Mechanical Technology Inc. 123,409 738
* Network Equipment
Technologies, Inc. 89,807 733
* Stellent Inc. 85,779 733
* IXYS Corp. 92,409 728
* Open Solutions Inc. 29,113 727
* PEC Solutions, Inc. 60,477 721
* Blue Coat Systems, Inc. 21,485 720
* E.piphany Inc. 148,792 719
* Pericom Semiconductor Corp. 66,735 715
* SupportSoft, Inc. 82,160 713
45
- ----------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- ----------------------------------------------------------------------------
* Universal Display Corp. 66,332 $ 712
* Dynamics Research Corp. 39,527 711
* NMS Communications Corp. 96,224 710
* Maxwell Technologies, Inc. 54,965 709
* Concord Communications, Inc. 62,039 708
* Westell Technologies, Inc. 138,086 704
* American Science &
Engineering, Inc. 33,274 696
* NVE Corp. 17,193 687
* OPNET Technologies, Inc. 51,517 675
* Lionbridge Technologies, Inc. 87,926 673
* Retek Inc. 109,513 672
* Hifn, Inc. 55,913 668
* Group 1 Software, Inc. 28,934 664
* InFocus Corp. 77,700 660
Iomega Corp. 117,450 655
* American Power Technology, Inc. 52,267 651
* Nu Horizons Electronics Corp. 72,296 651
* FalconStor Software, Inc. 83,469 644
* Sumtotal Systems Inc. 99,005 644
* Rimage Corp. 42,824 643
* AuthentiDate Holding Corp. 58,771 642
Lowrance Electronics, Inc. 20,559 636
* Embarcadero Technologies, Inc. 51,406 635
* Clarus Corp. 54,863 635
* IPIX Corp. 45,265 633
* Drexler Technology Corp. 47,062 627
* Ramtron International Corp. 137,148 621
* Tumbleweed Communications
Corp. 144,776 617
* Zhone Technologies 157,115 613
* Fargo Electronics 55,016 611
* Performance Technologies, Inc. 64,896 611
* ActivCard Corp. 83,270 605
Integral Systems, Inc. 37,524 603
* Infocrossing, Inc. 44,042 595
* Niku Corp. 52,116 593
* Safeguard Scientifics, Inc. 257,130 591
* EPIQ Systems, Inc. 40,780 591
* MRO Software Inc. 43,377 590
* Concurrent Computer Corp. 296,790 588
American Software, Inc. Class A 96,451 587
* Oplink Communications, Inc. 304,318 584
* eCollege.com Inc. 36,440 583
* Gerber Scientific, Inc. 82,454 582
* NETGEAR, Inc. 53,744 577
* Witness Systems, Inc. 47,295 575
* The TriZetto Group, Inc. 85,484 573
* Altair Nanotechnologies, Inc. 251,704 569
* Redback Networks Inc. 88,407 567
* Covansys Corp. 54,384 562
- ---------------------------------------------------------------------------
Market
Value^
Shares (000)
- ---------------------------------------------------------------------------
* LeCroy Corp. 31,061 $ 559
* Sigma Designs, Inc. 69,399 554
Sypris Solutions, Inc. 28,845 554
* DigitalNet Holdings, Inc. 27,200 553
* WatchGuard Technologies, Inc. 76,333 551
* Datastream Systems, Inc. 84,713 549
* Chordiant Software, Inc. 119,307 544
* MSC Software Corp. 60,664 543
* Spectrum Control, Inc. 67,731 540
* Visual Networks, Inc. 176,694 535
* PalmSource, Inc. 31,230 535
* SI International Inc. 26,189 534
* Interlink Electronics Inc. 54,739 534
* Net2Phone, Inc. 117,423 532
* Bell Microproducts Inc. 65,625 531
* Answerthink Consulting
Group, Inc. 92,388 529
Talx Corp. 21,539 526
* Moldflow Corp. 47,990 524
* Key Tronic Corp. 139,005 513
* Bioveris Corp. 61,358 510
* Computer Network
Technology Corp. 84,625 507
* TechTeam Global, Inc. 55,967 505
* Monolithic System
Technology, Inc. 66,631 502
* Trident Microsystems, Inc. 44,413 498
* Docucorp International, Inc. 56,737 497
* OSI Systems Inc. 24,856 495
* White Electronic Designs Corp. 92,893 487
* Extended Systems Inc. 97,321 487
* Paradyne Networks, Inc. 88,042 484
* The Ultimate Software
Group, Inc. 47,943 484
* Globecomm Systems, Inc. 92,209 482
* California Micro Devices Corp. 41,615 480
* ePlus Inc. 44,979 479
* Nuance Communications Inc. 103,780 473
* ONYX Software Corp. 113,100 469
* Planar Systems, Inc. 35,048 469
* Alliance Semiconductor Corp. 78,563 467
* Bottomline Technologies, Inc. 44,236 467
* MapInfo Corp. 43,738 464
* CompuCom Systems, Inc. 102,078 463
* Aether Systems, Inc. 133,987 461
* Micronetics Inc. 51,157 460
* Applix, Inc. 106,324 458
* Research Frontiers, Inc. 63,958 457
* Aware, Inc. 115,544 456
* Loudeye Corp. 288,054 455
* Leadis Technology Inc. 32,800 440
46
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
* AXS-One Inc. 153,886 $ 439
* Merix Corp. 38,553 437
* BroadVision, Inc. 103,731 436
* Xybernaut Corp. 260,539 435
* Zomax Inc. 113,743 429
* Mobius Management
Systems, Inc. 69,672 427
* WorldGate Communications, Inc. 200,778 422
* Sirenza Microdevices, Inc. 99,588 418
* Internet Capital Group Inc. 53,724 416
* Radiant Systems, Inc. 87,503 410
* Avici Systems Inc. 31,552 410
* Sipex Corp. 71,638 408
* Immersion Corp. 84,017 401
* NYFIX, Inc. 81,653 399
* The SCO Group, Inc. 67,817 397
* Terremark Worldwide, Inc. 464,802 395
* Digimarc Corp. 29,469 393
* iGATE Corp. 98,549 392
* Overland Storage, Inc. 29,442 391
* Verso Technologies, Inc. 223,514 391
* Wave Systems Corp. 297,727 387
* Segue Software, Inc. 104,600 386
* Stratasys, Inc. 15,556 385
* Pemstar Inc. 164,541 382
* Supertex, Inc. 23,178 379
* ACT Teleconferencing, Inc. 149,400 376
* Telular Corp. 52,107 375
* Ansoft Corp. 24,505 374
* Delphax Technologies, Inc. 70,300 373
* Glenayre Technologies, Inc. 161,082 370
* Inforte Corp. 36,172 365
* Bio-logic Systems, Corp. 55,681 364
* WJ Communications, Inc. 101,994 361
* Saba Software, Inc. 96,091 360
* Kana Software, Inc. 151,095 360
* Computer Task Group, Inc. 90,501 357
* NetManage, Inc. 45,172 352
* Evans & Sutherland
Computer Corp. 74,836 352
* Vyyo Inc. 54,311 351
* Intellisync Corp. 121,553 349
* MTI Technology Corp. 188,979 348
* Netopia, Inc. 52,551 347
* Hauppage Digital, Inc. 60,383 344
* LCC International, Inc. Class A 69,109 339
* Mobility Electronics, Inc. 40,090 338
* PDF Solutions, Inc. 39,842 337
* Meade Instruments Corp. 105,114 335
* Click Commerce, Inc. 59,313 335
* Kintera Inc. 31,902 333
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
* Technology Solutions Co. 307,491 $ 332
* Tripath Technology Inc. 101,838 331
* Selectica, Inc. 68,319 325
* Centra Software, Inc. 142,662 321
* Plumtree Software, Inc. 85,469 321
* ANADIGICS, Inc. 61,712 318
* AXT, Inc. 161,152 316
* SSP Solutions, Inc. 237,206 315
* Captiva Software Corp. 32,417 314
* OpenTV Corp. 150,346 313
* Neoware Systems, Inc. 37,797 313
* LogicVision, Inc. 111,097 311
* Ciprico Inc. 66,216 303
* MetaSolv, Inc. 105,851 301
* Virage Logic Corp. 32,028 291
* VASCO Data Security
International, Inc. 134,579 289
* 3D Systems Corp. 24,717 283
* Network Engines, Inc. 103,839 282
* Innovative Solutions and
Support, Inc. 14,399 281
* NetScout Systems, Inc. 42,554 280
* FOCUS Enhancements, Inc. 188,185 280
* Crossroads Systems, Inc. 160,082 280
* Blue Martini Software, Inc. 63,192 280
* Merisel, Inc. 58,115 279
* KVH Industries, Inc. 21,697 276
Sunrise Telecom Inc. 106,187 276
* InterVideo Inc. 21,266 275
* BSQUARE Corp. 274,236 274
* Argonaut Technologies Inc. 203,390 273
* COMARCO, Inc. 37,743 266
* SteelCloud Inc. 98,428 266
* Staktek Holdings Inc. 50,519 265
* TranSwitch Corp. 149,443 265
TSR, Inc. 40,480 263
* Three-Five Systems, Inc. 51,355 262
* Intraware, Inc. 142,881 257
* Merge Technologies, Inc. 17,440 255
Celeritek, Inc. 65,845 253
* QuickLogic Corp. 72,272 252
* SimpleTech, Inc. 73,886 252
* VA Software Corp. 102,301 251
* Centillium Communications, Inc. 63,949 245
* Innovex, Inc. 53,113 243
* BindView Development Corp. 68,216 239
* Versant Corp. 183,062 238
* Vastera, Inc. 74,963 225
* eLoyalty Corp. 35,582 224
* SCM Microsystems, Inc. 33,621 219
* Qualstar Corp. 34,789 213
47
- -----------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- -----------------------------------------------------------------------------
* SAVVIS Communications Corp. 153,947 $ 212
* TippingPoint Technologies Inc. 8,351 212
* Corio, Inc. 97,301 211
* Peerless Systems Corp. 162,965 207
* Evolving Systems, Inc. 42,985 204
* Suntron Corp. 35,245 203
* Sento Corp. 24,607 202
* Critical Path, Inc. 146,064 202
* ACE Corp. 83,325 201
* Superconductor
Technologies Inc. 161,712 199
* Tier Technologies, Inc. 20,253 197
* En Pointe Technologies, Inc. 112,161 194
* Digital Lightwave, Inc. 111,667 193
* Roxio, Inc. 39,204 192
* Lantronix, Inc. 150,331 191
* Phoenix Technologies Ltd. 27,287 191
* Private Business Inc. 77,134 187
* Computer Horizons Corp. 46,645 186
* Viewpoint Corp. 94,234 186
* Data Systems & Software, Inc. 105,750 185
* SAFLINK Corp. 78,551 185
* Pervasive Software Inc. 29,357 183
* Brooktrout Technology, Inc. 16,892 183
* Fiberstars, Inc. 17,634 180
* Convera Corp. 77,838 180
* Art Technology Group, Inc. 149,717 180
* Vitria Technology, Inc. 57,929 178
* Synplicity, Inc. 27,606 166
* Catalyst Semiconductor, Inc. 24,252 165
* Verisity Ltd. 27,273 164
* Bitstream Inc. 86,108 162
* Ceva, Inc. 20,033 158
* ZiLOG, Inc. 13,600 149
* Telecommunication
Systems, Inc. 26,157 149
Pomeroy IT Solutions, Inc. 12,270 146
* First Virtual
Communications, Inc. 120,657 146
* On2 Technologies, Inc. 210,930 146
* Intelli-Check Inc. 22,798 144
* Manchester Technologies, Inc. 29,908 141
* Online Resources Corp. 20,697 140
* Cherokee International Corp. 12,235 140
* Goremote Internet
Communications 75,722 139
* SRS Labs, Inc. 24,050 132
* NASSDA Corp. 31,248 129
* Primus Knowledge
Solutions, Inc. 69,495 128
* Firstwave Technologies, Inc. 49,096 124
- ----------------------------------------------------------------------------
Market
Value^
Shares (000)
- ----------------------------------------------------------------------------
* LivePerson, Inc. 41,074 $ 124
* PowerDsine Ltd. 9,700 117
Richardson Electronics, Ltd. 10,090 112
* I-many, Inc. 92,714 110
* Braun Consulting, Inc. 57,866 104
* Stratos International Inc. 18,811 103
* Indus International, Inc. 48,969 103
* NaviSite, Inc. 25,077 98
* Applied Digital Solutions, Inc. 37,865 93
* Cosine Communications, Inc. 21,212 91
* Callidus Software Inc. 17,243 90
Bel Fuse, Inc. Class A 2,219 80
* Telkonet, Inc. 21,600 79
* VIA NET.WORKS, Inc. 86,888 69
* 8x8, Inc. 26,186 60
* Quovadx, Inc. 49,861 60
* NeoMagic Corp. 20,600 60
* Interland, Inc. 19,680 55
* Intelligroup, Inc. 9,700 50
* LightPath Technologies, Inc.
Class A 8,062 49
* Ultra Clean Holdings, Inc. 5,600 41
* DSL.Net, Inc. 116,280 36
* LaBarge Inc. 4,500 34
* Information Resources, Inc.
Rights Exp. 10/12/2004 11,200 33
* Salesforce.com, Inc. 1,900 31
* Universal Access Global
Holdings Inc. 25,099 29
* Persistence Software, Inc. 7,110 29
* MakeMusic! Inc. 7,540 27
* Zanett, Inc. 6,600 27
* Artisoft, Inc. 11,633 26
Net Perceptions, Inc. 38,256 26
* Versata, Inc. 13,031 24
Frequency Electronics, Inc. 1,500 21
* NetSolve, Inc. 1,600 16
Dynabazaar, Inc. 50,100 15
* Datalink Corp. 3,942 13
* nStor Technologies, Inc. 47,523 13
* eGain Communications Corp. 10,788 11
* ePresence, Inc.-Escrow 61,880 8
* ISCO International, Inc. 18,000 7
* Cogent Communications
Group, Inc. 23,479 7
* Covad Communications
Group, Inc. 2,548 6
* NexPrise, Inc. 4,740 6
* AMX Corp. 500 5
* Ampex Corp. Class A 2,890 5
* Radview Software Ltd. 9,000 5
48
- -----------------------------------------------------------------------------
Market
Value^
Shares (000)
- -----------------------------------------------------------------------------
* Media 100 Inc. 162,889 $ 2
* Microstrategy Inc.
Warrants Exp. 6/24/2007 16,080 2
* GoAmerica, Inc. 500 --
* ProcureNet, Inc. 21,000 --
873,170
Utilities (4.6%)
* Cox Communications, Inc.
Class A 1,488,063 41,353
* NTL Inc. 218,246 12,575
* Cablevision Systems NY Group
Class A 551,278 10,833
Telephone & Data Systems, Inc. 143,053 10,185
SCANA Corp. 278,265 10,120
Wisconsin Energy Corp. 296,160 9,658
Energy East Corp. 368,191 8,929
* U.S. Cellular Corp. 217,399 8,381
Questar Corp. 209,303 8,087
Pepco Holdings, Inc. 432,077 7,898
* Nextel Partners, Inc. 461,545 7,348
Alliant Energy Corp. 278,972 7,276
* UnitedGlobalCom Inc. Class A 972,129 7,058
MDU Resources Group, Inc. 292,853 7,037
NSTAR 132,978 6,367
Northeast Utilities 320,266 6,236
* Western Wireless Corp. Class A 213,450 6,171
DPL Inc. 316,645 6,149
* Level 3 Communications, Inc. 1,702,055 6,042
ONEOK, Inc. 257,241 5,657
OGE Energy Corp. 219,660 5,595
Western Gas Resources, Inc. 171,488 5,570
Great Plains Energy, Inc. 185,794 5,518
Puget Energy, Inc. 248,899 5,453
Hawaiian Electric Industries Inc. 201,362 5,256
National Fuel Gas Co. 205,708 5,143
Vectren Corp. 190,787 4,787
AGL Resources Inc. 162,806 4,730
Aqua America, Inc. 232,052 4,653
* Kinder Morgan
Management, LLC 119,307 4,387
Energen Corp. 91,292 4,381
WPS Resources Corp. 93,225 4,321
Westar Energy, Inc. 214,981 4,280
UGI Corp. Holding Co. 127,689 4,099
Piedmont Natural Gas, Inc. 95,512 4,078
* Southern Union Co. 183,195 3,862
Duquesne Light Holdings, Inc. 190,866 3,686
WGL Holdings Inc. 121,506 3,490
Atmos Energy Corp. 131,126 3,356
PNM Resources Inc. 152,522 3,168
New Jersey Resources Corp. 69,450 2,888
--------------------------------------------------------------------------
Market
Value^
Shares (000)
--------------------------------------------------------------------------
* Cincinnati Bell Inc. 614,890 $ 2,730
* Southwestern Energy Co. 90,517 2,595
IDACORP, Inc. 95,857 2,588
Black Hills Corp. 81,434 2,565
* Commonwealth Telephone
Enterprises, Inc. 54,212 2,427
* Mediacom
Communications Corp. 298,587 2,335
* Sierra Pacific Resources 293,825 2,265
Avista Corp. 121,779 2,243
Cleco Corp. 119,228 2,144
UniSource Energy Corp. 85,938 2,136
Southwest Gas Corp. 87,166 2,103
* Price Communications Corp. 142,249 2,100
Northwest Natural Gas Co. 68,082 2,077
* PTEK Holdings, Inc. 168,366 1,941
* Centennial Communications
Corp. Class A 258,972 1,852
* El Paso Electric Co. 119,333 1,842
CH Energy Group, Inc. 39,511 1,835
South Jersey Industries, Inc. 41,277 1,816
UIL Holdings Corp. 36,558 1,780
* Alamosa Holdings, Inc. 239,236 1,758
* Aquila, Inc. 491,137 1,748
Otter Tail Corp. 64,522 1,733
The Laclede Group, Inc. 59,376 1,627
MGE Energy, Inc. 40,611 1,325
Empire District Electric Co. 58,132 1,169
Surewest Communications 36,939 1,167
* Primus Telecommunications
Group, Inc. 225,327 1,145
* General Communication, Inc. 138,873 1,103
American States Water Co. 45,482 1,057
California Water Service Group 37,883 1,044
SJW Corp. 30,053 1,022
* Dobson Communications Corp. 297,210 969
Cascade Natural Gas Corp. 42,615 941
NUI Corp. 61,782 902
CT Communications, Inc. 59,728 899
* Global Crossing Ltd. 54,177 846
* IDT Corp. Class B 45,100 832
EnergySouth, Inc. 20,760 831
* Intrado Inc. 48,771 785
Central Vermont Public
Service Corp. 38,011 779
Southwest Water Co. 60,725 760
* Alaska Communications
Systems Holdings, Inc. 122,313 746
* Talk America Holdings, Inc. 96,608 741
Semco Energy Inc. 123,071 716
* Time Warner Telecom Inc. 164,577 690
49
- ------------------------------------------------------------------------------
Market
Extended Market Value^
Index Fund Shares (000)
- ------------------------------------------------------------------------------
* UbiquiTel Inc. 163,074 $ 688
UNITILI Corp. 25,195 664
* Hector Communications Corp. 31,150 645
Chesapeake Utilities Corp. 27,811 631
Green Mountain Power Corp. 23,564 615
* Boston Communications
Group, Inc. 52,407 537
* Rural Cellular Corp. Class A 60,300 535
* Triton PCS, Inc. 114,884 501
* US LEC Corp. Class A 123,292 501
Middlesex Water Co. 25,561 495
North Pittsburgh Systems, Inc. 23,565 472
Connecticut Water Services, Inc. 18,176 466
Maine & Maritimes Corp. 14,200 454
D&E Communications, Inc. 33,679 452
* Penn Octane Corp. 185,630 371
* FiberNet Telecom Group, Inc. 328,873 362
* Z-Tel Technologies, Inc. 228,143 308
Shenandoah
Telecommunications Co. 8,510 230
Warwick Valley Telephone Co. 9,519 202
* Pac-West Telecom, Inc. 165,965 183
* Hungarian Telephone and
Cable Corp. 17,038 165
* McLeod USA Inc. 283,125 136
* IDT Corp. 7,368 133
Atlantic Tele-Network, Inc. 3,178 102
Hickory Tech Corp. 9,863 100
* BayCorp Holdings, Ltd. 3,314 41
BIW Ltd. 1,900 37
* RCN Corp. 155,302 20
* XO Communications, Inc. 565 2
* Cap Rock Energy Corp. 33 1
--------
364,819
--------
Other (3.9%)
* Berkshire Hathaway Inc.
Class A 2,760 245,502
Hillenbrand Industries, Inc. 156,486 9,460
SPX Corp. 190,498 8,847
Allete, Inc. 221,683 7,382
Wesco Financial Corp. 17,618 6,378
* Berkshire Hathaway Inc.
Class B 1,742 5,148
Teleflex Inc. 100,785 5,054
Carlisle Co., Inc. 77,771 4,841
Trinity Industries, Inc. 117,890 3,748
Lancaster Colony Corp. 89,697 3,735
* Global Signal, Inc. 110,300 2,421
* McDermott International, Inc. 163,529 1,661
Walter Industries, Inc. 102,969 1,402
* Sequa Corp. Class A 21,071 1,232
---------------------------------------------------------------------------
Market
Value^
Shares (000)
---------------------------------------------------------------------------
GenCorp, Inc. 87,947 $ 1,178
Kaman Corp. Class A 70,344 984
Raven Industries, Inc. 20,105 714
* GP Strategies Corp. 60,760 400
* Foster Wheeler Ltd. 284,354 398
* United Capital Corp. 18,942 323
* Adesa, Inc. 3,900 94
McRae Industries, Inc. 8,300 80
* Lynch Corp. 3,700 51
* Sandston Corp. 12,600 3
--------
311,036
--------
- ----------------------------------------------------------------------------
Total Common Stocks
(Cost $6,888,426) 7,923,895
- ----------------------------------------------------------------------------
Face
Amount
(000)
- ----------------------------------------------------------------------------
Temporary Cash Investments (4.5%)(1)
- ----------------------------------------------------------------------------
Federal National Mortgage Assn.
(2) 1.05%, 7/14/2004 $ 5,000 4,998
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
1.46%, 7/1/2004--Note E 350,368 350,368
1.47%, 7/1/2004 2,855 2,855
- ----------------------------------------------------------------------------
Total Temporary Cash Investments
(Cost $358,221) 358,221
- ----------------------------------------------------------------------------
Total Investments (104.3%)
(Cost $7,246,647) 8,282,116
- ----------------------------------------------------------------------------
Other Assets and Liabilities (-4.3%)
- ----------------------------------------------------------------------------
Other Assets--Note B 104,732
Security Lending Collateral Payable to
Brokers--Note E (350,368)
Other Liabilities (95,941)
---------
(341,577)
- ----------------------------------------------------------------------------
NET ASSETS (100%) $7,940,539
============================================================================
^See Note A in Notes to Financial Statements.
*Non-income-producing security.
(1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 99.9% and 4.4%, respectively, of net assets. See Note C in Notes to Financial Statements.
(2)Security segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
50
- ------------------------------------------------------------------------
AMOUNT
(000)
- ------------------------------------------------------------------------
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------------------
Paid-in Capital $7,459,431
Undistributed Net Investment Income 32,387
Accumulated Net Realized Losses (587,137)
Unrealized Appreciation
Investment Securities 1,035,469
Futures Contracts 389
- ------------------------------------------------------------------------
NET ASSETS $7,940,539
========================================================================
Investor Shares--Net Assets
Applicable to 171,479,395 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $4,847,849
- ------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $28.27
========================================================================
Admiral Shares--Net Assets
Applicable to 41,173,913 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,164,671
- ------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $28.29
========================================================================
Institutional Shares--Net Assets
Applicable to 60,742,463 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,719,462
- ------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $28.31
========================================================================
VIPER Shares--Net Assets
Applicable to 2,794,388 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $208,557
- ------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
VIPER SHARES $74.63
========================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
51
- -------------------------------------------------------------------------------
Market
Value^
Mid-cap Index Fund Shares (000)
- -------------------------------------------------------------------------------
COMMON STOCKS (99.7%)(1)
Auto & Transportation (2.8%)
PACCAR, Inc. 627,628 $ 36,396
CSX Corp. 811,778 26,602
Genuine Parts Co. 657,945 26,107
Delphi Corp. 1,902,185 20,315
Expeditors International
of Washington, Inc. 397,226 19,627
Lear Corp. 258,255 15,234
C.H. Robinson Worldwide, Inc. 290,252 13,305
Dana Corp. 561,246 11,000
Gentex Corp. 276,446 10,969
* JetBlue Airways Corp. 268,474 7,888
* TRW Automotive Holdings Corp. 111,600 2,104
189,547
Consumer Discretionary (18.4%)
J.C. Penney Co., Inc.
(Holding Co.) 1,030,546 38,913
Starwood Hotels & Resorts
Worldwide, Inc. 770,658 34,564
* Coach, Inc. 704,148 31,820
R.R. Donnelley & Sons Co. 775,029 25,591
Hilton Hotels Corp. 1,367,960 25,526
Estee Lauder Cos. Class A 467,982 22,828
Harrah's Entertainment, Inc. 420,183 22,732
* Interpublic Group of Cos., Inc. 1,578,385 21,671
Knight Ridder 299,392 21,556
Harman International
Industries, Inc. 235,902 21,467
Dollar General Corp. 1,079,722 21,119
* Office Depot, Inc. 1,172,371 20,997
Tiffany & Co. 553,176 20,385
Jones Apparel Group, Inc. 475,813 18,785
Black & Decker Corp. 296,215 18,404
Leggett & Platt, Inc. 687,918 18,374
Robert Half International, Inc. 616,448 18,352
* VeriSign, Inc. 920,293 18,314
Family Dollar Stores, Inc. 584,848 17,791
Whirlpool Corp. 259,000 17,767
PETsMART, Inc. 540,016 17,524
* Career Education Corp. 378,134 17,228
* XM Satellite Radio Holdings, Inc. 628,500 17,152
* Liberty Media International Inc.
Class A 459,405 17,044
Republic Services, Inc. Class A 588,463 17,030
Manpower Inc. 330,072 16,758
RadioShack Corp. 580,815 16,629
Nordstrom, Inc. 389,159 16,582
CDW Corp. 253,894 16,188
VF Corp. 327,030 15,926
* Caesars Entertainment, Inc. 1,038,870 15,583
- -------------------------------------------------------------------------------
Market
Value^
Shares (000)
- -------------------------------------------------------------------------------
Ross Stores, Inc. 570,946 $ 15,279
* ChoicePoint Inc. 330,124 15,073
Liz Claiborne, Inc. 418,326 15,051
* Mohawk Industries, Inc. 201,237 14,757
Sabre Holdings Corp. 528,982 14,658
Wendy's International, Inc. 410,414 14,299
Mandalay Resort Group 208,227 14,293
Abercrombie & Fitch Co. 364,264 14,115
* Chico's FAS, Inc. 312,361 14,106
Michaels Stores, Inc. 256,198 14,091
The Stanley Works 307,515 14,017
Fastenal Co. 243,540 13,840
ServiceMaster Co. 1,108,927 13,662
* Lamar Advertising Co. Class A 314,064 13,615
Alberto-Culver Co. Class B 266,354 13,355
Foot Locker, Inc. 541,164 13,172
* Sirius Satellite Radio, Inc. 4,178,900 12,871
* Toys R Us, Inc. 806,101 12,841
* MGM Mirage, Inc. 269,226 12,637
* Williams-Sonoma, Inc. 376,677 12,415
* Brinker International, Inc. 361,581 12,337
Darden Restaurants Inc. 591,247 12,150
* AutoNation, Inc. 710,531 12,150
* Fisher Scientific
International Inc. 204,800 11,827
Aramark Corp. Class B 396,387 11,400
Hasbro, Inc. 597,965 11,361
* Dollar Tree Stores, Inc. 413,130 11,332
International Flavors &
Fragrances, Inc. 301,688 11,283
* Kmart Holding Corp. 152,381 10,941
* Iron Mountain, Inc. 226,617 10,937
GTECH Holdings Corp. 223,100 10,332
Belo Corp. Class A 375,138 10,072
Outback Steakhouse 240,221 9,936
Circuit City Stores, Inc. 755,405 9,782
* Allied Waste Industries, Inc. 718,645 9,472
Viad Corp. 332,670 8,985
* Advance Auto Parts, Inc. 194,180 8,579
* CarMax, Inc. 391,574 8,564
* Tech Data Corp. 213,892 8,370
* Convergys Corp. 537,797 8,282
* Corinthian Colleges, Inc. 332,732 8,232
Meredith Corp. 144,491 7,941
* Rent-A-Center, Inc. 246,118 7,366
* The Cheesecake Factory 184,367 7,336
Maytag Corp. 296,713 7,272
* Westwood One, Inc. 295,668 7,037
* Pixar, Inc. 94,356 6,559
Polo Ralph Lauren Corp. 190,194 6,552
Reebok International Ltd. 179,199 6,448
52
- -----------------------------------------------------------------------------
Market
Value^
Shares (000)
- -----------------------------------------------------------------------------
* Weight Watchers
International, Inc. 159,500 $ 6,243
Saks Inc. 409,146 6,137
* Entercom Communications Corp. 153,214 5,715
The McClatchy Co. Class A 75,013 5,262
International Speedway Corp. 106,236 5,167
* Radio One, Inc. Class D 223,812 3,583
* Hewitt Associates, Inc. 113,940 3,133
* Citadel Broadcasting Corp. 198,111 2,886
* Columbia Sportswear Co. 52,786 2,883
Metro-Goldwyn-Mayer Inc. 219,554 2,657
* Cox Radio, Inc. 149,152 2,592
Hearst-Argyle Television Inc. 96,950 2,499
Regal Entertainment
Group Class A 129,168 2,338
Blockbuster Inc. Class A 138,960 2,109
* Radio One, Inc. 85,494 1,377
----------
1,246,163
----------
Consumer Staples (3.1%)
UST, Inc. 624,462 22,481
* Dean Foods Co. 592,757 22,116
Whole Foods Market, Inc. 230,081 21,961
R.J. Reynolds Tobacco
Holdings, Inc. 320,991 21,696
Tyson Foods, Inc. 852,121 17,852
McCormick & Co., Inc. 460,893 15,670
SuperValu Inc. 507,487 15,534
* Constellation Brands, Inc.
Class A 354,267 13,154
* Smithfield Foods, Inc. 333,213 9,796
J.M. Smucker Co. 208,615 9,578
Hormel Foods Corp. 288,107 8,960
* Del Monte Foods Co. 751,728 7,638
Brown-Forman Corp. Class B 145,052 7,002
Adolph Coors Co. Class B 93,440 6,759
PepsiAmericas, Inc. 254,402 5,403
Carolina Group 217,492 5,339
--------
210,939
--------
Financial Services (21.7%)
CIGNA Corp. 532,153 36,617
CIT Group Inc. 799,697 30,620
MGIC Investment Corp. 372,550 28,262
Jefferson-Pilot Corp. 532,705 27,061
Sovereign Bancorp, Inc. 1,156,989 25,569
National Commerce
Financial Corp. 735,170 23,893
Cincinnati Financial Corp. 539,818 23,493
North Fork Bancorp, Inc. 614,138 23,368
Synovus Financial Corp. 912,361 23,101
General Growth Properties Inc.
REIT 780,177 23,070
- -----------------------------------------------------------------------------
Market
Value^
Shares (000)
- -----------------------------------------------------------------------------
Torchmark Corp. 424,235 $ 22,824
Plum Creek Timber Co. Inc. REIT 691,470 22,528
ProLogis REIT 682,762 22,477
SAFECO Corp. 498,553 21,936
Vornado Realty Trust REIT 382,197 21,827
Legg Mason Inc. 237,993 21,660
T. Rowe Price Group Inc. 427,651 21,554
Archstone-Smith Trust REIT 734,193 21,534
Fidelity National Financial, Inc. 561,385 20,962
Banknorth Group, Inc. 645,327 20,960
Popular, Inc. 476,237 20,369
First Horizon National Corp. 445,068 20,237
Compass Bancshares Inc. 460,884 19,818
Zions Bancorp 321,727 19,770
Boston Properties, Inc. REIT 377,533 18,907
Huntington Bancshares Inc. 821,400 18,810
Rouse Co. REIT 386,279 18,348
New York Community
Bancorp, Inc. 917,530 18,011
The Chicago Mercantile
Exchange 124,600 17,988
Kimco Realty Corp. REIT 375,825 17,100
Radian Group, Inc. 356,143 17,059
Everest Re Group, Ltd. 211,084 16,963
UnumProvident Corp. 1,062,588 16,895
Duke Realty Corp. REIT 520,697 16,563
* Providian Financial Corp. 1,096,596 16,087
Green Point Financial Corp. 398,440 15,818
The PMI Group Inc. 360,496 15,689
Old Republic International Corp. 649,744 15,412
* Host Marriott Corp. REIT 1,244,238 15,379
Commerce Bancorp, Inc. 277,583 15,270
Avalonbay Communities, Inc.
REIT 267,855 15,139
* E*TRADE Financial Corp. 1,320,391 14,722
* The Dun & Bradstreet Corp. 270,669 14,592
Public Storage, Inc. REIT 313,940 14,444
Mercantile Bankshares Corp. 301,642 14,123
TCF Financial Corp. 239,449 13,900
White Mountains Insurance
Group Inc. 27,197 13,870
iStar Financial Inc. REIT 344,750 13,790
Hibernia Corp. Class A 556,404 13,521
Equifax, Inc. 520,802 12,890
RenaissanceRe Holdings Ltd. 238,813 12,884
Liberty Property Trust REIT 315,762 12,697
W.R. Berkley Corp. 284,423 12,216
* DST Systems, Inc. 251,235 12,082
Doral Financial Corp. 346,372 11,950
Health Care Properties
Investors REIT 496,680 11,940
53
- --------------------------------------------------------------------------------
Market
Value^
Mid-cap Index Fund Shares (000)
- --------------------------------------------------------------------------------
Janus Capital Group Inc. 723,527 $ 11,931
Allied Capital Corp. 485,992 11,868
Associated Banc-Corp. 395,794 11,727
PartnerRe Ltd. 202,878 11,509
Apartment Investment &
Management Co.
Class A REIT 353,413 11,002
Investors Financial
Services Corp. 249,183 10,859
AMB Property Corp. REIT 308,542 10,685
Arthur J. Gallagher & Co. 340,186 10,359
A.G. Edwards & Sons, Inc. 302,492 10,294
City National Corp. 156,399 10,275
Hospitality Properties
Trust REIT 240,870 10,189
Commerce Bancshares, Inc. 217,759 10,005
* Ameritrade Holding Corp. 874,972 9,931
Astoria Financial Corp. 267,491 9,785
Independence Community
Bank Corp. 268,000 9,755
Protective Life Corp. 247,844 9,584
Weingarten Realty
Investors REIT 306,267 9,580
Friedman, Billings, Ramsey
Group, Inc. REIT 478,700 9,473
Brown & Brown, Inc. 219,016 9,440
Fulton Financial Corp. 463,464 9,339
Federated Investors, Inc. 307,765 9,338
Leucadia National Corp. 187,419 9,315
Bank of Hawaii Corp. 205,430 9,290
* Markel Corp. 33,465 9,287
Axis Capital Holdings Ltd. 319,860 8,956
Valley National Bancorp 351,748 8,892
Fair, Isaac, Inc. 264,646 8,834
New Plan Excel Realty
Trust REIT 373,542 8,726
SEI Corp. 297,310 8,634
Assurant, Inc. 326,500 8,613
* CheckFree Corp. 286,854 8,606
Wilmington Trust Corp. 225,148 8,380
Hudson City Bancorp, Inc. 248,936 8,324
Eaton Vance Corp. 216,972 8,291
Dow Jones & Co., Inc. 183,557 8,278
Deluxe Corp. 188,013 8,179
Nationwide Financial
Services, Inc. 212,259 7,983
Unitrin, Inc. 178,294 7,595
Regency Centers Corp. REIT 158,588 6,803
Transatlantic Holdings, Inc. 78,649 6,370
* WellChoice Inc. 125,306 5,188
Mercury General Corp. 102,070 5,068
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
Erie Indemnity Co. Class A 108,219 $ 5,062
Montpelier Re Holdings Ltd. 130,968 4,577
BlackRock, Inc. 68,613 4,380
* CapitalSource Inc. 156,094 3,816
Total System Services, Inc. 148,005 3,241
* BOK Financial Corp. 77,656 3,050
Capitol Federal Financial 82,291 2,460
Student Loan Corp. 14,948 2,040
Nuveen Investments, Inc.
Class A 63,089 1,691
---------
1,465,426
---------
Health Care (9.2%)
* Medco Health Solutions, Inc. 1,021,897 38,321
Quest Diagnostics, Inc. 312,704 26,564
AmerisourceBergen Corp. 423,381 25,310
* Laboratory Corp. of
America Holdings 563,568 22,374
C.R. Bard, Inc. 392,250 22,221
IMS Health, Inc. 886,228 20,773
Health Management
Associates Class A 916,619 20,551
* Varian Medical Systems, Inc. 258,787 20,535
Mylan Laboratories, Inc. 1,012,378 20,501
* ImClone Systems, Inc. 227,900 19,552
* Express Scripts Inc. 234,226 18,558
* Celgene Corp. 307,647 17,616
* Sepracor Inc. 321,599 17,013
Oxford Health Plans, Inc. 306,861 16,890
Omnicare, Inc. 389,982 16,695
* Hospira, Inc. 560,800 15,478
* Millennium
Pharmaceuticals, Inc. 1,090,232 15,045
* Patterson Dental Co. 193,589 14,808
Beckman Coulter, Inc. 235,256 14,351
DENTSPLY International Inc. 272,729 14,209
* Coventry Health Care Inc. 284,444 13,909
* Invitrogen Corp. 186,500 13,426
* IVAX Corp. 558,186 13,391
Bausch & Lomb, Inc. 198,631 12,925
* Lincare Holdings, Inc. 373,892 12,286
* Cephalon, Inc. 211,248 11,407
* Health Net Inc. 425,755 11,283
Manor Care, Inc. 337,414 11,027
* Barr Pharmaceuticals Inc. 323,676 10,908
* Apogent Technologies Inc. 334,408 10,701
* Triad Hospitals, Inc. 286,533 10,668
* Watson Pharmaceuticals, Inc. 389,996 10,491
* Millipore Corp. 185,628 10,464
* King Pharmaceuticals, Inc. 910,632 10,427
* WebMD Corp. 1,103,855 10,288
* Henry Schein, Inc. 156,638 9,890
54
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
* Humana Inc. 580,996 $ 9,819
Universal Health
Services Class B 205,289 9,421
* Community Health Systems, Inc. 296,261 7,931
* Kinetic Concepts, Inc. 151,000 7,535
* ICOS Corp. 225,296 6,723
-------
622,285
-------
Integrated Oils (0.7%)
Amerada Hess Corp. 305,431 24,187
Murphy Oil Corp. 311,956 22,991
-------
47,178
-------
Other Energy (6.4%)
Valero Energy Corp. 479,714 35,384
* BJ Services Co. 603,681 27,673
XTO Energy, Inc. 916,316 27,297
Kerr-McGee Corp. 507,613 27,294
EOG Resources, Inc. 438,888 26,206
* Nabors Industries, Inc. 558,932 25,275
Williams Cos., Inc. 1,960,366 23,328
* Weatherford International Ltd. 498,356 22,416
* Smith International, Inc. 392,551 21,889
GlobalSantaFe Corp. 752,714 19,947
* Noble Corp. 506,931 19,208
El Paso Corp. 2,362,587 18,617
Sunoco, Inc. 285,637 18,172
ENSCO International, Inc. 569,922 16,585
Pioneer Natural Resources Co. 450,596 15,807
Equitable Resources, Inc. 232,631 12,029
Pogo Producing Co. 228,678 11,297
Noble Energy, Inc. 203,661 10,387
* Cooper Cameron Corp. 203,737 9,922
Patterson-UTI Energy, Inc. 295,763 9,881
* Rowan Cos., Inc. 399,282 9,715
* National-Oilwell, Inc. 306,811 9,661
* Pride International, Inc. 435,595 7,453
Diamond Offshore Drilling, Inc. 242,044 5,768
-------
431,211
-------
Materials & Processing (7.2%)
Monsanto Co. 1,001,511 38,558
Georgia Pacific Group 861,880 31,872
* American Standard Cos., Inc. 698,717 28,165
* Phelps Dodge Corp. 350,106 27,137
Nucor Corp. 297,392 22,828
MeadWestvaco Corp. 759,056 22,309
Freeport-McMoRan
Copper & Gold, Inc. Class B 668,358 22,156
Sherwin-Williams Co. 459,589 19,096
Smurfit-Stone Container Corp. 948,719 18,927
Vulcan Materials Co. 365,728 17,390
* Sealed Air Corp. 323,121 17,213
Engelhard Corp. 470,243 15,194
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
United States Steel Corp. 427,200 $ 15,003
Fluor Corp. 313,549 14,947
Sigma-Aldrich Corp. 248,096 14,789
Ball Corp. 202,787 14,611
* Pactiv Corp. 580,166 14,469
Eastman Chemical Co. 292,126 13,505
Temple-Inland Inc. 185,903 12,874
Ashland, Inc. 236,251 12,476
* Energizer Holdings, Inc. 276,879 12,460
Bemis Co., Inc. 383,230 10,826
Valspar Corp. 182,823 9,212
Lyondell Chemical Co. 527,704 9,177
Sonoco Products Co. 348,161 8,878
Bowater Inc. 209,548 8,715
The St. Joe Co. 200,555 7,962
* Jacobs Engineering Group Inc. 199,375 7,851
* Owens-Illinois, Inc. 418,496 7,014
Packaging Corp. of America 238,283 5,695
Lafarge North America Inc. 117,177 5,074
* International Steel Group, Inc. 73,328 2,182
-------
488,565
-------
Producer Durables (6.4%)
* Xerox Corp. 3,008,465 43,623
Parker Hannifin Corp. 450,129 26,765
Rockwell Collins, Inc. 673,961 22,456
D. R. Horton, Inc. 790,626 22,454
* Waters Corp. 450,305 21,516
Centex Corp. 469,332 21,472
Pulte Homes, Inc. 402,518 20,943
Cooper Industries, Inc. Class A 351,488 20,882
* Thermo Electron Corp. 625,322 19,222
* Novellus Systems, Inc. 578,872 18,200
Lennar Corp. Class A 400,836 17,925
W.W. Grainger, Inc. 291,705 16,773
* Teradyne, Inc. 732,077 16,618
Diebold, Inc. 275,111 14,545
Goodrich Corp. 421,868 13,639
* LAM Research Corp. 502,558 13,469
American Power
Conversion Corp. 641,179 12,599
Pall Corp. 474,632 12,431
Molex, Inc. 347,837 11,159
Tektronix, Inc. 320,106 10,890
KB HOME 149,819 10,282
* NVR, Inc. 20,202 9,782
* Alliant Techsystems, Inc. 146,230 9,262
Hubbell Inc. Class B 191,916 8,964
Garmin Ltd. 222,868 8,255
Molex, Inc. Class A 201,900 5,508
Lennar Corp. Class B 63,528 2,632
-------
432,266
-------
55
- --------------------------------------------------------------------------------
Market
Value^
Mid-cap Index Fund Shares (000)
- --------------------------------------------------------------------------------
Technology (13.8%)
* Apple Computer, Inc. 1,386,865 $ 45,129
* Computer Sciences Corp. 708,041 32,874
* Flextronics International Ltd. 1,997,416 31,859
* Altera Corp. 1,417,662 31,500
* National Semiconductor Corp. 1,344,164 29,558
* Network Appliance, Inc. 1,246,224 26,831
Rockwell Automation, Inc. 705,978 26,481
L-3 Communications
Holdings, Inc. 377,770 25,235
* Avaya Inc. 1,572,968 24,837
Microchip Technology, Inc. 785,570 24,777
* Advanced Micro Devices, Inc. 1,327,162 21,102
* Solectron Corp. 3,230,761 20,903
Scientific-Atlanta, Inc. 575,421 19,852
* JDS Uniphase Corp. 5,181,747 19,639
* Siebel Systems, Inc. 1,785,701 19,071
* Marvell Technology Group Ltd. 687,604 18,359
Autodesk, Inc. 425,899 18,233
* NCR Corp. 359,835 17,844
* Sanmina-SCI Corp. 1,951,707 17,761
* Unisys Corp. 1,256,893 17,446
* Mercury Interactive Corp. 345,608 17,222
Applera Corp.-Applied
Biosystems Group 779,004 16,943
* Synopsys, Inc. 584,478 16,617
* BMC Software, Inc. 849,403 15,714
* Jabil Circuit, Inc. 604,153 15,213
* Cadence Design Systems, Inc. 992,636 14,522
* Comverse Technology, Inc. 728,056 14,517
* Zebra Technologies Corp.
Class A 161,382 14,040
* SanDisk Corp. 608,918 13,207
* Tellabs, Inc. 1,489,926 13,022
* Red Hat, Inc. 562,500 12,921
Symbol Technologies, Inc. 872,318 12,858
* Citrix Systems, Inc. 630,424 12,835
Harris Corp. 251,867 12,782
* Ceridian Corp. 564,252 12,696
* Storage Technology Corp. 424,647 12,315
* Novell, Inc. 1,449,400 12,160
* BEA Systems, Inc. 1,454,248 11,954
* NVIDIA Corp. 581,792 11,927
* UTStarcom, Inc. 375,902 11,371
* Network Associates, Inc. 616,001 11,168
* LSI Logic Corp. 1,440,889 10,980
Intersil Corp. 501,427 10,861
* Agere Systems Inc. Class A 4,588,976 10,555
* Vishay Intertechnology, Inc. 546,390 10,152
* Amphenol Corp. 300,450 10,011
Seagate Technology 682,872 9,854
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
* Compuware Corp. 1,451,701 $ 9,581
* QLogic Corp. 357,904 9,517
* PMC Sierra Inc. 662,200 9,503
* 3Com Corp. 1,444,946 9,031
* ADC Telecommunications, Inc. 3,026,941 8,597
* CIENA Corp. 1,852,026 6,890
* Conexant Systems, Inc. 1,552,396 6,722
National Instruments Corp. 204,541 6,269
* Ingram Micro, Inc. Class A 430,110 6,224
* Fairchild Semiconductor
International, Inc. 379,278 6,209
* Foundry Networks, Inc. 428,100 6,023
* Agere Systems Inc. Class B 1,859,200 3,997
AVX Corp. 228,097 3,296
--------
929,567
--------
Utilities (7.9%)
TXU Corp. 1,161,795 47,064
PPL Corp. 670,937 30,796
Edison International 1,106,124 28,284
Sempra Energy 771,810 26,573
Xcel Energy, Inc. 1,501,904 25,097
Constellation Energy Group, Inc. 649,690 24,623
Cinergy Corp. 639,154 24,288
* AES Corp. 2,254,897 22,391
Kinder Morgan, Inc. 373,611 22,151
KeySpan Corp. 603,431 22,146
NiSource, Inc. 990,793 20,430
* NTL Inc. 292,200 16,837
* Cablevision Systems NY
Group Class A 828,268 16,275
CenturyTel, Inc. 510,319 15,330
Wisconsin Energy Corp. 447,184 14,583
SCANA Corp. 397,256 14,448
Pinnacle West Capital Corp. 344,430 13,912
Telephone & Data Systems, Inc. 191,212 13,614
Energy East Corp. 553,109 13,413
* Citizens Communications Co. 1,025,219 12,405
Questar Corp. 315,356 12,185
CenterPoint Energy Inc. 1,042,442 11,988
Pepco Holdings, Inc. 648,936 11,863
* UnitedGlobalCom Inc. Class A 1,389,600 10,088
NSTAR 200,283 9,590
MDU Resources Group, Inc. 396,455 9,527
Northeast Utilities 482,285 9,390
DPL Inc. 474,945 9,223
TECO Energy, Inc. 708,593 8,496
Puget Energy, Inc. 372,200 8,155
* Level 3 Communications, Inc. 1,652,571 5,867
* U.S. Cellular Corp. 59,938 2,311
-------
533,343
-------
56
- -----------------------------------------------------------------------------
Market
Value^
Shares (000)
- -----------------------------------------------------------------------------
Other (2.1%)
Eaton Corp. 545,056 $ 35,287
Textron, Inc. 467,180 27,727
ITT Industries, Inc. 313,300 26,004
Brunswick Corp. 335,932 13,706
SPX Corp. 280,680 13,035
Hillenbrand Industries, Inc. 210,544 12,727
Allete, Inc. 298,687 9,946
--------
138,432
--------
- -----------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $5,324,393) 6,734,922
- -----------------------------------------------------------------------------
FACE
AMOUNT
(000)
- -----------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.6%)(1)
- -----------------------------------------------------------------------------
Federal National Mortgage Assn.
(2) 1.03%, 7/7/2004 $ 1,000 1,000
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
1.46%, 7/1/2004--Note E 156,018 156,018
1.47%, 7/1/2004 20,699 20,699
- -----------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $177,717) 177,717
- -----------------------------------------------------------------------------
TOTAL INVESTMENTS (102.3%)
(Cost $5,502,110) 6,912,639
- -----------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-2.3%)
- -----------------------------------------------------------------------------
Other Assets--Note B 58,973
Security Lending Collateral Payable to
Brokers--Note E (156,018)
Other Liabilities (57,389)
(154,434)
- -----------------------------------------------------------------------------
NET ASSETS (100%) $6,758,205
=============================================================================
^See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.9% and 2.4%, respectively, of net assets. See Note C in Notes to Financial Statements. (2)Security segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust.
- ---------------------------------------------------------------
AMOUNT
(000)
- ---------------------------------------------------------------
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
- ---------------------------------------------------------------
Paid-in Capital $5,820,803
Undistributed Net Investment Income 33,636
Accumulated Net Realized Losses (507,040)
Unrealized Appreciation
Investment Securities 1,410,529
Futures Contracts 277
- ---------------------------------------------------------------
NET ASSETS $6,758,205
===============================================================
Investor Shares--Net Assets
Applicable to 307,086,075 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $4,263,956
- ---------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $13.89
===============================================================
Admiral Shares--Net Assets
Applicable to 15,576,778 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $981,352
- ---------------------------------------------------------------
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $63.00
===============================================================
Institutional Shares--Net Assets
Applicable to 107,182,905 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,492,441
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $13.92
===============================================================
VIPER Shares--Net Assets
Applicable to 401,564 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $20,456
- ---------------------------------------------------------------
NET ASSET VALUE PER SHARE--
VIPER SHARES $50.94
===============================================================
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
57
STATEMENT OF OPERATIONS
This Statement shows the types of income earned by each fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period.
- --------------------------------------------------------------------------------
Extended Market Mid-cap
Index Fund Index Fund
------------------------------------------
Six Months Ended June 30, 2004
- --------------------------------------------------------------------------------
(000) (000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Income
Dividends $ 43,658 $ 41,912
Interest 232 129
Security Lending 1,888 532
- --------------------------------------------------------------------------------
Total Income 45,778 42,573
- --------------------------------------------------------------------------------
Expenses
The Vanguard Group--Note B
Investment Advisory Services 37 34
Management and Administrative
Investor Shares 5,174 4,048
Admiral Shares 700 474
Institutional Shares 477 388
VIPER Shares 126 14
Marketing and Distribution
Investor Shares 324 321
Admiral Shares 88 79
Institutional Shares 150 108
VIPER Shares 12 1
Custodian Fees 342 149
Shareholders' Reports
Investor Shares 120 69
Admiral Shares 3 1
Institutional Shares 2 1
VIPER Shares 1 --
Trustees' Fees and Expenses 4 3
- --------------------------------------------------------------------------------
Total Expenses 7,560 5,690
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 38,218 36,883
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (13,122) 42,322
Futures Contracts 1,505 651
- -------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (11,617) 42,973
- -------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities 401,406 259,445
Futures Contracts (413) 101
- -------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (
DEPRECIATION) 400,993 259,546
- -------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $427,594 $339,402
===============================================================================
58
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each fund’s total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund’s net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares.
- ----------------------------------------------------------------------------------
Extended Market
Index Fund Mid-cap Index Fund
----------------------------- ----------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
June 30, 2004 Dec. 31, 2003 June 30, 2004 Dec. 31, 2003
(000) (000) (000) (000)
- ----------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS
Operations
Net Investment Income $ 38,218 $ 53,896 $ 36,883 $ 51,454
Realized Net Gain (Loss) (11,617) (309,646) 42,973 (548,964)
Change in Unrealized
Appreciation (Depreciation) 400,993 2,151,664 259,546 1,778,647
- ----------------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets
Resulting from Operations 427,594 1,895,914 339,402 1,281,137
- ----------------------------------------------------------------------------------
Distributions
Net Investment Income
Investor Shares -- (33,593) -- (33,257)
Admiral Shares -- (8,969) -- (8,130)
Institutional Shares -- (12,612) -- (10,818)
VIPER Shares -- (913) -- --
Realized Capital Gain
Investor Shares -- -- -- --
Admiral Shares -- -- -- --
Institutional Shares -- -- -- --
VIPER Shares -- -- -- --
Total Distributions -- (56,087) -- (52,205)
- ----------------------------------------------------------------------------------
Capital Share Transactions
- --Note F
Investor Shares 328,028 466,197 437,155 530,455
Admiral Shares 24,014 183,088 88,276 258,512
Institutional Shares 103,086 504,125 349,644 174,943
VIPER Shares 92,510 57,633 20,211 --
- ----------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 547,638 1,211,043 895,286 963,910
- ----------------------------------------------------------------------------------
Total Increase (Decrease) 975,232 3,050,870 1,234,688 2,192,842
- ----------------------------------------------------------------------------------
Net Assets
Beginning of Period 6,965,307 3,914,437 5,523,517 3,330,675
- ----------------------------------------------------------------------------------
End of Period $7,940,539 $6,965,307 $6,758,205 $5,523,517
==================================================================================
59
FINANCIAL HIGHLIGHTS
This table summarizes each fund’s investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund’s net income and total returns from year to year; the relative contributions of net income and capital gains to the fund’s total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year. The turnover rate excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation Units.
Extended Market Index Fund Investor Shares
- ------------------------------------------------------------------------------------
Six Months Ended Year Ended December 31,
For a Share Outstanding June 30, -------------------------------------------
Throughout Each Period 2004 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------
Net Asset Value, Beginning
of Period $26.66 $18.74 $23.09 $26.61 $37.07 $30.63
- ------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .12 .207 .19 .203 .274 .297
Net Realized and
Unrealized Gain (Loss) on
Investments 1.49 7.926 (4.36) (2.703) (6.041) 10.101
- ------------------------------------------------------------------------------------
Total from Investment
Operations 1.61 8.133 (4.17) (2.500) (5.767) 10.398
- ------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment
Income -- (.213) (.18) (.210) (.263) (.318)
Distributions from Realized
Capital Gains -- -- -- (.810) (4.430) (3.640)
- ------------------------------------------------------------------------------------
Total Distributions -- (.213) (.18) (1.020) (4.693) (3.958)
- ------------------------------------------------------------------------------------
Net Asset Value, End
of Period $28.27 $26.66 $18.74 $23.09 $26.61 $37.07
====================================================================================
Total Return* 6.04% 43.43% -18.06% -9.13% -15.55% 36.22%
====================================================================================
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $4,848 $4,259 $2,629 $3,115 $3,881 $4,221
Ratio of Total Expenses to
Average Net Assets 0.25%** 0.26% 0.26% 0.25% 0.25% 0.25%
Ratio of Net Investment
Income to Average Net Assets 0.96%** 1.01% 0.88% 0.88% 0.81% 1.04%
Portfolio Turnover Rate 13%** 8% 17% 20% 33% 26%
====================================================================================
*Total returns do not reflect the 0.25% transaction fee on purchases through March 31, 2000, or the $10 annual account maintenance fee applied on balances under $10,000.
**Annualized. 60
Extended Market Index Fund Admiral Shares
- -----------------------------------------------------------------------------------
Six Months Ended Year Ended December 31, Nov. 13* to
For a Share Outstanding June 30, -------------------------- Dec. 31,
Throughout Each Period 2004 2003 2002 2001 2000
- -----------------------------------------------------------------------------------
Net Asset Value, Beginning
of Period $26.66 $18.74 $23.09 $26.61 $31.89
- ----------------------------------------------------------------------------------
Investment Operations
Net Investment Income .14 .221 .201 .213 .050
Net Realized and Unrealized
Gain (Loss) on Investments 1.49 7.926 (4.360) (2.703) (1.736)
- ----------------------------------------------------------------------------------
Total from Investment
Operations 1.63 8.147 (4.159) (2.490) (1.686)
- ----------------------------------------------------------------------------------
Distributions
Dividends from Net
Investment Income -- (.227) (.191) (.220) (.274)
Distributions from Realized
Capital Gains -- -- -- (.810) (3.320)
- ----------------------------------------------------------------------------------
Total Distributions -- (.227) (.191) (1.030) (3.594)
- ----------------------------------------------------------------------------------
Net Asset Value,
End of Period $28.29 $26.66 $18.74 $23.09 $26.61
==================================================================================
Total Return 6.11% 43.51% -18.02% -9.09% -4.30%
===================================================================================
Ratios/supplemental Data
Net Assets, End of
Period (Millions) $1,165 $1,075 $611 $735 $441
Ratio of Total Expenses
to Average Net Assets 0.15%** 0.20% 0.20% 0.20% 0.20%**
Ratio of Net Investment
Income to Average Net Assets 1.06%** 1.07% 0.94% 0.94% 1.23%**
Portfolio Turnover Rate 13%** 8% 17% 20% 33%
===================================================================================
*Inception.
**Annualized.
Extended Market Index Fund Institutional Shares
- ------------------------------------------------------------------------------------
Six Months Ended Year Ended December 31,
For a Share Outstanding June 30, ------------------------------------------
Throughout Each Period 2004 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period $26.67 $18.74 $23.09 $26.62 $37.09 $30.63
- ------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .15 .247 .22 .228 .313 .363
Net Realized and Unrealized
Gain (Loss) on Investments 1.49 7.926 (4.36) (2.703) (6.041) 10.101
- ------------------------------------------------------------------------------------
Total from Investment
Operations 1.64 8.173 (4.14) (2.475) (5.728) 10.464
- ------------------------------------------------------------------------------------
Distributions
Dividends from Net
Investment Income -- (.243) (.21) (.245) (.312) (.364)
Distributions from Realized
Capital Gains -- -- -- (.810) (4.430) (3.640)
- ------------------------------------------------------------------------------------
Total Distributions -- (.243) (.21) (1.055) (4.742) (4.004)
- ------------------------------------------------------------------------------------
Net Asset Value,
End of Period $28.31 $26.67 $18.74 $23.09 $26.62 $37.09
====================================================================================
Total Return* 6.15% 43.66% -17.93% -9.03% -15.41% 36.45%
====================================================================================
Ratios/Supplemental Data
Net Assets, End of
Period (Millions) $1,719 $1,524 $644 $746 $954 $870
Ratio of Total Expenses to
Average Net Assets 0.09%** 0.10% 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment
Income to Average Net Assets 1.12%** 1.17% 1.05% 1.02% 0.96% 1.18%
Portfolio Turnover Rate 13%** 8% 17% 20% 33% 26%
====================================================================================
*Total returns do not reflect the 0.25% transaction fee on purchases through March 31, 2000.
**Annualized.
61
FINANCIAL HIGHLIGHTS (CONTINUED)
Extended Market Index Fund VIPER Shares
- -----------------------------------------------------------------------------------
Year Ended
Six Months Ended December 31, Dec. 27* to
For a Share Outstanding June 30, ----------------- Dec . 31,
Throughout Each Period 2004 2003 2002 2001
- -----------------------------------------------------------------------------------
Net Asset Value, Beginning
of Period $70.37 $49.46 $60.99 $60.94
- -----------------------------------------------------------------------------------
Investment Operations
Net Investment Income .38 .608 .566 --
Net Realized and Unrealized Gain
(Loss) on Investments 3.88 20.914 (11.561) .05
- -----------------------------------------------------------------------------------
Total from Investment Operations 4.26 21.522 (10.995) .05
- -----------------------------------------------------------------------------------
Distributions
Dividends from Net Investment Income -- (.612) (.535) --
Distributions from
Realized Capital Gains -- -- -- --
- -----------------------------------------------------------------------------------
Total Distributions -- (.612) (.535) --
- -----------------------------------------------------------------------------------
Net Asset Value,
End of Period $74.63 $70.37 $49.46 $60.99
===================================================================================
Total Return 6.05% 43.55% -18.04% 0.08%
===================================================================================
Ratios/supplemental Data
Net Assets, End of Period (Millions) $209 $107 $30 $6
Ratio of Total
Expenses to Average
Net Assets 0.20%** 0.20% 0.20% 0.20%**
Ratio of Net Investment
Income to Average Net Assets 1.03%** 1.07% 1.04% 0.54%**
Portfolio Turnover Rate 13%** 8% 17% 20%
===================================================================================
*Inception.
**Annualized.
62
Mid-cap Index Fund Investor Shares
- ------------------------------------------------------------------------------------
Six Months Ended Year Ended December 31,
For a Share Outstanding June 30, -------------------------------------------
Throughout Each Period 2004 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period $13.13 $ 9.88 $11.81 $12.21 $11.30 $10.79
- ------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .07 .122 .088 .081 .071 .073
Net Realized and Unrealized
Gain (Loss) on Investments .69 3.250 (1.798) (.166) 1.897 1.448
- ------------------------------------------------------------------------------------
Total from Investment Operations .76 3.372 (1.710) (.085) 1.968 1.521
- ------------------------------------------------------------------------------------
Distributions
Dividends from Net
Investment Income -- (.122) (.093) (.070) (.078) (.076)
Distributions from
Realized Capital Gains -- -- (.127) (.245) (.980) (.935)
- ------------------------------------------------------------------------------------
Total Distributions -- (.122) (.220) (.315) (1.058) (1.011)
- ------------------------------------------------------------------------------------
Net Asset Value,
End of Period $13.89 $13.13 $ 9.88 $11.81 $12.21 $11.30
====================================================================================
Total Return* 5.79% 34.14% -14.61% -0.50% 18.10% 15.32%
====================================================================================
Ratios/Supplemental Data
Net Assets, End of
Period (Millions) $4,264 $3,610 $2,267 $2,049 $1,614 $605
Ratio of Total Expenses to
Average Net Assets 0.23%** 0.26% 0.26% 0.25% 0.25% 0.25%
Ratio of Net Investment
Income to Average Net Assets 1.15%** 1.20% 0.85% 0.83% 0.90% 0.99%
Portfolio Turnover Rate 14%** 73%+ 18% 24% 51% 38%
====================================================================================
*Total returns do not reflect the 0.25% transaction fee on purchases from inception through February 28, 1999, or the $10 annual account maintenance fee applied on balances under $10,000.
**Annualized.
†Includes activity related to a change in the fund’s target index.
63
FINANCIAL HIGHLIGHTS (CONTINUED)
Mid-cap Index Fund Admiral Shares
- -----------------------------------------------------------------------------------
Year Ended
Six Months Ended December 31, Dec. 27* to
For a Share Outstanding June 30, ----------------- Dec . 31,
Throughout Each Period 2004 2003 2002 2001
- -----------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period $59.55 $44.81 $53.56 $50.00
- ------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .36 .593 .431 .056
Net Realized and Unrealized
Gain (Loss) on Investments 3.09 14.742 (8.154) 3.982
- ------------------------------------------------------------------------------------
Total from Investment Operations 3.45 15.335 (7.723) 4.038
- ------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment
Income -- (.595) (.451) (.320)
Distributions from Realized
Capital Gains -- -- (.576) (.158)
- ------------------------------------------------------------------------------------
Total Distributions -- (.595) (1.027) (.478)
- ------------------------------------------------------------------------------------
Net Asset Value, End of Period $63.00 $59.55 $44.81 $53.56
====================================================================================
Total Return 5.79% 34.24% -14.55% 8.06%
====================================================================================
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $981 $842 $411 $223
Ratio of Total Expenses to
Average Net Assets 0.13%** 0.18% 0.18% 0.20%**
Ratio of Net Investment Income
to Average Net Assets 1.25%** 1.31% 0.94% 0.86%**
Portfolio Turnover Rate 14%** 73%+ 18% 24%
====================================================================================
*Inception.
**Annualized.
†Includes activity related to a change in the fund’s target index.
64
Mid-cap Index Fund Institutional Shares
- ------------------------------------------------------------------------------------
Six Months Ended Year Ended December 31,
For a Share Outstanding June 30, -------------------------------------------
Throughout Each Period 2004 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period $13.16 $ 9.90 $11.83 $12.23 $11.30 $10.79
- ------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .07 .147 .103 .097 .081 .083
Net Realized and
Unrealized Gain (Loss) on
Investments .69 3.250 (1.798) (.166) 1.918 1.448
- ------------------------------------------------------------------------------------
Total from Investment Operations .76 3.397 (1.695) (.069) 1.999 1.531
- ------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment
Income -- (.137) (.108) (.086) (.089) (.086)
Distributions from Realized
Capital Gains -- -- (.127) (.245) (.980) (.935)
- ------------------------------------------------------------------------------------
Total Distributions -- (.137) (.235) (.331) (1.069) (1.021)
- ------------------------------------------------------------------------------------
Net Asset Value, End
of Period $13.92 $13.16 $ 9.90 $11.83 $12.23 $11.30
====================================================================================
Total Return* 5.78% 34.33% -14.45% -0.37% 18.39% 15.41%
====================================================================================
Ratios/supplemental Data
Net Assets, End of Period
(Millions) $1,492 $1,071 $653 $650 $307 $143
Ratio of Total Expenses to
Average Net Assets 0.08%** 0.10% 0.10% 0.10% 0.12% 0.12%
Ratio of Net Investment
Income to Average Net Assets 1.30%** 1.36% 1.01% 1.00% 1.03% 1.11%
Portfolio Turnover Rate 14%** 73%+ 18% 24% 51% 38%
====================================================================================
*Total returns do not reflect the 0.25% transaction fee on purchases from inception through February 28, 1999.
**Annualized.
†Includes activity related to a change in the fund’s target index.
65
FINANCIAL HIGHLIGHTS (CONTINUED)
Mid-cap Index Fund Viper Shares
- ------------------------------------------------------------------------
Jan. 26* to
For a Share Outstanding Throughout the Period June 30, 2004
- ------------------------------------------------------------------------
Net Asset Value, Beginning of Period $50.34
- ------------------------------------------------------------------------
Investment Operations
Net Investment Income .26
Net Realized and Unrealized Gain (Loss) on Investments .34
- ------------------------------------------------------------------------
Total from Investment Operations .60
- ------------------------------------------------------------------------
Distributions
Dividends from Net Investment Income --
Distributions from Realized Capital Gains --
- ------------------------------------------------------------------------
Total Distributions --
- ------------------------------------------------------------------------
Net Asset Value, End of Period $50.94
========================================================================
Total Return 1.19%
========================================================================
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $20
Ratio of Total Expenses to Average Net Assets 0.18%**
Ratio of Net Investment Income to Average Net Assets 1.33%**
Portfolio Turnover Rate 14%**
========================================================================
*Inception.
**Annualized.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
66
NOTES TO FINANCIAL STATEMENTS
Vanguard Extended Market Index and Mid-Cap Index Funds are registered under the Investment Company Act of 1940 as open-end investment companies, or mutual funds. Both funds offer four classes of shares: Investor Shares, Admiral Shares, Institutional Shares, and VIPER Shares. Investor Shares are available to any investor who meets the funds’ minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $10 million. VIPER Shares are listed for trading on the American Stock Exchange; they can be purchased and sold through a broker. The Mid-Cap Index Fund VIPER Shares were first issued on January 26, 2004, and were offered to the public on January 30, 2004.
A.The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The funds consistently follow such policies in preparing their financial statements.1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the funds’ pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.2. Futures Contracts: The funds use S&P 500 Index futures contracts, S&P MidCap 400 Index futures contracts, and Russell 2000 Index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. A fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. A fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Repurchase Agreements: The funds, along with other members of The Vanguard Group, transfer uninvested cash balances into a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.67
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
4. Federal Income Taxes: Each fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements.5. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
6. Other: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets.B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2004, the funds had contributed capital to Vanguard (included in Other Assets) of:
- ---------------------------------------------------------------------------
Capital Contribution Percentage Percentage of
to Vanguard of Fund Vanguard's
Index Fund (000) Net Assets Capitalization
- ---------------------------------------------------------------------------
Extended Market $1,123 0.01% 1.12%
Mid-Cap 946 0.01 0.95
- ---------------------------------------------------------------------------
The funds’ trustees and officers are also directors and officers of Vanguard.
C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
The funds’ tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2003, the funds had the following tax-basis capital losses available to offset future net capital gains:
- ------------------------------------------------------------
Capital Losses
--------------
Expiration: Fiscal
Amount Years Ending
Index Fund (000) December 31
- ------------------------------------------------------------
Extended Market $573,529 2009-2012
Mid-Cap 548,640 2011-2012
- ------------------------------------------------------------
The funds will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2004; should the funds realize net capital losses for the year, the losses will be added to the loss carryforward balances above.
68
At June 30, 2004, net unrealized appreciation (depreciation) of investment securities for tax purposes was:
- ----------------------------------------------------------------------------
(000)
----------------------------------------------------------
Net Unrealized
Appreciated Depreciated Appreciation
Index Fund Securities Securities (Depreciation)
- ----------------------------------------------------------------------------
Extended Market $2,438,824 $(1,403,355) $1,035,469
Mid-Cap 1,514,674 (104,145) 1,410,529
- ----------------------------------------------------------------------------
At June 30, 2004, the aggregate settlement value of open futures contracts expiring in September 2004 and the related unrealized appreciation (depreciation) were:
----------------------------------------------------------------------------------------
(000)
-------------------------------------
Aggregate Unrealized
Number of Settlement Appreciation
Index Fund/futures Contracts Long Contracts Value (Depreciation)
- ------------------------------------------------------------------------------------------
Extended Market/
E-mini S&P MidCap 400 Index 50 $ 3,041 $ 70
S&P MidCap 400 Index 3 912 19
Russell 2000 Index 22 6,516 300
Mid-Cap/
E-mini S&P MidCap 400 Index 18 1,095 5
S&P MidCap 400 Index 40 12,165 272
- ------------------------------------------------------------------------------------------
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D. During the six months ended June 30, 2004, purchases and sales of investment securities other than temporary cash investments were:
- ----------------------------------------------------------
(000)
-----------------------------------
Index Fund Purchases Sales
- ----------------------------------------------------------
Extended Market $1,128,186 $506,827
Mid-Cap 1,164,101 438,540
- ----------------------------------------------------------
E. The market value of securities on loan to broker/dealers at June 30, 2004, and collateral received with respect to such loans were:
- ----------------------------------------------------------
(000)
--------------------------------
Market Value Cash
of Loaned Collateral
Index Fund Securities Received
- ----------------------------------------------------------
Extended Market $317,907 $350,368
Mid-Cap 146,983 156,018
- ----------------------------------------------------------
The funds invest cash collateral received in repurchase agreements, and record a liability for the return of the collateral, during the period the securities are on loan.
69
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
F. Capital share transactions for each class of shares were:
- -----------------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 2004 December 31, 2003
----------------------- ------------------------
Amount Shares Amount Shares
Index Fund (000) (000) (000) (000)
- -----------------------------------------------------------------------------------
Extended Market
Investor Shares
Issued $740,981 26,688 $1,043,071 45,478
Issued in Lieu of Cash
Distributions -- -- 31,753 1,220
Redeemed (412,953) (14,966) (608,627) (27,268)
-----------------------------------------------------
Net Increase (Decrease)
- --Investor Shares 328,028 11,722 466,197 19,430
--------------------------------------------------------
Admiral Shares
Issued 238,610 8,560 400,805 17,637
Issued in Lieu of Cash
Distributions -- -- 7,595 293
Redeemed (214,596) (7,707) (225,312) (10,194)
--------------------------------------------------------
Net Increase (Decrease)
- --Admiral Shares 24,014 853 183,088 7,736
--------------------------------------------------------
Institutional Shares
Issued 275,206 9,885 798,707 36,316
Issued in Lieu of Cash
Distributions -- -- 11,140 431
Redeemed (172,120) (6,282) (305,722) (13,978)
--------------------------------------------------------
Net Increase (Decrease)
- --Institutional Shares 103,086 3,603 504,125 22,769
--------------------------------------------------------
VIPER Shares
Issued 92,510 1,279 57,619 904
Issued in Lieu of Cash
Distributions -- -- 14 --
Redeemed -- -- -- --
-------------------------------------------------------
Net Increase (Decrease)
- --VIPER Shares 92,510 1,279 57,633 904
- ------------------------------------------------------------------------------------
Mid-Cap
Investor Shares
Issued $865,047 63,891 $1,136,824 100,873
Issued in Lieu of Cash
Distributions -- -- 29,801 2,292
Redeemed (427,892) (31,754) (636,170) (57,631)
-------------------------------------------------------
Net Increase (Decrease)
- --Investor Shares 437,155 32,137 530,455 45,534
-------------------------------------------------------
Admiral Shares
Issued 226,782 3,702 416,475 7,996
Issued in Lieu of Cash
Distributions -- -- 6,645 113
Redeemed (138,506) (2,268) (164,608) (3,129)
-------------------------------------------------------
Net Increase (Decrease)
- --Admiral Shares 88,276 1,434 258,512 4,980
-------------------------------------------------------
Institutional Shares
Issued 420,707 31,026 344,525 30,275
Issued in Lieu of Cash
Distributions -- -- 9,135 702
Redeemed (71,063) (5,247) (178,717) (15,554)
--------------------------------------------------------
Net Increase (Decrease)
- --Institutional Shares 349,644 25,779 174,943 15,423
--------------------------------------------------------
VIPER Shares
Issued 20,211 402 -- --
Issued in Lieu of Cash
Distributions -- -- -- --
Redeemed -- -- -- --
--------------------------------------------------------
Net Increase (Decrease)
- --VIPER Shares 20,211 402 -- --
- ------------------------------------------------------------------------------------
70
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71
THE PEOPLE WHO GOVERN YOUR FUND
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard® funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of
Position(s) Held With
Name Fund (Number of
(Year of Birth) Vanguard Funds
Trustee/officer Overseen by
Since Trustee/officer) Principal Occupation(s) During the Past
Five Years
- ------------------------------------------------------------------------------------------
John J. Brennan* Chairman of the Chairman of the Board, Chief Executive
(1954) Board, Chief Officer, and Director/Trustee of The
May 1987 Executive Officer, Vanguard Group, Inc., and of each of the
and Trustee investment companies served by The
(131) Vanguard Group.
- ------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
Charles D. Ellis Trustee The Partners of `63 (pro bono ventures
(1937) (131) in education); Senior Advisor to Greenwich);
January 2001 Associates (international business
strategy consulting Successor Trustee of Yale
University; Overseer of the Stern School
Trustee of Business at New York
University; of the Whitehead
Institute Biomedical Research.
- ------------------------------------------------------------------------------------------
Rajiv L. Gupta Trustee Chairman and Chief Executive Officer
(1945) (131) (since October 1999), Vice Chairman
December 2001 (January-September 1999), and Vice
President (prior to September 1999) of
Rohm and Haas Co. (chemicals); Director
of Technitrol, Inc. (electronic
components), and Agere Systems
(communications components); Board
Member of the American Chemistry
Council; Trustee of Drexel University.
- ------------------------------------------------------------------------------------------
Joann Heffernan Trustee Vice President, Chief Information
Heisen (131) Officer, and Member of the Executive
(1950) Committee of Johnson & Johnson
July 1998 (pharmaceuticals/consumer products);
Director of the University Medical Center
at Princeton and Women's Research and
Education Institute.
- ------------------------------------------------------------------------------------------
Burton G. Malkiel Trustee Chemical Bank Chairman's Professor
(1932) (129) of Economics, Princeton University;
May 1977 Director of Vanguard Investment Series
plc (Irish invest-ent fund) (since
November 2001), Vanguard Group (Ireland)
Limited (Irish investment management
firm) (since November 2001), Prudential
Insurance Co. of America, BKF Capital
(investment management), The Jeffrey Co.
(holding company), and NeuVis, Inc.
(software company).
- ------------------------------------------------------------------------------------------
the funds. Among board members’ responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee’s retirement, resignation, or death; or otherwise as specified in the fund’s organizational documents. Any trustee may be removed at a shareholders’ meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
Position(s) Held With
Name Fund (Number of
(Year of Birth) Vanguard Funds
Trustee/officer Overseen by
Since Trustee/officer) Principal Occupation(s) During the Past
Five Years
- ------------------------------------------------------------------------------------------
Alfred M. Rankin, Jr. Trustee Chairman, President, Chief
(1941) (131) Executive Officer, and Director of NACCO
January 1993 Industries, Inc. (forklift trucks/
housewares/lignite); Director of Goodrich
Corporation (industrial products/aircraft
systems and services); Director of
Standard Products Company (supplier
for the automotive industry)
until 1998.
- ------------------------------------------------------------------------------------------
J. Lawrence Wilson Trustee Retired Chairman and Chief
(1936) (131) Executive Officer of Rohm and Haas Co.
April 1985 (chemicals); Director of Cummins Inc.
(diesel engines), MeadWestvacoCorp.
(paper products), and
AmerisourceBergen Corp.
(pharmaceutical distribution);
Trustee of Vanderbilt University.
- ------------------------------------------------------------------------------------------
EXECUTIVE OFFICERS*
R. Gregory Barton Secretary Managing Director and General
(1951) (131) Counsel of The Vanguard Group, Inc.;
June 2001 Secretary of The Vanguard Group and
of each of the investmentcompanies
served by The Vanguard Group.
- ------------------------------------------------------------------------------------------
Thomas J. Higgins Treasurer Principal of The Vanguard
(1957) (131) Group, Inc.; Treasurer of each of
July 1998 the investment companies served by
The Vanguard Group.
- ------------------------------------------------------------------------------------------
*Officers of the funds are “interested persons” as defined in the Investment Company Act of 1940.
More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group.
- ------------------------------------------------------------------------------------------
VANGUARD SENIOR MANAGEMENT TEAM
Mortimer J. Buckley, Information Technology.
James H. Gately, Investment Programs and Services.
Kathleen C. Gubanich, Human Resources.
F. William Mcnabb, III, Client Relationship Group.
Michael S. Miller, Planning and Development.
Ralph K. Packard, Finance.
George U. Sauter, Chief Investment Officer.
- ------------------------------------------------------------------------------------------
John C. Bogle, Founder; Chairman and Chief Executive Officer, 1974-1996.
- ------------------------------------------------------------------------------------------
Post Office Box 2600
Valley Forge, PA 19482-2600
Vanguard, The Vanguard Group, Vanguard.com, Admiral, PlainTalk, VIPER, VIPERS, and the ship logo are trademarks of The Vanguard Group, Inc.
S&P 500 ®, Standard & Poor’s 500, and 500 are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the funds.
The funds or securities referred to herein that are offered by The Vanguard Group and track an MSCI index are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities. For such funds or securities, the prospectus or the Statement of Additional Information contains a more detailed description of the limited relationship MSCI has with The Vanguard Group.
Russell is a trademark of The Frank Russell Company.
All other marks are the exclusive property of their respective owners.
All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted.
ABOUT OUR COVER
The photographs that appear on the cover of this report are copyrighted by Michael Kahn.
FOR MORE INFORMATION
This report is intended for the funds’ shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus. To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the funds or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through VANGUARD.COM. Prospectuses may also be viewed online.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting our website, www.vanguard.com, and searching for “proxy voting guidelines,” or by calling 1-800-662-2739. They are also available from the SEC’s website, www.sec.gov. In addition, beginning August 31, 2004, you may obtain a free report on how the funds voted the proxies for securities they owned during the 12 months ended June 30. To get the report, visit either www.vanguard.com or www.sec.gov.
WORLD WIDE WEB
www.vanguard.com
FUND INFORMATION
1-800-662-7447
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© 2004 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
Vanguard® U.S. Stock Index Funds
Large-Capitalization Portfolios
June 30, 2004
semiannual report
Vanguard® Growth Index Fund
Vanguard® Value Index Fund
Vanguard® Large-Cap Index Fund
Vanguard® Total Stock Market Index Fund
HOW TO READ YOUR FUND REPORT
This report contains information that can help you evaluate your investment. It includes details about your fund’s return and presents data and analysis that provide insight into the fund’s performance and investment approach.
By reading the letter from Vanguard’s chairman, you’ll get an understanding of how the fund invests and how the market environment affected its performance. The statistical information that follows can help you understand how the fund’s performance and characteristics stack up against those of similar funds and market benchmarks.
It’s important to keep in mind that any opinions expressed here are just that: informed opinions. They should not be considered promises or advice. These opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in the fund are spelled out in the prospectus.
Frequent updates on the fund’s performance and information about some of its holdings are available on Vanguard.com®.
CONTENTS
1 LETTER FROM THE CHAIRMAN
9 FUND PROFILES
13 GLOSSARY OF INVESTMENT TERMS
14 PERFORMANCE SUMMARIES
17 ABOUT YOUR FUND´S EXPENSES
19 FINANCIAL STATEMENTS
59 ADVANTAGES OF VANGUARD.COM
Summary
* All four Vanguard large-capitalization stock index funds met their objective of closely tracking the returns of their indexes during the six months ended June 30.
* Large-cap stocks advanced modestly, as rising interest rates provoked investor anxiety. Small-cap stocks posted stronger returns.
* Financial stocks, which play a significant role in each of the funds, generated modestly positive returns, but were restrained by rising rates. Energy stocks, which benefited from higher oil prices, provided the best returns.
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INDEXED TO MSCI
Growth Index FundValue
Index FundLarge-Cap
Index Fund
LETTER FROM THE CHAIRMAN
Dear Shareholder,
During the six months ended June 30, 2004, the U.S. stock market got off to a strong start, but stalled as robust economic growth led to higher interest rates and raised the specter of accelerating inflation. The Vanguard large-capitalization index funds, which posted modest half-year returns, succeeded in their objective of closely tracking the returns of their target benchmarks.
Vanguard Total Stock Market Index Fund delivered the highest total returns as a result of its inclusion of small- and mid-cap stocks, which outperformed their large counterparts. Vanguard Large-Cap Index Fund, which began operations in late January and thus missed a month of respectable market performance, delivered the lowest returns. The table on page 2 presents the total returns of the funds and their target indexes, along with the average returns of their peer groups. The funds’ starting and ending net asset values, as well as their income distributions, appear in a table on page 6.
STOCKS GAINED AS THE ECONOMY REBOUNDED
The U.S. stock market registered moderate returns in a positive economic environment. Corporate earnings growth was strong, and consumers grew more confident as economic growth—and job creation—accelerated.
Gains were tempered, however, by a two-month period in which indicators of rising inflation rattled investors. Unrest in the Middle East and growing global demand pushed the price of crude oil past a level last seen more than 20 years earlier, during the Iran-Iraq War. But good economic news was back in the headlines in May and June, prompting a snapback for stocks.
1
For the six months, the broad U.S. stock market, as measured by the Dow Jones Wilshire 5000 Composite Index, returned 3.9%. The Russell 1000 Index of mid-to large-cap stocks produced a 3.3% gain, while the Russell 2000 Index, a proxy for small-cap stocks, jumped 6.8%. Across the market-cap spectrum, value-oriented stocks (those that generally trade at below-market valuations relative to their book values and other fundamental measures) outdistanced growth stocks (those expected to produce above-average earnings growth).
Total Returns Six Months Ended
June 30, 2004
Vanguard Growth Index Fund
Investor Shares 3.0%
Admiral Shares 3.1
Institutional Shares 3.1
VIPER Shares
Market Price -1.4*
Net Asset Value -1.4*
MSCI US Prime Market Growth Index 3.1
Average Large-Cap Growth Fund** 2.4
Vanguard Value Index Fund
Investor Shares 3.7%
Admiral Shares 3.8
Institutional Shares 3.8
VIPER Shares
Market Price 0.2*
Net Asset Value 0.2*
MSCI US Prime Market Value Index 3.8
Average Large-Cap Value Fund** 3.2
Vanguard Large-Cap Index Fund
Investor Shares 1.4%*
Admiral Shares 1.1*
VIPER Shares
Market Price 0.4*
Net Asset Value 0.3*
MSCI US Prime Market 750 Index 1.5†
Average Large-Cap Core Fund** 0.5†
Vanguard Total Stock Market Index Fund
Investor Shares 3.9%
Admiral Shares 3.9
Institutional Shares 4.0
VIPER Shares
Market Price 4.2
Net Asset Value 3.9
Dow Jones Wilshire 5000 Index 3.9
Average Multi-Cap Core Fund** 3.3
*Return since inception. Inception dates are: for Growth and Value Index Fund VIPER Shares, January 26, 2004; for Large-Cap Index Fund Investor Shares, January 30, 2004; for Large-Cap Index Fund Admiral Shares, February 2, 2004; and for Large-Cap Index Fund VIPER Shares, January 27, 2004.
**Derived from data provided by Lipper Inc.
† Return since January 30, 2004.
BONDS REACTED TO THE STRONGER ECONOMY
In the fixed income markets, rates stayed at historically low levels during the first half of the period, then rose sharply in April as the economy strengthened. For the six months, the yield of the benchmark 10-year U.S. Treasury note increased 33 basis points (0.33 percentage point), from 4.25% to 4.58%. At the short end of the maturity spectrum, rates climbed more sharply in anticipation of the Federal Reserve Board’s increase in its target federal funds rate. The Fed acted on June 30, lifting its target by 25 basis points, the first increase in four years. The yield of the 3-month Treasury bill, a proxy for money market rates, climbed from 0.92% at year-end 2003 to 1.26% on June 30.
2
Admiral™ Shares
A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund.
Institutional Shares
This class of shares also carries low expenses and is available for a minimum investment of $10 million.
VIPER® Shares
Traded on the American Stock Exchange, VIPERs® are available only through brokers. The table on page 2 shows VIPER returns based on both the AMEX market price and the net asset value for a share.
As earnings growth fortified corporate balance sheets, corporate bonds became more attractive, enhancing their performance relative to Treasuries. This trend was particularly obvious among lesser-quality bonds; the Lehman Brothers High Yield Bond Index, a benchmark of below-investment-grade bonds, posted a six-month return of 1.4%, compared with the 0.2% return of the broad market, as measured by the Lehman Aggregate Bond Index.
FINANCIALS WERE SUBDUED, WHILE ENERGY WAS STRONG
During the past six months, the returns of the Vanguard large-cap index funds were the product of subdued-to-weak results from large industry sectors such as financial services and technology, and stronger performances from small sectors such as “other energy.” Energy-related stocks benefited from persistently high oil prices, while financial services stocks, which make up the broad stock market’s largest sector, teetered as interest rates rose. (Higher rates boost the cost of funds for banks and brokerages, reducing the profitability of lending as well as other financial services operations.) Technology stocks, another sizable market sector, were the weakest performers, posting a modest loss overall.
In Vanguard Total Stock Market Index Fund, which seeks to capture the returns of all publicly traded U.S. stocks, the net result of these different sector performances was a six-month return of 3.9% for the Investor Shares. The fund got a boost relative to the other large-cap index funds from its exposure to small and mid-sized companies, which, as noted earlier, outperformed large stocks.
As you would expect, the size of industry sectors differs between the Growth and Value Index Funds, which seek to capture the returns of the MSCI US Prime Market Growth and Value Indexes, respectively. These differences explain the Value Index Fund’s better performance during the six months. For example, the Value Index Fund had more
3
exposure to the strongly performing energy sectors. The fund’s sizable weighting in financial services stocks restrained returns, but on the plus side, the fund had very little exposure to tech stocks, and this limited stake included some of the tech sector’s best performers.
Market Barometer Total Returns
Periods Ended June 30, 2004
Six One Five
Months Year Years*
Stocks
Russell 1000 Index (Large-caps) 3.3% 19.5% -1.6%
Russell 2000 Index (Small-caps) 6.8 33.4 6.6
Dow Jones Wilshire 5000 Index 3.9 21.2 -1.0
(Entire market)
MSCI All Country World Index
ex USA (International) 4.1 32.5 1.0
Bonds
Lehman Aggregate Bond Index 0.2% 0.3% 6.9%
(Broad taxable market)
Lehman Municipal Bond Index -0.7 0.8 5.9
Citigroup 3-Month Treasury Bill Index 0.5 1.0 3.1
CPI
Consumer Price Index 2.9% 3.3% 2.7%
*Annualized.
The Growth Index Fund’s heavy tech weighting was clearly a negative. The fund’s six-month returns were within striking distance of the Value Index Fund’s returns, however, thanks to strong results from consumer discretionary stocks—the retailers, restaurants, and entertainment purveyors that tend to thrive in an expanding economy—as well as from growth-oriented food processors in the consumer staples group and from health care stocks, in which the fund has a sizable stake.
In late January, Vanguard Large-Cap Index Fund began operations. The fund, which essentially is the combination of the Growth and Value Index Funds, seeks to track the MSCI US Prime Market 750 Index. During the first five months of operation, the Large-Cap Index Fund’s Investor Shares returned 1.4% and its Admiral Shares returned 1.1%. As you would expect, these returns fell in between the returns of the Growth and Value Index Funds over the same period. The Large-Cap Index Fund’s exchange-traded shares, or VIPERs, provided a lower return than that of the conventional shares, but only because the VIPERs were introduced three days before the conventional shares. Those three days happened to be days of general market decline.
The results posted by the Investor Shares of all four index funds came within 0.1 percentage point of the returns of their target indexes, a testament to the skills of Vanguard Quantitative Equity Group, the funds’ advisor. It’s worth remembering that the indexes are theoretical constructs, incurring no operating or transaction costs. Index funds, on the other hand, must contend with these real-world challenges.
4
DO NOT WAVER IN THE FACE OF VOLATILITY
The recent rise in interest rates has reverberated through both the stock and bond markets. A prudent response to this volatility is to remain focused on an investment plan designed to help you meet your financial goals while allowing you to sleep at night. Vanguard has long advised that such a plan include allocations to stock, bond, and money market portfolios in proportions suited to your unique circumstances. The four Vanguard large-cap index funds are an excellent means of capturing the returns of the broad stock market or of discrete segments among the market’s largest companies. The funds provide broad diversification at extremely low cost, and over time, the three older funds have proved extremely tax-efficient.
Thank you for entrusting your assets to Vanguard.
Sincerely,
John J. Brennan
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
JULY 14, 2004
5
Your Fund's Performance at a Glance December 31, 2003-June 30, 2004
Distributions Per Share
Starting Ending Income Capital
Share Price Share Price Dividends Gains
Growth Index Fund
Investor Shares $24.92 $25.60 $0.070 $0.000
Admiral Shares 24.92 25.60 0.081 0.000
Institutional Shares 24.92 25.60 0.085 0.000
VIPER Shares 50.64* 49.75 0.160 0.000
Value Index Fund
Investor Shares $18.95 $19.45 $0.200 $0.000
Admiral Shares 18.95 19.45 0.208 0.000
Institutional Shares 18.95 19.45 0.212 0.000
VIPER Shares 50.34* 49.89 0.534 0.000
Large-Cap Index Fund
Investor Shares $20.00* $20.09 $0.195 $0.000
Admiral Shares 25.08* 25.11 0.249 0.000
VIPER Shares 50.01* 49.71 0.462 0.000
Total Stock Market Index Fund
Investor Shares $25.99 $26.83 $0.170 $0.000
Admiral Shares 25.99 26.83 0.180 0.000
Institutional Shares 26.00 26.84 0.186 0.000
VIPER Shares 106.81 110.25 0.730 0.000
*Share price at inception. Inception dates are: for Growth and Value Index Fund VIPER Shares, January 26, 2004; for Large-Cap Index Fund Investor Shares, January 30, 2004; for Large-Cap Index Fund Admiral Shares, February 2, 2004; and for Large-Cap Index Fund VIPER Shares, January 27, 2004.
Growth Index Fund VIPER SharesPremium/Discount: January 26, 2004*–June 30, 2004
Closing Price
Above or Equal to Closing Price Below
Closing Net Asset Value Closing Net Asset Value
Number Percentage of Number Percentage of
Basis Point Differential** of Days Total Days of Days Total Days
0–24.9 70 64.22% 35 32.11%
25–49.9 1 0.92 0 0.00
50–74.9 2 1.83 0 0.00
75–100.0 1 0.92 0 0.00
>100.0 0 0.00 0 0.00
Total 74 67.89% 35 32.11%
*Inception.
**One basis point equals 1/100th of 1%.
6
Value Index Fund VIPER SharesPremium/Discount: January 26, 2004*–June 30, 2004
Closing Price
Above or Equal to Closing Price Below
Closing Net Asset Value Closing Net Asset Value
Number Percentage of Number Percentage of
Basis Point Differential** of Days Total Days of Days Total Days
0–24.9 70 64.22% 38 34.86%
25–49.9 1 0.92 0 0.00
50–74.9 0 0.00 0 0.00
75–100.0 0 0.00 0 0.00
>100.0 0 0.00 0 0.00
Total 71 65.14% 38 34.86%
*Inception.
**One basis point equals 1/100th of 1%.
Large-Cap Index Fund VIPER SharesPremium/Discount: January 27, 2004*–June 30, 2004
Closing Price
Above or Equal to Closing Price Below
Closing Net Asset Value Closing Net Asset Value
Number Percentage of Number Percentage of
Basis Point Differential** of Days Total Days of Days Total Days
0–24.9 56 51.85% 51 47.22%
25–49.9 1 0.93 0 0.00
50–74.9 0 0.00 0 0.00
75–100.0 0 0.00 0 0.00
>100.0 0 0.00 0 0.00
Total 57 52.78% 51 47.22%
*Inception.
**One basis point equals 1/100th of 1%.
7
Total Stock Market Index Fund VIPER Shares
Premium/Discount: May 24, 2001*-June 30, 2004
Closing Price
Above or Equal to Closing Price Below
Closing Net Asset Value Closing Net Asset Value
Number Percentage of Number Percentage of
Basis Point Differential** of Days Total Days of Days Total Days
0-24.9 404 51.99% 358 46.07%
25-49.9 10 1.29 3 0.39
50-74.9 0 0.00 2 0.26
75-100.0 0 0.00 0 0.00
>100.0 0 0.00 0 0.00
Total 414 53.28% 363 46.72%
*Inception.
**One basis point equals 1/100th of 1%.
8
As of 6/30/2004
FUND PROFILES
These Profiles provide snapshots of each fund’s characteristics, compared where indicated with the fund’s target index and a broad market index. Key terms are defined on page 13.
GROWTH INDEX FUND
Portfolio Characteristics
Target Broad
Fund Index* Index**
Number of Stocks 419 418 5,064
Median Market Cap $42.5B $42.5B $27.1B
Price/Earnings Ratio 28.9x 28.9x 22.5x
Price/Book Ratio 4.1x 4.1x 2.8x
Yield 0.8% 1.6%
Investor Shares 0.6%
Admiral Shares 0.6%
Institutional Shares 0.7%
VIPER Shares 0.6%
Return on Equity 21.8% 21.8% 15.7%
Earnings Growth Rate 9.9% 9.9% 6.7%
Foreign Holdings 0.0% 0.0% 0.9%
Turnover Rate 14%+ -- --
Expense Ratio -- --
Investor Shares 0.22%+
Admiral Shares 0.13%+
Institutional Shares 0.09%+
VIPER Shares 0.15%+
Short-Term Reserves 0% -- --
Volatility Measures
Spliced Broad
Fund Index++ Fund Index**
R-Squared 1.00 1.00 0.93 1.00
Beta 1.00 1.00 0.94 1.00
Sector Diversification (% of portfolio)
Target Broad
Fund Index* Index**
Auto & Transportation 2% 2% 3%
Consumer Discretionary 19 19 15
Consumer Staples 9 9 7
Financial Services 11 11 23
Health Care 22 22 13
Integrated Oils 0 0 4
Other Energy 3 3 3
Materials & Processing 1 1 4
Producer Durables 3 3 4
Technology 26 26 14
Utilities 3 3 6
Other 1 1 4
Ten Largest Holdings (% of total net assets)
Microsoft Corp. 5.0%
(software)
Pfizer Inc. 4.8
(pharmaceuticals)
Intel Corp. 3.3
(electronics)
Johnson & Johnson 3.0
(pharmaceuticals)
Cisco Systems, Inc. 3.0
(computer hardware)
American International Group, Inc. 2.9
(insurance)
International Business Machines Corp. 2.7
(computer hardware)
Wal-Mart Stores, Inc. 2.7
(retail)
The Procter & Gamble Co. 2.4
(consumer products)
PepsiCo, Inc. 1.7
(beverages)
Top Ten 31.5%
"Ten Largest Holdings" excludes any temporary cash investments and equity index products.
Investment Focus
Market Cap Large
Style Growth
*MSCI US Prime Market Growth Index.
**Dow Jones Wilshire 5000 Index.
† Annualized. Turnover rate excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation Units.
††S&P 500/Barra Growth Index through May 16, 2003; MSCI US Prime Market Growth Index thereafter.
9
FUND PROFILES (CONTINUED)
VALUE INDEX FUND
Portfolio Characteristics
Target Broad
Fund Index* Index**
Number of Stocks 415 414 5,064
Median Market Cap $44.4B $44.4B $27.1B
Price/Earnings Ratio 16.1x 16.1x 22.5x
Price/Book Ratio 2.3x 2.3x 2.8x
Yield 2.6% 1.6%
Investor Shares 2.3%
Admiral Shares 2.4%
Institutional Shares 2.5%
VIPER Shares 2.4%
Return on Equity 19.3% 19.3% 15.7%
Earnings Growth Rate 7.3% 7.3% 6.7%
Foreign Holdings 0.0% 0.0% 0.9%
Turnover Rate 13%+ -- --
Expense Ratio -- --
Investor Shares 0.21%+
Admiral Shares 0.12%+
Institutional Shares 0.09%+
VIPER Shares 0.15%+
Short-Term Reserves 0% -- --
Volatility Measures
Spliced Broad
Fund Index++ Fund Index**
R-Squared 1.00 1.00 0.95 1.00
Beta 1.00 1.00 1.07 1.00
Sector Diversification (% of portfolio)
Target Broad
Fund Index* Index**
Auto & Transportation 2% 2% 3%
Consumer Discretionary 9 9 15
Consumer Staples 6 6 7
Financial Services 34 34 23
Health Care 5 5 13
Integrated Oils 9 9 4
Other Energy 2 2 3
Materials & Processing 5 5 4
Producer Durables 5 5 4
Technology 3 3 14
Utilities 10 10 6
Other 10 10 4
Ten Largest Holdings (% of total net assets)
General Electric Co. 6.2%
(conglomerate)
ExxonMobil Corp. 5.3
(oil)
Citigroup, Inc. 4.3
(banking)
Bank of America Corp. 3.1
(banking)
Merck & Co., Inc. 1.9
(pharmaceuticals)
Altria Group, Inc. 1.9
(tobacco)
ChevronTexaco Corp. 1.8
(oil)
Verizon Communications Inc. 1.8
(telecommunications)
Wells Fargo & Co. 1.8
(banking)
SBC Communications Inc. 1.5
(telecommunications)
Top Ten 29.6%
"Ten Largest Holdings" excludes any temporary cash investments and equity index products.
Investment Focus
Market Cap Large
Style Value
*MSCI US Prime Market Value Index.
**Dow Jones Wilshire 5000 Index.
†Annualized. Turnover rate excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation Units.
††S&P 500/Barra Value Index through May 16, 2003; MSCI US Prime Market Value Index thereafter.
10
LARGE-CAP INDEX FUND
Portfolio Characteristics
Target Broad
Fund Index* Index**
Number of Stocks 755 755 5,064
Median Market Cap $43.1B $43.1B $27.1B
Price/Earnings Ratio 20.7x 20.7x 22.5x
Price/Book Ratio 2.9x 2.9x 2.8x
Yield 1.7% 1.6%
Investor Shares 1.5%
Admiral Shares 1.6%
VIPER Shares 1.6%
Return on Equity 20.5% 20.5% 15.7%
Earnings Growth Rate 8.6% 8.6% 6.7%
Foreign Holdings 0.0% 0.0% 0.9%
Turnover Rate 2%+ -- --
Expense Ratio -- --
Investor Shares 0.20%+
Admiral Shares 0.12%+
VIPER Shares 0.12%+
Short-Term Reserves 1% -- --
Sector Diversification (% of portfolio)
Target Broad
Fund Index* Index**
Auto & Transportation 2% 2% 3%
Consumer Discretionary 14 14 15
Consumer Staples 7 7 7
Financial Services 22 22 23
Health Care 14 14 13
Integrated Oils 4 5 4
Other Energy 2 2 3
Materials & Processing 3 3 4
Producer Durables 4 4 4
Technology 15 15 14
Utilities 7 7 6
Other 5 5 4
Short-Term Reserves 1% -- --
Ten Largest Holdings (% of total net assets)
General Electric Co. 3.1%
(conglomerate)
ExxonMobil Corp. 2.6
(oil)
Microsoft Corp. 2.5
(software)
Pfizer Inc. 2.4
(pharmaceuticals)
Citigroup, Inc. 2.2
(banking)
Intel Corp. 1.6
(electronics)
Bank of America Corp. 1.6
(banking)
Johnson & Johnson 1.5
(pharmaceuticals)
Cisco Systems, Inc. 1.5
(computer hardware)
American International Group, Inc. 1.4
(insurance)
Top Ten 20.4%
"Ten Largest Holdings" excludes any temporary cash investments and equity index products.
Investment Focus
Market Cap Large
Style Blend
*MSCI US Prime Market 750 Index.
**Dow Jones Wilshire 5000 Index.
†Annualized. Turnover rate excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation Units.
11
FUND PROFILES (CONTINUED)
TOTAL STOCK MARKET INDEX FUND
Portfolio Characteristics
Target
Fund Index*
Number of Stocks 3,630 5,064
Median Market Cap $27.1B $27.1B
Price/Earnings Ratio 22.5x 22.5x
Price/Book Ratio 2.8x 2.8x
Yield 1.6%
Investor Shares 1.4%
Admiral Shares 1.4%
Institutional Shares 1.5%
VIPER Shares 1.4%
Return on Equity 15.7% 15.7%
Earnings Growth Rate 6.8% 6.7%
Foreign Holdings 0.9% 0.9%
Turnover Rate 3%** --
Expense Ratio --
Investor Shares 0.19%**
Admiral Shares 0.12%**
Institutional Shares 0.08%**
VIPER Shares 0.15%**
Short-Term Reserves 0% --
Volatility Measures
Target
Fund Index*
R-Squared 1.00 1.00
Beta 1.00 1.00
Sector Diversification+ (% of portfolio)
Target
Fund Index*
Auto & Transportation 3% 3%
Consumer Discretionary 15 15
Consumer Staples 7 7
Financial Services 23 23
Health Care 13 13
Integrated Oils 4 4
Other Energy 3 3
Materials & Processing 4 4
Producer Durables 4 4
Technology 14 14
Utilities 6 6
Other 4 4
Ten Largest Holdings (% of total net assets)
General Electric Co. 2.5%
(conglomerate)
Microsoft Corp. 2.2
(software)
ExxonMobil Corp. 2.1
(oil)
Pfizer Inc. 1.9
(pharmaceuticals)
Citigroup, Inc. 1.7
(banking)
Wal-Mart Stores, Inc. 1.6
(retail)
American International Group, Inc. 1.4
(insurance)
Intel Corp. 1.3
(electronics)
Bank of America Corp. 1.3
(banking)
Johnson & Johnson 1.2
(pharmaceuticals)
Top Ten 17.2%
"Ten Largest Holdings" excludes any temporary cash investments and equity index products.
Investment Focus
Market Cap Large
Style Blend
*Dow Jones Wilshire 5000 Index.
**Annualized. Turnover rate excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including VIPER Creation Units.
†Security classification based on Wilshire Associates methodology.
12
GLOSSARY OF INVESTMENT TERMS
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. A fund’s beta should be reviewed in conjunction with its R-squared (see definition below). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Expense Ratio. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
Foreign Holdings. The percentage of a fund’s equity assets represented by stocks or depositary receipts of companies based outside the United States.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors).
Yield. A snapshot of a fund’s income from interest and dividends. The yield, expressed as a percentage of the fund’s net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of income provided by securities in the index.
13
As of 6/30/2004
PERFORMANCE SUMMARIES
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the funds. (For the performance data current to the most recent month-end, which may be higher or lower than that cited, visit our website at www.vanguard.com.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
GROWTH INDEX FUND
Fiscal-Year Total Returns (%) December 31, 1993-June 30, 2004
Fiscal Year Growth Index Fund Investor Shares Spliced Growth Index
1994 2.9 3.1
1995 38.1 38.1
1996 23.7 24
1997 36.3 36.5
1998 42.2 42.2
1999 28.8 28.2
2000 -22.2 -22.1
2001 -12.9 -12.7
2002 -23.7 -23.6
2003 25.9 26.1
2004** 3 3.1
*S&P 500/Barra Growth Index through May 16, 2003; MSCI US Prime Market Growth Index thereafter.
**Six months ended June 30, 2004.
Note: See Financial Highlights tables on pages 43–45 for dividend and capital gains information.
Average Annual Total Returns for periods ended June 30, 2004
Ten Years
One Five
Inception Date Year Years Capital Income Total
Growth Index Fund
Investor Shares* 11/2/1992 17.33% –4.91% 10.82% 1.10% 11.92%
Admiral Shares 11/13/2000 17.44 –6.01** – – –
Institutional Shares 5/14/1998 17.49 –4.80 –0.05** 0.84** 0.79**
VIPER Shares 1/26/2004
Market Price –1.38** – – – –
Net Asset Value –1.44** – – – –
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
**Return since inception.
14
VALUE INDEX FUND
Fiscal-Year Total Returns (%) December 31, 1993–June 30, 2004
Fiscal Year Value Index Fund Investor Shares Spliced Value Index*
1994 -0.7 -0.6
1995 36.9 37
1996 21.9 22
1997 29.8 30
1998 14.6 14.7
1999 12.6 12.7
2000 6.1 6.1
2001 -11.9 -11.7
2002 -20.9 -20.9
2003 32.2 32.4
2004** 3.7 3.8
*S&P 500/Barra Value Index through May 16, 2003; MSCI US Prime Market Value Index thereafter.
**Six months ended June 30, 2004.
Average Annual Total Returns for periods ended June 30, 2004 <PRE>
Ten Years
One Five
Inception Date Year Years Capital Income Total
Value Index Fund
Investor Shares* 11/2/1992 20.82% 0.06% 8.87% 2.30% 11.17%
Admiral Shares 11/13/2000 20.92 -0.32** -- -- --
Institutional Shares 7/2/1998 20.98 0.18 0.46** 2.00** 2.46**
VIPER Shares 1/26/2004
Market Price 0.19** -- -- -- --
Net Asset Value 0.18** -- -- -- --
Large-Cap Index Fund
Investor Shares* 1/30/2004 1.44%** -- -- -- --
Admiral Shares 2/2/2004 1.13** -- -- -- --
VIPER Shares 1/27/2004
Market Price 0.40** -- -- -- --
Net Asset Value 0.33** -- -- -- --
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
**Return since inception.
Note: See Financial Highlights tables on pages 46–49 for dividend and capital gains information.
15
PERFORMANCE SUMMARIES (CONTINUED)
TOTAL STOCK MARKET INDEX FUND
Fiscal-Year Total Returns (%) December 31, 1993–June 30, 2004
Fiscal Year Total Stock Market Index Fund Investor Shares Dow Jones Wilshire 5000 Index
1994 -0.2 -0.1
1995 35.8 36.4
1996 21 21.2
1997 31 31.3
1998 23.3 23.4
1999 23.8 23.6
2000 -10.6 -10.9
2001 -11 -11
2002 -21 -20.9
2003 31.4 31.6
2004* 3.9 3.9
*Six months ended June 30, 2004.
Note: See Financial Highlights tables on pages 50 and 51 for dividend and capital gains information.
Average Annual Total Returns for periods ended June 30, 2004
Ten Years
One Five
Inception Date Year Years Capital Income Total
Total Stock Market
Index Fund
Investor Shares* 4/27/1992 20.99% -1.01% 9.81% 1.62% 11.43%
Admiral Shares 11/13/2000 21.06 -1.76** -- -- --
Institutional Shares 7/7/1997 21.17 -0.90 3.84** 1.46** 5.30**
VIPER Shares 5/24/2001
Market Price 21.27 -0.84** -- -- --
Net Asset Value 21.06 -0.85** -- -- --
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
**Return since inception.
16
ABOUT YOUR FUND’S EXPENSES
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
Six Months Ended June 30, 2004*
Beginning Ending Expenses
Account Value Account Value Paid During
12/31/2003 6/30/2004 Period**
Based on Actual Fund Return
GrowthIndex Fund
Investor Shares $1,000 $1,030 $1.11
Admiral Shares 1,000 1,031 0.66
Institutional Shares 1,000 1,031 0.45
Value Index Fund
Investor Shares $1,000 $1,037 $1.06
Admiral Shares 1,000 1,038 0.61
Institutional Shares 1,000 1,038 0.46
Total Stock Market Index Fund
Investor Shares $1,000 $1,039 $0.96
Admiral Shares 1,000 1,039 0.61
Institutional Shares 1,000 1,040 0.41
VIPER Shares 1,000 1,039 0.76
Based on Hypothetical 5% Return
Growth Index Fund
Investor Shares $1,000 $1,049 $1.12
Admiral Shares 1,000 1,049 0.66
Institutional Shares 1,000 1,050 0.46
Value Index Fund
Investor Shares $1,000 $1,049 $1.07
Admiral Shares 1,000 1,049 0.61
Institutional Shares 1,000 1,050 0.46
Total Stock Market Index Fund
Investor Shares $1,000 $1,049 $0.97
Admiral Shares 1,000 1,049 0.61
Institutional Shares 1,000 1,050 0.41
VIPER Shares 1,000 1,049 0.76
*The table does not include data for funds or share classes of funds with fewer than six months of history.
**Expenses are equal to the fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366.
The table on this page illustrates your fund’s costs in two ways:
* Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
17
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
Annualized Expense Ratios:
Your fund compared with its peer group
Fund Peer Group*
Growth Index Fund 1.61%
Investor Shares 0.22%
Admiral Shares 0.13
Institutional Shares 0.09
VIPER Shares 0.15
Value Index Fund 1.42%
Investor Shares 0.21%
Admiral Shares 0.12
Institutional Shares 0.09
VIPER Shares 0.15
Large-Cap Index Fund 1.44%
Investor Shares 0.20%
Admiral Shares 0.12
VIPER Shares 0.12
Total Stock Market Index Fund 1.44%
Investor Shares 0.19%
Admiral Shares 0.12
Institutional Shares 0.08
VIPER Shares 0.15
*Peer groups are: for the Growth Index Fund, the Average Large-Cap Growth Fund; for the Value Index Fund, the Average Large-Cap Value Fund; for the Large-Cap Index Fund, the Average Large-Cap Core Fund; and for the Total Stock Market Index Fund, the Average Multi-Cap Core Fund. Peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2003.
* Based on hypothetical 5% return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs or account maintenance fees. They do not include your fund’s low-balance fee, which is described in the prospectus. If this fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios for the past five years, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate fund prospectus.
18
As of 6/30/2004
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF NET ASSETS
The Statement of Net Assets—an integral part of the Financial Statements for Vanguard Total Stock Market Index Fund—is included as an insert to this report. The Growth Index, Value Index, and Large-Cap Index Funds’ Statements of Net Assets are provided below. This Statement provides a detailed list of each fund’s holdings, including each security’s market value on the last day of the reporting period. Securities are grouped and subtotaled by asset type (common stocks, bonds, etc.) and by industry sector. Other assets are added to, and liabilities are subtracted from, the value of Total Investments to calculate the fund’s Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund’s net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
Market
Value•
Growth Index Fund Shares (000)
COMMON STOCKS (100.0%)
Auto & Transportation (2.0%)
United Parcel Service, Inc. 1,034,448 $ 77,759
FedEx Corp. 516,569 42,199
Harley-Davidson, Inc. 536,641 33,240
Southwest Airlines Co. 1,294,919 21,716
Expeditors International of
Washington, Inc. 191,726 9,473
C.H. Robinson Worldwide, Inc. 140,134 6,424
Gentex Corp. 133,474 5,296
* JetBlue Airways Corp. 130,485 3,834
199,941
Consumer Discretionary (18.9%)
Wal-Mart Stores, Inc. 5,126,656 270,482
Home Depot, Inc. 4,146,415 145,954
* eBay Inc. 834,258 76,710
* Yahoo! Inc. 2,060,747 74,867
Gillette Co. 1,743,381 73,919
Lowe's Cos., Inc. 1,361,394 71,541
Target Corp. 1,577,957 67,016
Cendant Corp. 1,836,391 44,955
Liberty Media Corp. 4,437,628 39,894
Avon Products, Inc. 857,956 39,586
Clear Channel
Communications, Inc. 955,363 $ 35,301
Costco Wholesale Corp. 834,771 34,284
Starbucks Corp. 717,775 31,209
Amazon.com, Inc. 552,691 30,066
Electronic Arts Inc. 544,649 29,711
The Gap, Inc. 1,142,747 27,712
The McGraw-Hill Cos., Inc. 348,796 26,707
Staples, Inc. 910,160 26,677
Omnicom Group Inc. 347,259 26,353
InterActiveCorp 864,329 26,051
Best Buy Co., Inc. 503,011 25,523
International Game Technology 631,031 24,358
NIKE, Inc. Class B 314,088 23,792
Kohl's Corp. 558,116 23,597
Apollo Group, Inc. Class A 256,096 22,611
TJX Cos., Inc. 917,323 22,144
DirecTV Group, Inc. 1,260,967 21,563
Bed Bath & Beyond, Inc. 543,865 20,912
Accenture Ltd. 746,957 20,526
Yum! Brands, Inc. 530,543 19,747
Waste Management, Inc. 525,601 16,110
Coach, Inc. 340,201 15,374
19
Market
Value^
Growth Index Fund Shares (000)
* EchoStar Communications Corp.
Class A 448,681 $ 13,797
* Univision Communications Inc. 417,116 13,319
Hilton Hotels Corp. 660,377 12,323
Cintas Corp. 233,765 11,144
Estee Lauder Cos. Class A 225,906 11,020
Harrah's Entertainment, Inc. 202,843 10,974
Harman International
Industries, Inc. 113,883 10,363
Dollar General Corp. 521,216 10,195
* AutoZone Inc. 127,219 10,190
Tiffany & Co. 267,180 9,846
Washington Post Co. Class B 9,994 9,295
Black & Decker Corp. 142,987 8,884
Robert Half International, Inc. 297,542 8,858
Family Dollar Stores, Inc. 282,461 8,592
PETsMART, Inc. 260,652 8,458
* Career Education Corp. 182,439 8,312
* XM Satellite Radio Holdings, Inc. 303,505 8,283
Manpower Inc. 159,365 8,091
RadioShack Corp. 280,483 8,030
CDW Corp. 122,520 7,812
E.W. Scripps Co. Class A 74,053 7,776
New York Times Co. Class A 168,096 7,516
Ross Stores, Inc. 275,704 7,378
* ChoicePoint Inc. 159,222 7,270
* Mohawk Industries, Inc. 97,123 7,122
Mandalay Resort Group 100,462 6,896
Abercrombie & Fitch Co. 175,776 6,811
* Chico's FAS, Inc. 150,736 6,807
* Interpublic Group of Cos., Inc. 495,522 6,804
Michaels Stores, Inc. 123,568 6,796
Tribune Co. 147,361 6,711
Fastenal Co. 117,523 6,679
* Lamar Advertising Co. Class A 151,477 6,567
Alberto-Culver Co. Class B 128,458 6,441
* Sirius Satellite Radio, Inc. 2,019,630 6,220
* MGM Mirage, Inc. 130,027 6,103
* Williams-Sonoma, Inc. 182,031 6,000
* Brinker International, Inc. 174,586 5,957
Darden Restaurants Inc. 285,492 5,867
* VeriSign, Inc. 289,092 5,753
* Fisher Scientific
International Inc. 98,881 5,710
Aramark Corp. Class B 191,409 5,505
* Dollar Tree Stores, Inc. 199,502 5,472
* Iron Mountain, Inc. 109,349 5,277
GTECH Holdings Corp. 107,669 4,986
Outback Steakhouse 115,811 4,790
Circuit City Stores, Inc. 364,753 4,724
* Advance Auto Parts, Inc. 94,373 4,169
* CarMax, Inc. 189,207 $ 4,138
* Convergys Corp. 261,289 4,024
* Corinthian Colleges, Inc. 161,670 4,000
Meredith Corp. 69,621 3,826
* Rent-A-Center, Inc. 119,591 3,579
* The Cheesecake Factory 89,449 3,559
Maytag Corp. 143,243 3,511
* Westwood One, Inc. 143,582 3,417
* Pixar, Inc. 45,901 3,191
Polo Ralph Lauren Corp. 92,548 3,188
* Weight Watchers
International, Inc. 77,651 3,039
* Allied Waste Industries, Inc. 227,001 2,992
* Entercom Communications Corp. 74,602 2,783
International Speedway Corp. 51,593 2,509
Hasbro, Inc. 101,152 1,922
The McClatchy Co. Class A 23,585 1,654
* Radio One, Inc. Class D 99,052 1,586
* Hewitt Associates, Inc. 55,622 1,530
* Citadel Broadcasting Corp. 96,738 1,409
* Columbia Sportswear Co. 25,547 1,395
Metro-Goldwyn-Mayer Inc. 107,204 1,297
* Cox Radio, Inc. 72,495 1,260
* Radio One, Inc. 51,271 826
Regal Entertainment Group
Class A 31,312 567
* Liberty Media International Inc.
Class A 245 9
1,888,356
Consumer Staples (8.7%)
The Procter & Gamble Co. 4,475,070 243,623
PepsiCo, Inc. 3,116,811 167,934
The Coca-Cola Co. 2,607,058 131,604
Anheuser-Busch Cos., Inc. 1,477,431 79,781
Walgreen Co. 1,867,745 67,631
Colgate-Palmolive Co. 970,591 56,731
Sysco Corp. 1,174,892 42,143
Wm. Wrigley Jr. Co. 269,791 17,010
Hershey Foods Corp. 325,358 15,054
* Dean Foods Co. 286,056 10,673
Whole Foods Market, Inc. 111,044 10,599
The Clorox Co. 186,626 10,037
The Pepsi Bottling Group, Inc. 307,618 9,395
McCormick & Co., Inc. 222,562 7,567
Campbell Soup Co. 144,343 3,880
Brown-Forman Corp. Class B 45,753 2,208
875,870
Financial Services (10.6%)
American International
Group, Inc. 4,041,453 288,075
American Express Co. 2,115,980 108,719
20
Market
Value^
Shares (000)
First Data Corp. 1,637,586 $ 72,905
Fifth Third Bancorp 878,756 47,259
Automatic Data
Processing, Inc. 1,075,071 45,024
Fannie Mae 621,029 44,317
AFLAC Inc. 931,251 38,004
SLM Corp. 815,975 33,006
Progressive Corp. of Ohio 374,618 31,955
Capital One Financial Corp. 435,436 29,775
Paychex, Inc. 619,161 20,977
MBNA Corp. 774,360 19,971
Charles Schwab Corp. 1,862,639 17,900
Golden West Financial Corp. 153,175 16,290
Moody's Corp. 230,216 14,886
H & R Block, Inc. 308,601 14,714
Marsh & McLennan Cos., Inc. 317,888 14,426
* Fiserv, Inc. 354,684 13,794
* SunGard Data Systems, Inc. 527,110 13,705
Countrywide Financial Corp. 176,156 12,375
Synovus Financial Corp. 440,436 11,152
Legg Mason Inc. 114,894 10,457
The Chicago Mercantile
Exchange 60,116 8,679
Commerce Bancorp, Inc. 134,060 7,375
* The Dun & Bradstreet Corp. 130,568 7,039
Franklin Resources Corp. 135,912 6,806
T. Rowe Price Group Inc. 134,101 6,759
XL Capital Ltd. Class A 88,026 6,642
Equifax, Inc. 251,512 6,225
* DST Systems, Inc. 121,151 5,826
Doral Financial Corp. 167,236 5,770
Investors Financial
Services Corp. 120,139 5,236
Ambac Financial Group, Inc. 68,863 5,057
Arthur J. Gallagher & Co. 164,277 5,002
* Ameritrade Holding Corp. 422,506 4,795
Brown & Brown, Inc. 106,416 4,587
Federated Investors, Inc. 148,636 4,510
* Markel Corp. 16,158 4,484
Fair, Isaac, Inc. 127,796 4,266
* CheckFree Corp. 139,498 4,185
SEI Corp. 143,570 4,169
Hudson City Bancorp, Inc. 120,892 4,043
Eaton Vance Corp. 105,373 4,026
Dow Jones & Co., Inc. 89,029 4,015
* Host Marriott Corp. REIT 300,431 3,713
White Mountains
Insurance Group Inc. 6,569 3,350
Everest Re Group, Ltd. 35,670 2,866
* WellChoice Inc. 60,757 2,515
RenaissanceRe Holdings Ltd. 40,437 2,182
BlackRock, Inc. 33,338 $ 2,128
W.R. Berkley Corp. 48,160 2,068
* CapitalSource Inc. 75,860 1,855
Total System Services, Inc. 71,884 1,574
Transatlantic Holdings, Inc. 19,079 1,545
Student Loan Corp. 7,309 998
Nuveen Investments, Inc.
Class A 30,591 820
1,064,796
Health Care (21.8%)
Pfizer Inc. 13,896,365 476,367
Johnson & Johnson 5,408,748 301,267
Eli Lilly & Co. 1,848,826 129,251
* Amgen, Inc. 2,332,868 127,305
Medtronic, Inc. 2,209,118 107,628
UnitedHealth Group Inc. 1,140,462 70,994
Cardinal Health, Inc. 792,700 55,529
Abbott Laboratories 1,353,281 55,160
* Boston Scientific Corp. 1,138,674 48,735
* Genentech, Inc. 864,371 48,578
* Zimmer Holdings, Inc. 442,687 39,045
* Biogen Idec Inc. 605,026 38,268
* Forest Laboratories, Inc. 670,339 37,961
HCA Inc. 810,026 33,689
Schering-Plough Corp. 1,740,663 32,167
Guidant Corp. 567,693 31,723
* WellPoint Health
Networks Inc. Class A 282,678 31,663
* Gilead Sciences, Inc. 389,586 26,102
Stryker Corp. 473,567 26,046
* Caremark Rx, Inc. 775,754 25,553
* St. Jude Medical, Inc. 318,994 24,132
Becton, Dickinson & Co. 461,267 23,894
* Anthem, Inc. 251,812 22,552
Allergan, Inc. 239,117 21,406
Biomet, Inc. 442,933 19,684
* Genzyme Corp.-General Division 411,895 19,495
* Medco Health Solutions, Inc. 493,813 18,518
Quest Diagnostics, Inc. 151,017 12,829
McKesson Corp. 327,497 11,243
* Laboratory Corp. of
America Holdings 271,997 10,798
C.R. Bard, Inc. 189,298 10,724
* MedImmune Inc. 452,341 10,585
IMS Health, Inc. 427,744 10,026
Health Management
Associates Class A 442,389 9,918
* Varian Medical Systems, Inc. 124,887 9,910
Mylan Laboratories, Inc. 488,721 9,897
* ImClone Systems, Inc. 109,947 9,432
* Chiron Corp. 205,020 9,152
21
Market
Value^
Growth Index Fund Shares (000)
* Express Scripts Inc. 113,037 $ 8,956
* Celgene Corp. 148,516 8,504
Aetna Inc. 97,728 8,307
* Sepracor Inc. 155,294 8,215
Oxford Health Plans, Inc. 148,235 8,159
Omnicare, Inc. 188,184 8,056
* Hospira, Inc. 270,633 7,469
* Patterson Dental Co. 93,485 7,151
Beckman Coulter, Inc. 113,563 6,927
DENTSPLY International Inc. 131,542 6,853
* Coventry Health Care Inc. 137,347 6,716
* Invitrogen Corp. 90,072 6,484
* IVAX Corp. 269,567 6,467
Bausch & Lomb, Inc. 95,836 6,236
* Lincare Holdings, Inc. 180,519 5,932
* Cephalon, Inc. 101,869 5,501
Manor Care, Inc. 162,973 5,326
* Barr Pharmaceuticals Inc. 156,293 5,267
* Apogent Technologies Inc. 161,477 5,167
* Watson Pharmaceuticals, Inc. 188,295 5,065
* Millipore Corp. 89,602 5,051
* WebMD Corp. 536,102 4,996
* Henry Schein, Inc. 75,601 4,773
Universal Health Services
Class B 99,242 4,554
AmerisourceBergen Corp. 71,452 4,271
* Community Health Systems, Inc. 144,147 3,859
* Millennium Pharmaceuticals, Inc. 263,304 3,634
* Kinetic Concepts, Inc. 72,816 3,634
* Health Net Inc. 133,639 3,541
* King Pharmaceuticals, Inc. 219,912 2,518
* Triad Hospitals, Inc. 48,449 1,804
* ICOS Corp. 54,514 1,627
2,188,246
Integrated Oils
Murphy Oil Corp. 52,693 3,883
Other Energy (2.7%)
Schlumberger Ltd. 1,072,793 68,133
Halliburton Co. 801,480 24,253
Baker Hughes, Inc. 606,180 22,823
* Transocean Inc. 584,660 16,920
* BJ Services Co. 291,418 13,359
XTO Energy, Inc. 442,795 13,191
* Nabors Industries, Inc. 269,734 12,197
* Weatherford International Ltd. 240,488 10,817
* Smith International, Inc. 189,471 10,565
* Noble Corp. 244,617 9,269
ENSCO International, Inc. 275,238 8,009
Pioneer Natural Resources Co. 217,433 7,628
Equitable Resources, Inc. 112,285 5,806
Pogo Producing Co. 110,311 $ 5,449
Noble Energy, Inc. 98,340 5,015
* Cooper Cameron Corp. 98,350 4,790
Patterson-UTI Energy, Inc. 142,650 4,766
* Rowan Cos., Inc. 192,816 4,691
* National-Oilwell, Inc. 148,004 4,661
EOG Resources, Inc. 74,133 4,426
Sunoco, Inc. 68,839 4,380
* Pride International, Inc. 210,299 3,598
Diamond Offshore Drilling, Inc. 117,949 2,811
267,557
Materials & Processing (1.3%)
Newmont Mining Corp.
(Holding Co.) 789,848 30,615
* American Standard Cos., Inc. 337,573 13,608
Ecolab, Inc. 351,613 11,146
Freeport-McMoRan
Copper & Gold, Inc. Class B 322,592 10,694
* Sealed Air Corp. 155,907 8,305
Sigma-Aldrich Corp. 119,803 7,141
Ball Corp. 97,836 7,049
* Pactiv Corp. 280,442 6,994
* Phelps Dodge Corp. 84,557 6,554
Avery Dennison Corp. 85,527 5,475
Smurfit-Stone Container Corp. 229,276 4,574
* Energizer Holdings, Inc. 86,752 3,904
The St. Joe Co. 96,788 3,842
* Jacobs Engineering Group Inc. 96,887 3,815
Fluor Corp. 53,035 2,528
126,244
Producer Durables (3.3%)
* Applied Materials, Inc. 3,064,316 60,122
Illinois Tool Works, Inc. 507,601 48,674
The Boeing Co. 459,987 23,501
Danaher Corp. 448,782 23,269
* Lexmark International, Inc. 236,004 22,781
* KLA-Tencor Corp. 357,743 17,665
* Agilent Technologies, Inc. 507,644 14,864
Rockwell Collins, Inc. 325,366 10,841
* Xerox Corp. 726,877 10,540
* Waters Corp. 217,433 10,389
* Novellus Systems, Inc. 279,451 8,786
* Teradyne, Inc. 353,579 8,026
Lennar Corp. Class A 145,592 6,511
* LAM Research Corp. 242,854 6,508
Dover Corp. 129,674 5,459
D. R. Horton, Inc. 190,941 5,423
Tektronix, Inc. 154,439 5,254
Centex Corp. 113,224 5,180
Molex, Inc. 159,338 5,112
* NVR, Inc. 9,743 4,718
22
Market
Value^
Shares (000)
Diebold, Inc. 86,427 $ 4,569
* Alliant Techsystems, Inc. 70,584 4,471
Garmin Ltd. 108,378 4,014
American Power
Conversion Corp. 154,997 3,046
Pall Corp. 114,692 3,004
Molex, Inc. Class A 106,041 2,893
KB HOME 25,219 1,731
327,351
Technology (26.4%)
Microsoft Corp. 17,705,046 505,656
Intel Corp. 11,816,800 326,144
* Cisco Systems, Inc. 12,525,320 296,850
International Business
Machines Corp. 3,097,078 273,007
* Dell Inc. 4,199,649 150,431
QUALCOMM Inc. 1,467,264 107,081
* Oracle Corp. 7,145,249 85,243
Texas Instruments, Inc. 3,157,152 76,340
Motorola, Inc. 2,774,366 50,632
* EMC Corp. 4,400,717 50,168
* Corning, Inc. 2,456,368 32,080
Analog Devices, Inc. 677,671 31,905
Maxim Integrated
Products, Inc. 597,853 31,339
* Lucent Technologies, Inc. 7,642,510 28,889
* Symantec Corp. 567,292 24,836
Linear Technology Corp. 569,173 22,465
* Veritas Software Corp. 779,321 21,587
* Broadcom Corp. 452,654 21,171
Xilinx, Inc. 628,410 20,932
Adobe Systems, Inc. 434,896 20,223
* Juniper Networks, Inc. 813,831 19,996
* Sun Microsystems, Inc. 3,893,626 16,898
Computer Associates
International, Inc. 551,550 15,476
* Flextronics International Ltd. 964,475 15,383
* Micron Technology, Inc. 999,454 15,302
* Altera Corp. 684,859 15,218
* National Semiconductor Corp. 648,938 14,270
* Intuit, Inc. 340,866 13,151
* Network Appliance, Inc. 601,718 12,955
L-3 Communications
Holdings, Inc. 182,404 12,185
* Avaya Inc. 759,396 11,991
Microchip Technology, Inc. 379,287 11,963
* Affiliated Computer
Services, Inc. Class A 222,574 11,783
* PeopleSoft, Inc. 596,896 11,043
* Apple Computer, Inc. 335,063 10,903
* Advanced Micro Devices, Inc. 641,132 10,194
* Solectron Corp. 1,560,370 $ 10,096
* Siebel Systems, Inc. 863,114 9,218
* Marvell Technology Group Ltd. 331,869 8,861
Autodesk, Inc. 205,534 8,799
* NCR Corp. 173,605 8,609
* Sanmina-SCI Corp. 943,277 8,584
* Mercury Interactive Corp. 166,875 8,315
Rockwell Automation, Inc. 221,501 8,309
Applera Corp.-
Applied Biosystems Group 376,247 8,183
* Synopsys, Inc. 282,042 8,018
* Jabil Circuit, Inc. 291,745 7,346
* Comverse Technology, Inc. 351,572 7,010
* Zebra Technologies Corp.
Class A 77,880 6,776
* SanDisk Corp. 293,824 6,373
Scientific-Atlanta, Inc. 180,760 6,236
* Red Hat, Inc. 271,398 6,234
Symbol Technologies, Inc. 421,638 6,215
* Citrix Systems, Inc. 304,440 6,198
* JDS Uniphase Corp. 1,627,958 6,170
* Ceridian Corp. 272,488 6,131
* Novell, Inc. 699,863 5,872
* BEA Systems, Inc. 702,767 5,777
* NVIDIA Corp. 280,937 5,759
* UTStarcom, Inc. 181,498 5,490
* Network Associates, Inc. 297,681 5,397
* LSI Logic Corp. 696,395 5,307
Intersil Corp. 242,381 5,250
* Agere Systems Inc. Class A 2,162,269 4,973
* Amphenol Corp. 145,256 4,840
* PMC Sierra Inc. 321,741 4,617
* Qlogic Corp. 172,845 4,596
* ADC Telecommunications, Inc. 1,469,810 4,174
* BMC Software, Inc. 205,268 3,797
* Cadence Design Systems, Inc. 239,874 3,509
* Conexant Systems, Inc. 753,395 3,262
* Tellabs, Inc. 359,729 3,144
National Instruments Corp. 99,536 3,051
* Fairchild Semiconductor
International, Inc. 184,647 3,023
* Storage Technology Corp. 102,568 2,974
* Unisys Corp. 212,524 2,950
* Foundry Networks, Inc. 208,467 2,933
* Compuware Corp. 350,507 2,313
* Agere Systems Inc. Class B 954,218 2,052
* 3Com Corp. 244,254 1,527
* CIENA Corp. 310,054 1,153
AVX Corp. 54,867 793
2,645,904
23
Market
Value^
Growth Index Fund Shares (000)
Utilities (3.1%)
* AT&T Wireless Services Inc. 4,204,945 $ 60,215
* Comcast Corp. Special Class A 2,121,544 58,576
* Comcast Corp. Class A 1,840,549 51,591
* Nextel Communications, Inc. 1,855,856 49,477
Sprint Corp. 2,466,892 43,417
* AES Corp. 1,088,528 10,809
* Cox Communications, Inc.
Class A 378,216 10,511
* Cablevision Systems NY Group
Class A 400,025 7,860
* Qwest Communications
International Inc. 1,372,942 4,929
* UnitedGlobalCom Inc. Class A 671,523 4,875
* NTL Inc. 70,530 4,064
* Citizens Communications Co. 321,937 3,895
* Level 3 Communications, Inc. 803,396 2,852
313,071
Other (1.2%)
3M Co. 678,270 61,051
* Berkshire Hathaway Inc. Class B 14,156 41,831
ITT Industries, Inc. 151,368 12,564
115,446
TOTAL COMMON STOCKS
(Cost $7,702,553) 10,016,665
Face
Amount
(000)
TEMPORARY CASH INVESTMENTS (0.3%)
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.47%, 7/1/2004 $ 5,273 5,273
1.46%, 7/1/2004--Note E 24,212 24,212
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $29,485) 29,485
TOTAL INVESTMENTS (100.3%)
(Cost $7,732,038) 10,046,150
OTHER ASSETS AND LIABILITIES (-0.3%)
Other Assets--Note B 25,255
Liabilities--Note E (52,017)
(26,762)
NET ASSETS (100%) $10,019,388
^See Note A in Notes to Financial Statements.
*Non-income-producing security.
REIT--Real Estate Investment Trust.
Amount
(000)
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
Paid-in Capital $11,347,253
Overdistributed Net Investment Income (12,558)
Accumulated Net Realized Losses (3,629,419)
Unrealized Appreciation 2,314,112
NET ASSETS $10,019,388
Investor Shares--Net Assets
Applicable to 304,786,779 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $7,801,807
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $25.60
Admiral Shares--Net Assets
Applicable to 45,489,208 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,164,460
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $25.60
Institutional Shares--Net Assets
Applicable to 37,439,506 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $958,455
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $25.60
VIPER Shares--Net Assets
Applicable to 1,902,804 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $94,666
NET ASSET VALUE PER SHARE--
VIPER SHARES $49.75
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
24
Market
Value^
Value Index Fund Shares (000)
COMMON STOCKS (100.0%)
Auto & Transportation (2.3%)
Ford Motor Co. 1,494,016 $ 23,381
General Motors Corp. 405,380 18,887
Union Pacific Corp. 208,738 12,409
Burlington Northern
Santa Fe Corp. 315,923 11,079
Norfolk Southern Corp. 331,419 8,789
PACCAR, Inc. 141,063 8,180
CSX Corp. 182,597 5,984
Genuine Parts Co. 147,940 5,870
Delphi Corp. 427,439 4,565
Lear Corp. 57,995 3,421
Dana Corp. 126,063 2,471
* TRW Automotive Holdings Corp. 25,127 474
105,510
Consumer Discretionary (9.2%)
* Time Warner, Inc. 3,718,254 65,367
Viacom Inc. Class B 1,302,488 46,525
The Walt Disney Co. 1,735,689 44,243
Kimberly-Clark Corp. 425,673 28,043
McDonald's Corp. 1,070,706 27,838
Gannett Co., Inc. 231,589 19,650
Carnival Corp. 321,537 15,112
J.C. Penney Co., Inc.
(Holding Co.) 231,697 8,749
Marriott International, Inc.
Class A 166,115 8,286
Starwood Hotels & Resorts
Worldwide, Inc. 173,209 7,768
Federated Department
Stores, Inc. 153,310 7,528
Waste Management, Inc. 244,662 7,499
Limited Brands, Inc. 355,829 6,654
Mattel, Inc. 363,188 6,628
Eastman Kodak Co. 243,046 6,557
Sears, Roebuck & Co. 170,201 6,427
May Department Stores Co. 232,573 6,393
Tribune Co. 127,550 5,809
R.R. Donnelley & Sons Co. 174,326 5,756
Newell Rubbermaid, Inc. 233,318 5,483
Knight Ridder 67,210 4,839
* Office Depot, Inc. 263,263 4,715
* Fox Entertainment Group, Inc.
Class A 162,754 4,346
Jones Apparel Group, Inc. 107,138 4,230
Leggett & Platt, Inc. 154,543 4,128
Whirlpool Corp. 58,184 3,991
* Liberty Media
International INC-A 103,418 3,837
Republic Services, Inc. Class A 132,089 3,823
Nordstrom, Inc. 87,359 $ 3,722
VF Corp. 73,522 3,581
* Caesars Entertainment, Inc. 233,316 3,500
Liz Claiborne, Inc. 93,909 3,379
Sabre Holdings Corp. 118,764 3,291
Wendy's International, Inc. 92,116 3,209
The Stanley Works 69,073 3,148
ServiceMaster Co. 249,442 3,073
Foot Locker, Inc. 121,522 2,958
* Toys R Us, Inc. 181,184 2,886
* AutoNation, Inc. 159,657 2,730
International Flavors &
Fragrances, Inc. 67,763 2,534
* Kmart Holding Corp. 34,244 2,459
Belo Corp. Class A 84,313 2,264
Viad Corp. 75,279 2,033
* Tech Data Corp. 48,379 1,893
New York Times Co. Class A 42,065 1,881
* Interpublic Group of Cos., Inc. 123,809 1,700
Hasbro, Inc. 87,350 1,660
Reebok International Ltd. 40,606 1,461
* VeriSign, Inc. 72,272 1,438
Saks Inc. 92,878 1,393
* Allied Waste Industries, Inc. 56,747 748
Hearst-Argyle Television Inc. 21,983 567
Blockbuster Inc. Class A 31,416 477
The McClatchy Co. Class A 5,858 411
Regal Entertainment Group
Class A 14,820 268
428,888
Consumer Staples (5.9%)
Altria Group, Inc. 1,737,128 86,943
The Coca-Cola Co. 653,678 32,998
Sara Lee Corp. 671,417 15,436
CVS Corp. 336,405 14,136
ConAgra Foods, Inc. 455,638 12,339
General Mills, Inc. 254,494 12,096
H.J. Heinz Co. 298,792 11,713
* The Kroger Co. 600,603 10,931
* Safeway, Inc. 377,527 9,567
Kellogg Co. 210,089 8,792
Kraft Foods Inc. 230,651 7,307
Albertson's, Inc. 264,449 7,018
Coca-Cola Enterprises, Inc. 214,211 6,210
UST, Inc. 140,405 5,055
R.J. Reynolds Tobacco
Holdings, Inc. 72,297 4,887
Tyson Foods, Inc. 191,480 4,012
SuperValu Inc. 113,957 3,488
Campbell Soup Co. 124,593 3,349
* Constellation Brands, Inc.
Class A 79,529 2,953
25
Market
Value^
Value Index Fund Shares (000)
The Clorox Co. 46,760 $ 2,515
* Smithfield Foods, Inc. 75,181 2,210
J.M. Smucker Co. 46,832 2,150
Hormel Foods Corp. 64,748 2,014
* Del Monte Foods Co. 169,192 1,719
Adolph Coors Co. Class B 21,256 1,538
PepsiAmericas, Inc. 57,459 1,220
Carolina Group 49,061 1,204
Brown-Forman Corp. Class B 11,378 549
274,349
Financial Services (33.6%)
Citigroup, Inc. 4,376,052 203,486
Bank of America Corp. 1,733,727 146,708
Wells Fargo & Co. 1,440,976 82,467
J.P. Morgan Chase & Co. 1,733,390 67,204
Wachovia Corp. 1,113,373 49,545
Bank One Corp. 950,482 48,475
U.S. Bancorp 1,635,589 45,077
Morgan Stanley 828,467 43,718
Merrill Lynch & Co., Inc. 782,283 42,228
Fannie Mae 537,033 38,323
Freddie Mac 583,300 36,923
Washington Mutual, Inc. 747,617 28,888
Allstate Corp. 568,198 26,450
The Goldman Sachs Group, Inc. 266,585 25,102
Metropolitan Life Insurance Co. 641,392 22,994
St. Paul Travelers Cos., Inc. 537,114 21,775
Prudential Financial, Inc. 452,235 21,015
The Bank of New York Co., Inc. 657,933 19,396
National City Corp. 534,819 18,724
MBNA Corp. 669,520 17,267
BB&T Corp. 465,374 17,205
The Hartford Financial
Services Group Inc. 247,286 16,998
Lehman Brothers Holdings, Inc. 192,438 14,481
SunTrust Banks, Inc. 215,325 13,994
State Street Corp. 283,902 13,923
PNC Financial Services Group 240,092 12,744
Marsh & McLennan Cos., Inc. 274,884 12,474
The Chubb Corp. 160,164 10,920
SouthTrust Corp. 280,287 10,878
Countrywide Financial Corp. 152,368 10,704
Mellon Financial Corp. 362,438 10,630
ACE Ltd. 238,659 10,091
KeyCorp 335,763 10,036
The Principal Financial
Group, Inc. 272,280 9,470
Equity Office Properties
Trust REIT 340,632 9,265
Charter One Financial, Inc. 189,245 8,363
Simon Property Group, Inc. REIT 162,040 8,332
CIGNA Corp. 119,700 $ 8,237
Comerica, Inc. 148,553 8,153
AmSouth Bancorp 299,243 7,622
Lincoln National Corp. 151,608 7,163
Bear Stearns Co., Inc. 83,685 7,055
Equity Residential REIT 236,258 7,024
MBIA, Inc. 122,584 7,002
CIT Group Inc. 179,706 6,881
Regions Financial Corp. 178,856 6,537
Aon Corp. 226,925 6,461
MGIC Investment Corp. 83,841 6,360
Northern Trust Corp. 149,460 6,319
Marshall & Ilsley Corp. 160,251 6,264
Loews Corp. 102,225 6,129
Jefferson-Pilot Corp. 119,638 6,078
Sovereign Bancorp, Inc. 260,112 5,748
XL Capital Ltd. Class A 76,160 5,747
National Commerce
Financial Corp. 165,504 5,379
M & T Bank Corp. 61,165 5,340
Cincinnati Financial Corp. 121,495 5,287
North Fork Bancorp, Inc. 137,935 5,248
General Growth
Properties Inc. REIT 175,674 5,195
Torchmark Corp. 95,304 5,127
Plum Creek Timber Co. Inc. REIT 155,604 5,070
ProLogis REIT 153,472 5,052
SAFECO Corp. 112,231 4,938
Vornado Realty Trust REIT 86,061 4,915
Archstone-Smith Trust REIT 164,920 4,837
Union Planters Corp. 160,480 4,784
Fidelity National Financial, Inc. 126,191 4,712
Banknorth Group, Inc. 144,962 4,708
Popular, Inc. 107,261 4,588
First Horizon National Corp. 99,946 4,545
Compass Bancshares Inc. 103,478 4,450
Zions Bancorp 72,395 4,449
Ambac Financial Group, Inc. 59,592 4,376
Boston Properties, Inc. REIT 84,841 4,249
Huntington Bancshares Inc. 184,426 4,223
Rouse Co. REIT 86,813 4,124
Golden West Financial Corp. 38,385 4,082
New York Community
Bancorp, Inc. 206,027 4,044
Kimco Realty Corp. REIT 84,540 3,847
Radian Group, Inc. 79,997 3,832
UnumProvident Corp. 238,610 3,794
Duke Realty Corp. REIT 117,020 3,722
* Providian Financial Corp. 246,194 3,612
Green Point Financial Corp. 89,408 3,549
The PMI Group Inc. 81,007 3,525
26
Market
Value^
Shares (000)
Old Republic International Corp. 146,074 $ 3,465
Avalonbay Communities, Inc.
REIT 60,089 3,396
* E*TRADE Financial Corp. 296,714 3,308
Public Storage, Inc. REIT 70,424 3,240
Mercantile Bankshares Corp. 67,816 3,175
Franklin Resources Corp. 63,249 3,168
TCF Financial Corp. 53,828 3,125
iStar Financial Inc. REIT 77,465 3,099
Hibernia Corp. Class A 125,166 3,042
Liberty Property Trust REIT 70,887 2,850
UnionBanCal Corp. 50,328 2,838
* Genworth Financial Inc. 122,951 2,822
Health Care Properties
Investors REIT 111,453 2,679
Janus Capital Group Inc. 162,438 2,679
Allied Capital Corp. 109,139 2,665
Associated Banc-Corp. 88,815 2,632
PartnerRe Ltd. 45,579 2,586
Everest Re Group, Ltd. 30,892 2,482
Apartment Investment &
Management Co.
Class A REIT 79,308 2,469
AMB Property Corp. REIT 69,229 2,397
A.G. Edwards & Sons, Inc. 67,928 2,312
City National Corp. 35,180 2,311
Hospitality Properties
Trust REIT 54,181 2,292
Commerce Bancshares, Inc. 48,997 2,251
Astoria Financial Corp. 60,050 2,197
Independence Community
Bank Corp. 60,104 2,188
Protective Life Corp. 55,751 2,156
Weingarten Realty
Investors REIT 68,902 2,155
Friedman, Billings, Ramsey
Group, Inc. REIT 108,189 2,141
Fulton Financial Corp. 104,295 2,102
Bank of Hawaii Corp. 46,308 2,094
Leucadia National Corp. 42,024 2,089
Axis Capital Holdings Ltd. 72,127 2,020
Valley National Bancorp 79,572 2,012
New Plan Excel Realty Trust
REIT 84,273 1,969
Assurant, Inc. 73,869 1,949
Wilmington Trust Corp. 50,661 1,886
RenaissanceRe Holdings Ltd. 34,893 1,882
Deluxe Corp. 42,511 1,849
Nationwide Financial
Services, Inc. 47,778 1,797
W.R. Berkley Corp. 41,468 1,781
* Host Marriott Corp. REIT 139,852 $ 1,729
Unitrin, Inc. 40,302 1,717
T. Rowe Price Group Inc. 33,729 1,700
White Mountains
Insurance Group Inc. 3,046 1,553
Regency Centers Corp. REIT 35,878 1,539
Mercury General Corp. 23,166 1,150
Erie Indemnity Co. Class A 24,539 1,148
Montpelier Re Holdings Ltd. 29,661 1,037
Transatlantic Holdings, Inc. 8,999 729
* BOK Financial Corp. 17,586 691
Capitol Federal Financial 18,699 559
Provident Financial Group, Inc. 5,200 205
1,575,963
Health Care (5.3%)
Merck & Co., Inc. 1,887,575 89,660
Wyeth 1,131,243 40,906
Bristol-Myers Squibb Co. 1,647,198 40,356
Abbott Laboratories 630,221 25,688
Baxter International, Inc. 519,631 17,932
Schering-Plough Corp. 436,656 8,069
Aetna Inc. 84,637 7,194
* Tenet Healthcare Corp. 395,060 5,298
AmerisourceBergen Corp. 61,759 3,692
McKesson Corp. 82,042 2,817
* Humana Inc. 130,710 2,209
* Millennium Pharmaceuticals, Inc. 122,291 1,688
* Triad Hospitals, Inc. 41,886 1,559
* King Pharmaceuticals, Inc. 102,135 1,169
* Health Net Inc. 33,415 885
* ICOS Corp. 25,367 757
249,879
Integrated Oils (8.9%)
ExxonMobil Corp. 5,564,627 247,125
ChevronTexaco Corp. 907,845 85,437
ConocoPhillips Co. 551,581 42,080
Occidental Petroleum Corp. 331,852 16,064
Marathon Oil Corp. 289,224 10,944
Unocal Corp. 222,339 8,449
Amerada Hess Corp. 68,567 5,430
Murphy Oil Corp. 45,593 3,360
418,889
Other Energy (1.8%)
Devon Energy Corp. 191,861 12,663
Anadarko Petroleum Corp. 213,601 12,517
Burlington Resources, Inc. 335,839 12,151
Apache Corp. 275,873 12,014
Valero Energy Corp. 107,794 7,951
Kerr-McGee Corp. 114,048 6,132
Williams Cos., Inc. 441,028 5,248
GlobalSantaFe Corp. 169,019 4,479
27
Market
Value^
Value Index Fund Shares (000)
El Paso Corp. 530,458 $ 4,180
EOG Resources, Inc. 64,087 3,827
Sunoco, Inc. 32,032 2,038
83,200
Materials & Processing (5.4%)
E.I. du Pont de Nemours & Co. 848,441 37,688
Dow Chemical Co. 790,850 32,188
Alcoa Inc. 738,524 24,393
International Paper Co. 391,614 17,505
Weyerhaeuser Co. 200,968 12,685
Masco Corp. 383,984 11,973
Praxair, Inc. 275,989 11,015
Air Products & Chemicals, Inc. 192,932 10,119
PPG Industries, Inc. 145,562 9,096
Monsanto Co. 225,420 8,679
Archer-Daniels-Midland Co. 467,101 7,838
Georgia Pacific Group 193,606 7,160
Nucor Corp. 66,965 5,140
Rohm & Haas Co. 123,378 5,130
MeadWestvaco Corp. 170,488 5,011
Sherwin-Williams Co. 103,203 4,288
Vulcan Materials Co. 82,235 3,910
Engelhard Corp. 105,662 3,414
United States Steel Corp. 96,003 3,372
* Phelps Dodge Corp. 39,465 3,059
Eastman Chemical Co. 65,701 3,036
Temple-Inland Inc. 41,758 2,892
Ashland, Inc. 53,089 2,804
Avery Dennison Corp. 39,791 2,547
Bemis Co., Inc. 86,092 2,432
Fluor Corp. 45,746 2,181
Smurfit-Stone Container Corp. 106,467 2,124
Valspar Corp. 41,277 2,080
Lyondell Chemical Co. 119,172 2,072
Sonoco Products Co. 78,753 2,008
Bowater Inc. 47,149 1,961
* Owens-Illinois, Inc. 94,309 1,581
Packaging Corp. of America 53,924 1,289
Lafarge North America Inc. 26,556 1,150
* Energizer Holdings, Inc. 21,689 976
* International Steel Group, Inc. 16,511 491
255,287
Producer Durables (4.8%)
United Technologies Corp. 437,609 40,032
Caterpillar, Inc. 289,772 23,019
Emerson Electric Co. 357,922 22,746
The Boeing Co. 397,769 20,322
Lockheed Martin Corp. 322,691 16,806
Northrop Grumman Corp. 276,504 14,848
Deere & Co. 207,355 14,544
Ingersoll-Rand Co. 148,921 $ 10,173
Pitney Bowes, Inc. 197,435 8,736
Parker Hannifin Corp. 101,152 6,014
* Xerox Corp. 338,116 4,903
Dover Corp. 111,949 4,713
Pulte Homes, Inc. 90,485 4,708
Cooper Industries, Inc. Class A 79,050 4,696
* Thermo Electron Corp. 140,362 4,315
W.W. Grainger, Inc. 65,502 3,766
* Agilent Technologies, Inc. 127,154 3,723
Goodrich Corp. 94,782 3,064
D. R. Horton, Inc. 88,933 2,526
Centex Corp. 52,806 2,416
Hubbell Inc. Class B 43,159 2,016
Lennar Corp. Class A 36,447 1,630
KB HOME 21,945 1,506
American Power
Conversion Corp. 72,105 1,417
Pall Corp. 53,574 1,403
Diebold, Inc. 21,682 1,146
225,188
Technology (3.1%)
Hewlett-Packard Co. 2,457,898 51,862
General Dynamics Corp. 143,482 14,248
Motorola, Inc. 695,632 12,695
Raytheon Co. 354,913 12,695
Electronic Data Systems Corp. 431,510 8,263
* Computer Sciences Corp. 159,121 7,388
* Apple Computer, Inc. 155,841 5,071
* Sun Microsystems, Inc. 975,168 4,232
Computer Associates
International, Inc. 138,139 3,876
Harris Corp. 56,672 2,876
* Unisys Corp. 183,280 2,544
* Vishay Intertechnology, Inc. 123,553 2,296
Seagate Technology 153,249 2,211
Rockwell Automation, Inc. 55,576 2,085
* BMC Software, Inc. 95,614 1,769
* Cadence Design Systems, Inc. 111,413 1,630
Scientific-Atlanta, Inc. 45,192 1,559
* JDS Uniphase Corp. 407,086 1,543
* Tellabs, Inc. 166,995 1,460
* Ingram Micro, Inc. Class A 97,152 1,406
* Storage Technology Corp. 47,765 1,385
* 3Com Corp. 210,565 1,316
* Compuware Corp. 162,727 1,074
* CIENA Corp. 269,907 1,004
AVX Corp. 25,800 373
146,861
28
Market
Value^
Shares (000)
Utilities (10.3%)
Verizon Communications Inc. 2,350,075 $ 85,049
SBC Communications Inc. 2,807,362 68,079
BellSouth Corp. 1,554,281 40,753
Exelon Corp. 558,830 18,603
Southern Co. 624,228 18,196
Dominion Resources, Inc. 276,375 17,434
Duke Energy Corp. 774,674 15,718
ALLTEL Corp. 251,117 12,712
Entergy Corp. 196,095 10,983
American Electric
Power Co., Inc. 335,725 10,743
TXU Corp. 261,245 10,583
FirstEnergy Corp. 279,906 10,471
* PG&E Corp. 355,584 9,935
AT&T Corp. 673,394 9,852
FPL Group, Inc. 148,529 9,498
Progress Energy, Inc. 198,178 8,730
Consolidated Edison Inc. 204,528 8,132
Public Service Enterprise
Group, Inc. 200,515 8,027
Ameren Corp. 162,889 6,997
PPL Corp. 150,810 6,922
Edison International 248,733 6,360
Sempra Energy 173,452 5,972
DTE Energy Co. 143,273 5,808
Xcel Energy, Inc. 337,913 5,647
Constellation Energy Group, Inc. 145,969 5,532
Cinergy Corp. 143,769 5,463
Kinder Morgan, Inc. 84,026 4,982
KeySpan Corp. 135,676 4,979
NiSource, Inc. 222,639 4,591
CenturyTel, Inc. 114,595 3,442
Wisconsin Energy Corp. 100,448 3,276
SCANA Corp. 89,249 3,246
Pinnacle West Capital Corp. 77,438 3,128
Telephone & Data Systems, Inc. 42,965 3,059
Energy East Corp. 124,284 3,014
Questar Corp. 70,988 2,743
CenterPoint Energy Inc. 234,299 2,694
Pepco Holdings, Inc. 145,567 2,661
* Qwest Communications
International Inc. 637,681 2,288
NSTAR 45,107 2,160
MDU Resources Group, Inc. 89,167 2,143
Northeast Utilities 108,523 2,113
DPL Inc. 107,302 2,084
TECO Energy, Inc. 159,274 1,910
* NTL Inc. 32,788 1,889
Puget Energy, Inc. 84,227 1,845
* Citizens Communications Co. 80,461 $ 974
* U.S. Cellular Corp. 13,394 516
481,936
Other (9.4%)
General Electric Co. 8,946,868 289,879
Tyco International Ltd. 1,696,400 56,219
3M Co. 315,867 28,431
Honeywell International Inc. 692,319 25,360
Fortune Brands, Inc. 124,069 9,359
Johnson Controls, Inc. 153,348 8,186
Eaton Corp. 122,481 7,929
Textron, Inc. 105,017 6,233
Brunswick Corp. 75,449 3,078
SPX Corp. 63,269 2,938
Hillenbrand Industries, Inc. 47,350 2,862
Allete, Inc. 66,993 2,231
442,705
TOTAL COMMON STOCKS
(Cost $4,116,184) 4,688,655
Face
Amount
(000)
TEMPORARY CASH INVESTMENT (0.1%)
Repurchase Agreement
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.46%, 7/1/2004--Note E
(Cost $5,612) $5,612 5,612
TOTAL INVESTMENTS (100.1%)
(Cost $4,121,796) 4,694,267
OTHER ASSETS AND LIABILITIES (-0.1%)
Other Assets--Note B 27,583
Liabilities--Note E (34,482)
(6,899)
NET ASSETS (100%) $4,687,368
^See Note A in Notes to Financial Statements.
*Non-income-producing security.
REIT--Real Estate Investment Trust.
29
Amount
Value Index Fund (000)
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
Paid-in Capital $5,006,311
Overdistributed Net Investment Income (1,023)
Accumulated Net Realized Losses (890,391)
Unrealized Appreciation 572,471
NET ASSETS $4,687,368
Investor Shares--Net Assets
Applicable to 162,527,458 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $3,160,880
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $19.45
Admiral Shares--Net Assets
Applicable to 46,338,395 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $901,257
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $19.45
Institutional Shares--Net Assets
Applicable to 26,755,054 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $520,380
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $19.45
VIPER Shares--Net Assets
Applicable to 2,101,827 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $104,851
NET ASSET VALUE PER SHARE--
VIPER SHARES $49.89
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
30
Market
Value^
Large-Cap Index Fund Shares (000)
COMMON STOCKS (100.0%)
Auto & Transportation (2.1%)
United Parcel Service, Inc. 2,408 $ 181
Ford Motor Co. 7,494 117
FedEx Corp. 1,236 101
General Motors Corp. 2,088 97
Harley-Davidson, Inc. 1,276 79
Union Pacific Corp. 1,044 62
Burlington Northern Santa Fe Corp. 1,596 56
Southwest Airlines Co. 2,984 50
Norfolk Southern Corp. 1,618 43
PACCAR, Inc. 720 42
CSX Corp. 898 29
Genuine Parts Co. 736 29
Expeditors International
of Washington, Inc. 492 24
Delphi Corp. 2,146 23
Lear Corp. 324 19
C.H. Robinson Worldwide, Inc. 320 15
Dana Corp. 678 13
Gentex Corp. 332 13
* JetBlue Airways Corp. 228 7
* TRW Automotive Holdings Corp. 82 2
1,002
Consumer Discretionary (14.0%)
Wal-Mart Stores, Inc. 12,082 637
Home Depot, Inc. 9,800 345
* Time Warner, Inc. 18,658 328
Viacom Inc. Class B 6,610 236
The Walt Disney Co. 8,820 225
* eBay Inc. 1,952 179
* Yahoo! Inc. 4,854 176
Gillette Co. 4,082 173
Lowe's Cos., Inc. 3,172 167
Target Corp. 3,718 158
Kimberly-Clark Corp. 2,178 143
McDonald's Corp. 5,324 138
Cendant Corp. 4,344 106
Gannett Co., Inc. 1,182 100
Liberty Media Corp. 10,194 92
Avon Products, Inc. 1,976 91
Clear Channel Communications, Inc. 2,268 84
Costco Wholesale Corp. 1,948 80
Waste Management, Inc. 2,494 76
Carnival Corp. 1,608 76
* Starbucks Corp. 1,726 75
* Amazon.com, Inc. 1,322 72
* Electronic Arts Inc. 1,244 68
Omnicom Group Inc. 860 65
The McGraw-Hill Cos., Inc. 848 65
The Gap, Inc. 2,662 65
Best Buy Co., Inc. 1,200 $ 61
NIKE, Inc. Class B 802 61
Staples, Inc. 2,070 61
* InterActiveCorp 1,980 60
International Game Technology 1,448 56
* Kohl's Corp. 1,272 54
* Apollo Group, Inc. Class A 576 51
TJX Cos., Inc. 2,078 50
* DirecTV Group, Inc. 2,882 49
* Bed Bath & Beyond, Inc. 1,240 48
* Accenture Ltd. 1,722 47
* Yum! Brands, Inc. 1,248 46
J.C. Penney Co., Inc. (Holding Co.) 1,192 45
Tribune Co. 976 44
Marriott International, Inc. Class A 792 40
Starwood Hotels & Resorts
Worldwide, Inc. 862 39
Federated Department Stores, Inc. 758 37
* Coach, Inc. 806 36
Limited Brands, Inc. 1,870 35
Mattel, Inc. 1,896 35
Eastman Kodak Co. 1,236 33
* Univision Communications Inc. 1,016 32
* EchoStar Communications Corp.
Class A 1,048 32
Sears, Roebuck & Co. 814 31
May Department Stores Co. 1,106 30
R.R. Donnelley & Sons Co. 888 29
Estee Lauder Cos. Class A 600 29
Newell Rubbermaid, Inc. 1,200 28
Harman International
Industries, Inc. 308 28
* AutoZone Inc. 348 28
Hilton Hotels Corp. 1,456 27
Harrah's Entertainment, Inc. 500 27
New York Times Co. Class A 602 27
Cintas Corp. 552 26
Knight Ridder 364 26
Washington Post Co. Class B 28 26
* Office Depot, Inc. 1,364 24
* Interpublic Group of Cos., Inc. 1,770 24
Dollar General Corp. 1,216 24
* Fox Entertainment Group, Inc.
Class A 864 23
Leggett & Platt, Inc. 852 23
Black & Decker Corp. 354 22
* Mohawk Industries, Inc. 296 22
Whirlpool Corp. 314 22
* Career Education Corp. 470 21
Jones Apparel Group, Inc. 538 21
* XM Satellite Radio Holdings, Inc. 770 21
31
Market
Value^
Large-Cap Index Fund Shares (000)
Tiffany & Co. 568 $ 21
Robert Half International, Inc. 696 21
Mandalay Resort Group 290 20
E.W. Scripps Co. Class A 188 20
* VeriSign, Inc. 970 19
Manpower Inc. 360 18
PETsMART, Inc. 560 18
Michaels Stores, Inc. 330 18
* Liberty Media International INC-A 489 18
Liz Claiborne, Inc. 500 18
Fastenal Co. 316 18
Family Dollar Stores, Inc. 590 18
* Caesars Entertainment, Inc. 1,190 18
Republic Services, Inc. Class A 614 18
The Stanley Works 388 18
RadioShack Corp. 610 17
VF Corp. 356 17
Wendy's International, Inc. 496 17
CDW Corp. 270 17
Nordstrom, Inc. 388 17
* ChoicePoint Inc. 360 16
Sabre Holdings Corp. 586 16
Foot Locker, Inc. 660 16
Ross Stores, Inc. 596 16
Alberto-Culver Co. Class B 318 16
* Chico's FAS, Inc. 352 16
ServiceMaster Co. 1,258 15
* Lamar Advertising Co. Class A 352 15
Abercrombie & Fitch Co. 376 15
Darden Restaurants Inc. 684 14
International Flavors &
Fragrances, Inc. 364 14
* Sirius Satellite Radio, Inc. 4,261 13
Outback Steakhouse 316 13
* Brinker International, Inc. 382 13
* Toys R Us, Inc. 808 13
Hasbro, Inc. 674 13
Aramark Corp. Class B 442 13
* Williams-Sonoma, Inc. 380 13
* Kmart Holding Corp. 172 12
* AutoNation, Inc. 716 12
* MGM Mirage, Inc. 258 12
* Iron Mountain, Inc. 248 12
* Fisher Scientific International Inc. 206 12
Circuit City Stores, Inc. 864 11
* Dollar Tree Stores, Inc. 400 11
GTECH Holdings Corp. 226 10
Maytag Corp. 424 10
* Allied Waste Industries, Inc. 788 10
Viad Corp. 360 10
The McClatchy Co. Class A 136 10
Belo Corp. Class A 350 $ 9
* Pixar, Inc. 134 9
Meredith Corp. 168 9
* CarMax, Inc. 388 8
* Advance Auto Parts, Inc. 192 8
* Corinthian Colleges, Inc. 340 8
* Tech Data Corp. 204 8
* Weight Watchers International, Inc. 192 8
* The Cheesecake Factory 188 7
International Speedway Corp. 152 7
Polo Ralph Lauren Corp. 212 7
Reebok International Ltd. 198 7
* Convergys Corp. 460 7
* Rent-A-Center, Inc. 226 7
* Westwood One, Inc. 264 6
* Entercom Communications Corp. 166 6
Saks Inc. 400 6
* Radio One, Inc. Class D 292 5
* Hewitt Associates, Inc. 136 4
Metro-Goldwyn-Mayer Inc. 308 4
* Citadel Broadcasting Corp. 136 2
* Columbia Sportswear Co. 24 1
* Cox Radio, Inc. 72 1
Hearst-Argyle Television Inc. 48 1
Regal Entertainment Group Class A 64 1
Blockbuster Inc. Class A 48 1
* Radio One, Inc. 40 1
6,587
Consumer Staples (7.3%)
The Procter & Gamble Co. 10,508 572
The Coca-Cola Co. 9,400 475
Altria Group, Inc. 8,740 437
PepsiCo, Inc. 7,306 394
Anheuser-Busch Cos., Inc. 3,438 186
Walgreen Co. 4,416 160
Colgate-Palmolive Co. 2,318 135
Sysco Corp. 2,738 98
Sara Lee Corp. 3,482 80
CVS Corp. 1,740 73
ConAgra Foods, Inc. 2,312 63
General Mills, Inc. 1,244 59
H.J. Heinz Co. 1,456 57
* The Kroger Co. 3,070 56
* Safeway, Inc. 1,914 49
Kellogg Co. 1,054 44
Wm. Wrigley Jr. Co. 668 42
Kraft Foods Inc. 1,172 37
Albertson's, Inc. 1,344 36
Hershey Foods Corp. 740 34
The Clorox Co. 634 34
Coca-Cola Enterprises, Inc. 1,056 31
32
Market
Value^
Shares (000)
Whole Foods Market, Inc. 302 $ 29
Campbell Soup Co. 1,012 27
UST, Inc. 716 26
* Dean Foods Co. 684 26
R.J. Reynolds Tobacco Holdings, Inc. 356 24
Tyson Foods, Inc. 1,008 21
The Pepsi Bottling Group, Inc. 658 20
McCormick & Co., Inc. 550 19
SuperValu Inc. 544 17
J.M. Smucker Co. 296 14
* Constellation Brands, Inc. Class A 362 13
* Smithfield Foods, Inc. 360 11
Hormel Foods Corp. 340 11
Adolph Coors Co. Class B 144 10
Brown-Forman Corp. Class B 172 8
* Del Monte Foods Co. 770 8
PepsiAmericas, Inc. 356 8
Carolina Group 184 5
3,449
Financial Services (22.2%)
Citigroup, Inc. 22,066 1,026
Bank of America Corp. 8,808 745
American International Group, Inc. 9,546 680
Wells Fargo & Co. 7,242 414
J.P. Morgan Chase & Co. 8,766 340
Fannie Mae 4,224 301
American Express Co. 4,964 255
Wachovia Corp. 5,576 248
Bank One Corp. 4,758 243
U.S. Bancorp 8,198 226
Morgan Stanley 4,158 219
Merrill Lynch & Co., Inc. 3,938 213
Freddie Mac 2,974 188
First Data Corp. 3,838 171
Washington Mutual, Inc. 3,746 145
MBNA Corp. 5,266 136
Allstate Corp. 2,852 133
The Goldman Sachs Group, Inc. 1,354 127
Metropolitan Life Insurance Co. 3,238 116
Fifth Third Bancorp 2,108 113
St. Paul Travelers Cos., Inc. 2,704 110
Prudential Financial, Inc. 2,294 107
Automatic Data Processing, Inc. 2,522 106
Marsh & McLennan Cos., Inc. 2,170 98
The Bank of New York Co., Inc. 3,324 98
National City Corp. 2,742 96
AFLAC Inc. 2,174 89
Countrywide Financial Corp. 1,250 88
BB&T Corp. 2,326 86
The Hartford Financial
Services Group Inc. 1,228 84
SLM Corp. 1,948 $ 79
Lehman Brothers Holdings, Inc. 1,032 78
Progressive Corp. of Ohio 888 76
Capital One Financial Corp. 1,082 74
SunTrust Banks, Inc. 1,076 70
State Street Corp. 1,408 69
PNC Financial Services Group 1,238 66
The Chubb Corp. 850 58
Golden West Financial Corp. 536 57
Mellon Financial Corp. 1,816 53
SouthTrust Corp. 1,370 53
ACE Ltd. 1,202 51
KeyCorp 1,672 50
XL Capital Ltd. Class A 658 50
The Principal Financial Group, Inc. 1,400 49
Paychex, Inc. 1,432 49
Equity Office Properties Trust REIT 1,728 47
CIGNA Corp. 656 45
Simon Property Group, Inc. REIT 868 45
Charter One Financial, Inc. 940 42
Charles Schwab Corp. 4,288 41
Comerica, Inc. 726 40
Bear Stearns Co., Inc. 470 40
AmSouth Bancorp 1,540 39
MBIA, Inc. 670 38
Ambac Financial Group, Inc. 496 36
MGIC Investment Corp. 480 36
Equity Residential REIT 1,190 35
Moody's Corp. 538 35
CIT Group Inc. 894 34
Lincoln National Corp. 724 34
* Fiserv, Inc. 872 34
H & R Block, Inc. 708 34
Loews Corp. 560 34
Regions Financial Corp. 904 33
* SunGard Data Systems, Inc. 1,224 32
Aon Corp. 1,100 31
Northern Trust Corp. 740 31
Franklin Resources Corp. 602 30
Marshall & Ilsley Corp. 764 30
Jefferson-Pilot Corp. 576 29
M & T Bank Corp. 332 29
Legg Mason Inc. 316 29
National Commerce Financial Corp. 862 28
Sovereign Bancorp, Inc. 1,262 28
Torchmark Corp. 514 28
Vornado Realty Trust REIT 454 26
General Growth
Properties Inc. REIT 866 26
T. Rowe Price Group Inc. 504 25
Popular, Inc. 584 25
33
Market
Value^
Large-Cap Index Fund Shares (000)
Cincinnati Financial Corp. 571 $ 25
First Horizon National Corp. 542 25
North Fork Bancorp, Inc. 646 25
Union Planters Corp. 824 25
Synovus Financial Corp. 970 25
Banknorth Group, Inc. 756 25
Plum Creek Timber Co. Inc. REIT 752 25
Archstone-Smith Trust REIT 822 24
Everest Re Group, Ltd. 300 24
ProLogis REIT 728 24
Fidelity National Financial, Inc. 638 24
SAFECO Corp. 540 24
Compass Bancshares Inc. 540 23
New York Community
Bancorp, Inc. 1,123 22
Zions Bancorp 336 21
Boston Properties, Inc. REIT 410 21
Huntington Bancshares Inc. 896 21
Old Republic International Corp. 828 20
* The Dun & Bradstreet Corp. 352 19
Rouse Co. REIT 394 19
Avalonbay Communities, Inc. REIT 328 19
TCF Financial Corp. 316 18
The Chicago Mercantile Exchange 127 18
* Providian Financial Corp. 1,248 18
Commerce Bancorp, Inc. 332 18
UnumProvident Corp. 1,132 18
Radian Group, Inc. 372 18
Green Point Financial Corp. 442 18
* Host Marriott Corp. REIT 1,418 18
UnionBanCal Corp. 308 17
Kimco Realty Corp. REIT 380 17
Duke Realty Corp. REIT 542 17
The PMI Group Inc. 392 17
RenaissanceRe Holdings Ltd. 316 17
iStar Financial Inc. REIT 424 17
Hibernia Corp. Class A 688 17
Equifax, Inc. 672 17
White Mountains
Insurance Group Inc. 32 16
Mercantile Bankshares Corp. 344 16
* E*TRADE Financial Corp. 1,402 16
* DST Systems, Inc. 320 15
Public Storage, Inc. REIT 332 15
Health Care Properties
Investors REIT 610 15
W.R. Berkley Corp. 336 14
Liberty Property Trust REIT 352 14
Investors Financial Services Corp. 320 14
Allied Capital Corp. 532 13
* Genworth Financial Inc. 566 13
Doral Financial Corp. 368 $ 13
Janus Capital Group Inc. 758 12
Protective Life Corp. 320 12
Astoria Financial Corp. 338 12
PartnerRe Ltd. 216 12
City National Corp. 186 12
Associated Banc-Corp. 412 12
* Ameritrade Holding Corp. 1,050 12
Apartment Investment &
Management Co. Class A REIT 378 12
A.G. Edwards & Sons, Inc. 344 12
Hospitality Properties Trust REIT 276 12
AMB Property Corp. REIT 328 11
New Plan Excel Realty Trust REIT 486 11
Transatlantic Holdings, Inc. 140 11
Friedman, Billings,
Ramsey Group, Inc. REIT 572 11
Arthur J. Gallagher & Co. 364 11
Bank of Hawaii Corp. 236 11
Federated Investors, Inc. 348 11
Independence Community
Bank Corp. 288 10
Leucadia National Corp. 208 10
* Markel Corp. 36 10
SEI Corp. 344 10
Axis Capital Holdings Ltd. 356 10
Commerce Bancshares, Inc. 214 10
* WellChoice Inc. 234 10
Valley National Bancorp 383 10
Assurant, Inc. 366 10
Fair, Isaac, Inc. 288 10
* CheckFree Corp. 320 10
Brown & Brown, Inc. 214 9
Deluxe Corp. 212 9
Weingarten Realty Investors REIT 278 9
Fulton Financial Corp. 429 9
Dow Jones & Co., Inc. 188 8
Hudson City Bancorp, Inc. 240 8
Unitrin, Inc. 188 8
Nationwide Financial Services, Inc. 210 8
Regency Centers Corp. REIT 176 8
Eaton Vance Corp. 194 7
Wilmington Trust Corp. 198 7
Mercury General Corp. 148 7
Erie Indemnity Co. Class A 152 7
BlackRock, Inc. 52 3
Montpelier Re Holdings Ltd. 84 3
* CapitalSource Inc. 116 3
Total System Services, Inc. 72 2
* BOK Financial Corp. 39 2
Capitol Federal Financial 40 1
34
Market
Value^
Shares (000)
Nuveen Investments, Inc. Class A 42 $ 1
Student Loan Corp. 8 1
10,493
Health Care (13.6%)
Pfizer Inc. 32,706 1,121
Johnson & Johnson 12,742 710
Merck & Co., Inc. 9,508 452
Eli Lilly & Co. 4,356 305
* Amgen, Inc. 5,540 302
Abbott Laboratories 6,368 260
Medtronic, Inc. 5,196 253
Wyeth 5,682 205
Bristol-Myers Squibb Co. 8,322 204
UnitedHealth Group Inc. 2,653 165
Cardinal Health, Inc. 1,924 135
Schering-Plough Corp. 6,350 117
* Genentech, Inc. 2,046 115
* Boston Scientific Corp. 2,628 112
* Biogen Idec Inc. 1,484 94
* Zimmer Holdings, Inc. 1,040 92
Baxter International, Inc. 2,612 90
* Forest Laboratories, Inc. 1,574 89
HCA Inc. 1,894 79
* WellPoint Health
Networks Inc. Class A 690 77
Guidant Corp. 1,374 77
* Gilead Sciences, Inc. 938 63
* St. Jude Medical, Inc. 816 62
* Caremark Rx, Inc. 1,828 60
Stryker Corp. 1,072 59
* Anthem, Inc. 652 58
Aetna Inc. 686 58
Becton, Dickinson & Co. 1,070 55
Allergan, Inc. 546 49
* Genzyme Corp.-
General Division 1,008 48
Biomet, Inc. 1,050 47
* Medco Health Solutions, Inc. 1,112 42
McKesson Corp. 1,210 42
AmerisourceBergen Corp. 504 30
Quest Diagnostics, Inc. 338 29
C.R. Bard, Inc. 498 28
* Laboratory Corp. of
America Holdings 662 26
* Tenet Healthcare Corp. 1,954 26
* Varian Medical Systems, Inc. 324 26
* Express Scripts Inc. 322 26
* MedImmune Inc. 1,072 25
* Chiron Corp. 504 22
IMS Health, Inc. 954 22
Mylan Laboratories, Inc. 1,104 22
Health Management
Associates Class A 950 $ 21
Oxford Health Plans, Inc. 368 20
* ImClone Systems, Inc. 235 20
Omnicare, Inc. 468 20
* Celgene Corp. 348 20
Beckman Coulter, Inc. 312 19
* Invitrogen Corp. 248 18
DENTSPLY International Inc. 342 18
* Hospira, Inc. 638 18
* Sepracor Inc. 326 17
* Coventry Health Care Inc. 336 16
* Millennium Pharmaceuticals, Inc. 1,140 16
* Patterson Dental Co. 192 15
* IVAX Corp. 568 14
* Kinetic Concepts, Inc. 256 13
Bausch & Lomb, Inc. 196 13
* Lincare Holdings, Inc. 380 12
* Barr Pharmaceuticals Inc. 366 12
* Apogent Technologies Inc. 380 12
* Triad Hospitals, Inc. 326 12
Manor Care, Inc. 364 12
* Health Net Inc. 434 12
* Humana Inc. 680 11
* WebMD Corp. 1,232 11
* King Pharmaceuticals, Inc. 1,002 11
* Henry Schein, Inc. 176 11
* Cephalon, Inc. 200 11
* Millipore Corp. 188 11
* Watson Pharmaceuticals, Inc. 388 10
Universal Health Services Class B 200 9
* Community Health Systems, Inc. 324 9
* ICOS Corp. 208 6
6,429
Integrated Oils (4.5%)
ExxonMobil Corp. 28,144 1,250
ChevronTexaco Corp. 4,596 433
ConocoPhillips Co. 2,786 213
Occidental Petroleum Corp. 1,684 82
Marathon Oil Corp. 1,460 55
Unocal Corp. 1,066 41
Amerada Hess Corp. 348 28
Murphy Oil Corp. 358 26
2,128
Other Energy (2.2%)
Schlumberger Ltd. 2,554 162
Devon Energy Corp. 1,032 68
Anadarko Petroleum Corp. 1,056 62
Burlington Resources, Inc. 1,698 61
Apache Corp. 1,398 61
Halliburton Co. 1,912 58
35
Market
Value^
Large-Cap Index Fund Shares (000)
Baker Hughes, Inc. 1,430 $ 54
Valero Energy Corp. 612 45
* Transocean Inc. 1,390 40
EOG Resources, Inc. 552 33
* BJ Services Co. 682 31
XTO Energy, Inc. 1,021 30
* Nabors Industries, Inc. 668 30
* Smith International, Inc. 478 27
Kerr-McGee Corp. 484 26
Williams Cos., Inc. 2,164 26
* Weatherford International Ltd. 540 24
El Paso Corp. 2,662 21
Sunoco, Inc. 326 21
GlobalSantaFe Corp. 776 21
* Noble Corp. 524 20
ENSCO International, Inc. 642 19
Pioneer Natural Resources Co. 486 17
Equitable Resources, Inc. 312 16
Pogo Producing Co. 288 14
* National-Oilwell, Inc. 348 11
Patterson-UTI Energy, Inc. 324 11
Noble Energy, Inc. 206 11
* Cooper Cameron Corp. 206 10
* Rowan Cos., Inc. 402 10
Diamond Offshore Drilling, Inc. 326 8
* Pride International, Inc. 424 7
1,055
Materials & Processing (3.3%)
E.I. du Pont de Nemours & Co. 4,258 189
Dow Chemical Co. 3,968 161
Alcoa Inc. 3,726 123
International Paper Co. 1,926 86
Newmont Mining Corp.
(Holding Co.) 1,804 70
Weyerhaeuser Co. 1,026 65
Masco Corp. 1,960 61
Praxair, Inc. 1,414 56
Air Products & Chemicals, Inc. 1,028 54
PPG Industries, Inc. 718 45
Monsanto Co. 1,090 42
Archer-Daniels-Midland Co. 2,316 39
* American Standard Cos., Inc. 936 38
* Phelps Dodge Corp. 458 36
Georgia Pacific Group 916 34
Rohm & Haas Co. 664 28
Nucor Corp. 344 26
MeadWestvaco Corp. 880 26
Ecolab, Inc. 778 25
Avery Dennison Corp. 372 24
Freeport-McMoRan
Copper & Gold, Inc. Class B 700 23
Sherwin-Williams Co. 546 $ 23
Sigma-Aldrich Corp. 340 20
Smurfit-Stone Container Corp. 986 20
* Sealed Air Corp. 336 18
Vulcan Materials Co. 376 18
Engelhard Corp. 534 17
Fluor Corp. 342 16
* Energizer Holdings, Inc. 352 16
Eastman Chemical Co. 340 16
Ball Corp. 216 16
United States Steel Corp. 437 15
* Pactiv Corp. 600 15
Temple-Inland Inc. 188 13
Ashland, Inc. 232 12
Lyondell Chemical Co. 662 12
Bemis Co., Inc. 384 11
Valspar Corp. 188 9
Sonoco Products Co. 368 9
The St. Joe Co. 236 9
Bowater Inc. 200 8
* Jacobs Engineering Group Inc. 186 7
* Owens-Illinois, Inc. 416 7
Lafarge North America Inc. 156 7
Packaging Corp. of America 216 5
* International Steel Group, Inc. 36 1
1,571
Producer Durables (4.1%)
United Technologies Corp. 2,232 204
The Boeing Co. 3,134 160
* Applied Materials, Inc. 7,164 141
Illinois Tool Works, Inc. 1,220 117
Caterpillar, Inc. 1,450 115
Emerson Electric Co. 1,794 114
Lockheed Martin Corp. 1,624 85
Northrop Grumman Corp. 1,412 76
Deere & Co. 1,044 73
Danaher Corp. 1,104 57
Ingersoll-Rand Co. 790 54
* Agilent Technologies, Inc. 1,806 53
* Lexmark International, Inc. 542 52
* Xerox Corp. 3,264 47
* KLA-Tencor Corp. 856 42
Pitney Bowes, Inc. 946 42
Dover Corp. 888 37
Parker Hannifin Corp. 516 31
* Waters Corp. 546 26
Pulte Homes, Inc. 492 26
Rockwell Collins, Inc. 744 25
Lennar Corp. Class A 554 25
D. R. Horton, Inc. 860 24
Centex Corp. 514 24
36
Market
Value^
Shares (000)
Cooper Industries, Inc. Class A 364 $ 22
* Thermo Electron Corp. 690 21
* Novellus Systems, Inc. 670 21
W.W. Grainger, Inc. 340 20
* Teradyne, Inc. 822 19
Diebold, Inc. 332 18
Pall Corp. 628 16
Goodrich Corp. 504 16
* LAM Research Corp. 606 16
American Power Conversion Corp. 808 16
* NVR, Inc. 28 14
Tektronix, Inc. 368 13
KB HOME 172 12
* Alliant Techsystems, Inc. 172 11
Molex, Inc. Class A 376 10
Garmin Ltd. 258 10
Hubbell Inc. Class B 192 9
Molex, Inc. 208 7
1,921
Technology (14.6%)
Microsoft Corp. 41,694 1,191
Intel Corp. 27,736 766
* Cisco Systems, Inc. 29,550 700
International Business
Machines Corp. 7,356 648
* Dell Inc. 9,918 355
Hewlett-Packard Co. 12,420 262
QUALCOMM Inc. 3,426 250
* Oracle Corp. 16,696 199
Motorola, Inc. 10,006 183
Texas Instruments, Inc. 7,336 177
* EMC Corp. 10,378 119
* Corning, Inc. 5,716 75
Analog Devices, Inc. 1,572 74
Maxim Integrated Products, Inc. 1,366 72
General Dynamics Corp. 714 71
* Lucent Technologies, Inc. 17,592 66
Raytheon Co. 1,746 62
* Symantec Corp. 1,354 59
* Sun Microsystems, Inc. 13,612 59
Computer Associates
International, Inc. 1,964 55
Linear Technology Corp. 1,304 51
* Apple Computer, Inc. 1,548 50
* Veritas Software Corp. 1,786 49
* Broadcom Corp. 1,032 48
* Juniper Networks, Inc. 1,941 48
Adobe Systems, Inc. 1,022 48
Xilinx, Inc. 1,424 47
Electronic Data Systems Corp. 2,158 41
* Micron Technology, Inc. 2,322 36
* Computer Sciences Corp. 760 $ 35
* Altera Corp. 1,556 35
* Flextronics International Ltd. 2,136 34
* National Semiconductor Corp. 1,504 33
L-3 Communications Holdings, Inc. 470 31
* Intuit, Inc. 810 31
* Network Appliance, Inc. 1,386 30
* Affiliated Computer
Services, Inc. Class A 560 30
Rockwell Automation, Inc. 746 28
Microchip Technology, Inc. 872 28
* Avaya Inc. 1,706 27
* PeopleSoft, Inc. 1,426 26
* Solectron Corp. 3,706 24
* Marvell Technology Group Ltd. 868 23
* Advanced Micro Devices, Inc. 1,430 23
Scientific-Atlanta, Inc. 656 23
* Mercury Interactive Corp. 418 21
* JDS Uniphase Corp. 5,368 20
* Siebel Systems, Inc. 1,866 20
* Unisys Corp. 1,410 20
Applera Corp.-
Applied Biosystems Group 886 19
* BMC Software, Inc. 1,038 19
Autodesk, Inc. 435 19
* NCR Corp. 372 18
* Sanmina-SCI Corp. 2,026 18
* Synopsys, Inc. 630 18
* Jabil Circuit, Inc. 692 17
* Cadence Design Systems, Inc. 1,166 17
Harris Corp. 320 16
* Zebra Technologies Corp. Class A 176 15
Symbol Technologies, Inc. 1,000 15
* Comverse Technology, Inc. 738 15
* Storage Technology Corp. 494 14
* Citrix Systems, Inc. 694 14
* Tellabs, Inc. 1,602 14
Intersil Corp. 640 14
* Red Hat, Inc. 571 13
* NVIDIA Corp. 636 13
* LSI Logic Corp. 1,692 13
* Ceridian Corp. 572 13
* SanDisk Corp. 592 13
* Amphenol Corp. 384 13
* BEA Systems, Inc. 1,516 12
* Vishay Intertechnology, Inc. 664 12
* Novell, Inc. 1,456 12
* Network Associates, Inc. 662 12
* UTStarcom, Inc. 380 11
Seagate Technology 738 11
* ADC Telecommunications, Inc. 3,500 10
37
Market
Value^
Large-Cap Index Fund Shares (000)
* Compuware Corp. 1,506 $ 10
* QLogic Corp. 372 10
* PMC Sierra Inc. 630 9
* 3Com Corp. 1,416 9
* Agere Systems Inc. Class B 3,694 8
* Ingram Micro, Inc. Class A 498 7
* Agere Systems Inc. Class A 2,998 7
* Foundry Networks, Inc. 484 7
* CIENA Corp. 1,794 7
National Instruments Corp. 210 6
* Fairchild Semiconductor
International, Inc. 384 6
* Conexant Systems, Inc. 1,325 6
AVX Corp. 112 2
6,917
Utilities (6.7%)
Verizon Communications Inc. 11,882 430
SBC Communications Inc. 14,118 342
BellSouth Corp. 7,796 204
* Comcast Corp. Class A 5,596 157
* AT&T Wireless Services Inc. 9,812 141
* Nextel Communications, Inc. 4,397 117
* Comcast Corp. Special Class A 3,760 104
Sprint Corp. 5,708 100
Exelon Corp. 2,786 93
Southern Co. 3,122 91
Dominion Resources, Inc. 1,392 88
Duke Energy Corp. 3,962 80
ALLTEL Corp. 1,246 63
Entergy Corp. 1,010 57
TXU Corp. 1,360 55
American Electric Power Co., Inc. 1,646 53
FirstEnergy Corp. 1,380 52
AT&T Corp. 3,440 50
* PG&E Corp. 1,730 48
FPL Group, Inc. 726 46
Progress Energy, Inc. 1,024 45
Consolidated Edison Inc. 1,048 43
Public Service
Enterprise Group, Inc. 1,028 41
PPL Corp. 724 33
Ameren Corp. 858 37
Edison International 1,248 32
Constellation Energy Group, Inc. 804 30
Sempra Energy 872 30
Xcel Energy, Inc. 1,734 29
DTE Energy Co. 708 29
Cinergy Corp. 708 27
Kinder Morgan, Inc. 450 27
* AES Corp. 2,620 26
KeySpan Corp. 684 25
* Cox Communications, Inc. Class A 892 $ 25
NiSource, Inc. 1,192 25
* Qwest Communications
International Inc. 6,034 22
* NTL Inc. 340 20
* Cablevision Systems NY
Group Class A 900 18
CenturyTel, Inc. 574 17
Wisconsin Energy Corp. 516 17
Energy East Corp. 680 16
SCANA Corp. 428 16
Pinnacle West Capital Corp. 374 15
Telephone & Data Systems, Inc. 192 14
Pepco Holdings, Inc. 712 13
* Citizens Communications Co. 1,068 13
CenterPoint Energy Inc. 1,116 13
Questar Corp. 332 13
MDU Resources Group, Inc. 482 12
TECO Energy, Inc. 856 10
Puget Energy, Inc. 460 10
* UnitedGlobalCom Inc. Class A 1,388 10
NSTAR 196 9
DPL Inc. 438 9
Northeast Utilities 432 8
* Level 3 Communications, Inc. 1,896 7
* U.S. Cellular Corp. 28 1
3,158
Other (5.4%)
General Electric Co. 45,214 1,465
3M Co. 3,182 286
Tyco International Ltd. 8,520 282
Honeywell International Inc. 3,526 129
* Berkshire Hathaway Inc. Class B 39 115
Fortune Brands, Inc. 660 50
Johnson Controls, Inc. 828 44
Eaton Corp. 670 43
Textron, Inc. 524 31
ITT Industries, Inc. 352 29
Hillenbrand Industries, Inc. 290 18
SPX Corp. 346 16
Brunswick Corp. 360 15
Allete, Inc. 344 11
2,534
TOTAL COMMON STOCKS
(Cost $47,877) 47,244
38
Face Market
Amount Value^
(000) (000)
TEMPORARY CASH INVESTMENT (0.7%)
Repurchase Agreement
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.47%, 7/1/2004
(Cost $344) $344 $ 344
TOTAL INVESTMENTS (100.7%)
(Cost $48,221) 47,588
OTHER ASSETS AND LIABILITIES (-0.7%)
Other Assets--Note B 276
Liabilities (629)
(353)
NET ASSETS (100%) $47,235
^See Note A to Financial Statements.
*Non-income-producing security.
REIT--Real Estate Investment Trust.
Amount
(000)
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
Paid-in Capital $47,884
Undistributed Net Investment Income 10
Accumulated Net Realized Losses (26)
Unrealized Depreciation (633)
NET ASSETS $47,235
Investor Shares--Net Assets
Applicable to 1,103,881 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $22,173
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $20.09
Admiral Shares--Net Assets
Applicable to 206,261 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $5,179
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $25.11
VIPER Shares--Net Assets
Applicable to 400,000 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $19,883
NET ASSET VALUE PER SHARE--
VIPER SHARES $49.71
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
39
STATEMENT OF OPERATIONS
This Statement shows the types of income earned by each fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period.
Total
Growth Value Large-Cap Stock Market
Index Fund Index Fund Index Fund Index Fund
Six Months Ended June 30, 2004*
(000) (000) (000) (000)
INVESTMENT INCOME
Income
Dividends $ 36,646 $ 55,460 $ 687 $ 354,527
Interest 57 15 1 687
Security Lending 26 106 -- 2,838
Total Income 36,729 55,581 688 358,052
Expenses
The Vanguard Group--Note B
Investment Advisory Services 34 34 -- 37
Management and Administrative
Investor Shares 7,585 2,906 5 22,064
Admiral Shares 614 430 -- 4,427
Institutional Shares 273 164 -- 2,433
VIPER Shares 33 30 5 2,009
Marketing and Distribution
Investor Shares 500 207 1 1,814
Admiral Shares 83 62 -- 540
Institutional Shares 78 51 -- 720
VIPER Shares 2 2 4 256
Custodian Fees 89 99 35 370
Shareholders' Reports
Investor Shares 162 37 -- 408
Admiral Shares 3 1 -- 11
Institutional Shares 2 1 -- 8
VIPER Shares -- -- -- 12
Trustees' Fees and Expenses 6 2 -- 22
Total Expenses 9,464 4,026 50 35,131
NET INVESTMENT INCOME 27,265 51,555 638 322,921
REALIZED NET GAIN (LOSS)
Investment Securities Sold 45,639 29,911 (917) (191,303)
Futures Contracts -- -- -- 2,074
REALIZED NET GAIN (LOSS) 45,639 29,911 (917) (189,229)
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities 213,507 78,853 (633) 1,607,569
Futures Contracts -- -- -- 1,473
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) 213,507 78,853 (633) 1,609,042
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $286,411 $160,319 $(912) $1,742,734
*Large-Cap Index Fund results are for the period since inception, January 27, 2004.
40
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares.
Growth Index Fund Value Index Fund
Six Months Year Six Months Year
Ended Ended Ended Ended
June 30, 2004 Dec. 31, 2003 June 30, 2004 Dec. 31, 2003
(000) (000) (000) (000)
INCREASE (DECREASE) IN NET ASSETS
Operations
Net Investment Income $ 27,265 $ 65,483 $ 51,555 $ 82,699
Realized Net Gain (Loss) 45,639 (437,090) 29,911 (327,602)
Change in Unrealized Appreciation
(Depreciation) 213,507 2,312,375 78,853 1,243,304
Net Increase (Decrease) in Net Assets
Resulting from Operations 286,411 1,940,768 160,319 998,401
Distributions
Net Investment Income
Investor Shares (21,346) (53,318) (32,058) (55,864)
Admiral Shares (3,636) (7,958) (9,348) (14,343)
Institutional Shares (3,002) (6,561) (5,855) (11,117)
VIPER Shares (216) -- (773) --
Realized Capital Gain
Investor Shares -- -- -- --
Admiral Shares -- -- -- --
Institutional Shares -- -- -- --
VIPER Shares -- -- -- --
Total Distributions (28,200) (67,837) (48,034) (81,324)
Capital Share Transactions--Note F
Investor Shares 8,811 (21,541) 161,773 81,496
Admiral Shares 42,378 135,609 106,987 136,542
Institutional Shares 154,951 (46,173) (26,596) (77,454)
VIPER Shares 95,081 -- 104,973 --
Net Increase (Decrease) from
Capital Share Transactions 301,221 67,895 347,137 140,584
Total Increase (Decrease) 559,432 1,940,826 459,422 1,057,661
Net Assets
Beginning of Period 9,459,956 7,519,130 4,227,946 3,170,285
End of Period $10,019,388 $9,459,956 $4,687,368 $4,227,946
41
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
Large-Cap Total Stock Market
Index Fund Index Fund
Jan. 27* to Six Months Year
June 30, Ended Ended
2004 June 30, 2004 Dec. 31, 2003
(000) (000) (000)
INCREASE (DECREASE) IN NET ASSETS
Operations
Net Investment Income $ 638 $ 322,921 $ 483,665
Realized Net Gain (Loss) (917) (189,229) (307,759)
Change in Unrealized Appreciation (Depreciation) (633) 1,609,042 9,013,953
Net Increase (Decrease) in Net Assets
Resulting from Operations (912) 1,742,734 9,189,859
Distributions
Net Investment Income
Investor Shares (175) (172,281) (280,716)
Admiral Shares (44) (60,745) (92,244)
Institutional Shares -- (60,948) (91,521)
VIPER Shares (409) (20,403) (28,586)
Realized Capital Gain
Investor Shares -- -- --
Admiral Shares -- -- --
Institutional Shares -- -- --
VIPER Shares -- -- --
Total Distributions (628) (314,377) (493,067)
Capital Share Transactions--Note F
Investor Shares 22,025 2,999,864 4,707,953
Admiral Shares 5,207 1,064,065 2,288,250
Institutional Shares -- 632,229 2,034,942
VIPER Shares 21,543 594,935 739,232
Net Increase (Decrease) from
Capital Share Transactions 48,775 5,291,093 9,770,377
Total Increase (Decrease) 47,235 6,719,450 18,467,169
Net Assets
Beginning of Period -- 42,544,995 24,077,826
End of Period $47,235 $49,264,445 $42,544,995
*Inception.
42
FINANCIAL HIGHLIGHTS
This table summarizes each fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
Growth Index Fund Investor Shares
Six Months Ended Year Ended December 31,
June 30,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000 1999
Net Asset Value,
Beginning of Period $24.92 $19.95 $26.42 $30.57 $39.43 $31.67
Investment Operations
Net Investment Income .07 .169 .222 .181 .126 .207
Net Realized and Unrealized
Gain (Loss) on Investments .68 4.977 (6.465) (4.144) (8.861) 8.821
Total from Investment Operations .75 5.146 (6.243) (3.963) (8.735) 9.028
Distributions
Dividends from Net Investment
Income (.07) (.176) (.227) (.187) (.125) (.228)
Distributions from Realized
Capital Gains -- -- -- -- -- (1.040)
Total Distributions (.07) (.176) (.227) (.187) (.125) (1.268)
Net Asset Value, End of Period $25.60 $24.92 $19.95 $26.42 $30.57 $39.43
Total Return* 3.02% 25.92% -23.68% -12.93% -22.21% 28.76%
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $7,802 $7,586 $6,094 $8,445 $11,162 $15,232
Ratio of Total Expenses to
Average Net Assets 0.22%** 0.23% 0.23% 0.22% 0.22% 0.22%
Ratio of Net Investment
Income to Average Net Assets 0.54%** 0.77% 0.97% 0.67% 0.33% 0.64%
Portfolio Turnover Rate++ 14%** 42%+ 23% 31% 33% 33%
*Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
**Annualized.
+Includes activity related to a change in the fund's target index.
++Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER creation units.
43
FINANCIAL HIGHLIGHTS (CONTINUED)
Growth Index Fund Admiral Shares
Six Months Ended Nov. 13* to
June 30, Year Ended December 31, Dec. 31,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000
Net Asset Value, Beginning of Period $24.92 $19.95 $26.42 $30.57 $33.12
Investment Operations
Net Investment Income .081 .188 .237 .194 .024
Net Realized and Unrealized Gain
(Loss) on Investments .680 4.977 (6.465) (4.144) (2.536)
Total from Investment Operations .761 5.165 (6.228) (3.950) (2.512)
Distributions
Dividends from Net Investment
Income (.081) (.195) (.242) (.200) (.038)
Distributions from Realized
Capital Gains -- -- -- -- --
Total Distributions (.081) (.195) (.242) (.200) (.038)
Net Asset Value, End of Period $25.60 $24.92 $19.95 $26.42 $30.57
Total Return 3.06% 26.03% -23.62% -12.88% -7.59%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $1,164 $1,092 $751 $906 $709
Ratio of Total Expenses to Average
Net Assets 0.13%** 0.15% 0.15% 0.17% 0.17%**
Ratio of Net Investment Income to
Average Net Assets 0.63%** 0.84% 1.05% 0.74% 0.56%**
Portfolio Turnover Rate++ 14%** 42%+ 23% 31% 33%
*Inception.
**Annualized.
+Includes activity related to a change in the fund's target index.
++Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER creation units.
Growth Index Fund Institutional Shares
Six Months Ended
June 30, Year Ended December 31,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000 1999
Net Asset Value, Beginning
of Period $24.92 $19.95 $26.42 $30.57 $39.44 $31.67
Investment Operations
Net Investment Income .085 .199 .248 .213 .156 .249
Net Realized and Unrealized
Gain (Loss) on Investments .680 4.977 (6.465) (4.144) (8.861) 8.821
Total from Investment Operations .765 5.176 (6.217) (3.931) (8.705) 9.070
Distributions
Dividends from Net Investment
Income (.085) (.206) (.253) (.219) (.165) (.260)
Distributions from Realized
Capital Gains -- .-- .-- .-- .-- (1.040)
Total Distributions (.085) (.206) (.253) (.219) (.165) (1.300)
Net Asset Value, End of Period $25.60 $24.92 $19.95 $26.42 $30.57 $39.44
Total Return 3.08% 26.09% -23.58% -12.82% -22.14% 28.91%
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $958 $782 $675 $921 $948 $452
Ratio of Total Expenses to
Average Net Assets 0.09%* 0.10% 0.10% 0.10% 0.12% 0.12%
Ratio of Net Investment Income to
Average Net Assets 0.67%* 0.92% 1.10% 0.80% 0.44% 0.74%
Portfolio Turnover Rate+ 14%* 42%** 23% 31% 33% 33%
*Annualized.
**Includes activity related to a change in the fund's target index.
+Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER creation units.
44
Growth Index Fund VIPER Shares
Jan. 26* to
For a Share Outstanding Throughout The Period June 30, 2004
Net Asset Value, Beginning of Period $50.64
Investment Operations
Net Investment Income .16
Net Realized and Unrealized Gain (Loss) on Investments (.89)
Total from Investment Operations (.73)
Distributions
Dividends from Net Investment Income (.16)
Distributions from Realized Capital Gains --
Total Distributions (.16)
Net Asset Value, End of Period $49.75
Total Return -1.44%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $95
Ratio of Total Expenses to Average Net Assets 0.15%**
Ratio of Net Investment Income to Average Net Assets 0.66%**
Portfolio Turnover Rate+ 14%**
*Inception.
**Annualized.
+Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER creation units.
45
FINANCIAL HIGHLIGHTS (CONTINUED)
Value Index Fund Investor Shares
Six Months Ended
June 30, Year Ended December 31,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000 1999
Net Asset Value, Beginning
of Period $18.95 $14.65 $18.90 $22.87 $22.89 $22.51
Investment Operations
Net Investment Income .22 .378 .303 .309 .355 .355
Net Realized and Unrealized
Gain (Loss) on Investments .48 4.294 (4.238) (2.986) .963 2.342
Total from Investment Operations .70 4.672 (3.935) (2.677) 1.318 2.697
Distributions
Dividends from Net Investment
Income (.20) (.372) (.315) (.316) (.358) (.362)
Distributions from Realized
Capital Gains -- -- -- (.977) (.980) (1.955)
Total Distributions (.20) (.372) (.315) (1.293) (1.338) (2.317)
Net Asset Value, End of Period $19.45 $18.95 $14.65 $18.90 $22.87 $22.89
Total Return* 3.72% 32.25% -20.91% -11.88% 6.08% 12.57%
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $3,161 $2,921 $2,197 $3,018 $3,450 $3,378
Ratio of Total Expenses to Average
Net Assets 0.21%** 0.23% 0.23% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to
Average Net Assets 2.28%** 2.38% 1.80% 1.51% 1.60% 1.59%
Portfolio Turnover Rate+ 13%** 44%++ 26% 38% 37% 41%
*Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
**Annualized.
+Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER creation units. ++Includes activity related to a change in the fund's target index.
Value Index Fund Admiral Shares
Six Months Ended Nov. 13* to
June 30, Year Ended December 31, Dec. 31,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000
Net Asset Value, Beginning of
Period $18.95 $14.65 $18.90 $22.87 $22.86
Investment Operations
Net Investment Income .228 .392 .315 .318 .045
Net Realized and Unrealized Gain
(Loss) on Investments .480 4.294 (4.238) (2.986) .635
Total from Investment Operations .708 4.686 (3.923) (2.668) .680
Distributions
Dividends from Net Investment
Income (.208) (.386) (.327) (.325) (.100)
Distributions from Realized
Capital Gains -- .-- .-- (.977) (.570)
Total Distributions (.208) (.386) (.327) (1.302) (.670)
Net Asset Value, End of Period $19.45 $18.95 $14.65 $18.90 $22.87
Total Return 3.76% 32.36% -20.85% -11.83% 3.13%
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $901 $773 $480 $587 $248
Ratio of Total Expenses to Average
Net Assets 0.12%** 0.15% 0.15% 0.17% 0.17%**
Ratio of Net Investment Income to
Average Net Assets 2.37%** 2.48% 1.88% 1.57% 0.19%**
Portfolio Turnover Rate+ 13%** 44%++ 26% 38% 37%
*Inception.
**Annualized.
+Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER creation units.
++Includes activity related to a change in the fund's target index.
46
Value Index Fund Institutional Shares
Six Months Ended
June 30, Year Ended December 31,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000 1999
Net Asset Value,
Beginning of Period $18.95 $14.65 $18.90 $22.87 $22.89 $22.51
Investment Operations
Net Investment Income .232 .400 .322 .333 .377 .377
Net Realized and Unrealized
Gain (Loss) on Investments .480 4.294 (4.238) (2.986) .963 2.342
Total from Investment
Operations .712 4.694 (3.916) (2.653) 1.340 2.719
Distributions
Dividends from Net Investment
Income (.212) (.394) (.334) (.340) (.380) (.384)
Distributions from Realized
Capital Gains -- -- -- (.977) (.980) (1.955)
Total Distributions (.212) (.394) (.334) (1.317) (1.360) (2.339)
Net Asset Value, End of Period $19.45 $18.95 $14.65 $18.90 $22.87 $22.89
Total Return 3.78% 32.42% -20.81% -11.77% 6.19% 12.67%
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $520 $534 $494 $865 $1,082 $460
Ratio of Total Expenses to
Average Net Assets 0.09%* 0.10% 0.10% 0.10% 0.12% 0.12%
Ratio of Net Investment Income to
Average Net Assets 2.40%* 2.46% 1.91% 1.63% 1.70% 1.68%
Portfolio Turnover Rate** 13%* 44%+ 26% 38% 37% 41%
*Annualized.
**Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER creation units.
+Includes activity related to a change in the fund's target index.
Value Index Fund VIPER Shares
Jan. 26* to
For a Share Outstanding Throughout The Period June 30, 2004
Net Asset Value, Beginning of Period $50.34
Investment Operations
Net Investment Income .541
Net Realized and Unrealized Gain (Loss) on Investments (.457)
Total from Investment Operations .084
Distributions
Dividends from Net Investment Income (.534)
Distributions from Realized Capital Gains --
Total Distributions (.534)
Net Asset Value, End of Period $49.89
Total Return 0.18%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $105
Ratio of Total Expenses to Average Net Assets 0.15%**
Ratio of Net Investment Income to Average Net Assets 2.51%**
Portfolio Turnover Rate+ 13%**
*Inception.
**Annualized.
+Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER creation units.
47
FINANCIAL HIGHLIGHTS (CONTINUED)
Large-Cap Index Fund Investor Shares
January 30* to
For a Share Outstanding Throughout The Period June 30, 2004
Net Asset Value, Beginning of Period $20.00
Investment Operations
Net Investment Income .199
Net Realized and Unrealized Gain (Loss) on Investments .086
Total from Investment Operations .285
Distributions
Dividends from Net Investment Income (.195)
Distributions from Realized Capital Gains --
Total Distributions (.195)
Net Asset Value, End of Period $20.09
Total Return** 1.44%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $22
Ratio of Total Expenses to Average Net Assets 0.20%+
Ratio of Net Investment Income to Average Net Assets 1.51%+
Portfolio Turnover Rate++ 2%+
*Inception.
**Total returns do not reflect the $10 account maintenance fee applied on balances under $10,000.
+Annualized.
++Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER creation units.
Large-Cap Index Fund Admiral Shares
February 2* to
For a Share Outstanding Throughout The Period June 30, 2004
Net Asset Value, Beginning of Period $25.08
Investment Operations
Net Investment Income .255
Net Realized and Unrealized Gain (Loss) on Investments .024
Total from Investment Operations .279
Distributions
Dividends from Net Investment Income (.249)
Distributions from Realized Capital Gains --
Total Distributions (.249)
Net Asset Value, End of Period $25.11
Total Return 1.13%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $5
Ratio of Total Expenses to Average Net Assets 0.12%**
Ratio of Net Investment Income to Average Net Assets 1.59%**
Portfolio Turnover Rate+ 2%**
*Inception.
**Annualized.
+Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER creation units.
48
Large-Cap Index Fund VIPER Shares
January 27* to
For a Share Outstanding Throughout The Period June 30, 2004
Net Asset Value, Beginning of Period $50.01
Investment Operations
Net Investment Income .473
Net Realized and Unrealized Gain (Loss) on Investments (.311)
Total from Investment Operations .162
Distributions
Dividends from Net Investment Income (.462)
Distributions from Realized Capital Gains --
Total Distributions (.462)
Net Asset Value, End of Period $49.71
Total Return 0.33%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $20
Ratio of Total Expenses to Average Net Assets 0.12%**
Ratio of Net Investment Income to Average Net Assets 1.69%**
Portfolio Turnover Rate+ 2%**
*Inception.
**Annualized.
+Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER creation units.
49
FINANCIAL HIGHLIGHTS (CONTINUED)
Total Stock Market Index Fund Investor Shares
Six Months Ended
June 30, Year Ended December 31,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000 1999
Net Asset Value, Beginning
of Period $25.99 $20.07 $25.74 $29.26 $33.22 $27.42
Investment Operations
Net Investment Income .18 .325 .295 .310 .331 .317
Net Realized and Unrealized
Gain (Loss)
on Investments .83 5.922 (5.672) (3.533) (3.815) 6.133
Total from Investment
Operations 1.01 6.247 (5.377) (3.223) (3.484) 6.450
Distributions
Dividends from Net Investment
Income (.17) (.327) (.293) (.297) (.336) (.330)
Distributions from Realized
Capital Gains -- -- -- -- (.140) (.320)
Total Distributions (.17) (.327) (.293) (.297) (.476) (.650)
Net Asset Value, End of Period $26.83 $25.99 $20.07 $25.74 $29.26 $33.22
Total Return* 3.90% 31.35% -20.96% -10.97% -10.57% 23.81%
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $27,872 $24,059 $14,254 $15,781 $16,856 $18,133
Ratio of Total Expenses to Average
Net Assets 0.19%** 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 1.36%** 1.49% 1.32% 1.11% 1.04% 1.15%
Portfolio Turnover Rate+ 3%** 2% 2% 3% 7% 3%
*Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
**Annualized.
+Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER creation units.
Total Stock Market Index Fund Admiral Shares
Six Months Ended Nov. 13* to
June 30, Year Ended December 31, Dec. 31,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000
Net Asset Value, Beginning of
Period $25.99 $20.07 $25.75 $29.26 $30.22
Investment Operations
Net Investment Income .19 .336 .296 .332 .049
Net Realized and Unrealized Gain (Loss)
on Investments .83 5.922 (5.672) (3.533) (.830)
Total from Investment Operations 1.02 6.258 (5.376) (3.201) (.781)
Distributions
Dividends from Net Investment Income (.18) (.338) (.304) (.309) (.099)
Distributions from Realized Capital
Gains -- -- -- -- (.080)
Total Distributions (.18) (.338) (.304) (.309) (.179)
Net Asset Value, End of Period $26.83 $25.99 $20.07 $25.75 $29.26
Total Return 3.94% 31.42% -20.95% -10.89% -2.55%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $9,300 $7,969 $4,069 $3,894 $2,104
Ratio of Total Expenses to Average
Net Assets 0.12%** 0.15% 0.15% 0.15% 0.15%**
Ratio of Net Investment Income to
Average Net
Assets 1.43%** 1.54% 1.39% 1.17% 1.23%**
Portfolio Turnover Rate+ 3%** 2% 2% 3% 7%
*Inception.
**Annualized.
+Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER creation units.
50
Total Stock Market Index Fund Institutional Shares
Six Months Ended
June 30, Year Ended December 31,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001 2000 1999
Net Asset Value, Beginning of
Period $26.00 $20.07 $25.75 $29.27 $33.22 $27.42
Investment Operations
Net Investment Income .196 .360 .311 .341 .371 .344
Net Realized and Unrealized
Gain (Loss) on Investments .830 5.922 (5.672) (3.533) (3.815) 6.133
Total from Investment Operations 1.026 6.282 (5.361) (3.192) (3.444) 6.477
Distributions
Dividends from Net Investment
Income (.186) (.352) (.319) (.328) (.366) (.357)
Distributions from Realized
Capital Gains -- -- -- -- (.140) (.320)
Total Distributions (.186) (.352) (.319) (.328) (.506) (.677)
Net Asset Value, End of Period $26.84 $26.00 $20.07 $25.75 $29.27 $33.22
Total Return 3.96% 31.55% -20.90% -10.85% -10.46% 23.93%
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $8,895 $8,000 $4,466 $4,217 $4,272 $4,006
Ratio of Total Expenses to
Average Net Assets 0.08%* 0.08% 0.08% 0.08% 0.10% 0.10%
Ratio of Net Investment Income to
Average Net Assets 1.47%* 1.62% 1.45% 1.23% 1.14% 1.26%
Portfolio Turnover Rate** 3%* 2% 2% 3% 7% 3%
*Annualized.
**Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER creation units.
Total Stock Market Index Fund VIPER Shares
Six Months Ended Year Ended May 24* to
June 30, December 31, Dec. 31,
For a Share Outstanding
Throughout Each Period 2004 2003 2002 2001
Net Asset Value, Beginning
of Period $106.81 $ 82.47 $105.80 $118.46
Investment Operations
Net Investment Income .75 1.381 1.259 .843
Net Realized and Unrealized
Gain (Loss) on Investments 3.42 24.341 (23.337) (12.515)
Total from Investment Operations 4.17 25.722 (22.078) (11.672)
Distributions
Dividends from Net Investment
Income (.73) (1.382) (1.252) (.988)
Distributions from Realized
Capital Gains -- -- -- --
Total Distributions (.73) (1.382) (1.252) (.988)
Net Asset Value, End of Period $110.25 $106.81 $ 82.47 $105.80
Total Return 3.91% 31.43% -20.94% -9.82%
Ratios/Supplemental Data
Net Assets, End of Period
(Millions) $3,197 $2,517 $1,290 $1,195
Ratio of Total Expenses to
Average Net Assets 0.15%** 0.15% 0.15% 0.15%**
Ratio of Net Investment Income to
Average Net Assets 1.40%** 1.54% 1.38% 1.26%**
Portfolio Turnover Rate+ 3%** 2% 2% 3%
*Inception.
**Annualized.
+Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including VIPER creation units.
51
NOTES TO FINANCIAL STATEMENTS
Vanguard Growth Index, Value Index, Large-Cap Index, and Total Stock Market Index Funds are registered under the Investment Company Act of 1940 as open-end investment companies, or mutual funds. The funds offer four classes of shares: Investor Shares, Admiral Shares, Institutional Shares, and VIPER Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $10 million. VIPER Shares are listed for trading on the American Stock Exchange; they can be purchased and sold through a broker.
The Growth Index Fund and Value Index Fund VIPER Shares were first issued on January 26, 2004, and offered to the public on January 30, 2004. The Large-Cap Index Fund VIPER Shares were first issued on January 27, 2004, and offered to the public on January 30, 2004. The Large-Cap Index Fund Investor and Admiral Shares were first issued on January 30, 2004, and February 2, 2004, respectively. The Large-Cap Index Fund has not issued any Institutional Shares through June 30, 2004.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The funds consistently follow such policies in preparing their financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the funds’ pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The Total Stock Market Index Fund uses S&P 500 Index, S&P MidCap 400 Index, and Russell 2000 Index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Repurchase Agreements: The funds, along with other members of The Vanguard Group, transfer uninvested cash balances into a pooled cash account, which is invested in repurchase agreements
52
secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
4. Federal Income Taxes: Each fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
6. Other: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2004, the funds had contributed capital to Vanguard (included in Other Assets) of:
Capital Contribution Percentage Percentage of
to Vanguard of Fund Vanguard's
Index Fund (000) Net Assets Capitalization
Growth $1,422 0.01% 1.42%
Value 655 0.01 0.65
Large-Cap 11 0.02 0.01
Total Stock Market 6,974 0.01 6.97
The funds’ trustees and officers are also directors and officers of Vanguard.
C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2004, the Value Index, Large-Cap Index, and Total Stock Market Index Funds realized $7,330,000, ($891,000), and $32,118,000, respectively, of net capital gains (losses) resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains (losses) are not taxable to the funds, and are
53
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
not distributed to shareholders, they have been reclassified from accumulated net realized gains (losses) to paid-in capital.
The funds’ tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2003, the following funds had tax-basis capital losses available to offset future net capital gains:
Capital Losses
Expiration: Fiscal
Amount Years Ending
Index Fund (000) December 31
Growth $3,672,554 2008-2012
Value 913,086 2010-2012
Total Stock Market 1,068,601 2009-2012
The funds will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2004; should the funds realize net capital losses for the year, the losses will be added to the loss carryforward balances above. At June 30, 2004, net unrealized appreciation (depreciation) of investment securities for tax purposes was:
(000)
Net Unrealized
Appreciated Depreciated Appreciation
Index Fund Securities Securities (Depreciation)
Growth $2,581,987 $(267,875) $ 2,314,112
Value 931,487 (359,016) 572,471
Large-Cap 1,488 (2,121) (633)
Total Stock Market 8,933,107 (3,733,150) 5,199,957
At June 30, 2004, the aggregate settlement value of open futures contracts expiring in September 2004 and the related unrealized appreciation (depreciation) were:
(000)
Aggregate Unrealized
Number of Settlement Appreciation
Index Fund/Futures Contracts Long Contracts Value (Depreciation)
Total Stock Market/
Russell 2000 Index 14 $ 4,146 $ 169
S&P 500 Index 339 96,649 497
S&P MidCap 400 Index 160 48,660 1,069
E-mini S&P 500 Index 230 13,115 48
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
54
D. During the six months ended June 30, 2004, purchases and sales of investment securities other than temporary cash investments were:
(000)
Index Fund Purchases Sales
Growth $ 966,323 $662,988
Value 666,918 311,767
Large-Cap 128,248 79,456
Total Stock Market 6,001,406 817,749
E. The market value of securities on loan to broker/dealers at June 30, 2004, and collateral received with respect to such loans were:
(000)
Market Value Cash
of Loaned Collateral
Index Fund Securities Received
Growth $ 23,330 $ 24,212
Value 5,472 5,612
Total Stock Market 566,305 621,198
The funds invest cash collateral received in repurchase agreements, and record a liability for the return of the collateral, during the period the securities are on loan.
55
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
F. Capital share transactions for each class of shares were:
Six Months Ended Year Ended
June 30, 2004 December 31, 2003
Amount Shares Amount Shares
Index Fund (000) (000) (000) (000)
Growth
Investor Shares
Issued $650,038 25,589 $1,112,070 50,491
Issued in Lieu of Cash Distributions 19,331 770 48,439 2,221
Redeemed (660,558) (26,023) (1,182,050) (53,735)
Net Increase (Decrease)--Investor Shares 8,811 336 (21,541) (1,023)
Admiral Shares
Issued 192,332 7,563 319,578 14,466
Issued in Lieu of Cash Distributions 3,164 126 6,879 313
Redeemed (153,118) (6,008) (190,848) (8,613)
Net Increase (Decrease)--Admiral Shares 42,378 1,681 135,609 6,166
Institutional Shares
Issued 253,507 9,952 358,863 16,602
Issued in Lieu of Cash Distributions 2,636 105 5,769 265
Redeemed (101,192) (3,994) (410,805) (19,312)
Net Increase (Decrease)--Institutional Shares 154,951 6,063 (46,173) (2,445)
VIPER Shares
Issued 95,081 1,903 -- --
Issued in Lieu of Cash Distributions -- -- -- --
Redeemed -- -- -- --
Net Increase (Decrease)--VIPER Shares 95,081 1,903 -- --
56
Six Months Ended Year Ended
June 30, 2004* December 31, 2003
Amount Shares Amount Shares
Index Fund (000) (000) (000) (000)
Value
Investor Shares
Issued $ 415,475 21,597 $ 607,551 37,231
Issued in Lieu of Cash Distributions 29,571 1,547 51,413 3,062
Redeemed (283,273) (14,746) (577,468) (36,125)
Net Increase (Decrease)--Investor Shares 161,773 8,398 81,496 4,168
Admiral Shares
Issued 196,199 10,194 304,350 18,620
Issued in Lieu of Cash Distributions 7,865 411 12,109 719
Redeemed (97,077) (5,070) (179,917) (11,285)
Net Increase (Decrease)--Admiral Shares 106,987 5,535 136,542 8,054
Institutional Shares
Issued 70,056 3,641 236,300 14,799
Issued in Lieu of Cash Distributions 5,060 265 9,799 591
Redeemed (101,712) (5,311) (323,553) (20,938)
Net Increase (Decrease)--Institutional Shares (26,596) (1,405) (77,454) (5,548)
VIPER Shares
Issued 124,513 2,502 -- --
Issued in Lieu of Cash Distributions -- -- -- --
Redeemed (19,540) (400) -- --
Net Increase (Decrease)--VIPER Shares 104,973 2,102 -- --
Large-Cap
Investor Shares
Issued $24,316 1,219 -- --
Issued in Lieu of Cash Distributions 158 8 -- --
Redeemed (2,449) (123) -- --
Net Increase (Decrease)--Investor Shares 22,025 1,104 -- --
Admiral Shares
Issued 6,177 245 -- --
Issued in Lieu of Cash Distributions 41 2 -- --
Redeemed (1,011) (41) -- --
Net Increase (Decrease)--Admiral Shares 5,207 206 -- --
VIPER Shares
Issued 100,019 2,000 -- --
Issued in Lieu of Cash Distributions -- -- -- --
Redeemed (78,476) (1,600) -- --
Net Increase (Decrease)--VIPER Shares 21,543 400 -- --
*Large-Cap Index Fund results are for the period since inception, January 27, 2004.
57
Six Months Ended Year Ended
June 30, 2004 December 31, 2003
Amount Shares Amount Shares
Index Fund (000) (000) (000) (000)
Total Stock Market
Investor Shares
Issued $4,765,184 179,738 $7,122,285 324,147
Issued in Lieu of Cash Distributions 164,528 6,232 267,229 11,591
Redeemed (1,929,848) (72,876) (2,681,561) (120,340)
Net Increase (Decrease)--Investor Shares 2,999,864 113,094 4,707,953 215,398
Admiral Shares
Issued 1,705,626 64,279 3,028,715 136,668
Issued in Lieu of Cash Distributions 51,900 1,966 78,377 3,392
Redeemed (693,461) (26,212) (818,842) (36,234)
Net Increase (Decrease)--Admiral Shares 1,064,065 40,033 2,288,250 103,826
Institutional Shares
Issued 1,357,854 51,142 3,065,400 130,293
Issued in Lieu of Cash Distributions 52,693 1,996 77,606 3,353
Redeemed (778,318) (29,405) (1,108,064) (48,413)
Net Increase (Decrease)--Institutional Shares 632,229 23,733 2,034,942 85,233
VIPER Shares
Issued 643,829 5,881 782,045 8,467
Issued in Lieu of Cash Distributions -- -- 969 11
Redeemed (48,894) (450) (43,782) (550)
Net Increase (Decrease)--VIPER Shares 594,935 5,431 739,232 7,928
58
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59
THE PEOPLE WHO GOVERN YOUR FUND
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard® funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of
Position(s) Held With
Name Fund (Number of
(Year of Birth) Vanguard Funds
Trustee/officer Overseen by
Since Trustee/officer) Principal Occupation(s) During the Past
Five Years
- ------------------------------------------------------------------------------------------
John J. Brennan* Chairman of the Chairman of the Board, Chief Executive
(1954) Board, Chief Officer, and Director/Trustee of The
May 1987 Executive Officer, Vanguard Group, Inc., and of each of the
and Trustee investment companies served by The
(131) Vanguard Group.
- ------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
Charles D. Ellis Trustee The Partners of `63 (pro bono ventures
(1937) (131) in education); Senior Advisor to Greenwich);
January 2001 Associates (international business
strategy consulting Successor Trustee of Yale
University; Overseer of the Stern School
Trustee of Business at New York
University; of the Whitehead
Institute Biomedical Research.
- ------------------------------------------------------------------------------------------
Rajiv L. Gupta Trustee Chairman and Chief Executive Officer
(1945) (131) (since October 1999), Vice Chairman
December 2001 (January-September 1999), and Vice
President (prior to September 1999) of
Rohm and Haas Co. (chemicals); Director
of Technitrol, Inc. (electronic
components), and Agere Systems
(communications components); Board
Member of the American Chemistry
Council; Trustee of Drexel University.
- ------------------------------------------------------------------------------------------
Joann Heffernan Trustee Vice President, Chief Information
Heisen (131) Officer, and Member of the Executive
(1950) Committee of Johnson & Johnson
July 1998 (pharmaceuticals/consumer products);
Director of the University Medical Center
at Princeton and Women's Research and
Education Institute.
- ------------------------------------------------------------------------------------------
Burton G. Malkiel Trustee Chemical Bank Chairman's Professor
(1932) (129) of Economics, Princeton University;
May 1977 Director of Vanguard Investment Series
plc (Irish invest-ent fund) (since
November 2001), Vanguard Group (Ireland)
Limited (Irish investment management
firm) (since November 2001), Prudential
Insurance Co. of America, BKF Capital
(investment management), The Jeffrey Co.
(holding company), and NeuVis, Inc.
(software company).
- ------------------------------------------------------------------------------------------
the funds. Among board members’ responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee’s retirement, resignation, or death; or otherwise as specified in the fund’s organizational documents. Any trustee may be removed at a shareholders’ meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
Position(s) Held With
Name Fund (Number of
(Year of Birth) Vanguard Funds
Trustee/officer Overseen by
Since Trustee/officer) Principal Occupation(s) During the Past
Five Years
- ------------------------------------------------------------------------------------------
Alfred M. Rankin, Jr. Trustee Chairman, President, Chief
(1941) (131) Executive Officer, and Director of NACCO
January 1993 Industries, Inc. (forklift trucks/
housewares/lignite); Director of Goodrich
Corporation (industrial products/aircraft
systems and services); Director of
Standard Products Company (supplier
for the automotive industry)
until 1998.
- ------------------------------------------------------------------------------------------
J. Lawrence Wilson Trustee Retired Chairman and Chief
(1936) (131) Executive Officer of Rohm and Haas Co.
April 1985 (chemicals); Director of Cummins Inc.
(diesel engines), MeadWestvacoCorp.
(paper products), and
AmerisourceBergen Corp.
(pharmaceutical distribution);
Trustee of Vanderbilt University.
- ------------------------------------------------------------------------------------------
EXECUTIVE OFFICERS*
R. Gregory Barton Secretary Managing Director and General
(1951) (131) Counsel of The Vanguard Group, Inc.;
June 2001 Secretary of The Vanguard Group and
of each of the investmentcompanies
served by The Vanguard Group.
- ------------------------------------------------------------------------------------------
Thomas J. Higgins Treasurer Principal of The Vanguard
(1957) (131) Group, Inc.; Treasurer of each of
July 1998 the investment companies served by
The Vanguard Group.
- ------------------------------------------------------------------------------------------
*Officers of the funds are “interested persons” as defined in the Investment Company Act of 1940.
More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group.
- ------------------------------------------------------------------------------------------
VANGUARD SENIOR MANAGEMENT TEAM
Mortimer J. Buckley, Information Technology.
James H. Gately, Investment Programs and Services.
Kathleen C. Gubanich, Human Resources.
F. William Mcnabb, III, Client Relationship Group.
Michael S. Miller, Planning and Development.
Ralph K. Packard, Finance.
George U. Sauter, Chief Investment Officer.
- ------------------------------------------------------------------------------------------
John C. Bogle, Founder; Chairman and Chief Executive Officer, 1974-1996.
- ------------------------------------------------------------------------------------------
Post Office Box 2600
Valley Forge, PA 19482-2600
Vanguard, The Vanguard Group, Vanguard.com, Admiral, VIPER, VIPERs, and the ship logo are trademarks of The Vanguard Group, Inc. All other marks are the exclusive property of their respective owners.
All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwisenoted.
About Our Cover
The photographs that appear on the cover of this report are copyrighted by Michael Kahn.
For More Information
This report is intended for the funds’ shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus.
To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the funds or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through Vanguard.com. Prospectuses may also be viewed online.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting our website, www.vanguard.com, and searching for “proxy voting guidelines,” or by calling 1-800-662-2739. They are also available from the SEC’s website, www.sec.gov. In addition, beginning August 31, 2004, you may obtain a free report on how the fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either www.vanguard.com or www.sec.gov.
World Wide Web
www.vanguard.com
Fund Information
1-800-662-7447
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1-800-523-1036
Text Telephone
1-800-952-3335
© 2004 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
Q852 082004
As of 6/30/2004 VANGUARD® U.S. STOCK INDEX FUNDS
TOTAL STOCK MARKET INDEX FUND
STATEMENT OF NET ASSETS (UNAUDITED)
The Statement of Net Assets should be read in conjunction with the Statement of Operations, Statement of Changes in Net Assets, Financial Highlights, and Notes to Financial Statements, all of which appear in the accompanying report. This Statement provides a detailed list of the fund’s holdings, including each security’s market value on the last day of the reporting period. Securities are grouped and subtotaled by asset type (common stocks, bonds, etc.) and by industry sector according to Frank Russell Company. Other assets are added to, and liabilities are subtracted from, the value of Total Investments to calculate the fund’s Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund’s net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
Market
Total Stock Market Value^
Index Fund Shares (000)
COMMON STOCKS (99.6%)(1)
Auto & Transportation (2.7%)
United Parcel Service, Inc. 3,952,621 $ 297,119
Ford Motor Co. 6,310,906 98,766
General Motors Corp. 2,024,594 94,326
FedEx Corp. 1,071,147 87,502
Harley-Davidson, Inc. 1,058,358 65,555
Union Pacific Corp. 930,729 55,332
Southwest Airlines Co. 2,833,756 47,522
Burlington Northern
Santa Fe Corp. 1,330,072 46,646
Norfolk Southern Corp. 1,406,127 37,290
PACCAR, Inc. 630,527 36,564
CSX Corp. 770,983 25,265
Genuine Parts Co. 627,547 24,901
Delphi Corp. 2,018,507 21,558
Expeditors International
of Washington, Inc. 378,395 18,696
Lear Corp. 247,449 14,597
C.H. Robinson Worldwide, Inc. 306,731 14,061
J.B. Hunt Transport Services, Inc. 288,400 11,126
Gentex Corp. 277,016 10,992
* JetBlue Airways Corp. 368,216 10,818
Dana Corp. 536,018 $ 10,506
* Navistar International Corp. 248,919 9,648
BorgWarner, Inc. 200,056 8,756
CNF Inc. 180,961 7,521
Polaris Industries, Inc. 156,492 7,512
Oshkosh Truck Corp. 124,552 7,138
* AMR Corp. 575,473 6,969
Thor Industries, Inc. 206,806 6,920
* Yellow Roadway Corp. 172,786 6,887
American Axle & Manufacturing
Holdings, Inc. 189,384 6,886
Overseas Shipholding Group Inc. 141,675 6,252
* TRW Automotive Holdings Corp. 331,400 6,247
Cooper Tire & Rubber Co. 266,269 6,124
Tidewater Inc. 205,057 6,111
Werner Enterprises, Inc. 287,048 6,057
* The Goodyear Tire & Rubber Co. 632,748 5,752
* Landstar System, Inc. 106,980 5,656
Visteon Corp. 470,120 5,486
* Swift Transportation Co., Inc. 290,380 5,212
Florida East Coast Industries, Inc.
Class A 132,573 5,124
Alexander & Baldwin, Inc. 152,508 5,101
1
Market
Total Stock Market Value^
Index Fund Shares (000)
Heartland Express, Inc. 180,602 $ 4,941
ArvinMeritor, Inc. 250,323 4,899
* Laidlaw International Inc. 374,145 4,849
* General Maritime Corp. 169,688 4,656
Winnebago Industries, Inc. 122,146 4,554
OMI Corp. 372,500 4,433
* EGL, Inc. 162,478 4,322
USF Corp. 122,910 4,318
* AirTran Holdings, Inc. 303,327 4,289
Modine Manufacturing Co. 125,798 4,007
* Knight Transportation, Inc. 136,374 3,918
Superior Industries
International, Inc. 109,841 3,674
Arkansas Best Corp. 111,314 3,664
* Old Dominion Freight Line, Inc. 122,261 3,604
Skywest, Inc. 206,190 3,590
Wabtec Corp. 197,134 3,556
* Northwest Airlines Corp. Class A 310,774 3,456
Overnite Corp. 116,236 3,417
* Kansas City Southern 215,901 3,346
* Kirby Corp. 78,769 3,064
* Delta Air Lines, Inc. 430,126 3,062
* Fleetwood Enterprises, Inc. 207,176 3,014
* Forward Air Corp. 78,759 2,946
* ExpressJet Holdings, Inc. 231,267 2,808
* Wabash National Corp. 98,691 2,719
Bandag, Inc. 60,478 2,693
Monaco Coach Corp. 95,343 2,686
* Continental Airlines, Inc. Class B 227,649 2,588
Sauer-Danfoss, Inc. 151,250 2,582
* Pacer International, Inc. 133,816 2,476
* Offshore Logistics, Inc. 86,374 2,429
* SCS Transportation, Inc. 90,477 2,388
* Aviall Inc. 125,121 2,379
* Tenneco Automotive, Inc. 175,642 2,324
* Keystone Automotive
Industries, Inc. 83,316 2,324
* RailAmerica, Inc. 151,604 2,213
* America West Holdings Corp.
Class B 227,864 2,069
* Alaska Air Group, Inc. 84,645 2,020
* A.S.V., Inc. 59,154 1,852
Marine Products Corp. 92,614 1,718
* Strattec Security Corp. 25,080 1,716
* TBC Corp. 68,772 1,637
Arctic Cat, Inc. 57,473 1,582
* Hayes Lemmerz
International, Inc. 100,500 1,518
* AAR Corp. 126,028 1,430
Titan International, Inc. 137,239 1,412
* Mesa Air Group Inc. 165,333 1,338
Todd Shipyards Corp. 69,451 $ 1,219
* Aftermarket Technology Corp. 73,211 1,208
* Gulfmark Offshore, Inc. 75,965 1,199
* Stoneridge, Inc. 66,484 1,130
* The Greenbrier Cos., Inc. 58,327 1,111
Coachmen Industries, Inc. 69,463 1,111
* Quantum Fuel Systems
Technologies Worldwide, Inc. 176,154 1,071
* Collins & Aikman Corp. 191,261 1,069
* Impco Technologies Inc. 164,326 1,040
Standard Motor Products, Inc. 66,341 977
* Pinnacle Airlines Corp. 86,400 976
* Genesee & Wyoming Inc. Class A 41,156 975
Spartan Motors, Inc. 79,054 968
* Miller Industries, Inc. 94,490 932
Maritrans Inc. 60,552 911
* Covenant Transport, Inc. 49,229 841
* Frontier Airlines, Inc. 75,840 825
* Dura Automotive Systems, Inc. 85,440 782
Quixote Corp. 37,711 756
* Atlantic Coast Airlines
Holdings Inc. 124,022 712
* Tower Automotive, Inc. 172,891 629
* MAIR Holdings, Inc. 71,073 580
* Midwest Air Group Inc. 112,128 468
* Republic Airways Holdings Inc. 30,664 437
* P.A.M. Transportation
Services, Inc. 20,950 400
* Quality Distribution Inc. 34,798 384
* Allied Holdings, Inc. 88,435 381
* International Shipholding Corp. 24,861 370
* Trailer Bridge, Inc. 58,146 291
* Seabulk International, Inc. 30,971 256
* Central Freight Lines, Inc. 28,006 224
* Marten Transport, Ltd. 11,900 222
* Petroleum Helicopters, Inc. 11,326 220
* Sports Resorts International, Inc. 44,544 169
* Raytech Corp. 82,564 137
* Hub Group, Inc. 3,100 106
* Conrad Industries, Inc. 35,745 86
Bandag, Inc. Class A 538 22
* Accessity Corp. 1,854 9
1,326,185
Consumer Discretionary (15.7%)
Wal-Mart Stores, Inc. 15,361,695 810,483
Home Depot, Inc. 8,030,209 282,663
* Time Warner, Inc. 15,735,355 276,628
* eBay Inc. 2,357,180 216,743
Viacom Inc. Class B 5,974,274 213,401
The Walt Disney Co. 7,358,577 187,570
* Yahoo! Inc. 4,832,304 175,558
2
Market
Value^
Shares (000)
Gillette Co. 3,598,110 $ 152,560
Lowe's Cos., Inc. 2,811,306 147,734
Target Corp. 3,275,456 139,109
Kimberly-Clark Corp. 1,797,650 118,429
McDonald's Corp. 4,516,045 117,417
Carnival Corp. 2,268,682 106,628
Liberty Media Corp. 10,457,121 94,010
Cendant Corp. 3,657,391 89,533
* DirecTV Group, Inc. 4,958,822 84,796
Gannett Co., Inc. 977,132 82,910
Clear Channel
Communications, Inc. 2,202,808 81,394
* Amazon.com, Inc. 1,452,375 79,009
The Gap, Inc. 3,228,035 78,280
Avon Products, Inc. 1,696,208 78,263
* InterActiveCorp 2,512,191 75,717
NIKE, Inc. Class B 943,599 71,478
Costco Wholesale Corp. 1,645,902 67,597
Waste Management, Inc. 2,081,818 63,808
* Starbucks Corp. 1,421,943 61,826
Best Buy Co., Inc. 1,163,586 59,040
* Electronic Arts Inc. 1,071,856 58,470
* Apollo Group, Inc. Class A 632,539 55,847
Tribune Co. 1,179,918 53,733
The McGraw-Hill Cos., Inc. 683,176 52,311
Staples, Inc. 1,783,774 52,282
* Kohl's Corp. 1,220,109 51,586
Omnicom Group Inc. 677,975 51,452
International Game Technology 1,251,480 48,307
TJX Cos., Inc. 1,781,198 42,998
* Bed Bath & Beyond, Inc. 1,077,757 41,440
* Fox Entertainment Group, Inc.
Class A 1,532,787 40,925
Marriott International, Inc.
Class A 811,309 40,468
* Yum! Brands, Inc. 1,037,861 38,629
J.C. Penney Co., Inc.
(Holding Co.) 998,692 37,711
* Univision Communications Inc. 1,156,258 36,919
Starwood Hotels & Resorts
Worldwide, Inc. 742,547 33,303
Washington Post Co. Class B 34,403 31,995
Federated Department
Stores, Inc. 647,967 31,815
Limited Brands, Inc. 1,688,014 31,566
E.W. Scripps Co. Class A 291,828 30,642
Royal Caribbean Cruises, Ltd. 703,280 30,529
* Coach, Inc. 675,105 30,508
Cintas Corp. 616,217 29,375
Sears, Roebuck & Co. 763,216 28,819
R.R. Donnelley & Sons Co. 871,434 28,775
May Department Stores Co. 1,043,273 $ 28,680
Eastman Kodak Co. 1,028,037 27,736
Mattel, Inc. 1,514,754 27,644
* EchoStar Communications
Corp. Class A 847,233 26,052
Hilton Hotels Corp. 1,375,073 25,659
* AutoZone Inc. 302,179 24,205
* MGM Mirage, Inc. 509,423 23,912
New York Times Co. Class A 530,419 23,715
Newell Rubbermaid, Inc. 988,496 23,230
* Kmart Holding Corp. 323,090 23,198
Dollar General Corp. 1,182,729 23,134
Harrah's Entertainment, Inc. 404,764 21,898
Harman International
Industries, Inc. 237,392 21,603
Estee Lauder Cos. Class A 436,919 21,313
Nordstrom, Inc. 499,176 21,270
* Interpublic Group of Cos., Inc. 1,502,946 20,635
Knight Ridder 282,363 20,330
* Office Depot, Inc. 1,122,613 20,106
Tiffany & Co. 528,410 19,472
VF Corp. 394,070 19,191
CDW Corp. 299,733 19,111
* XM Satellite Radio Holdings, Inc. 688,155 18,780
Family Dollar Stores, Inc. 615,373 18,720
Leggett & Platt, Inc. 692,025 18,484
Robert Half International, Inc. 617,140 18,372
* Liberty Media International
INC-A 484,853 17,988
Jones Apparel Group, Inc. 455,059 17,966
* VeriSign, Inc. 889,244 17,696
Black & Decker Corp. 284,216 17,658
* Mohawk Industries, Inc. 239,621 17,571
Whirlpool Corp. 248,139 17,022
PETsMART, Inc. 518,153 16,814
Mandalay Resort Group 241,966 16,609
* Career Education Corp. 363,440 16,558
* Caesars Entertainment, Inc. 1,103,236 16,549
RadioShack Corp. 577,166 16,524
* AutoNation, Inc. 959,263 16,403
Manpower Inc. 322,227 16,359
Republic Services, Inc. Class A 564,299 16,331
Alberto-Culver Co. Class B 324,727 16,282
Fastenal Co. 273,282 15,531
* Weight Watchers
International, Inc. 384,833 15,062
* Allied Waste Industries, Inc. 1,138,655 15,007
* Iron Mountain, Inc. 308,147 14,871
* ChoicePoint Inc. 317,322 14,489
Ross Stores, Inc. 540,504 14,464
* Chico's FAS, Inc. 320,033 14,453
3
Market
Total Stock Market Value^
Index Fund Shares (000)
Liz Claiborne, Inc. 398,275 $ 14,330
Wendy's International, Inc. 410,896 14,316
* Pixar, Inc. 201,652 14,017
* Williams-Sonoma, Inc. 420,928 13,874
Sabre Holdings Corp. 499,104 13,830
* Lamar Advertising Co. Class A 316,346 13,714
* Sirius Satellite Radio, Inc. 4,435,223 13,660
Michaels Stores, Inc. 246,193 13,541
The Stanley Works 293,203 13,364
* Fisher Scientific
International Inc. 229,595 13,259
Abercrombie & Fitch Co. 338,935 13,134
ServiceMaster Co. 1,058,454 13,040
Foot Locker, Inc. 521,256 12,687
International Flavors &
Fragrances, Inc. 338,846 12,673
* Getty Images, Inc. 209,028 12,542
Polo Ralph Lauren Corp. 360,605 12,423
* Toys R Us, Inc. 769,947 12,265
Hasbro, Inc. 633,242 12,032
Darden Restaurants Inc. 583,559 11,992
* Brinker International, Inc. 346,101 11,809
* Advance Auto Parts, Inc. 266,177 11,760
The McClatchy Co. Class A 166,931 11,710
Belo Corp. Class A 416,983 11,196
* Dollar Tree Stores, Inc. 408,084 11,194
Outback Steakhouse 266,822 11,036
Station Casinos, Inc. 227,794 11,025
Aramark Corp. Class B 378,112 10,875
* Monster Worldwide Inc. 403,837 10,387
Metro-Goldwyn-Mayer Inc. 856,487 10,363
Meredith Corp. 180,840 9,939
GTECH Holdings Corp. 212,792 9,854
International Speedway Corp. 191,781 9,328
* Hewitt Associates, Inc. 336,726 9,260
Circuit City Stores, Inc. 714,456 9,252
Viacom Inc. Class A 254,026 9,234
* O'Reilly Automotive, Inc. 197,007 8,905
* Wynn Resorts Ltd. 229,210 8,854
* Urban Outfitters, Inc. 144,079 8,776
* Rent-A-Center, Inc. 288,903 8,647
* Education Management Corp. 262,850 8,637
* Copart, Inc. 322,619 8,614
Viad Corp. 318,661 8,607
* Barnes & Noble, Inc. 248,201 8,434
* Westwood One, Inc. 350,760 8,348
The Neiman Marcus Group, Inc.
Class A 149,700 8,331
* CarMax, Inc. 373,898 8,177
* Tech Data Corp. 207,953 8,137
* Timberland Co. 125,661 $ 8,116
* Service Corp. International 1,092,215 8,050
Talbots Inc. 204,644 8,012
* Corinthian Colleges, Inc. 323,780 8,010
* Ask Jeeves, Inc. 203,703 7,951
* Convergys Corp. 516,176 7,949
* Columbia Sportswear Co. 145,111 7,926
Lee Enterprises, Inc. 162,041 7,780
Reebok International Ltd. 215,503 7,754
* Activision, Inc. 487,329 7,749
Harte-Hanks, Inc. 315,183 7,694
Saks Inc. 511,485 7,672
* Marvel Enterprises Inc. 392,897 7,669
The Corporate Executive
Board Co. 132,587 7,662
* American Eagle Outfitters, Inc. 257,721 7,451
* The Cheesecake Factory 186,460 7,419
Claire's Stores, Inc. 338,596 7,348
* Gemstar-TV Guide
International, Inc. 1,518,043 7,287
* AnnTaylor Stores Corp. 247,333 7,168
John Wiley & Sons Class A 223,444 7,150
Regis Corp. 159,858 7,128
Snap-On Inc. 210,014 7,046
The Brink's Co. 203,814 6,981
Maytag Corp. 283,539 6,950
* DeVry, Inc. 252,577 6,926
* Entercom Communications Corp. 185,627 6,924
* Citadel Broadcasting Corp. 474,710 6,917
* Fossil, Inc. 253,233 6,901
Applebee's International, Inc. 297,440 6,847
* NetFlix.com, Inc. 185,347 6,663
* PETCO Animal Supplies, Inc. 206,029 6,636
Borders Group, Inc. 281,672 6,602
Ruby Tuesday, Inc. 239,966 6,587
Nu Skin Enterprises, Inc. 256,325 6,490
Choice Hotel International, Inc. 128,105 6,426
Dillard's Inc. 286,097 6,380
Boyd Gaming Corp. 238,775 6,344
* West Corp. 242,410 6,339
* BJ's Wholesale Club, Inc. 251,872 6,297
* ITT Educational Services, Inc. 164,744 6,264
* Laureate Education Inc 162,317 6,207
The Toro Co. 87,343 6,120
IKON Office Solutions, Inc. 532,242 6,105
* Big Lots Inc. 421,950 6,101
* Earthlink, Inc. 575,580 5,957
* Sirva Inc. 252,600 5,810
SCP Pool Corp. 128,134 5,766
* Tractor Supply Co. 137,068 5,732
4
Market
Value^
Shares (000)
* Valassis Communications, Inc. 187,926 $ 5,726
Reader's Digest Association, Inc. 357,220 5,712
* CNET Networks, Inc. 515,437 5,706
Pier 1 Imports Inc. 319,545 5,653
Blyth, Inc. 163,887 5,652
Strayer Education, Inc. 49,925 5,570
CBRL Group, Inc. 175,155 5,404
* Pacific Sunwear of
California, Inc. 275,870 5,399
Media General, Inc. Class A 83,557 5,366
* Aeropostale, Inc. 199,334 5,364
The Pep Boys
(Manny, Moe & Jack) 210,399 5,334
* The Yankee Candle Co., Inc. 181,850 5,319
* Kroll Inc. 143,998 5,311
* American Greetings Corp.
Class A 228,125 5,288
Hollinger International, Inc. 312,938 5,254
Speedway Motorsports, Inc. 154,054 5,152
* Zale Corp. 187,384 5,108
United Auto Group, Inc. 165,671 5,078
Furniture Brands
International Inc. 201,081 5,037
* Corrections Corp. of America
REIT 126,434 4,993
MSC Industrial Direct Co., Inc.
Class A 150,458 4,941
* Take-Two Interactive
Software, Inc. 161,088 4,936
* R.H. Donnelley Corp. 112,087 4,903
* Tempur-Pedic International Inc. 349,430 4,896
Grey Global Group Inc. 4,946 4,872
* Sonic Corp. 213,126 4,849
Ethan Allen Interiors, Inc. 134,735 4,838
* United Stationers, Inc. 121,679 4,833
Hearst-Argyle Television Inc. 185,921 4,793
* Quiksilver, Inc. 200,658 4,778
* Penn National Gaming, Inc. 143,668 4,770
* Linens `n Things, Inc. 161,985 4,748
* Waste Connections, Inc. 156,624 4,645
Journal Communications, Inc. 246,300 4,638
* MPS Group, Inc. 377,625 4,577
* Gaylord Entertainment Co. 142,355 4,469
ADVO, Inc. 132,951 4,377
* Select Comfort Corp. 153,561 4,361
* Scientific Games Corp. 226,333 4,332
* Tuesday Morning Corp. 148,078 4,294
* InfoSpace, Inc. 112,285 4,271
Kellwood Co. 97,382 4,241
* Shuffle Master, Inc. 116,503 4,230
* Charter Communications, Inc. 1,077,819 $ 4,225
* Aztar Corp. 150,703 4,220
* Krispy Kreme Doughnuts, Inc. 219,946 4,199
* Emmis Communications, Inc. 199,492 4,185
* WMS Industries, Inc. 140,265 4,180
* Scholastic Corp. 136,978 4,102
Tupperware Corp. 210,742 4,095
Banta Corp. 92,063 4,089
* United Natural Foods, Inc. 141,180 4,082
* Arbitron Inc. 110,986 4,053
* Guitar Center, Inc. 90,418 4,021
* P.F. Chang's China Bistro, Inc. 97,665 4,019
* Dick's Sporting Goods, Inc. 120,342 4,013
* Universal Technical Institute Inc. 99,488 3,978
* 99 Cents Only Stores 260,506 3,973
* Argosy Gaming Co. 105,543 3,968
* CEC Entertainment Inc. 134,019 3,955
* United Online, Inc. 223,566 3,937
* Jack in the Box Inc. 131,402 3,903
* Global Imaging Systems, Inc. 105,911 3,883
* Helen of Troy Ltd. 105,204 3,879
* DoubleClick Inc. 498,519 3,873
Matthews International Corp. 115,513 3,805
* Priceline.com, Inc. 139,556 3,758
Rollins, Inc. 162,665 3,743
Wolverine World Wide, Inc. 142,091 3,730
ABM Industries Inc. 191,566 3,730
Kelly Services, Inc. Class A 124,476 3,709
* Payless ShoeSource, Inc. 245,215 3,656
* Radio One, Inc. 225,688 3,636
* Multimedia Games Inc. 134,644 3,611
* Panera Bread Co. 100,286 3,598
* Men's Wearhouse, Inc. 136,348 3,598
* Stein Mart, Inc. 217,057 3,529
* Hot Topic, Inc. 171,209 3,508
* Jarden Corp. 97,400 3,505
* Overstock.com, Inc. 88,202 3,447
* Boca Resorts, Inc. Class A 173,550 3,440
Regal Entertainment Group
Class A 189,727 3,434
* Catalina Marketing Corp. 187,268 3,425
Bob Evans Farms, Inc. 125,041 3,424
* MAXIMUS, Inc. 95,596 3,390
La-Z-Boy Inc. 188,380 3,387
Oxford Industries, Inc. 77,272 3,366
* The Sports Authority, Inc. 93,685 3,363
Oakley, Inc. 259,308 3,355
* Journal Register Co. 167,536 3,351
The Nautilus Group, Inc. 170,937 3,335
* Resources Connection, Inc. 84,439 3,302
5
Market
Total Stock Market Value^
Index Fund Shares (000)
* RC2 Corp. 91,708 $ 3,256
Watson Wyatt & Co. Holdings 121,760 3,245
* Cumulus Media Inc. 192,130 3,230
* THQ Inc. 140,165 3,210
* Electronics Boutique
Holdings Corp. 120,854 3,183
* Tetra Tech, Inc. 194,166 3,169
* Charming Shoppes, Inc. 353,937 3,161
Fred's, Inc. 141,628 3,129
* Alliance Gaming Corp. 181,252 3,110
G & K Services, Inc. Class A 77,177 3,102
Callaway Golf Co. 272,503 3,090
* Stage Stores, Inc. 81,783 3,080
* Consolidated Graphics, Inc. 69,227 3,049
* Big 5 Sporting Goods Corp. 115,712 3,030
CDI Corp. 86,313 2,986
Aaron Rents, Inc. Class B 90,049 2,984
* Rare Hospitality International Inc. 119,451 2,974
Landry's Restaurants, Inc. 98,609 2,947
Brown Shoe Co., Inc. 71,927 2,944
* Heidrick & Struggles
International, Inc. 99,030 2,939
* School Specialty, Inc. 80,508 2,923
* Teletech Holdings Inc. 331,765 2,910
* USANA Health Sciences, Inc. 93,602 2,909
Handleman Co. 125,288 2,902
Liberty Corp. 61,557 2,890
* Cost Plus, Inc. 88,871 2,884
K-Swiss, Inc. 142,146 2,873
Phillips-Van Heusen Corp. 148,770 2,864
Burlington Coat Factory
Warehouse Corp. 148,382 2,864
* Labor Ready, Inc. 183,720 2,848
IHOP Corp. 78,846 2,820
* Playtex Products, Inc. 358,807 2,806
* The Advisory Board Co. 77,794 2,769
World Fuel Services Corp. 61,434 2,769
* Wireless Facilities, Inc. 281,318 2,765
* CMGI Inc. 1,415,182 2,760
* Genesco, Inc. 115,849 2,738
* J. Jill Group, Inc. 115,798 2,732
* Papa John's International, Inc. 92,453 2,731
Gevity HR, Inc. 103,233 2,704
* The Warnaco Group, Inc. 127,076 2,703
* Guess ?, Inc. 166,939 2,688
* Ryan's Restaurant Group, Inc. 168,763 2,666
* Six Flags, Inc. 367,104 2,665
* CSK Auto Corp. 155,425 2,664
* Midway Games Inc. 230,521 2,656
* Insight Enterprises, Inc. 148,845 2,643
* The Children's Place Retail
Stores, Inc. 112,393 2,643
* Finish Line, Inc. 87,271 $ 2,633
* Hollywood Entertainment Corp. 195,498 2,612
* Group 1 Automotive, Inc. 78,475 2,606
* Coldwater Creek Inc. 98,026 2,595
Kenneth Cole Productions, Inc. 75,142 2,575
* Too Inc. 153,580 2,565
* ProQuest Co. 93,403 2,545
Ameristar Casinos, Inc. 75,369 2,531
* Navigant Consulting, Inc. 117,206 2,513
* Central Garden and Pet Co. 70,028 2,505
* Wesco International, Inc. 135,582 2,495
* Dollar Thrifty Automotive
Group, Inc. 90,546 2,485
Renaissance Learning, Inc. 109,555 2,456
* ShopKo Stores, Inc. 173,244 2,450
* Radio One, Inc. Class D 152,170 2,436
* Sharper Image Corp. 77,145 2,422
* ValueClick, Inc. 200,334 2,400
* Navarre Corp. 166,470 2,396
* bebe stores, inc. 119,501 2,390
* Cox Radio, Inc. 137,047 2,382
* Korn/Ferry International 121,586 2,355
* The Gymboree Corp. 151,855 2,332
* PRIMEDIA Inc. 833,727 2,318
* Orbitz, Inc. 106,687 2,307
* Charlotte Russe Holding Inc. 107,407 2,296
* CKE Restaurants Inc. 171,739 2,289
Cato Corp. Class A 101,518 2,279
* FTI Consulting, Inc. 137,802 2,274
* California Pizza Kitchen, Inc. 118,501 2,270
* Clark, Inc. 121,184 2,248
* Jo-Ann Stores, Inc. 76,133 2,238
* Vail Resorts Inc. 116,554 2,233
Movie Gallery, Inc. 114,091 2,230
Russell Corp. 122,158 2,194
* Bright Horizons Family
Solutions, Inc. 40,857 2,190
* Leapfrog Enterprises, Inc. 109,442 2,177
Christopher & Banks Corp. 121,698 2,155
* K2 Inc. 135,696 2,130
Lone Star Steakhouse &
Saloon, Inc. 78,217 2,127
Sinclair Broadcast Group, Inc. 206,929 2,125
Central Parking Corp. 113,002 2,112
* Stewart Enterprises, Inc. Class A 258,182 2,102
* Lin TV Corp. 96,988 2,056
Movado Group, Inc. 118,812 2,050
* Carter's, Inc. 70,200 2,044
* ValueVision Media, Inc. 156,330 2,035
* Jos. A. Bank Clothiers, Inc. 64,348 2,020
* Ventiv Health, Inc. 129,324 2,002
* Red Robin Gourmet Burgers 73,051 1,999
6
Market
Value^
Shares (000)
Churchill Downs, Inc. 49,097 $ 1,998
* The Dress Barn, Inc. 116,129 1,988
* MemberWorks, Inc. 67,111 1,988
* Exult Inc. 368,386 1,982
* Charles River Associates Inc. 64,016 1,981
* Information Holdings Inc. 71,627 1,960
* Brightpoint, Inc. 142,127 1,954
Blockbuster Inc. Class A 128,729 1,954
* Navigant International, Inc. 109,658 1,951
* Skechers U.S.A., Inc. 149,772 1,947
* Lifeline Systems, Inc. 81,471 1,928
World Wrestling
Entertainment, Inc. 151,101 1,927
* PDI, Inc. 62,353 1,891
* Cross Country Healthcare, Inc. 103,981 1,887
* Entravision
Communications Corp. 244,522 1,878
* Coinstar, Inc. 85,452 1,877
* A.C. Moore Arts & Crafts, Inc. 67,979 1,870
* CoStar Group, Inc. 40,145 1,844
* Perry Ellis International Corp. 72,579 1,833
* Spherion Corp. 177,490 1,800
Mannatech, Inc. 187,092 1,796
* infoUSA Inc. 176,480 1,790
* LookSmart, Ltd. 823,501 1,787
Bassett Furniture Industries, Inc. 82,065 1,786
Thomas Nelson, Inc. 78,290 1,780
* Hartmarx Corp. 282,132 1,777
Cherokee Inc. 70,599 1,771
* Pre-Paid Legal Services, Inc. 73,630 1,755
Sonic Automotive, Inc. 79,151 1,753
* Forrester Research, Inc. 93,035 1,735
* Casual Male Retail Group, Inc. 236,142 1,724
* SITEL Corp. 407,891 1,721
Sturm, Ruger & Co., Inc. 142,044 1,720
* Lakes Entertainment, Inc. 148,335 1,719
* Water Pik Technologies, Inc. 102,672 1,700
* Administaff, Inc. 101,664 1,688
Pulitzer, Inc. 34,444 1,684
* Central European
Distribution Corp. 64,748 1,678
Chemed Corp. 34,112 1,654
Action Performance Cos., Inc. 109,308 1,647
Angelica Corp. 65,253 1,639
Bowne & Co., Inc. 103,098 1,634
* Insight Communications Co., Inc. 176,366 1,633
* Century Business Services, Inc. 372,686 1,625
* Volt Information Sciences Inc. 50,375 1,587
* MarketWatch.com, Inc. 135,273 1,587
The Buckle, Inc. 55,560 1,570
* TiVo Inc. 220,755 1,565
* Blue Nile Inc. 41,526 $ 1,562
The Stride Rite Corp. 140,328 1,548
Gray Television, Inc. 110,674 1,537
* Geo Group Inc. 75,220 1,534
* aQuantive, Inc. 154,707 1,529
* AMN Healthcare Services, Inc. 99,893 1,527
* Prime Hospitality Corp. 143,704 1,526
* America's Car-Mart, Inc. 50,535 1,518
* Pegasus Solutions Inc. 114,559 1,504
* FindWhat.com 64,884 1,501
* Cole National Corp. Class A 64,061 1,496
* SOURCECORP, Inc. 54,110 1,489
* West Marine, Inc. 55,157 1,481
* EZCORP, Inc. 149,209 1,480
* Learning Tree International, Inc. 100,359 1,456
Stamps.com Inc. 141,755 1,444
The Neiman Marcus Group, Inc.
Class B 27,740 1,439
Libbey, Inc. 51,834 1,439
Triarc Cos., Inc. Class B 141,030 1,434
* Retail Ventures, Inc. 184,431 1,427
Stanley Furniture Co., Inc. 33,766 1,422
* MarineMax, Inc. 49,376 1,416
* Midas Inc. 81,236 1,414
* 4Kids Entertainment Inc. 59,005 1,411
* Crown Media Holdings, Inc. 162,230 1,382
* iVillage Inc. 213,125 1,353
Dover Downs Gaming &
Entertainment, Inc. 119,999 1,350
* iPass Inc. 127,408 1,349
* Fisher Communications, Inc. 26,730 1,345
* Revlon, Inc. Class A 453,952 1,339
* Hibbett Sporting Goods, Inc. 48,831 1,336
Blair Corp. 46,134 1,333
* Carmike Cinemas, Inc. 33,788 1,333
* Rubio's Restaurants, Inc. 167,594 1,332
Russ Berrie and Co., Inc. 68,435 1,330
* MTR Gaming Group Inc. 120,720 1,322
* O'Charley's Inc. 76,743 1,319
Startek, Inc. 36,479 1,306
American Woodmark Corp. 21,727 1,300
National Presto Industries, Inc. 31,468 1,297
* Clean Harbors Inc. 135,404 1,284
Traffix, Inc. 188,033 1,237
* Greg Manning Auctions, Inc. 80,550 1,232
* Insurance Auto Auctions, Inc. 72,378 1,230
* Saga Communications, Inc. 67,351 1,229
* Salem Communications Corp. 44,840 1,217
Goody's Family Clothing 117,010 1,213
* 24/7 Real Media, Inc. 215,057 1,206
* Isle of Capri Casinos, Inc. 68,112 1,189
7
Market
Total Stock Market Value^
Index Fund Shares (000)
* Spanish Broadcasting
System, Inc. 127,649 $ 1,188
* Pegasus Communications Corp. 48,483 1,186
* Casella Waste Systems, Inc. 89,950 1,183
* Worldwide Restaurant
Concepts Inc. 336,961 1,176
* Beasley Broadcast Group, Inc. 78,430 1,173
* SM&A Corp. 135,159 1,169
* Syms Corp. 125,948 1,166
Dover Motorsports, Inc. 290,163 1,161
* Friendly Ice Cream Corp. 87,243 1,147
* Pinnacle Entertainment, Inc. 90,355 1,139
* Steven Madden, Ltd. 56,939 1,137
Superior Uniform Group, Inc. 71,397 1,134
* Benihana Inc. Class A 76,126 1,134
* Amerco, Inc. 46,978 1,116
Advanced Marketing Services 86,223 1,113
* AMC Entertainment, Inc. 72,132 1,109
* S&K Famous Brands Inc. 66,833 1,107
* Universal Electronics, Inc. 62,916 1,103
* Bally Total Fitness Holding Corp. 220,148 1,101
* 1-800-FLOWERS.COM, Inc. 134,471 1,095
* Innotrac Corp. 121,629 1,076
The Marcus Corp. 62,100 1,071
* NetRatings, Inc. 65,023 1,059
* Nexstar Broadcasting Group, Inc. 96,133 1,056
* Applica Inc. 118,109 1,051
UniFirst Corp. 36,057 1,049
* Shoe Carnival, Inc. 69,700 1,046
* Alderwoods Group, Inc. 85,558 1,044
* Dave & Busters, Inc. 55,541 1,044
Cadmus Communications 70,686 1,043
* LodgeNet Entertainment Corp. 62,458 1,031
* Elizabeth Arden, Inc. 48,637 1,023
* Galyan's Trading Co. 61,040 1,018
* Kforce Inc. 107,410 1,014
* Asbury Automotive Group, Inc. 67,020 1,005
* Playboy Enterprises, Inc. Class B 86,037 999
The Topps Co., Inc. 102,854 998
* Trans World Entertainment Corp. 96,664 969
* Department 56 Inc. 62,888 968
* eMerge Interactive, Inc. 502,633 960
* Steak n Shake Co. 52,581 958
* Young Broadcasting Inc. 72,852 958
* GameStop Corp. 62,568 952
* Del Laboratories, Inc. 30,636 950
Oshkosh B' Gosh, Inc. Class A 38,049 950
* Steinway Musical Instruments Inc. 27,050 949
Jackson Hewitt Tax Service Inc. 54,000 945
Hancock Fabrics, Inc. 74,026 944
* JAKKS Pacific, Inc. 43,483 904
* Digital Generation Systems 604,015 894
* Brookstone, Inc. 44,559 $ 893
* Bombay Co. 145,277 891
* FreeMarkets, Inc. 132,541 864
* On Assignment, Inc. 143,765 848
Courier Corp. 20,203 843
* Trump Hotels & Casino
Resorts, Inc. 348,413 843
Allen Organ Co. 15,974 837
* Harris Interactive Inc. 124,339 836
* 1-800 CONTACTS, Inc. 55,414 822
* Cornell Companies, Inc. 60,116 818
Fedders Corp. 186,089 809
* Carriage Services, Inc. 159,214 802
* Verticalnet, Inc. 503,548 791
* Vans, Inc. 38,400 789
* Hudson Highland Group, Inc. 25,611 785
* Checkers Drive-In
Restaurants, Inc. 67,928 785
* Total Entertainment
Restaurant Corp. 57,863 783
* Alloy, Inc. 127,143 782
* Medical Staffing Network
Holdings, Inc. 121,029 779
* Cache, Inc. 57,390 775
* Monro Muffler Brake, Inc. 31,583 766
* Lazare Kaplan International, Inc. 89,948 760
* Enesco Group, Inc. 84,783 760
* Regent Communications, Inc. 120,434 745
* The Pantry, Inc. 34,123 744
* Autobytel Inc. 81,924 744
* The Smith & Wollensky
Restaurant Group, Inc. 118,820 740
Inter Parfums, Inc. 35,422 739
* Paxson Communications Corp. 226,788 737
* Exponent, Inc. 27,334 734
Lithia Motors, Inc. 29,616 734
* Internap Network Services Corp. 605,942 733
CPI Corp. 48,991 721
Haverty Furniture Cos., Inc. 40,999 717
* First Consulting Group, Inc. 129,827 717
Triarc Cos., Inc. Class A 69,353 716
* Gadzooks, Inc. 277,226 715
* Digital Theater Systems Inc. 26,892 703
* Perficient, Inc. 175,645 699
* The Wet Seal, Inc. Class A 133,364 697
* Hampshire Group, Ltd. 23,629 685
* NIC Inc. 95,015 681
The First Years Inc. 36,393 677
* Cenveo Inc. 229,960 674
* Luby's, Inc. 96,746 669
* Pfsweb Inc. 399,075 666
* Kirkland's, Inc. 55,573 663
8
Market
Value^
Shares (000)
* Neoforma, Inc. 53,628 $ 651
* The Boyds Collection, Ltd. 196,097 651
* QRS Corp. 99,235 650
L.S. Starrett Co. Class A 39,964 645
* Lightbridge, Inc. 113,717 637
* Chicago Pizza & Brewery, Inc. 41,352 629
* Franklin Electronic
Publishers, Inc. 135,240 629
* Deckers Outdoor Corp. 21,100 622
* PLATO Learning, Inc. 62,287 617
Deb Shops, Inc. 25,240 607
* Nashua Corp. 62,515 606
* DiamondCluster International, Inc. 69,255 602
* GSI Commerce, Inc. 62,172 599
Lawson Products, Inc. 15,669 598
* PC Connection, Inc. 90,435 595
CSS Industries, Inc. 16,716 586
* Maxwell Shoe Co. Inc. 25,185 585
* ParkerVision, Inc. 102,667 585
* Correctional Services Corp. 174,060 581
* Daily Journal Corp. 16,475 560
Strategic Distribution, Inc. 42,472 559
* Mothers Work, Inc. 26,827 552
* Management Network Group Inc. 219,690 547
* Party City Corp. 43,250 540
* Buca, Inc. 99,600 531
* Atari, Inc. 219,969 530
* Wyndham International, Inc.
Class A 521,530 522
* Systemax Inc. 76,352 512
* Metro One
Telecommunications, Inc. 346,463 509
* Concord Camera Corp. 154,139 509
* Rentrak Corp. 53,989 507
* LKQ Corp. 27,055 501
* LECG Corp. 28,937 501
* Main Street & Main, Inc. 238,407 501
* Drugstore.com, Inc. 143,102 499
* WCA Waste Corp. 54,000 481
Haggar Corp. 23,100 465
* Tweeter Home Entertainment
Group, Inc. 85,465 462
* Candie's, Inc. 168,282 461
* Raindance Communications, Inc. 213,663 444
* Century Casinos, Inc. 80,663 440
* Restoration Hardware, Inc. 58,833 430
* Source Interlink Cos., Inc. 38,400 427
* Conn's, Inc. 26,800 422
* SPEEDUS Corp. 178,056 422
* ICT Group, Inc. 44,707 409
Saucony Inc. 19,300 406
* Interstate Hotels & Resorts, Inc. 73,153 394
* Big Dog Holdings, Inc. 74,520 $ 382
Weyco Group, Inc. 11,130 382
* Rainmaker Systems, Inc. 180,662 376
Rock of Ages Corp. 45,700 371
* Edgewater Technology, Inc. 59,353 367
* Brillian Corp. 45,458 366
* Cellstar Corp. 49,675 366
ILX Resorts Inc. 38,276 361
* Gander Mountain Co. 15,443 354
* Emerson Radio Corp. 113,213 354
* Spherix Inc. 69,336 354
Stephan Co. 69,807 335
* Empire Resorts Inc. 23,500 330
* Gartner, Inc. Class B 25,223 325
Schawk, Inc. 22,689 317
* Martha Stewart Living
Omnimedia, Inc. 34,382 309
* Onvia.com, Inc. 50,357 300
* APAC Teleservices, Inc. 171,768 297
* Cabela's Inc. 11,000 296
* Digital Impact, Inc. 150,009 285
* Register.com, Inc. 47,738 285
* Medialink Worldwide, Inc. 78,115 280
* ARK Restaurants Corp. 11,862 279
Knape & Vogt Manufacturing Co. 21,096 272
* Vcampus Corp. 88,198 271
* Oneida Ltd. 165,390 268
* Salton, Inc. 47,400 254
* Commerce One, Inc. 266,069 253
* Catalina Lighting, Inc. 23,200 245
* Ultimate Electronics, Inc. 48,794 241
* Nobel Learning Communities, Inc. 32,450 227
* Synagro Technologies Inc. 80,490 222
* Gallery of History, Inc. 54,602 215
Aaron Rents, Inc. 6,750 204
* SciQuest, Inc. 32,779 203
* COMFORCE Corp. 84,292 201
* Whitehall Jewellers, Inc. 24,672 185
* EasyLink Services Corp. 112,311 183
* The Princeton Review, Inc. 21,613 164
* PriceSmart, Inc. 24,490 153
* Benihana Inc. 8,400 126
* Mayor's Jeweler's, Inc. 151,566 117
* Wilsons The Leather Experts Inc. 28,098 109
* Interep National Radio Sales, Inc. 98,600 108
* Vermont Teddy Bear Co., Inc. 19,037 103
* Acclaim Entertainment Inc. 290,919 99
* Finlay Enterprises, Inc. 5,167 97
* America Online Latin
America, Inc. 125,763 87
* Marchex, Inc. 7,040 79
* REX Stores Corp. 6,324 77
9
Market
Total Stock Market Value^
Index Fund Shares (000)
Star Buffet, Inc. 12,736 $ 77
Friedman's, Inc. Class A 22,537 72
* Fresh Choice, Inc. 43,708 71
* SportsLine.com, Inc. 60,513 65
Escalade, Inc. 2,400 55
* National Technical Systems, Inc. 9,697 46
* Bush Industries, Inc. 135,417 37
* Liquid Audio, Inc. 114,175 33
* Protection One, Inc. 113,561 33
* Hanover Direct, Inc. 228,984 32
* Geerlings & Wade Inc. 30,636 19
* Major Automotive Cos., Inc. 17,395 16
* DGSE Companies, Inc. 4,000 12
* Visual Data Corp. 5,529 12
* Provo International Inc. 35,123 6
* CTI Industries Corp. 2,904 6
* Championship Auto Racing
Teams, Inc. 77,500 5
Interactivecorp 1.99% Cvt. Pfd. 76 4
* Headway Corporate
Resources, Inc. 152,392 2
* InterActiveCorp Warrants
Exp. 2/4/2009 38 1
7,726,134
Consumer Staples (6.6%)
The Procter & Gamble Co. 9,258,381 504,026
The Coca-Cola Co. 8,724,243 440,400
Altria Group, Inc. 7,345,695 367,652
PepsiCo, Inc. 6,114,382 329,443
Anheuser-Busch Cos., Inc. 2,883,588 155,714
Walgreen Co. 3,680,979 133,288
Colgate-Palmolive Co. 1,908,013 111,523
Sysco Corp. 2,292,887 82,246
Sara Lee Corp. 2,834,033 65,154
General Mills, Inc. 1,355,361 64,420
Kellogg Co. 1,472,513 61,625
CVS Corp. 1,424,776 59,869
ConAgra Foods, Inc. 1,894,882 51,313
Wm. Wrigley Jr. Co. 808,433 50,972
H.J. Heinz Co. 1,262,634 49,495
Coca-Cola Enterprises, Inc. 1,685,602 48,866
* The Kroger Co. 2,644,240 48,125
Hershey Foods Corp. 929,708 43,018
The Clorox Co. 760,893 40,921
* Safeway, Inc. 1,600,717 40,562
Campbell Soup Co. 1,473,831 39,617
Albertson's, Inc. 1,321,803 35,081
Kraft Foods Inc. 1,004,294 31,816
The Pepsi Bottling Group, Inc. 923,879 28,215
Tyson Foods, Inc. 1,269,700 26,600
UST, Inc. 595,512 21,438
Whole Foods Market, Inc. 221,871 $ 21,178
Brown-Forman Corp. Class B 435,910 21,041
* Dean Foods Co. 563,665 21,030
R.J. Reynolds Tobacco
Holdings, Inc. 306,025 20,684
McCormick & Co., Inc. 495,245 16,838
Hormel Foods Corp. 499,449 15,533
SuperValu Inc. 485,727 14,868
* Constellation Brands, Inc.
Class A 381,445 14,163
* Smithfield Foods, Inc. 398,935 11,729
J.M. Smucker Co. 232,873 10,691
PepsiAmericas, Inc. 493,028 10,472
* Rite Aid Corp. 1,861,391 9,716
Adolph Coors Co. Class B 129,209 9,347
* Del Monte Foods Co. 752,881 7,649
* 7-Eleven, Inc. 402,606 7,187
* NBTY, Inc. 240,632 7,072
Pilgrim's Pride Corp. 239,958 6,944
Church & Dwight, Inc. 147,224 6,740
Tootsie Roll Industries, Inc. 186,972 6,077
Fresh Del Monte Produce Inc. 205,107 5,183
* Ralcorp Holdings, Inc. 132,936 4,679
Universal Corp. (VA) 90,633 4,617
* Performance Food Group Co. 166,257 4,412
Flowers Foods, Inc. 161,975 4,236
Winn-Dixie Stores, Inc. 505,684 3,641
Ruddick Corp. 161,712 3,630
Sensient Technologies Corp. 165,676 3,559
Longs Drug Stores, Inc. 147,379 3,518
Weis Markets, Inc. 95,310 3,341
Casey's General Stores, Inc. 181,475 3,321
* Chiquita Brands International, Inc. 145,604 3,046
Vector Group Ltd. 188,367 2,967
Sanderson Farms, Inc. 53,057 2,845
Coca-Cola Bottling Co. 41,138 2,381
Schweitzer-Mauduit
International, Inc. 72,979 2,235
* Hain Celestial Group, Inc. 122,579 2,219
Interstate Bakeries Corp. 201,583 2,187
Lance, Inc. 138,147 2,127
* Smart & Final Inc. 176,879 2,126
Farmer Brothers, Inc. 77,110 2,069
American Italian Pasta Co. 60,681 1,850
* M&F Worldwide Corp. 126,168 1,729
Nash-Finch Co. 65,310 1,635
* Wild Oats Markets Inc. 102,180 1,438
Riviana Foods, Inc. 52,125 1,364
* Duane Reade Inc. 80,204 1,310
Ingles Markets, Inc. 115,688 1,292
* Peet's Coffee & Tea Inc. 51,125 1,278
10
Market
Value^
Shares (000)
* Boston Beer Co., Inc. Class A 63,347 $ 1,276
* Lifeway Foods, Inc. 83,016 1,259
* The Great Atlantic & Pacific Tea
Co., Inc. 158,103 1,211
* J & J Snack Foods Corp. 28,087 1,147
Seaboard Corp. 2,302 1,146
* Pathmark Stores, Inc. 144,566 1,102
Nature's Sunshine Inc. 77,314 1,101
* Provide Commerce Inc. 54,399 1,072
* Robert Mondavi Corp. Class A 27,882 1,032
* Chalone Wine Group Ltd. 95,914 1,031
Standard Commercial Tobacco Co. 57,025 1,029
* John B. Sanfilippo & Son, Inc. 38,295 1,023
* Todhunter International, Inc. 65,486 914
* Nutraceutical International Corp. 38,913 829
* Green Mountain Coffee
Roasters, Inc. 39,143 727
Dimon Inc. 121,838 697
National Beverage Corp. 49,566 492
Arden Group Inc. Class A 5,213 467
* Omega Protein Corp. 41,400 402
Rocky Mountain Chocolate
Factory, Inc. 28,250 357
* Maui Land & Pineapple Co., Inc. 7,344 250
* Diedrich Coffee, Inc. 36,509 201
* Redhook Ale Brewery, Inc. 86,380 188
* Nutrition 21 Inc. 261,445 157
* Seneca Foods Corp. 7,400 142
* Star Scientific, Inc. 22,947 91
* Hansen Nat Corp. 3,000 76
* The Penn Traffic Co. 65,411 10
3,270,022
Financial Services (22.0%)
Citigroup, Inc. 18,523,454 861,341
American International
Group, Inc. 9,342,329 665,921
Bank of America Corp. 7,302,719 617,956
Wells Fargo & Co. 6,044,547 345,929
J.P. Morgan Chase & Co. 7,467,038 289,497
Fannie Mae 3,481,052 248,408
American Express Co. 4,582,160 235,431
Wachovia Corp. 4,709,295 209,564
Morgan Stanley 3,941,478 207,992
Bank One Corp. 4,022,874 205,167
U.S. Bancorp 6,796,341 187,307
Merrill Lynch & Co., Inc. 3,435,560 185,452
The Goldman Sachs Group, Inc. 1,730,496 162,944
Freddie Mac 2,477,153 156,804
First Data Corp. 3,128,601 139,285
Washington Mutual, Inc. 3,112,714 120,275
MBNA Corp. 4,581,520 118,157
Allstate Corp. 2,519,500 $ 117,283
Fifth Third Bancorp 2,018,313 108,545
Metropolitan Life Insurance Co. 2,710,355 97,166
St. Paul Travelers Cos., Inc. 2,392,065 96,974
Automatic Data
Processing, Inc. 2,117,345 88,674
Prudential Financial, Inc. 1,886,190 87,651
Marsh & McLennan Cos., Inc. 1,891,374 85,831
The Bank of New York Co., Inc. 2,788,121 82,194
National City Corp. 2,227,919 77,999
Lehman Brothers Holdings, Inc. 992,944 74,719
AFLAC Inc. 1,823,747 74,427
BB&T Corp. 1,989,073 73,536
The Hartford Financial
Services Group Inc. 1,046,014 71,903
Countrywide Financial Corp. 1,001,917 70,385
Progressive Corp. of Ohio 780,005 66,534
SunTrust Banks, Inc. 1,012,737 65,818
SLM Corp. 1,574,056 63,671
State Street Corp. 1,204,691 59,078
Capital One Financial Corp. 859,806 58,794
Golden West Financial Corp. 547,841 58,263
PNC Financial Services Group 1,011,359 53,683
Charles Schwab Corp. 4,894,563 47,037
SouthTrust Corp. 1,199,056 46,535
The Chubb Corp. 680,467 46,394
Paychex, Inc. 1,354,285 45,883
Franklin Resources Corp. 898,138 44,979
Mellon Financial Corp. 1,522,327 44,650
KeyCorp 1,471,564 43,985
* Genworth Financial Inc. 1,753,431 40,241
Loews Corp. 665,203 39,886
The Principal Financial
Group, Inc. 1,144,752 39,814
Equity Office Properties Trust
REIT 1,447,461 39,371
Simon Property Group, Inc. REIT 746,289 38,374
M & T Bank Corp. 425,101 37,111
Charter One Financial, Inc. 802,792 35,475
CIGNA Corp. 507,724 34,936
Moody's Corp. 537,008 34,723
Comerica, Inc. 621,279 34,096
Northern Trust Corp. 790,411 33,419
AmSouth Bancorp 1,264,248 32,200
Aon Corp. 1,130,328 32,180
Bear Stearns Co., Inc. 376,376 31,732
Marshall & Ilsley Corp. 796,698 31,143
Lincoln National Corp. 639,552 30,219
H & R Block, Inc. 627,693 29,928
Equity Residential REIT 1,005,093 29,881
UnionBanCal Corp. 529,164 29,845
11
Market
Total Stock Market Value^
Index Fund Shares (000)
MBIA, Inc. 519,219 $ 29,658
CIT Group Inc. 760,573 29,122
Regions Financial Corp. 787,288 28,775
Ambac Financial Group, Inc. 388,714 28,547
Synovus Financial Corp. 1,093,269 27,682
* Fiserv, Inc. 700,782 27,253
* SunGard Data Systems, Inc. 1,040,749 27,059
MGIC Investment Corp. 354,774 26,913
* I Financial Corp. 897,053 26,544
Cincinnati Financial Corp. 600,479 26,133
Vornado Realty Trust REIT 450,247 25,714
Jefferson-Pilot Corp. 501,566 25,480
Sovereign Bancorp, Inc. 1,098,968 24,287
National Commerce
Financial Corp. 731,947 23,788
North Fork Bancorp, Inc. 614,760 23,392
General Growth Properties Inc.
REIT 781,774 23,117
Fidelity National Financial, Inc. 618,199 23,084
T. Rowe Price Group Inc. 454,610 22,912
Hudson City Bancorp, Inc. 679,274 22,715
SAFECO Corp. 499,790 21,991
Legg Mason Inc. 239,161 21,766
Torchmark Corp. 399,360 21,486
Plum Creek Timber Co. Inc. REIT 659,222 21,477
ProLogis REIT 650,314 21,408
Public Storage, Inc. REIT 460,422 21,184
Archstone-Smith Trust REIT 702,033 20,591
Popular, Inc. 478,796 20,478
Union Planters Corp. 681,882 20,327
First Horizon National Corp. 444,889 20,229
Banknorth Group, Inc. 618,780 20,098
Zions Bancorp 321,188 19,737
Boston Properties, Inc. REIT 382,137 19,137
Huntington Bancshares Inc. 824,688 18,885
Compass Bancshares Inc. 439,102 18,881
Green Point Financial Corp. 472,934 18,775
New York Community
Bancorp, Inc. 948,684 18,623
Kimco Realty Corp. REIT 398,417 18,128
Rouse Co. REIT 369,759 17,564
The Chicago Mercantile
Exchange 118,507 17,109
* Ameritrade Holding Corp. 1,498,381 17,007
UnumProvident Corp. 1,066,482 16,957
White Mountains Insurance
Group Inc. 32,443 16,546
Radian Group, Inc. 338,358 16,207
Duke Realty Corp. REIT 509,235 16,199
iStar Financial Inc. REIT 394,580 15,783
Total System Services, Inc. 708,954 15,526
Old Republic International Corp. 653,351 15,497
Commerce Bancorp, Inc. 279,642 $ 15,383
* Providian Financial Corp. 1,046,446 15,351
Transatlantic Holdings, Inc. 188,870 15,297
The PMI Group Inc. 343,095 14,931
TCF Financial Corp. 254,002 14,745
* E*TRADE Financial Corp. 1,311,314 14,621
* DST Systems, Inc. 304,018 14,620
Avalonbay Communities, Inc.
REIT 257,720 14,566
* Host Marriott Corp. REIT 1,155,185 14,278
Janus Capital Group Inc. 859,087 14,166
* The Dun & Bradstreet Corp. 258,868 13,956
Hibernia Corp. Class A 559,106 13,586
Assurant, Inc. 509,395 13,438
Doral Financial Corp. 388,956 13,419
Dow Jones & Co., Inc. 294,612 13,287
Mercantile Bankshares Corp. 283,551 13,276
Developers Diversified Realty
Corp. REIT 366,321 12,957
W.R. Berkley Corp. 300,773 12,918
Leucadia National Corp. 254,401 12,644
Liberty Property Trust REIT 303,972 12,223
Equifax, Inc. 491,677 12,169
* Alliance Data Systems Corp. 287,465 12,145
Federated Investors, Inc. 388,051 11,773
Associated Banc-Corp. 396,202 11,739
City National Corp. 174,912 11,492
Health Care Properties Investors
REIT 473,892 11,392
Allied Capital Corp. 460,044 11,234
Commerce Bancshares, Inc. 243,462 11,186
* AmeriCredit Corp. 566,106 11,056
Independence Community
Bank Corp. 298,212 10,855
Erie Indemnity Co. Class A 231,056 10,809
SEI Corp. 371,695 10,794
Brown & Brown, Inc. 247,365 10,661
Apartment Investment &
Management Co. Class A REIT 339,246 10,561
People's Bank 336,473 10,481
Unitrin, Inc. 244,886 10,432
Investors Financial Services Corp. 237,634 10,356
* Conseco, Inc. 519,313 10,334
Chelsea Property Group REIT 158,341 10,327
* CapitalSource Inc. 421,210 10,299
AMB Property Corp. REIT 296,431 10,265
Astoria Financial Corp. 280,554 10,263
Hospitality Properties Trust REIT 241,286 10,206
Friedman, Billings, Ramsey
Group, Inc. REIT 511,768 10,128
The Macerich Co. REIT 210,156 10,060
Arthur J. Gallagher & Co. 326,040 9,928
12
Market
Value^
Shares (000)
Student Loan Corp. 72,130 $ 9,846
* Markel Corp. 35,452 9,838
A.G. Edwards & Sons, Inc. 288,672 9,824
Mercury General Corp. 196,160 9,739
* CheckFree Corp. 324,373 9,731
Weingarten Realty Investors
REIT 308,527 9,651
Protective Life Corp. 249,027 9,630
* WellChoice Inc. 231,426 9,581
Ryder System, Inc. 234,956 9,415
Regency Centers Corp. REIT 217,780 9,343
Eaton Vance Corp. 242,369 9,261
Reinsurance Group of
America, Inc. 224,322 9,119
Catellus Development Corp. REIT 369,719 9,114
Fulton Financial Corp. 450,293 9,073
United Dominion Realty Trust
REIT 458,395 9,067
Webster Financial Corp. 192,396 9,046
Mills Corp. REIT 192,723 9,000
Mack-Cali Realty Corp. REIT 217,209 8,988
Nuveen Investments, Inc. Class A 335,224 8,984
Valley National Bancorp 355,327 8,983
Certegy, Inc. 229,218 8,894
Wilmington Trust Corp. 238,373 8,872
Trizec Properties, Inc. REIT 544,142 8,848
American National Insurance Co. 95,434 8,811
Bank of Hawaii Corp. 193,823 8,765
Fair, Isaac, Inc. 254,256 8,487
Westcorp, Inc. 186,425 8,473
New Plan Excel Realty Trust
REIT 359,841 8,406
Colonial BancGroup, Inc. 458,390 8,329
* BOK Financial Corp. 211,909 8,322
Cullen/Frost Bankers, Inc. 185,309 8,293
Sky Financial Group, Inc. 335,311 8,292
First American Corp. 319,122 8,262
American Financial Group, Inc. 263,539 8,056
FirstMerit Corp. 305,017 8,043
Capitol Federal Financial 264,638 7,913
Rayonier Inc. REIT 177,716 7,899
Deluxe Corp. 180,900 7,869
* Alleghany Corp. 27,416 7,868
Thornburg Mortgage, Inc. REIT 290,918 7,840
HCC Insurance Holdings, Inc. 231,343 7,729
Federal Realty Investment Trust
REIT 184,980 7,693
Nationwide Financial
Services, Inc. 202,480 7,615
International Bancshares Corp. 182,748 7,410
Pan Pacific Retail Properties, Inc.
REIT 145,440 7,348
WFS Financial, Inc. 148,252 $ 7,340
Annaly Mortgage
Management Inc. REIT 423,050 7,175
Ventas, Inc. REIT 300,788 7,023
StanCorp Financial Group, Inc. 104,768 7,019
Provident Financial Group, Inc. 177,484 7,004
Raymond James Financial, Inc. 264,280 6,990
American Capital Strategies, Ltd. 248,344 6,959
Arden Realty Group, Inc. REIT 234,965 6,910
Washington Federal Inc. 283,010 6,792
Reckson Associates Realty Corp.
REIT 239,675 6,581
W Holding Co., Inc. 383,216 6,580
Waddell & Reed Financial, Inc. 297,220 6,572
IndyMac Bancorp, Inc. REIT 207,937 6,571
Camden Property Trust REIT 142,985 6,549
* The First Marblehead Corp. 162,536 6,544
Whitney Holdings Corp. 145,778 6,512
Jack Henry & Associates Inc. 323,207 6,496
SL Green Realty Corp. REIT 138,586 6,486
* Allmerica Financial Corp. 191,432 6,470
CenterPoint Properties Corp. REIT 83,965 6,444
UCBH Holdings, Inc. 162,543 6,424
HRPT Properties Trust REIT 636,979 6,376
Jefferies Group, Inc. 205,724 6,361
BancorpSouth, Inc. 281,758 6,348
Park National Corp. 49,650 6,341
* Instinet Group Inc. 1,190,915 6,288
BRE Properties Inc. Class A
REIT 180,790 6,282
Shurgard Storage Centers, Inc.
Class A REIT 164,896 6,167
Global Payments Inc. 135,791 6,113
Trustmark Corp. 211,074 6,104
* BISYS Group, Inc. 434,130 6,104
The South Financial Group, Inc. 214,068 6,067
CBL & Associates Properties, Inc.
REIT 110,253 6,064
Hudson United Bancorp 161,629 6,026
Health Care Inc. REIT 184,201 5,987
Westamerica Bancorporation 114,052 5,982
Old National Bancorp 240,641 5,975
Cathay General Bancorp 89,438 5,966
Realty Income Corp. REIT 142,864 5,962
First Midwest Bancorp, Inc. 168,222 5,923
CarrAmerica Realty Corp. REIT 195,386 5,907
First BanCorp Puerto Rico 144,473 5,887
AmerUs Group Co. 141,578 5,861
* Interactive Data Corp. 335,051 5,837
Healthcare Realty Trust Inc. REIT 154,992 5,809
Cousins Properties, Inc. REIT 175,957 5,798
Commerce Group, Inc. 117,122 5,782
13
Market
Total Stock Market Value^
Index Fund Shares (000)
Crescent Real Estate, Inc. REIT 357,770 $ 5,767
New Century Financial Corp. 121,897 5,707
* The MONY Group Inc. 181,791 5,690
* La Quinta Corp. REIT 675,611 5,675
Odyssey Re Holdings Corp. 234,191 5,621
Essex Property Trust, Inc. REIT 82,208 5,619
American Financial Realty Trust
REIT 392,900 5,615
East West Bancorp, Inc. 180,200 5,532
* National Processing, Inc. 191,390 5,502
Southwest Bancorporation of
Texas, Inc. 123,727 5,459
First Industrial Realty Trust REIT 147,775 5,450
FactSet Research Systems Inc. 115,002 5,436
Texas Regional Bancshares, Inc. 117,661 5,402
Downey Financial Corp. 100,851 5,370
Prentiss Properties Trust REIT 159,978 5,362
Greater Bay Bancorp 184,684 5,337
* Affiliated Managers Group, Inc. 104,505 5,264
* NewAlliance Bancshares, Inc. 373,905 5,220
Susquehanna Bancshares, Inc. 207,092 5,210
Impac Mortgage Holdings, Inc.
REIT 230,500 5,191
United Bankshares, Inc. 157,819 5,129
MAF Bancorp, Inc. 119,352 5,094
* Silicon Valley Bancshares 126,685 5,023
Delphi Financial Group, Inc. 112,546 5,008
* United Rentals, Inc. 277,943 4,972
Fremont General Corp. 277,272 4,894
Citizens Banking Corp. 156,342 4,854
GATX Corp. 177,372 4,825
* Arch Capital Group Ltd. 120,205 4,794
* Philadelphia Consolidated
Holding Corp. 79,513 4,776
Chittenden Corp. 132,356 4,652
Hilb, Rogal and Hamilton Co. 129,321 4,614
First Citizens BancShares Class A 37,661 4,595
Pacific Capital Bancorp 163,293 4,593
* Kronos, Inc. 111,399 4,590
Home Properties, Inc. REIT 117,459 4,579
Equity One, Inc. REIT 252,603 4,567
Heritage Property Investment
Trust REIT 167,648 4,537
* ProAssurance Corp. 132,728 4,527
Highwood Properties, Inc. REIT 192,421 4,522
American Home Mortgage
Investment Corp. REIT 174,181 4,517
Nationwide Health Properties,
Inc. REIT 238,923 4,516
Brandywine Realty Trust REIT 164,726 4,479
Selective Insurance Group 112,139 $ 4,472
* Ohio Casualty Corp. 220,036 4,429
Pennsylvania REIT 128,851 4,413
Washington REIT 149,831 4,402
Redwood Trust, Inc. REIT 78,932 4,395
* Commercial Capital Bancorp, Inc. 253,002 4,395
State Auto Financial Corp. 142,938 4,391
Flagstar Bancorp, Inc. 218,661 4,347
Community First Bankshares, Inc. 134,788 4,339
Zenith National Insurance Corp. 89,056 4,328
National Financial Partners Corp. 121,128 4,272
BlackRock, Inc. 66,153 4,223
The Phoenix Cos., Inc. 340,430 4,170
* Knight Trading Group, Inc. 416,070 4,169
Post Properties, Inc. REIT 142,957 4,167
Corus Bankshares Inc. 100,909 4,148
Kilroy Realty Corp. REIT 121,518 4,144
Taubman Co. REIT 179,953 4,119
Commercial Federal Corp. 150,612 4,082
Alfa Corp. 289,499 4,053
* UICI 170,125 4,051
UMB Financial Corp. 78,407 4,047
Maguire Properties, Inc. REIT 161,900 4,010
21st Century Insurance Group 307,792 3,983
MB Financial, Inc. 107,753 3,966
Northwest Bancorp, Inc. 172,794 3,957
Alexandria Real Estate Equities,
Inc. REIT 69,412 3,941
* CompuCredit Corp. 225,606 3,903
TrustCo Bank NY 295,695 3,874
Senior Housing Properties Trust
REIT 230,610 3,872
Waypoint Financial Corp. 138,996 3,835
Capital Automotive REIT 130,361 3,823
F.N.B. Corp. 185,131 3,777
Santander BanCorp 152,746 3,776
Seacoast Financial Services Corp. 107,992 3,737
Newcastle Investment Corp. REIT 123,934 3,712
Provident Bankshares Corp. 128,103 3,694
First Commonwealth
Financial Corp. 283,698 3,680
* BankUnited Financial Corp. 142,211 3,669
* Jones Lang Lasalle Inc. 135,115 3,662
First Niagara Financial
Group, Inc. 302,575 3,631
* USI Holdings Corp. 229,266 3,622
CVB Financial Corp. 165,707 3,609
Gables Residential Trust REIT 105,505 3,585
Colonial Properties Trust REIT 92,153 3,551
* Sterling Financial Corp. 110,402 3,519
14
Market
Value^
Shares (000)
Horace Mann Educators Corp. 199,616 $ 3,489
First National Bankshares of
Florida 183,985 3,487
BankAtlantic Bancorp, Inc.
Class A 188,730 3,482
* Financial Federal Corp. 98,113 3,459
S & T Bancorp, Inc. 108,163 3,459
Bank Mutual Corp. 316,181 3,446
Wintrust Financial Corp. 68,186 3,444
* Ocwen Financial Corp. 285,833 3,441
R.L.I. Corp. 94,226 3,439
* S1 Corp. 344,895 3,428
* NCO Group, Inc. 128,129 3,420
* CB Richard Ellis Group, Inc. 178,614 3,412
* First Federal Financial Corp. 81,408 3,387
Novastar Financial, Inc. REIT 88,608 3,364
* iPayment Holdings, Inc. 81,637 3,347
* Triad Guaranty, Inc. 57,125 3,325
Hancock Holding Co. 114,046 3,314
NDCHealth Corp. 142,788 3,313
First Financial Bancorp 185,671 3,290
Lexington Corporate Properties
Trust REIT 164,089 3,267
* Alexander's, Inc. REIT 19,299 3,237
Commercial Net Lease Realty
REIT 187,322 3,222
Infinity Property & Casualty Corp. 97,461 3,216
John H. Harland Co. 109,362 3,210
LandAmerica Financial Group, Inc. 80,141 3,120
Amcore Financial, Inc. 102,763 3,099
* Piper Jaffray Cos., Inc. 67,800 3,067
Chemical Financial Corp. 82,997 3,062
* eSPEED, Inc. Class A 168,252 2,970
PS Business Parks, Inc. REIT 73,537 2,959
Stewart Information
Services Corp. 85,844 2,899
Brookline Bancorp, Inc. 196,738 2,886
Sun Communities, Inc. REIT 76,403 2,877
First Republic Bank 66,482 2,864
Republic Bancorp, Inc. 205,585 2,858
Advanta Corp. Class A 129,772 2,846
PFF Bancorp, Inc. 76,259 2,840
Community Bank System, Inc. 120,922 2,756
Summit Properties, Inc. REIT 107,408 2,754
* Sotheby's Holdings Class A 169,654 2,708
Harbor Florida Bancshares, Inc. 96,342 2,650
Main Street Banks, Inc. 92,668 2,604
Glimcher Realty Trust REIT 117,473 2,599
Entertainment Properties Trust
REIT 72,318 2,585
Manufactured Home
Communities, Inc. REIT 77,757 $ 2,581
Irwin Financial Corp. 97,632 2,577
MCG Capital Corp. 167,581 2,577
Mid-State Bancshares 109,558 2,576
Harleysville National Corp. 100,284 2,567
Parkway Properties Inc. REIT 57,751 2,567
United Community Banks, Inc. 101,454 2,555
NBT Bancorp, Inc. 113,392 2,533
Cash America International Inc. 110,070 2,532
R & G Financial Corp. Class B 75,665 2,501
* eFunds Corp. 142,694 2,497
* Saxon Capital Inc. 109,375 2,497
National Health Investors REIT 91,675 2,493
Hudson River Bancorp. Inc. 146,004 2,492
Alabama National
BanCorporation 44,769 2,483
Sterling Bancshares, Inc. 174,673 2,479
* I Surety Corp. 225,301 2,467
* Digital Insight Corp. 119,003 2,467
Gold Banc Corp., Inc. 158,349 2,454
Umpqua Holdings Corp. 116,844 2,453
Koger Equity, Inc. REIT 105,436 2,438
Getty Realty Holding Corp. REIT 96,131 2,419
Westbanco Inc. 82,985 2,417
Corporate Office Properties
Trust, Inc. REIT 96,672 2,402
EastGroup Properties, Inc. REIT 71,343 2,402
Dime Community Bancshares 137,372 2,401
* Nelnet, Inc. 134,800 2,393
First Sentinel Bancorp Inc. 115,926 2,382
Fidelity Bankshares, Inc. 67,176 2,381
Nara Bancorp, Inc. 138,580 2,374
Charter Financial Corp. 69,709 2,370
Glacier Bancorp, Inc. 83,892 2,363
First Financial Bankshares, Inc. 56,097 2,352
Anchor Bancorp Wisconsin Inc. 88,882 2,350
Prosperity Bancshares, Inc. 95,526 2,326
First Federal Capital Corp. 83,539 2,325
Boston Private Financial
Holdings, Inc. 100,195 2,321
* Advent Software, Inc. 127,247 2,299
McGrath Rent Corp. 62,206 2,299
First Charter Corp. 105,022 2,288
* World Acceptance Corp. 123,558 2,265
* Navigators Group, Inc. 78,022 2,254
Keystone Property Trust REIT 93,609 2,249
* Euronet Worldwide, Inc. 97,242 2,249
* Ace Cash Express, Inc. 87,322 2,243
Anthracite Capital Inc. REIT 184,461 2,210
15
Market
Total Stock Market Value^
Index Fund Shares (000)
Equity Inns, Inc. REIT 237,483 $ 2,206
Omega Healthcare Investors, Inc.
REIT 216,848 2,177
* Argonaut Group, Inc. 117,248 2,161
FBL Financial Group, Inc. Class A 76,344 2,157
* MeriStar Hospitality Corp. REIT 315,260 2,156
Quaker City Bancorp, Inc. 39,160 2,151
CB Bancshares Inc. (HI) 22,900 2,134
United Fire & Casualty Co. 36,935 2,133
Town & Country Trust REIT 84,226 2,126
U.S. Restaurant Properties, Inc.
REIT 139,781 2,123
National Penn Bancshares Inc. 71,366 2,122
LaBranche & Co. Inc. 251,975 2,122
* Metris Cos., Inc. 243,260 2,114
Glenborough Realty Trust, Inc.
REIT 114,219 2,096
* Accredited Home Lenders
Holding Co. 74,168 2,088
Hanmi Financial Corp. 70,677 2,085
Tanger Factory Outlet Centers,
Inc. REIT 53,311 2,084
City Holding Co. 65,603 2,072
Harleysville Group, Inc. 109,319 2,061
* Danielson Holdings Corp. 286,496 1,980
* Investment Technology
Group, Inc. 154,532 1,976
Oriental Financial Group Inc. 72,948 1,975
Flushing Financial Corp. 111,552 1,969
Midwest Banc Holdings, Inc. 87,857 1,959
Ramco-Gershenson Properties
Trust REIT 80,831 1,959
Kansas City Life Insurance Co. 46,467 1,956
U.S.B. Holding Co., Inc. 85,135 1,951
* Encore Capital Group, Inc. 147,551 1,949
Net.Bank, Inc. 177,689 1,942
Correctional Properties Trust REIT 66,122 1,934
Riggs National Corp. 91,497 1,932
* PICO Holdings, Inc. 100,365 1,919
Apollo Investment Corp. 139,248 1,917
Sovran Self Storage, Inc. REIT 50,060 1,911
Integra Bank Corp. 86,514 1,906
BSB Bancorp, Inc. 53,410 1,899
Vesta Insurance Group, Inc. 291,936 1,889
Presidential Life Corp. 104,215 1,878
Bristol West Holdings, Inc. 103,100 1,875
* National Western Life Insurance
Co. Class A 12,192 1,872
Banner Corp. 64,259 1,867
Cascade Bancorp 99,226 1,834
First Financial Holdings, Inc. 63,476 1,829
Mid-America Apartment
Communities, Inc. REIT 47,583 $ 1,803
Community Trust Bancorp Inc. 58,947 1,798
Great American Financial
Resources, Inc. 111,653 1,775
WSFS Financial Corp. 36,403 1,772
* FelCor Lodging Trust, Inc. REIT 144,379 1,747
First Source Corp. 69,086 1,726
Independent Bank Corp. (MI) 67,646 1,718
AMLI Residential Properties Trust
REIT 57,983 1,701
Pennfed Financial Services, Inc. 49,835 1,694
Great Southern Bancorp, Inc. 57,902 1,694
Bedford Property Investors, Inc.
REIT 57,683 1,687
OceanFirst Financial Corp. 70,288 1,683
Seacoast Banking Corp. of Florida 79,468 1,663
KNBT Bancorp Inc. 99,529 1,662
Frontier Financial Corp. 47,417 1,657
* Credit Acceptance Corp. 109,862 1,656
* Portfolio Recovery Associates, Inc. 60,051 1,656
First Financial Corp. (IN) 51,578 1,645
* Tradestation Group Inc. 228,392 1,642
Independent Bank Corp. (MA) 56,106 1,624
MFA Mortgage Investments, Inc.
REIT 181,701 1,617
American Equity Investment Life
Holding Co. 162,400 1,616
Capital Corp. of the West 41,457 1,610
Central Pacific Financial Co. 57,746 1,588
Interchange Financial
Services Corp. 63,509 1,580
* Sun Bancorp, Inc. (NJ) 74,299 1,580
Cross Timbers Royalty Trust 56,741 1,569
* American Physicians Capital, Inc. 67,214 1,556
Universal Health Realty Income
REIT 54,194 1,555
* Florida Banks, Inc. 71,823 1,554
Simmons First National Corp. 59,466 1,548
Medallion Financial Corp. 193,366 1,537
Southwest Bancorp, Inc. 83,277 1,520
* CCC Information Services Group 89,324 1,500
Bank of the Ozarks, Inc. 64,188 1,496
Old Second Bancorp, Inc. 28,295 1,493
Investors Real Estate Trust REIT 143,471 1,489
Ashford Hospitality Trust 176,600 1,475
Unizan Financial Corp. 56,406 1,472
LaSalle Hotel Properties REIT 60,227 1,470
* PRG-Schultz International, Inc. 267,569 1,464
NYMAGIC, Inc. 55,397 1,462
16
Market
Value^
Shares (000)
Urstadt Biddle Properties Class A
REIT 98,464 $ 1,458
* United PanAm Financial Corp. 85,516 1,458
Newmil Bancorp, Inc. 49,400 1,457
Affordable Residential
Communities 86,924 1,443
Associated Estates Realty Corp.
REIT 178,512 1,437
Humboldt Bancorp 67,838 1,418
Omega Financial Corp. 41,012 1,412
Winston Hotels, Inc. REIT 136,157 1,409
Luminent Mortgage Capital, Inc. 116,300 1,396
LTC Properties, Inc. REIT 83,892 1,393
Peoples Holding Co. 40,175 1,388
Value Line, Inc. 39,040 1,386
Columbia Bancorp 47,411 1,385
Capstead Mortgage Corp. REIT 102,759 1,382
* InterCept, Inc. 84,119 1,378
First Community Bancorp 35,817 1,377
RAIT Investment Trust REIT 55,773 1,375
First Merchants Corp. 52,110 1,352
* CyberSource Corp. 161,314 1,349
IBERIABANK Corp. 22,654 1,341
Suffolk Bancorp 41,047 1,338
Midland Co. 44,894 1,331
Yardville National Bancorp 52,973 1,324
First Place Financial Corp. 71,285 1,324
Horizon Financial Corp. 66,436 1,322
* Virginia Commerce Bancorp, Inc. 44,675 1,318
Sandy Spring Bancorp, Inc. 37,868 1,316
Capital City Bank Group, Inc. 33,188 1,314
Arrow Financial Corp. 43,082 1,312
Capital Trust Class A 48,757 1,303
* Universal American
Financial Corp. 117,539 1,291
Provident Financial Holdings, Inc. 54,403 1,287
* The Bancorp Bank 72,607 1,286
American Land Lease, Inc. REIT 67,938 1,281
Cornerstone Realty Income Trust,
Inc. REIT 144,503 1,267
Century Bancorp, Inc. Class A 38,399 1,263
Price Legacy Corp. REIT 68,348 1,262
* E-LOAN, Inc. 462,836 1,250
Second Bancorp, Inc. 39,923 1,249
Capital Bank Corp. 76,031 1,246
* Amnet Mortgage INC 120,840 1,245
Bryn Mawr Bank Corp. 54,437 1,238
Financial Institutions, Inc. 49,692 1,227
Oak Hill Financial, Inc. 38,854 1,224
Sizeler Property Investors, Inc.
REIT 132,190 1,217
North Valley Bancorp 76,739 $ 1,216
Baldwin & Lyons, Inc. Class B 45,072 1,210
Anworth Mortgage Asset Corp.
REIT 101,141 1,202
Kramont Realty Trust REIT 75,097 1,202
Saul Centers, Inc. REIT 37,416 1,201
Merchants Bancshares, Inc. 45,424 1,192
First Bancorp (NC) 35,357 1,182
Highland Hospitality Corp. 117,300 1,179
SWS Group, Inc. 76,853 1,176
Investors Title Co. 36,763 1,158
* Franklin Bank Corp. 72,428 1,146
Sterling Financial Corp. (PA) 43,971 1,145
Community Banks, Inc. 38,669 1,136
* Stifel Financial Corp. 41,705 1,134
* HomeStore, Inc. 284,295 1,134
* Cardinal Financial Corp. 124,966 1,131
* First Mariner Bancorp, Inc. 65,959 1,125
* Newtek Business Services, Inc. 299,391 1,123
* Pacific Premier Bancorp, Inc. 105,301 1,121
Summit Bancshares, Inc. 38,444 1,119
LSB Corp. 69,722 1,116
* Ameriserv Financial Inc. 200,070 1,110
Union Bankshares Corp. 35,096 1,109
PrivateBancorp, Inc. 40,304 1,107
* DutchFork Bancshares, Inc. 28,441 1,099
First Potomac REIT 57,007 1,093
United Community Financial Corp. 83,069 1,080
* Marlin Business Services Inc. 71,167 1,070
Heritage Financial Corp. 57,120 1,065
* Banc Corp. 162,670 1,059
Innkeepers USA Trust REIT 102,352 1,055
Pulaski Financial Corp. 59,613 1,043
* Ceres Group, Inc. 168,125 1,032
Columbia Banking System, Inc. 46,268 1,027
* HealthExtras, Inc. 60,989 1,011
* Rewards Network Inc. 111,764 1,006
HF Financial Corp. 65,452 1,005
PMA Capital Corp. Class A 111,439 1,003
First Federal Bancshares of
Arkansas, Inc. 51,050 996
Greater Delaware Valley Savings
Bank 35,216 995
HMN Financial, Inc. 37,437 987
Penn-America Group, Inc. 68,033 952
Sterling Bancorp 34,472 952
Massbank Corp. 26,988 934
First South Bancorp, Inc. 41,591 934
Partners Trust Financial Group, Inc. 47,634 934
Citizens South Banking Corp. 70,251 926
TF Financial Corp. 30,784 924
17
Market
Total Stock Market Value^
Index Fund Shares (000)
State Financial Services Corp.
Class A 31,126 $ 923
Peoples Bancorp, Inc. 34,481 917
BancFirst Corp. 15,228 910
Maxcor Financial Group Inc. 84,764 907
MutualFirst Financial Inc. 41,804 904
Crawford & Co. Class B 183,013 902
* Falcon Financial Investment Trust
REIT 114,641 894
* AmericanWest Bancorporation 46,283 886
Sanders Morris Harris Group Inc. 60,047 886
FNB Financial Services Corp. 51,761 880
Provident Bancorp, Inc. 75,836 865
Government Properties Trust, Inc. 81,600 853
TriCo Bancshares 44,684 845
* TNS Inc. 38,600 841
West Coast Bancorp 38,499 825
Bank of Granite Corp. 39,162 819
* Republic First Bancorp, Inc. 61,663 798
BNP Residential Properties, Inc.
REIT 60,606 796
Bay View Capital Corp. 379,947 783
* United National Group Ltd.
Class A 51,400 777
Unity Bancorp, Inc. 57,846 775
First Keystone Financial, Inc. 31,603 766
Willow Grove Bancorp, Inc. 47,663 758
* Federal Agricultural Mortgage
Corp. Class A 39,706 754
Lakeland Financial Corp. 22,152 742
Peapack Gladstone Financial Corp. 23,039 740
FNB Corp. (VA) 25,475 734
* Investors Capital Holdings, Ltd. 152,895 734
Tompkins Trustco, Inc. 15,141 719
* TheStreet.com, Inc. 192,786 717
Gabelli Asset Management Inc. 16,819 715
* Hypercom Corp. 83,038 702
* Carreker Corp. 69,470 696
First Oak Brook Bancshares, Inc. 22,912 694
Greater Community Bancorp 48,478 692
Royal Bancshares of
Pennsylvania, Inc. 27,862 691
Acadia Realty Trust REIT 50,205 690
* Capital Crossing Bank 12,176 680
One Liberty Properties, Inc. REIT 37,300 677
First Busey Corp. 22,940 671
Comm Bancorp, Inc. 16,021 660
Team Financial, Inc. 56,081 659
Safety Insurance Group, Inc. 30,237 648
* Citizens, Inc. 78,727 646
FirstBank Corp. 22,930 623
Rainier Pacific Financial
Group Inc. 37,717 $ 613
* Ampal-American Israel Corp. 192,550 610
Berkshire Hills Bancorp, Inc. 16,251 603
Sound Federal Bancorp Inc. 44,559 598
* Greenhill & Co., Inc. 28,400 594
Capital Title Group, Inc. 137,733 594
* Signature Bank 24,902 592
Codorus Valley Bancorp, Inc. 32,185 589
Capitol Bancorp Ltd. 22,418 583
* First Union Real Estate REIT 183,664 580
Security Bank Corp. 16,578 576
Parkvale Financial Corp. 21,361 563
Commercial Bankshares, Inc. 21,061 560
First Indiana Corp. 29,373 560
Humphrey Hospitality Trust, Inc.
REIT 125,678 555
Farmers Capital Bank Corp. 15,228 544
HopFed Bancorp, Inc. 33,180 538
Urstadt Biddle Properties REIT 37,652 531
Washington Trust Bancorp, Inc. 20,221 525
Chester Valley Bancorp 24,416 524
* Texas Capital Bancshares, Inc. 30,899 513
Mission West Properties Inc. REIT 40,509 491
S.Y. Bancorp, Inc. 20,677 484
CFS Bancorp, Inc. 36,464 483
* Asset Acceptance Capital Corp. 28,400 483
Citizens First Financial Corp. 21,213 483
Donegal Group Inc. 23,966 481
* ITLA Capital Corp. 11,814 479
Camden National Corp. 14,155 468
BCSB Bankcorp, Inc. 35,003 465
* Portal Software, Inc. 126,848 460
* First Cash Financial Services, Inc. 21,450 456
Wainwright Bank & Trust Co. 37,861 456
Ziegler Cos., Inc. 24,576 445
FFLC Bancorp, Inc. 17,483 440
* Intersections Inc. 18,300 439
* Prime Group Realty Trust REIT 83,018 438
Habersham Bancorp 17,887 429
Jefferson Bancshares, Inc. 32,653 423
First M&F Corp. 13,431 418
First of Long Island Corp. 8,983 415
ABC Bancorp 20,247 412
CoBiz Inc. 29,775 412
Center Bancorp, Inc. 36,736 411
CityBank Lynnwood WA 12,515 401
Ameriana Bancorp 26,285 393
First United Corp. 19,984 389
Community Bank of Northern
Virginia 28,135 380
18
Market
Value^
Shares (000)
* American Independence Corp. 22,883 $ 378
* Consumer Portfolio Services, Inc. 83,980 378
EMC Insurance Group, Inc. 16,087 376
Electro Rent Corp. 34,608 362
* Boykin Lodging Co. REIT 46,980 359
Foothill Independent Bancorp. 16,586 346
* Central Coast Bancorp 18,688 342
NASB Financial Inc. 7,996 338
United Mobile Homes, Inc. REIT 25,654 337
Pennrock Financial Services Corp. 10,745 324
AmeriVest Properties, Inc. REIT 54,800 323
Republic Bancorp, Inc. Class A 15,869 320
FLAG Financial Corp. 24,595 318
First Midwest Financial, Inc. 13,210 314
Track Data Corp. 284,712 305
* Criimi Mae, Inc. REIT 25,288 303
Wayne Savings Bancshares, Inc. 18,926 298
California National Bancorp 22,215 297
Sun Bancorp, Inc. 12,962 290
BRT Realty Trust REIT 14,677 286
Mainsource Financial Group, Inc. 13,906 282
Abigail Adams National
Bancorp., Inc. 18,337 276
National Health Realty Inc. REIT 16,288 276
Community West Bancshares 31,843 275
First State Bancorporation 8,816 271
Northern States Financial Corp. 9,983 271
TIB Financial Corp. 12,821 259
German American Bancorp 15,127 254
* Horizon Group Properties, Inc. REIT 48,293 252
United Financial Corp. 10,411 250
State Bancorp, Inc. 9,697 237
* InsWeb Corp. 53,556 237
Monmouth Real Estate
Investment Corp. REIT 30,281 236
Eastern Virginia Bankshares, Inc. 11,985 236
Belmont Bancorp 38,694 236
Citizens 1st Bancorp, Inc. 9,533 227
Pamrapo Bancorp, Inc. 9,236 217
* Bankrate, Inc. 25,248 216
ESB Financial Corp. 16,808 210
* Intelidata Technologies Corp. 299,116 197
Camco Financial Corp. 13,771 193
American National Bankshares Inc. 8,842 193
LSB Bancshares, Inc. 11,391 184
Westfield Financial, Inc. 8,944 182
CNB Florida Bancshares, Inc. 7,500 177
BancTrust Financial Group, Inc. 9,632 169
Home Federal Bancorp 6,416 160
* Willis Lease Finance Corp. 19,160 159
Independence Holding Co. 4,542 154
Exchange National Bancshares, Inc. 5,240 $ 153
Warwick Community Bancorp, Inc. 4,495 144
* Financial Industries Corp. 15,049 140
Shore Bancshares, Inc. 5,288 136
Clifton Savings Bancorp, Inc. 11,349 134
Cavalry Bancorp, Inc. 7,871 126
* SVB Financial Services 6,743 125
Coastal Financial Corp. 6,837 102
First Defiance Financial Corp. 4,192 93
* Arbor Realty Trust, Inc. 4,300 86
* Capital Lease Funding, Inc. 7,500 78
* FPIC Insurance Group, Inc. 2,900 72
* Harris & Harris Group, Inc. 5,400 66
American Mortgage Acceptance
Co. REIT 4,542 62
Commercial National Financial Corp. 2,100 49
FNB Corp. (NC) 2,474 48
* FirstCity Financial Corp. 5,529 44
* Corillian Corp. 7,100 36
Pittsburgh & West Virginia Railroad
REIT 2,927 27
* Transcontinental Realty
Investors, Inc. REIT 1,500 20
* Landenburg Thalmann Financial
Services, Inc. 21,199 19
Webster City Federal Bancorp 1,100 16
Hoenig Group, Inc.
Rights Exp. 9/1/2006 62,830 14
Burnham Pacific Properties, Inc.
REIT 102,335 12
* Pinnacle
Warrants Exp. 11/13/2007 433 0
10,825,992
Health Care (13.0%)
Pfizer Inc. 27,331,372 936,919
Johnson & Johnson 10,633,078 592,262
Merck & Co., Inc. 7,959,318 378,068
Eli Lilly & Co. 4,045,703 282,835
* Amgen, Inc. 4,559,898 248,834
Abbott Laboratories 5,587,034 227,728
Medtronic, Inc. 4,346,703 211,771
Wyeth 4,781,652 172,905
Bristol-Myers Squibb Co. 6,972,024 170,815
UnitedHealth Group Inc. 2,208,319 137,468
* Boston Scientific Corp. 2,994,387 128,160
Cardinal Health, Inc. 1,543,349 108,112
* Genentech, Inc. 1,904,798 107,050
Schering-Plough Corp. 5,285,295 97,672
Stryker Corp. 1,434,996 78,925
* Zimmer Holdings, Inc. 875,045 77,179
* Biogen Idec Inc. 1,218,355 77,061
19
Market
Total Stock Market Value^
Index Fund Shares (000)
Baxter International, Inc. 2,197,863 $ 75,848
* Forest Laboratories, Inc. 1,318,911 74,690
HCA Inc. 1,666,129 69,294
Guidant Corp. 1,124,814 62,855
* WellPoint Health Networks Inc.
Class A 557,578 62,454
* Caremark Rx, Inc. 1,662,647 54,768
* Gilead Sciences, Inc. 768,619 51,497
* St. Jude Medical, Inc. 631,767 47,793
Becton, Dickinson & Co. 910,048 47,140
Aetna Inc. 546,483 46,451
* Anthem, Inc. 497,710 44,575
Allergan, Inc. 475,606 42,576
Biomet, Inc. 912,453 40,549
* Genzyme Corp.-General Division 813,129 38,485
* Medco Health Solutions, Inc. 973,797 36,517
McKesson Corp. 1,043,823 35,834
Quest Diagnostics, Inc. 371,102 31,525
* Chiron Corp. 677,896 30,261
AmerisourceBergen Corp. 404,361 24,173
* ImClone Systems, Inc. 273,930 23,500
* Express Scripts Inc. 286,351 22,688
* Tenet Healthcare Corp. 1,674,421 22,454
C.R. Bard, Inc. 371,950 21,071
* MedImmune Inc. 893,606 20,910
* Laboratory Corp. of America
Holdings 508,062 20,170
IMS Health, Inc. 843,113 19,763
Health Management Associates
Class A 874,859 19,614
Mylan Laboratories, Inc. 966,152 19,565
* Varian Medical Systems, Inc. 246,170 19,534
* Patterson Dental Co. 245,809 18,802
* IVAX Corp. 708,212 16,990
* Celgene Corp. 293,678 16,816
* Sepracor Inc. 307,146 16,248
Oxford Health Plans, Inc. 293,758 16,168
Omnicare, Inc. 372,719 15,956
* Coventry Health Care Inc. 318,042 15,552
* Hospira, Inc. 563,204 15,544
* Millennium
Pharmaceuticals, Inc. 1,093,708 15,093
DENTSPLY International Inc. 288,853 15,049
* Eon Labs, Inc. 331,398 13,564
* Invitrogen Corp. 187,853 13,524
Beckman Coulter, Inc. 221,685 13,523
* Barr Pharmaceuticals Inc. 374,651 12,626
Bausch & Lomb, Inc. 188,672 12,277
* PacifiCare Health Systems, Inc. 309,224 11,955
* Lincare Holdings, Inc. 357,055 11,733
* Kinetic Concepts, Inc. 230,052 11,480
* Endo Pharmaceuticals
Holdings, Inc. 474,770 $ 11,133
* DaVita, Inc. 353,725 10,905
* Cephalon, Inc. 201,328 10,872
* Health Net Inc. 404,997 10,732
* Watson Pharmaceuticals, Inc. 390,889 10,515
Manor Care, Inc. 320,804 10,484
* WebMD Corp. 1,120,547 10,443
* Apogent Technologies Inc. 321,251 10,280
* Triad Hospitals, Inc. 273,137 10,169
* Cytyc Corp. 396,952 10,071
* OSI Pharmaceuticals, Inc. 142,730 10,054
* Henry Schein, Inc. 158,019 9,977
* Millipore Corp. 176,946 9,974
* King Pharmaceuticals, Inc. 869,092 9,951
* Humana Inc. 580,721 9,814
* Community Health Systems, Inc. 356,015 9,531
Universal Health Services
Class B 197,586 9,067
* Covance, Inc. 225,517 8,700
* Renal Care Group, Inc. 256,212 8,488
* Gen-Probe Inc. 176,398 8,347
* Charles River Laboratories, Inc. 165,796 8,102
* Stericycle, Inc. 155,750 8,059
Medicis Pharmaceutical Corp. 200,762 8,020
* INAMED Corp. 127,212 7,995
* IDEXX Laboratories Corp. 125,864 7,922
* Amylin Pharmaceuticals, Inc. 337,573 7,697
* American Pharmaceuticals
Partners, Inc. 247,267 7,512
* Edwards Lifesciences Corp. 213,704 7,448
Cooper Cos., Inc. 116,474 7,358
* Respironics, Inc. 124,937 7,340
* Andrx Group 260,753 7,283
* Dade Behring Holdings Inc. 152,619 7,252
* Affymetrix, Inc. 216,795 7,096
* MGI Pharma, Inc. 252,670 6,825
* ICOS Corp. 227,625 6,792
* Accredo Health, Inc. 173,863 6,772
* Neurocrine Biosciences, Inc. 130,354 6,759
* VCA Antech, Inc. 146,747 6,577
* Protein Design Labs, Inc. 339,240 6,490
* Techne Corp. 148,384 6,447
* Pharmaceutical Product
Development, Inc. 202,677 6,439
* ResMed Inc. 121,482 6,191
* Pediatrix Medical Group, Inc. 87,857 6,137
Valeant Pharmaceuticals
International 300,687 6,014
* Tularik, Inc. 241,474 5,989
* Nektar Therapeutics 299,389 5,976
20
Market
Value^
Shares (000)
* Martek Biosciences Corp. 105,216 $ 5,910
* Cerner Corp. 128,427 5,725
* STERIS Corp. 252,151 5,689
* Bio-Rad Laboratories, Inc. Class A 92,494 5,444
* Human Genome Sciences, Inc. 466,748 5,428
* The Medicines Co. 171,612 5,236
* Onyx Pharmaceuticals, Inc. 123,214 5,219
Mentor Corp. 151,302 5,188
* eResearch Technology, Inc. 185,167 5,185
* Apria Healthcare Group Inc. 179,508 5,152
* First Health Group Corp. 329,239 5,139
* LifePoint Hospitals, Inc. 137,500 5,118
* American Medical Systems
Holdings, Inc. 148,252 4,996
Select Medical Corp. 369,766 4,962
Invacare Corp. 110,467 4,940
* NeighborCare Inc. 157,440 4,933
Perrigo Co. 254,068 4,820
Arrow International, Inc. 157,932 4,725
* VISX Inc. 174,755 4,669
* Ligand Pharmaceuticals Inc.
Class B 265,774 4,619
Diagnostic Products Corp. 104,358 4,585
* US Oncology, Inc. 310,591 4,572
* Advanced Medical Optics, Inc. 105,968 4,511
* Pharmion Corp. 90,858 4,445
* Sierra Health Services, Inc. 99,427 4,444
* Kos Pharmaceuticals, Inc. 133,068 4,387
* AMERIGROUP Corp. 89,036 4,381
* Alkermes, Inc. 321,552 4,373
* PAR Pharmaceutical Cos. Inc. 123,084 4,334
* Magellan Health Services, Inc. 127,473 4,264
* Wright Medical Group, Inc. 119,080 4,239
* Inveresk Research Group Inc. 136,754 4,217
* Sybron Dental Specialties, Inc. 138,574 4,136
* Align Technology, Inc. 216,617 4,116
* K-V Pharmaceutical Co. Class A 176,477 4,075
* Integra LifeSciences Holdings 115,314 4,067
* Kyphon Inc. 144,317 4,067
* Impax Laboratories, Inc. 209,478 4,060
* United Surgical Partners
International, Inc. 100,722 3,975
* Beverly Enterprises, Inc. 459,032 3,948
* Kindred Healthcare, Inc. 143,924 3,792
Alpharma, Inc. Class A 185,019 3,789
* Abgenix, Inc. 318,431 3,732
* Telik, Inc. 154,175 3,680
* Ocular Sciences, Inc. 95,418 3,626
* Biosite Inc. 78,627 3,532
* Priority Healthcare Corp. Class B 148,758 3,414
* IDX Systems Corp. 105,903 3,377
* Vertex Pharmaceuticals, Inc. 298,871 $ 3,240
* Genencor International Inc. 195,588 3,202
Owens & Minor, Inc. Holding Co. 121,506 3,147
* Genesis Healthcare Corp. 107,343 3,117
* Ventana Medical Systems, Inc. 63,989 3,041
* Centene Corp. 78,434 3,024
* Applera Corp.-Celera
Genomics Group 258,384 2,974
* Immucor Inc. 89,782 2,922
* AmSurg Corp. 116,175 2,919
* CV Therapeutics, Inc. 174,017 2,917
* Tanox, Inc. 151,470 2,889
* Cyberonics, Inc. 85,957 2,868
* SFBC International, Inc. 91,417 2,864
* First Horizon Pharmaceutical Corp. 150,536 2,845
* PAREXEL International Corp. 140,368 2,779
* PSS World Medical, Inc. 247,795 2,775
* Hologic, Inc. 119,061 2,768
* NPS Pharmaceuticals Inc. 131,314 2,758
* Bone Care International, Inc. 115,842 2,713
* ArthroCare Corp. 91,987 2,675
* CONMED Corp. 97,026 2,659
* American Healthways Inc. 99,582 2,651
* Haemonetics Corp. 87,264 2,587
* Sunrise Senior Living, Inc. 65,700 2,571
* Atrix Laboratories, Inc. 74,240 2,545
* Molina Healthcare Inc. 66,301 2,531
* Zymogenetics, Inc. 132,018 2,508
PolyMedica Corp. 80,734 2,506
* ILEX Oncology, Inc. 99,771 2,493
* LCA-Vision Inc. 85,332 2,486
* Possis Medical Inc. 72,566 2,478
* Advanced Neuromodulation
Systems, Inc. 74,994 2,460
Landauer, Inc. 54,935 2,453
* Vicuron Pharmaceuticals Inc. 192,273 2,415
* Wilson Greatbatch
Technologies, Inc. 86,143 2,408
* Enzon Pharmaceuticals, Inc. 185,448 2,366
* Odyssey Healthcare, Inc. 124,983 2,352
* American Medical Security
Group, Inc. 86,201 2,349
* DJ Orthopedics Inc. 101,819 2,342
West Pharmaceutical
Services, Inc. 55,212 2,335
* Kensey Nash Corp. 67,425 2,326
* Dyax Corp. 197,831 2,325
* Province Healthcare Co. 134,255 2,302
* Connetics Corp. 113,943 2,302
* CTI Molecular Imaging, Inc. 161,330 2,288
* Aspect Medical Systems, Inc. 123,506 2,281
21
Market
Total Stock Market Value^
Index Fund Shares (000)
* Dendreon Corp. 185,736 $ 2,275
* VaxGen, Inc. 154,883 2,193
* OraSure Technologies, Inc. 225,196 2,191
* Inspire Pharmaceuticals, Inc. 130,732 2,186
Analogic Corp. 51,222 2,173
Datascope Corp. 53,052 2,106
* Nabi Biopharmaceuticals 147,934 2,104
* Thoratec Corp. 195,951 2,103
Option Care, Inc. 136,568 2,084
* Bradley Pharmaceuticals, Inc. 74,646 2,083
* Digene Corp. 55,794 2,038
* Salix Pharmaceuticals, Ltd. 61,619 2,030
* Regeneron Pharmaceuticals, Inc. 191,682 2,018
* Eyetech Pharmaceuticals Inc. 46,443 1,993
* AtheroGenics, Inc. 104,466 1,988
* CIMA Labs Inc. 58,870 1,986
* Closure Medical Corp. 78,465 1,970
* Transkaryotic Therapies, Inc. 131,294 1,964
* United Therapeutics Corp. 75,508 1,937
* Zoll Medical Corp. 54,987 1,929
* Myriad Genetics, Inc. 127,197 1,898
* RehabCare Group, Inc. 70,961 1,890
* Gentiva Health Services, Inc. 113,079 1,839
* Eclipsys Corp. 119,673 1,826
* Per-Se Technologies, Inc. 125,319 1,822
* Exelixis, Inc. 178,918 1,805
* Medarex, Inc. 247,281 1,803
* Incyte Corp. 230,877 1,764
* ABIOMED, Inc. 139,547 1,756
* Noven Pharmaceuticals, Inc. 77,816 1,714
* InterMune Inc. 110,408 1,702
* Sola International Inc. 98,470 1,697
* BioLase Technology, Inc. 125,844 1,694
* Chattem, Inc. 58,427 1,687
* Laserscope 61,138 1,684
* TriPath Imaging, Inc. 176,837 1,664
* Cepheid, Inc. 142,764 1,647
* Regeneration Technologies, Inc. 153,362 1,646
* ICU Medical, Inc. 48,673 1,632
* Viasys Healthcare Inc. 77,649 1,624
* Lexicon Genetics Inc. 203,273 1,594
* Enzo Biochem, Inc. 106,112 1,592
* Adolor Corp. 124,985 1,585
* Albany Molecular Research, Inc. 121,727 1,574
* Discovery Laboratories, Inc. 163,574 1,569
* Diversa Corp. 153,320 1,553
* MedQuist, Inc. 128,767 1,542
* SurModics, Inc. 62,158 1,532
* Medical Action Industries Inc. 82,932 1,526
* Inverness Medical
Innovations, Inc. 67,831 1,485
* Microvision, Inc. 176,698 $ 1,484
* Quality Systems, Inc. 30,011 1,473
* Encysive Pharmaceuticals, Inc. 173,169 1,472
Computer Programs and
Systems, Inc. 71,053 1,448
* Serologicals Corp. 70,401 1,407
* Axonyx Inc. 266,903 1,399
* America Service Group Inc. 40,150 1,395
* MedCath Corp. 69,700 1,394
* Geron Corp. 171,911 1,391
* Aclara Biosciences, Inc. 308,244 1,387
* ImmunoGen, Inc. 226,671 1,385
* Able Laboratories, Inc. 67,025 1,378
* National Dentex Corp. 47,271 1,370
* Novavax, Inc. 253,470 1,366
* Nuvelo, Inc. 141,442 1,361
* Nastech Pharmaceutical Co., Inc. 131,685 1,343
* Accelrys Inc. 136,065 1,342
Vital Signs, Inc. 45,933 1,334
* BioMarin Pharmaceutical Inc. 221,549 1,329
* Palatin Technologies, Inc. 314,610 1,325
* Candela Corp. 133,848 1,312
* Spectranetics Corp. 229,916 1,288
* Isis Pharmaceuticals, Inc. 223,968 1,286
* VistaCare, Inc. 68,015 1,262
* Intuitive Surgical, Inc. 66,115 1,256
* CardioDynamics
International Corp. 248,481 1,255
* Hollis-Eden Pharmaceuticals, Inc. 104,064 1,254
Hooper Holmes, Inc. 218,047 1,252
* Indevus Pharmaceuticals, Inc. 202,567 1,246
* Advanced Magnetics, Inc. 82,310 1,245
* Molecular Devices Corp. 69,047 1,228
* SonoSite, Inc. 50,785 1,214
* Curis, Inc. 274,595 1,214
* CorVel Corp. 42,810 1,214
* LabOne, Inc. 38,089 1,210
Meridian Bioscience Inc. 107,816 1,194
* SuperGen, Inc. 184,414 1,189
* Luminex Corp. 117,086 1,178
* Nanogen, Inc. 173,849 1,168
* Cell Genesys, Inc. 112,134 1,165
* Matria Healthcare, Inc. 46,009 1,153
* Cubist Pharmaceuticals, Inc. 103,465 1,148
* Cardiac Science, Inc. 466,518 1,143
* Vivus, Inc. 312,958 1,139
* Orthodontic Centers of
America, Inc. 137,758 1,128
* STAAR Surgical Co. 141,901 1,107
* Maxim Pharmaceuticals, Inc. 113,721 1,097
* SciClone Pharmaceuticals, Inc. 211,950 1,083
22
Market
Value^
Shares (000)
* EPIX Medical, Inc. 51,263 $ 1,082
* CYTOGEN Corp. 67,835 1,079
* Bruker BioSciences Corp. 219,983 1,071
* Array BioPharma Inc. 134,511 1,069
* VitalWorks Inc. 303,442 1,050
* Progenics Pharmaceuticals, Inc. 62,245 1,048
* Neurogen Corp. 138,466 1,036
* Oxigene, Inc. 164,059 1,034
* CuraGen Corp. 171,691 1,032
* HMS Holdings Corp. 172,579 1,027
* Guilford Pharmaceuticals, Inc. 214,792 1,020
* Oscient Pharmaceuticals 194,757 995
* Savient Pharmaceuticals Inc. 400,098 992
* Northfield Laboratories, Inc. 68,540 977
* Trimeris, Inc. 67,685 977
* Enpath Medical, Inc. 85,500 972
* Omnicell, Inc. 66,400 970
* CryoLife Inc. 182,542 962
* Pozen Inc. 139,728 956
* Collagenex Pharmaceuticals, Inc. 100,783 949
* Novoste Corp. 344,703 944
* Sonic Innovations, Inc. 164,907 937
* Antigenics, Inc. 109,340 936
* Durect Corp. 267,116 932
* Rochester Medical Corp. 112,995 932
* Merit Medical Systems, Inc. 58,266 928
* Targeted Genetics Corp. 580,703 923
* Neogen Corp. 53,067 913
* Peregrine Pharmaceuticals, Inc. 616,997 907
* Genta Inc. 357,498 894
* Specialty Laboratories, Inc. 99,597 892
* GenVec, Inc. 288,558 886
* Conceptus, Inc. 78,677 885
* Abaxis, Inc. 46,500 883
* Theragenics Corp. 185,741 858
* Alcide Corp. 41,403 857
* Genaissance
Pharmaceuticals, Inc. 205,367 856
* InKine Pharmaceutical Co., Inc. 218,831 847
* Penwest Pharmaceuticals Co. 64,836 831
* Quidel Corp. 139,945 824
* La Jolla Pharmaceutical Co. 332,050 807
* Maxygen Inc. 76,260 806
* Titan Pharmaceuticals, Inc. 298,890 804
* Ciphergen Biosystems, Inc. 109,739 803
* Alexion Pharmaceuticals, Inc. 42,832 797
* ARIAD Pharmaceuticals, Inc. 103,571 776
* Cerus Corp. 321,772 772
* Hi-Tech Pharmacal Co., Inc. 47,097 770
* Cypress Bioscience, Inc. 55,522 762
* SeraCare Life Sciences, Inc. 58,374 759
* Corixa Corp. 160,581 $ 750
* Hanger Orthopedic Group, Inc. 63,956 750
* XOMA Ltd. 166,649 747
* Exactech, Inc. 34,174 742
* Renovis, Inc. 80,859 741
* Animas Corp. 38,213 713
* Neurobiological Technologies, Inc. 189,857 712
* Illumina, Inc. 111,778 710
* Cholestech Corp. 86,726 707
* Valentis, Inc. 101,495 706
* Exact Sciences Corp. 113,497 698
* Pain Therapeutics, Inc. 86,317 696
* Lifecore Biomedical Inc. 112,427 686
* NeoPharm, Inc. 65,853 680
* EntreMed, Inc. 336,720 677
* Ista Pharmaceuticals Inc. 64,064 669
* Prime Medical Services, Inc. 83,767 665
* Trover Solutions, Inc. 95,583 662
* Immunomedics Inc. 135,451 660
* Pharmacyclics, Inc. 64,540 656
* AP Pharma Inc. 194,259 651
* Neose Technologies, Inc. 76,515 637
* Stratagene Holding Corp. 77,282 637
* Pharmos Corp. 154,400 635
* Allscripts Healthcare
Solutions, Inc. 80,360 630
* PRAECIS Pharmaceuticals Inc. 164,114 624
* SONUS Pharmaceuticals, Inc. 133,817 622
* Embrex, Inc. 45,481 616
* Lipid Sciences, Inc. 137,852 604
* Orchid Biosciences, Inc. 75,497 581
* SIGA Technologies, Inc. 414,359 580
* Air Methods Corp. 66,060 572
* Santarus Inc. 38,700 571
* AVANT Immunotherapeutics, Inc. 212,322 565
* Cell Therapeutics, Inc. 75,982 560
* Aastrom Biosciences, Inc. 604,000 544
* Cytokinetics, Inc. 35,438 526
* Alliance Imaging, Inc. 113,793 520
* Iridex Corp. 69,097 505
* Sequenom, Inc. 344,083 502
* Five Star Quality Care, Inc. 113,958 501
* IntegraMed America, Inc. 72,586 500
* Epimmune Inc. 292,887 498
* Orphan Medical, Inc. 48,785 490
* Res-Care, Inc. 38,307 486
* US Physical Therapy, Inc. 35,242 483
* Cardima, Inc. 894,185 465
* Curative Health Services, Inc. 52,851 458
* Repligen Corp. 185,858 457
* IMPAC Medical Systems, Inc. 30,590 448
23
Market
Total Stock Market Value^
Index Fund Shares (000)
Psychemedics Corp. 42,437 $ 446
* Vion Pharmaceuticals, Inc. 107,100 446
* Chronimed Inc. 54,256 442
* Synovis Life Technologies, Inc. 40,907 440
* Third Wave Technologies 97,755 439
Amedisys Inc. 13,200 436
* Interpharm Holdings, Inc. 109,161 433
* Seattle Genetics, Inc. 61,323 431
* Allos Therapeutics Inc. 191,500 431
* MIM Corp. 49,434 430
Young Innovations, Inc. 16,782 426
* Sirna Therapeutics, Inc. 143,560 422
* Allied Healthcare International Inc. 85,126 419
* Gene Logic Inc. 103,260 418
* Aksys, Ltd. 71,698 418
* Curon Medical Inc. 245,060 414
* Virologic, Inc. 167,220 410
* Symbion, Inc. 23,400 409
* Insmed Inc. 180,965 405
* Cortex Pharmaceuticals, Inc. 150,800 397
* Myogen, Inc. 50,700 393
* Caliper Life Sciences, Inc. 84,393 392
* Geopharma Inc. 68,810 381
* Psychiatric Solutions, Inc. 15,200 379
National Healthcare Corp. 13,316 373
* NMT Medical, Inc. 99,227 372
* Carrington Labs Inc. 82,974 369
* Bentley Pharmaceuticals, Inc. 26,766 368
* SRI/Surgical Express, Inc. 53,636 362
* Aphton Corp. 89,847 359
* Radiologix Inc. 78,100 353
* DOV Pharmaceutical, Inc. 24,928 348
* Arena Pharmaceuticals, Inc. 63,096 345
* aaiPharma Inc. 62,941 341
* Osteotech, Inc. 52,315 340
* AVI BioPharma, Inc. 137,649 336
* MedSource Technologies, Inc. 45,800 325
* Corgentech Inc. 20,000 322
* Harvard Bioscience, Inc. 70,876 318
* Kendle International Inc. 40,725 316
* Emisphere Technologies, Inc. 76,966 316
* Tapestry Pharmaceuticals Inc. 170,976 309
* Lynx Therapeutics, Inc. 134,118 308
* Vical, Inc. 52,145 304
* IntraBiotics Pharmaceuticals, Inc. 77,266 301
* Proxymed Pharmacy, Inc. 17,325 292
* Pharmacopeia Drug Discovery 51,382 292
* Sangamo BioSciences, Inc. 48,321 291
* Introgen Therapeutics, Inc. 68,000 290
* Kosan Biosciences, Inc. 36,301 287
* Rita Medical Systems, Inc. 67,239 286
* Tercica, Inc. 34,800 $ 285
* Rigel Pharmaceuticals, Inc. 19,450 276
* Encore Medical Corp. 42,900 270
* Matritech Inc. 201,393 260
* Columbia Laboratories Inc. 72,899 252
* Superior Consultant
Holdings Corp. 41,689 250
* BioSphere Medical Inc. 77,290 247
* ViroPharma Inc. 135,586 243
* Aradigm Corp. 256,117 231
* GTx, Inc. 21,111 220
* GTC Biotherapeutics, Inc. 137,022 215
Healthcare Services Group, Inc. 13,866 212
* V.I. Technologies, Inc. 191,154 210
* Continucare Corp. 105,519 203
* Immtech International, Inc. 16,200 200
D&K Healthcare Resources, Inc. 16,598 199
* Retractable Technologies, Inc. 30,292 187
* Biopure Corp. 263,199 184
* I-Flow Corp. 15,100 179
* The Immune Response Corp. 144,959 177
* Lanvision Systems, Inc. 61,231 171
* Large Scale Biology Corp. 121,456 168
* Microtek Medical Holdings, Inc. 32,000 164
* Bioject Medical Technologies Inc. 82,545 158
* Bioanalytical Systems, Inc. 38,473 154
* Avigen, Inc. 45,312 153
* MacroChem Corp. 100,200 150
* Zonagen, Inc. 58,275 147
* National Medical Health Card
Systems, Inc. 5,400 145
* Physiometrix, Inc. 80,151 132
* Orthologic Corp. 15,200 132
* IVAX Diagnostics, Inc. 20,534 131
* Alteon, Inc. 93,868 111
* IGI, Inc. 43,372 105
* Barrier Therapeutics Inc. 6,885 97
* eXegenics Inc. 131,711 96
Wellcare Group Inc. 5,600 95
* Micro Therapeutics, Inc. 21,848 92
* A.D.A.M., Inc. 43,345 91
* Paradigm Genetics, Inc. 109,833 87
Palomar Medical Technologies, Inc. 4,800 81
* Applied Imaging Corp. 79,556 75
* Cytrx Corp. 65,659 74
* DepoMed, Inc. 14,000 69
* Transgenomic, Inc. 49,307 68
* PharmaNetics, Inc. 131,664 63
* LifeCell Corp. 5,100 58
Dynacq Healthcare, Inc. 8,412 51
* Corcept Therapeutics Inc. 5,771 45
24
Market
Value^
Shares (000)
* Natrol, Inc. 12,720 $ 36
* HealthAxis, Inc. 9,014 21
* Precision Optics Corp., Inc. 15,765 18
Precision Optics Corp., Inc.
Rights Exp. 7/14/2004 47,295 9
* Pure Bioscience 6,829 4
* DiaSys Corp. 5,071 3
* SpectRx, Inc. 1,000 2
6,400,466
Integrated Oils (3.7%)
ExxonMobil Corp. 23,425,368 1,040,321
ChevronTexaco Corp. 3,832,778 360,703
ConocoPhillips Co. 2,459,241 187,615
Occidental Petroleum Corp. 1,402,863 67,913
Marathon Oil Corp. 1,238,584 46,868
Unocal Corp. 945,383 35,925
Amerada Hess Corp. 323,918 25,651
Murphy Oil Corp. 330,801 24,380
Hugoton Royalty Trust 188,330 4,305
* KCS Energy, Inc. 257,311 3,427
* Delta Petroleum Corp. 189,636 2,551
* Giant Industries, Inc. 91,808 2,020
* NewMarket Corp. 46,004 988
* GMX Resources Inc. 91,366 722
1,803,389
Other Energy (2.6%)
Schlumberger Ltd. 2,112,640 134,174
Devon Energy Corp. 856,666 56,540
Anadarko Petroleum Corp. 903,889 52,968
Burlington Resources, Inc. 1,418,888 51,335
Apache Corp. 1,168,452 50,886
Halliburton Co. 1,578,976 47,780
Baker Hughes, Inc. 1,194,611 44,977
Valero Energy Corp. 461,741 34,058
* Transocean Inc. 1,152,076 33,341
Kerr-McGee Corp. 536,811 28,864
XTO Energy, Inc. 917,204 27,324
* BJ Services Co. 577,270 26,462
EOG Resources, Inc. 418,212 24,971
* Nabors Industries, Inc. 532,940 24,100
GlobalSantaFe Corp. 841,677 22,304
Williams Cos., Inc. 1,868,355 22,233
* Weatherford International Ltd. 475,086 21,369
* Smith International, Inc. 374,394 20,876
El Paso Corp. 2,309,587 18,200
* Noble Corp. 477,776 18,103
Sunoco, Inc. 271,210 17,254
ENSCO International, Inc. 542,029 15,773
Pioneer Natural Resources Co. 430,567 15,104
Peabody Energy Corp. 229,551 12,853
Chesapeake Energy Corp. 869,331 12,797
* Premcor, Inc. 319,580 $ 11,984
Texas Genco Holdings, Inc. 264,205 11,913
CONSOL Energy, Inc. 323,731 11,654
Equitable Resources, Inc. 224,486 11,608
* Reliant Energy, Inc. 1,062,771 11,510
Pogo Producing Co. 229,979 11,361
* Newfield Exploration Co. 202,448 11,284
Diamond Offshore Drilling, Inc. 465,926 11,103
Noble Energy, Inc. 208,526 10,635
Patterson-UTI Energy, Inc. 299,034 9,991
* Ultra Petroleum Corp. 267,506 9,986
* National-Oilwell, Inc. 308,147 9,704
* Cooper Cameron Corp. 194,750 9,484
* Rowan Cos., Inc. 379,335 9,229
* NRG Engergy 360,329 8,936
* Pride International, Inc. 489,104 8,369
* Grant Prideco, Inc. 438,935 8,103
Massey Energy Co. 272,134 7,677
* Varco International, Inc. 350,206 7,666
Patina Oil & Gas Corp. 252,922 7,555
Arch Coal, Inc. 195,959 7,170
* FMC Technologies Inc. 241,627 6,959
* Tesoro Petroleum Corp. 235,398 6,497
* Calpine Corp. 1,494,175 6,455
* Evergreen Resources, Inc. 155,326 6,275
* Quicksilver Resources, Inc. 89,066 5,974
* Dynegy, Inc. 1,360,282 5,795
* Forest Oil Corp. 209,484 5,723
* Plains Exploration &
Production Co. 282,068 5,176
* Unit Corp. 164,139 5,162
* Houston Exploration Co. 99,433 5,155
Cabot Oil & Gas Corp. 117,953 4,989
* Spinnaker Exploration Co. 120,918 4,762
Helmerich & Payne, Inc. 181,053 4,735
St. Mary Land & Exploration Co. 131,208 4,678
* Cimarex Energy Co. 149,849 4,530
Vintage Petroleum, Inc. 261,984 4,446
* Key Energy Services, Inc. 470,504 4,442
* Stone Energy Corp. 95,702 4,372
Range Resources Corp. 297,548 4,344
* Cal Dive International, Inc. 137,565 4,171
* Denbury Resources, Inc. 196,578 4,118
* Encore Acquisition Co. 145,349 4,055
CARBO Ceramics Inc. 56,317 3,844
* Magnum Hunter Resources Inc. 340,732 3,537
* Oceaneering International, Inc. 99,860 3,420
* Remington Oil & Gas Corp. 144,758 3,416
Penn Virginia Corp. 94,290 3,405
* Universal Compression
Holdings, Inc. 109,572 3,362
25
Market
Total Stock Market Value^
Index Fund Shares (000)
* Comstock Resources, Inc. 172,695 $ 3,361
Holly Corp. 87,463 3,271
Berry Petroleum Class A 110,229 3,242
* Swift Energy Co. 145,663 3,213
Frontier Oil Corp. 147,250 3,120
* Harvest Natural
Resources, Inc. 206,413 3,078
* Veritas DGC Inc. 130,399 3,019
* Seacor Holdings INC 68,123 2,993
* Energy Partners, Ltd. 189,634 2,901
* Hanover Compressor Co. 238,859 2,842
* FuelCell Energy, Inc. 242,660 2,834
* Prima Energy Corp. 70,705 2,798
* Whiting Petroleum Corp. 108,428 2,727
* The Meridian Resource Corp. 387,839 2,692
* Petroleum Development Corp. 97,940 2,686
Resource America, Inc. 110,906 2,617
* Superior Energy Services, Inc. 255,505 2,568
* Oil States International, Inc. 165,389 2,530
* Enbridge Energy
Management LLC 59,300 2,527
* Hydrill Co. 79,998 2,520
* Plains Resources Inc. 145,617 2,468
* Plug Power, Inc. 322,530 2,413
* Grey Wolf, Inc. 557,405 2,363
* Todco 152,300 2,356
* Atwood Oceanics, Inc. 54,920 2,293
* Global Industries Ltd. 378,651 2,166
* Input/Output, Inc. 252,862 2,096
* W-H Energy Services, Inc. 103,349 2,026
* TETRA Technologies, Inc. 73,665 1,978
* Syntroleum Corp. 298,755 1,978
* McMoRan Exploration Co. 125,392 1,954
* PetroQuest Energy, Inc. 449,725 1,920
* Callon Petroleum Co. 131,186 1,871
* Newpark Resources, Inc. 300,223 1,861
* ATP Oil & Gas Corp. 236,281 1,812
* KFX, Inc. 236,497 1,802
RPC Inc. 107,458 1,699
* Clayton Williams Energy, Inc. 70,393 1,682
* TransMontaigne Inc. 305,516 1,644
* Goodrich Petroleum Corp. 186,200 1,544
* Double Eagle Petroleum Co. 97,665 1,335
* Parallel Petroleum Corp. 251,228 1,274
* Toreador Resources Corp. 170,740 1,257
* The Exploration Co. of
Delaware, Inc. 327,636 1,242
* Dril-Quip, Inc. 63,722 1,192
Gulf Island Fabrication, Inc. 50,600 1,094
* Royale Energy, Inc. 70,055 1,030
* Parker Drilling Co. 260,965 997
* Capstone Turbine Corp. 415,161 $ 904
* Abraxas Petroleum Corp. 537,200 892
* Westmoreland Coal Co. 42,497 827
* Harken Energy Corp. 1,449,447 754
* Evergreen Solar, Inc. 223,881 725
* Beta Oil & Gas Inc. 104,776 686
* Matrix Service Co. 63,151 578
* Magellan Petroleum Corp. 379,032 497
* Prime Energy Corp. 23,556 432
* Brigham Exploration Co. 46,344 425
* Global Power Equipment
Group Inc. 50,814 408
Lufkin Industries 9,098 291
* Torch Offshore, Inc. 99,700 289
Crosstex Energy, Inc. 6,695 268
* Infinity, Inc. 69,000 266
APCO Argentina Inc. 6,506 234
* Wilshire Enterprises, Inc. 37,710 189
* ICO, Inc. 78,478 180
* Horizon Offshore, Inc. 170,348 169
* U.S. Energy Systems, Inc. 59,910 65
* Atlas America, Inc. 1,348 27
* T-3 Energy Services, Inc. 977 6
1,291,363
Materials & Processing (4.0%)
E.I. du Pont de Nemours & Co. 3,586,576 159,316
Dow Chemical Co. 3,356,910 136,626
Alcoa Inc. 3,117,583 102,974
International Paper Co. 1,740,875 77,817
Newmont Mining Corp.
(Holding Co.) 1,442,740 55,921
Weyerhaeuser Co. 798,789 50,420
Masco Corp. 1,570,940 48,982
Praxair, Inc. 1,169,387 46,670
Air Products & Chemicals, Inc. 815,029 42,748
Archer-Daniels-Midland Co. 2,333,388 39,154
PPG Industries, Inc. 616,902 38,551
Monsanto Co. 952,563 36,674
Georgia Pacific Group 914,819 33,830
Rohm & Haas Co. 803,967 33,429
* American Standard Cos., Inc. 771,379 31,094
Ecolab, Inc. 921,632 29,216
* Phelps Dodge Corp. 335,491 26,004
Avery Dennison Corp. 397,843 25,466
Nucor Corp. 283,064 21,728
Sherwin-Williams Co. 513,716 21,345
MeadWestvaco Corp. 724,300 21,287
Freeport-McMoRan Copper &
Gold, Inc. Class B 637,625 21,137
Smurfit-Stone Container Corp. 906,078 18,076
Vulcan Materials Co. 366,328 17,419
26
Market
Value^
Shares (000)
* Sealed Air Corp. 302,542 $ 16,116
Bunge Ltd. 389,440 15,165
Sigma-Aldrich Corp. 249,038 14,845
Ball Corp. 203,063 14,631
Engelhard Corp. 445,958 14,409
United States Steel Corp. 406,737 14,285
Fluor Corp. 298,119 14,211
Temple-Inland Inc. 198,692 13,759
* Pactiv Corp. 549,838 13,713
Ashland, Inc. 252,360 13,327
* Energizer Holdings, Inc. 294,422 13,249
Eastman Chemical Co. 278,982 12,897
Precision Castparts Corp. 232,900 12,737
Boise Cascade Corp. 314,321 11,831
Lyondell Chemical Co. 643,292 11,187
Lafarge North America Inc. 251,505 10,890
The St. Joe Co. 273,721 10,867
Bemis Co., Inc. 383,414 10,831
* International Steel Group, Inc. 331,802 9,871
Forest City Enterprise Class A 180,207 9,551
Valspar Corp. 183,865 9,265
Louisiana-Pacific Corp. 390,895 9,245
Cabot Corp. 223,667 9,103
Packaging Corp. of America 380,669 9,098
* Owens-Illinois, Inc. 533,972 8,949
Sonoco Products Co. 350,853 8,947
The Timken Co. 322,372 8,540
Bowater Inc. 199,719 8,306
* Glamis Gold, Ltd. 468,162 8,207
* Jacobs Engineering Group Inc. 201,857 7,949
Martin Marietta Materials, Inc. 173,188 7,677
* Scotts Co. 117,115 7,481
Harsco Corp. 147,455 6,930
Lubrizol Corp. 186,348 6,824
Florida Rock Industries, Inc. 155,445 6,555
Hughes Supply, Inc. 109,916 6,477
Southern Peru Copper Corp. 156,668 6,475
Cytec Industries, Inc. 141,266 6,421
Worthington Industries, Inc. 311,564 6,396
RPM International, Inc. 417,602 6,348
Airgas, Inc. 264,167 6,316
Corn Products International, Inc. 131,887 6,139
York International Corp. 148,376 6,094
* Crown Holdings, Inc. 594,745 5,930
AptarGroup Inc. 131,091 5,727
* FMC Corp. 130,807 5,639
IMC Global Inc. 415,979 5,574
Allegheny Technologies Inc. 292,198 5,274
* Steel Dynamics, Inc. 176,924 5,065
Great Lakes Chemical Corp. 182,745 4,945
Simpson Manufacturing Co. 87,522 4,912
* Hercules, Inc. 400,531 $ 4,882
Valhi, Inc. 428,949 4,877
* Stillwater Mining Co. 324,779 4,875
* Dycom Industries, Inc. 174,094 4,875
Albemarle Corp. 149,302 4,725
Reliance Steel & Aluminum Co. 116,543 4,699
* Meridian Gold Co. 358,372 4,648
Mueller Industries Inc. 125,986 4,510
* Graphic Packaging Corp. 517,224 4,474
* Millennium Chemicals, Inc. 257,278 4,456
Olin Corp. 249,874 4,403
Potlatch Corp. 105,594 4,397
Minerals Technologies, Inc. 73,784 4,279
Georgia Gulf Corp. 118,487 4,249
Clarcor Inc. 91,768 4,203
* URS Corp. 151,419 4,149
Acuity Brands, Inc. 152,835 4,127
* Rogers Corp. 58,778 4,109
Ferro Corp. 150,303 4,010
Lennox International Inc. 221,337 4,006
* Armor Holdings, Inc. 117,520 3,996
* Maverick Tube Corp. 151,966 3,991
* OM Group, Inc. 118,973 3,927
LNR Property Corp. 71,802 3,895
Albany International Corp. 115,825 3,887
* GrafTech International Ltd. 352,323 3,685
USEC Inc. 417,642 3,663
Kronos Worldwide, Inc. 106,806 3,653
MacDermid, Inc. 106,501 3,605
Quanex Corp. 73,600 3,584
* WCI Communities, Inc. 156,104 3,483
Brady Corp. Class A 75,287 3,471
Watsco, Inc. 122,669 3,443
Kaydon Corp. 107,947 3,339
Granite Construction Co. 177,403 3,234
* Cabot Microelectronics Corp. 105,220 3,221
Wausau-Mosinee Paper Corp. 184,561 3,193
* Cleveland-Cliffs Inc. 56,035 3,160
* Griffon Corp. 140,744 3,136
* Coeur d'Alene Mines Corp. 765,046 3,121
* AK Steel Corp. 589,837 3,108
* Century Aluminum Co. 122,617 3,040
Texas Industries, Inc. 73,639 3,032
H.B. Fuller Co. 106,570 3,027
Commercial Metals Co. 92,842 3,013
NL Industries, Inc. 206,546 2,995
Delta & Pine Land Co. 136,199 2,990
* EMCOR Group, Inc. 67,942 2,988
* Symyx Technologies, Inc. 123,146 2,970
* Hecla Mining Co. 517,942 2,952
* Lone Star Technologies, Inc. 104,902 2,891
27
Market
Total Stock Market Value^
Index Fund Shares (000)
Brookfield Homes Corp. 109,677 $ 2,872
Schnitzer Steel Industries,
Inc. Class A 84,558 2,872
AMCOL International Corp. 145,789 2,763
A. Schulman Inc. 125,024 2,687
Spartech Corp. 103,478 2,684
* Oregon Steel Mills, Inc. 178,592 2,632
Eagle Materials, Inc. 36,881 2,619
* Hexcel Corp. 224,747 2,603
Arch Chemicals, Inc. 89,368 2,576
Carpenter Technology Corp. 74,878 2,550
* USG Corp. 144,959 2,548
* PolyOne Corp. 342,344 2,547
* Trex Co., Inc. 66,894 2,525
Crompton Corp. 400,794 2,525
* Longview Fibre Co. 168,653 2,484
* Trammell Crow Co. 175,876 2,480
Greif Inc. Class A 58,473 2,470
* Quanta Services, Inc. 396,337 2,465
Silgan Holdings, Inc. 60,532 2,440
* Caraustar Industries, Inc. 172,160 2,430
Cambrex Corp. 96,061 2,424
* Encore Wire Corp. 80,390 2,216
* NCI Building Systems, Inc. 67,889 2,210
Eagle Materials, Inc. B Shares 31,002 2,147
* DHB Industries, Inc. 139,338 2,115
* Ceradyne, Inc. 58,346 2,087
Glatfelter 147,168 2,072
Rock-Tenn Co. 121,488 2,059
Aceto Corp. 113,630 2,000
* Titanium Metals Corp. 21,327 1,974
* W.R. Grace & Co. 307,917 1,909
* Shaw Group, Inc. 187,907 1,903
* A.M. Castle & Co. 176,586 1,898
* NS Group Inc. 114,588 1,884
Alico, Inc. 46,305 1,859
* Tejon Ranch Co. 53,381 1,858
ElkCorp 77,418 1,853
Barnes Group, Inc. 63,032 1,827
Royal Gold, Inc. 125,866 1,784
Chesapeake Corp. of Virginia 66,180 1,766
* Comfort Systems USA, Inc. 274,094 1,751
The Standard Register Co. 145,769 1,735
* Insituform Technologies Inc.
Class A 105,912 1,723
* RTI International Metals, Inc. 105,462 1,682
Tredegar Corp. 100,867 1,627
* Interface, Inc. 183,720 1,604
* Drew Industries, Inc. 39,027 1,588
* Avatar Holding, Inc. 38,052 1,583
* Mobile Mini, Inc. 55,582 1,579
Apogee Enterprises, Inc. 148,866 $ 1,548
* Material Sciences Corp. 142,328 1,516
* Energy Conversion Devices, Inc. 133,975 1,509
* Layne Christensen Co. 89,505 1,481
* Jacuzzi Brands, Inc. 183,114 1,476
* Buckeye Technology, Inc. 125,575 1,444
* Lydall, Inc. 146,705 1,433
Valmont Industries, Inc. 60,056 1,375
Ryerson Tull, Inc. 85,936 1,365
WD-40 Co. 45,244 1,355
* AAON, Inc. 66,942 1,352
Gibraltar Steel 41,172 1,351
* Griffin Land & Nurseries, Inc. 52,872 1,344
CIRCOR International, Inc. 65,117 1,328
Myers Industries, Inc. 92,887 1,310
* Foamex International, Inc. 264,956 1,290
Ameron International Corp. 37,719 1,287
Consolidated-Tomoka Land Co. 33,267 1,256
Quaker Chemical Corp. 45,427 1,255
* Juno Lighting, Inc. 34,803 1,242
Penford Corp. 70,255 1,233
* TransPro Inc. 213,136 1,228
Universal Forest Products, Inc. 37,092 1,196
Compass Minerals International 60,100 1,165
* Constar International Inc. 250,091 1,163
* Northwest Pipe Co. 65,581 1,158
* CompX International Inc. 72,197 1,083
* Reading International Inc.
Class A 124,214 1,081
Oil-Dri Corp. of America 63,015 1,052
* Maxxam Inc. 39,329 1,046
Deltic Timber Corp. 25,738 988
Wellman, Inc. 120,933 983
LSI Industries Inc. 84,590 973
* Zoltek Cos., Inc. 130,555 933
* Valence Technology Inc. 271,251 930
* Huttig Building Products, Inc. 119,860 921
* Terra Industries, Inc. 162,181 913
* Stratus Properties Inc. 69,211 896
Stepan Co. 31,270 818
* EarthShell Corp. 402,304 817
* Integrated Electrical Services, Inc. 98,626 794
Ampco-Pittsburgh Corp. 60,218 774
* Acmat Corp. Class A 60,847 774
Ennis Business Forms, Inc. 37,418 730
Steel Technologies, Inc. 32,668 721
Intermet Corp. 155,765 670
NN, Inc. 51,288 652
* Synalloy Corp. 60,579 618
* Omnova Solutions Inc. 100,812 615
* Medis Technology Ltd. 37,234 604
28
Market
Value^
Shares (000)
Calgon Carbon Corp. 89,939 $ 603
* Unifi, Inc. 188,801 553
Pope & Talbot, Inc. 27,783 549
Hawkins, Inc. 45,795 549
* Bluegreen Corp. 38,200 527
Andersons, Inc. 30,200 513
MGP Ingredients, Inc. 13,000 503
* U.S. Energy Corp. 184,309 446
Penn Engineering &
Manufacturing Corp. 19,694 422
Anchor Glass Container Corp. 29,900 405
* Infrasource Services Inc. 32,100 394
* Brush Engineered Materials Inc. 19,900 377
* U.S. Concrete, Inc. 50,674 357
* Webco Industries, Inc. 85,823 324
American Vanguard Corp. 8,350 282
* Tarragon Realty Investors Inc.
REIT 19,007 280
* Perini Corp. 26,105 279
* Wellsford Real Properties Inc. 17,574 273
* Liquidmetal Technologies Inc. 174,949 248
* Eden Bioscience Corp. 283,660 241
Building Materials Holding Corp. 12,696 240
* Badger Paper Mills, Inc. 45,643 224
* Ultralife Batteries, Inc. 8,400 163
* Lesco, Inc. 11,100 151
* Mestek, Inc. 7,222 120
* Anthony & Sylvan Pools Corp. 26,081 110
Noland Co. 2,062 90
* Impreso, Inc. 32,000 77
* American Realty Investors, Inc. 5,870 53
* WHX Corp. 29,344 48
* Corrpro Cos., Inc. 3,200 6
* BMC Industries, Inc. 211,416 1
* General Chemical Group Inc. 17,001 1
* Cone Mills Corp. 104,013 1
1,974,655
Producer Durables (4.5%)
United Technologies Corp. 1,843,011 168,599
The Boeing Co. 3,023,362 154,464
* Applied Materials, Inc. 6,044,942 118,602
Illinois Tool Works, Inc. 1,110,750 106,510
Caterpillar, Inc. 1,226,007 97,394
Emerson Electric Co. 1,512,773 96,137
Lockheed Martin Corp. 1,609,324 83,814
Northrop Grumman Corp. 1,289,158 69,228
Deere & Co. 892,796 62,621
Danaher Corp. 1,104,372 57,262
* Agilent Technologies, Inc. 1,724,862 50,504
* Lexmark International, Inc. 466,083 44,991
Ingersoll-Rand Co. 621,533 $ 42,457
* Xerox Corp. 2,869,545 41,608
Pitney Bowes, Inc. 829,010 36,684
* KLA-Tencor Corp. 707,173 34,920
Dover Corp. 729,038 30,693
Parker Hannifin Corp. 429,378 25,531
D. R. Horton, Inc. 838,238 23,806
Pulte Homes, Inc. 454,848 23,666
Lennar Corp. Class A 523,230 23,399
Molex, Inc. 688,169 22,076
Rockwell Collins, Inc. 636,166 21,197
* Waters Corp. 428,907 20,493
Centex Corp. 442,602 20,249
Cooper Industries, Inc. Class A 331,924 19,720
W.W. Grainger, Inc. 326,012 18,746
* Thermo Electron Corp. 593,999 18,260
* Novellus Systems, Inc. 530,642 16,683
* Teradyne, Inc. 696,267 15,805
American Power
Conversion Corp. 718,511 14,119
Diebold, Inc. 261,900 13,847
Goodrich Corp. 424,335 13,719
* LAM Research Corp. 480,891 12,888
* American Tower Corp. Class A 802,280 12,195
Pentair, Inc. 359,550 12,095
Pall Corp. 452,919 11,862
* Crown Castle International Corp. 801,827 11,827
KB HOME 168,333 11,553
* Andrew Corp. 576,862 11,543
* NVR, Inc. 23,457 11,358
* Toll Brothers, Inc. 266,770 11,290
Tektronix, Inc. 305,395 10,390
Hubbell Inc. Class B 210,669 9,840
Cummins Inc. 154,606 9,663
Donaldson Co., Inc. 312,344 9,152
HNI Corp 209,976 8,888
* Alliant Techsystems, Inc. 134,350 8,510
* Polycom, Inc. 358,780 8,040
Graco, Inc. 249,246 7,739
Roper Industries Inc. 132,020 7,512
Herman Miller, Inc. 258,689 7,486
MDC Holdings, Inc. 117,395 7,467
Ametek, Inc. 241,622 7,466
* Plantronics, Inc. 171,068 7,202
Briggs & Stratton Corp. 80,639 7,124
* Hovnanian Enterprises Inc.
Class A 201,072 6,979
Ryland Group, Inc. 87,982 6,880
Crane Co. 214,460 6,732
* United Defense Industries Inc. 188,819 6,609
29
Market
Total Stock Market Value^
Index Fund Shares (000)
* AGCO Corp. 324,083 $ 6,602
Cognex Corp. 162,684 6,260
IDEX Corp. 177,871 6,110
* Terex Corp. 176,791 6,034
Standard Pacific Corp. 122,351 6,032
Kennametal, Inc. 131,189 6,008
Thomas & Betts Corp. 210,849 5,741
Joy Global Inc. 183,694 5,500
Nordson Corp. 126,648 5,493
Engineered Support Systems, Inc. 93,220 5,454
* Varian Semiconductor
Equipment Associates, Inc. 130,452 5,030
Lincoln Electric Holdings, Inc. 146,337 4,989
* Cymer, Inc. 131,923 4,939
Beazer Homes USA, Inc. 49,099 4,925
* Flowserve Corp. 195,082 4,865
Mine Safety Appliances Co. 132,617 4,470
* Axcelis Technologies, Inc. 356,835 4,439
* MKS Instruments, Inc. 192,022 4,382
* Taser International Inc. 100,800 4,368
* Dionex Corp. 76,753 4,234
* Headwaters Inc. 159,472 4,135
* Credence Systems Corp. 292,779 4,040
* Veeco Instruments, Inc. 143,265 3,698
* Interdigital Communications Corp. 192,031 3,612
* Actuant Corp. 91,195 3,556
* FEI Co. 145,806 3,486
* Littelfuse, Inc. 82,158 3,484
* Genlyte Group, Inc. 55,361 3,481
* Rayovac Corp. 123,117 3,460
* Teledyne Technologies, Inc. 168,945 3,382
* Brooks Automation, Inc. 166,946 3,364
* Power-One, Inc. 303,950 3,337
* ATMI, Inc. 120,744 3,298
Curtiss-Wright Corp. 58,526 3,289
* CUNO Inc. 60,511 3,228
* Technitrol, Inc. 146,768 3,214
* Meritage Corp. 46,248 3,182
Watts Water Technologies, Inc. 115,921 3,124
A.O. Smith Corp. 97,895 3,112
* William Lyon Homes, Inc. 33,285 3,067
Federal Signal Corp. 162,808 3,030
* Entegris Inc. 258,786 2,994
Franklin Electric, Inc. 77,232 2,916
* Ionics, Inc. 99,518 2,811
Kimball International, Inc. Class B 188,760 2,784
* Orbital Sciences Corp. 197,678 2,730
Tecumseh Products Co. Class A 64,019 2,637
* Moog Inc. 70,488 2,616
Technical Olympic USA, Inc. 117,055 2,608
The Middleby Corp. 46,782 2,555
The Manitowoc Co., Inc. 73,383 $ 2,484
Woodward Governor Co. 34,289 2,473
* Esterline Technologies Corp. 81,094 2,395
Baldor Electric Co. 101,961 2,381
* Kulicke & Soffa Industries, Inc. 214,340 2,349
JLG Industries, Inc. 166,385 2,311
* Paxar Corp. 117,191 2,288
* FARO Technologies, Inc. 86,668 2,225
* Imagistics International Inc. 62,822 2,224
* LTX Corp. 202,816 2,192
* Ultratech, Inc. 131,542 2,142
* Powerwave Technologies, Inc. 277,819 2,139
* Electro Scientific Industries, Inc. 75,468 2,136
* Photon Dynamics, Inc. 60,369 2,117
Regal-Beloit Corp. 94,984 2,114
* Triumph Group, Inc. 65,546 2,093
MTS Systems Corp. 89,023 2,088
* Applied Films Corp. 71,790 2,083
NACCO Industries, Inc. Class A 21,814 2,072
* Levitt Corp. Class A 78,685 2,027
M/I Homes, Inc. 49,754 2,020
* Mykrolis Corp. 114,828 2,000
* Artesyn Technologies, Inc. 215,363 1,938
* Vicor Corp. 103,549 1,892
* Gardner Denver Inc. 67,004 1,869
C & D Technologies, Inc. 104,450 1,862
Helix Technology Corp. 87,262 1,861
* C-COR Electronics, Inc. 175,910 1,810
* Advanced Energy Industries, Inc. 113,952 1,791
* Audiovox Corp. 105,837 1,787
X-Rite Inc. 122,729 1,784
* Champion Enterprises, Inc. 193,626 1,777
* Presstek, Inc. 168,661 1,773
* Aetrium, Inc. 240,275 1,766
Applied Signal Technology, Inc. 49,695 1,742
Applied Industrial Technology, Inc. 57,331 1,727
* Itron, Inc. 75,240 1,726
* Arris Group Inc. 289,917 1,722
* ESCO Technologies Inc. 32,090 1,712
Stewart & Stevenson
Services, Inc. 92,614 1,660
* Photronics Inc. 87,277 1,653
* Mattson Technology, Inc. 137,349 1,651
* MTC Technologies, Inc. 63,318 1,635
* Rudolph Technologies, Inc. 88,237 1,605
* Palm Harbor Homes, Inc. 89,810 1,592
Lindsay Manufacturing Co. 65,894 1,583
Belden, Inc. 73,717 1,580
United Industrial Corp. 66,958 1,563
Steelcase Inc. 110,930 1,553
* Asyst Technologies, Inc. 149,819 1,549
30
Market
Value^
Shares (000)
Tennant Co. 36,733 $ 1,523
* Park-Ohio Holdings Corp. 124,559 1,470
Lennar Corp. Class B 34,676 1,437
Thomas Industries, Inc. 42,915 1,425
* Sonic Solutions, Inc. 64,876 1,379
* Axsys Technologies, Inc. 62,341 1,378
* Blount International, Inc. 107,925 1,374
* General Cable Corp. 157,876 1,350
Woodhead Industries, Inc. 84,375 1,304
* Rofin-Sinar Technologies Inc. 51,267 1,302
* Team, Inc. 78,915 1,278
* Milacron Inc. 315,968 1,264
* Metrologic Instruments, Inc. 63,073 1,258
* Cable Design Technologies Corp. 114,873 1,218
* Magnatek, Inc. 143,778 1,200
* Kadant Inc. 51,742 1,197
* DuPont Photomasks, Inc. 58,785 1,195
Keithley Instruments Inc. 53,070 1,176
* SBA Communications Corp. 263,820 1,174
CTS Corp. 96,848 1,168
Met-Pro Corp. 78,169 1,165
* Cavco Industries, Inc. 29,078 1,154
BHA Group Holdings Inc. 30,331 1,148
* Symmetricom Inc. 128,511 1,144
* Baldwin Technology Class A 307,619 1,101
* Serrento Networks Corp. 318,324 1,089
* California Amplifier, Inc. 153,449 1,085
* Zygo Corp. 96,420 1,079
* EnPro Industries, Inc. 46,460 1,068
* FSI International, Inc. 129,166 1,010
Gorman-Rupp Co. 37,002 1,005
* Active Power, Inc. 301,200 961
HEICO Corp. 52,314 955
* Therma-Wave Inc. 193,200 952
* Darling International, Inc. 217,991 916
* EMCORE Corp. 278,521 908
Curtiss-Wright Corp. Class B 16,860 907
* Mastec Inc. 166,885 906
* BE Aerospace, Inc. 119,105 903
Paul Mueller Co. 27,768 877
Cohu, Inc. 45,049 858
* Measurement Specialties, Inc. 39,400 851
* Genus, Inc. 244,009 835
* Strategic Diagnostics Inc. 196,136 824
Standex International Corp. 29,697 808
* Virco Manufacturing Corp. 113,815 792
* Arotech Corp. 377,129 788
* Copper Mountain Networks, Inc. 63,843 775
* AZZ Inc. 50,598 769
* Fairchild Corp. 177,244 759
Alamo Group, Inc. 46,761 744
* Pemco Aviation Group, Inc. 24,302 $ 729
* Perceptron, Inc. 102,506 728
* Hovnanian Enterprises 19,300 670
* Cavalier Homes, Inc. 123,627 661
* BTU International, Inc. 121,944 628
* Proxim Corp. Class A 502,022 594
* Ducommun, Inc. 27,405 586
* American Superconductor Corp. 43,500 569
* Capital Pacific Holdings, Inc. 139,064 548
Astro-Med, Inc. 52,854 536
* Applied Innovation Inc. 133,742 536
* Tollgrade Communications, Inc. 48,138 511
* Allied Motion Technologies, Inc. 105,978 510
* Paragon Technologies, Inc. 51,530 507
Robbins & Myers, Inc. 22,077 496
* RF Monolithics, Inc. 61,990 488
* ADE Corp. 22,313 482
Skyline Corp. 11,428 465
* Terayon Communications
Systems, Inc. 197,270 462
* TRC Cos., Inc. 26,935 449
* Viisage Technology, Inc. 51,300 447
* Distributed Energy Systems Corp. 163,042 443
* General Binding Corp. 28,619 443
* Lancer Corp. 68,213 428
* August Technology Corp. 32,040 402
* Orleans Homebuilders, Inc. 20,833 401
* SatCon Technology Corp. 158,588 400
* Electroglas, Inc. 74,154 397
SpectraLink Corp. 25,773 384
* Ddi Corp. 46,300 381
* Somera Communications, Inc. 235,823 380
* Semitool, Inc. 33,471 379
* Katy Industries, Inc. 77,069 377
Cascade Corp. 12,029 376
HEICO Corp. Class A 26,577 371
* Astec Industries, Inc. 19,592 369
* Tut Systems, Inc. 114,277 360
* Summa Industries 30,808 334
Hubbell Inc. Class A 7,600 332
* Optical Cable Corp. 60,351 320
* Bell Industries, Inc. 103,598 311
* Global Payment Tech Inc. 83,917 310
Tech/Ops Sevcon, Inc. 46,681 276
* Peco II, Inc. 344,179 275
* Catalytica Energy Systems, Inc. 92,214 262
* Aerosonic Corp. 44,254 261
* TransAct Technologies Inc. 6,544 207
* Airnet Communications Corp. 268,624 188
* Powell Industries, Inc. 10,428 178
* Versar Inc. 35,000 173
31
Market
Total Stock Market Value^
Index Fund Shares (000)
* Dominion Homes, Inc. 6,522 $ 151
* General Bearing Corp. 36,504 138
* Teleglobe International
Holdings Ltd. 26,524 135
* LMI Aerospace, Inc. 89,603 116
* American Access
Technologies Inc. 70,247 116
* Beacon Power Corp. 243,364 102
Collins Industries, Inc. 15,800 92
* The Allied Defense Group, Inc. 3,100 56
* ZEVEX International, Inc. 12,257 40
* Andrea Radio Corp. 124,782 17
* DT Industries, Inc. 525,268 11
* Oakwood Homes Corp. 81,969 6
2,234,221
Technology (14.1%)
Microsoft Corp. 38,663,797 1,104,238
Intel Corp. 23,167,373 639,419
* Cisco Systems, Inc. 24,218,595 573,981
International Business
Machines Corp. 6,036,780 532,142
* Dell Inc. 9,064,495 324,690
Hewlett-Packard Co. 10,942,233 230,881
* Oracle Corp. 18,607,611 221,989
QUALCOMM Inc. 2,905,193 212,021
Motorola, Inc. 8,405,639 153,404
Texas Instruments, Inc. 6,207,385 150,095
* EMC Corp. 8,677,966 98,929
General Dynamics Corp. 713,835 70,884
* Corning, Inc. 4,920,353 64,260
Analog Devices, Inc. 1,347,867 63,458
Maxim Integrated Products, Inc. 1,155,540 60,573
Computer Associates
International, Inc. 2,086,893 58,558
* Lucent Technologies, Inc. 15,367,894 58,091
Raytheon Co. 1,508,407 53,956
* Broadcom Corp. 1,126,411 52,682
* Sun Microsystems, Inc. 11,927,518 51,765
* Symantec Corp. 1,116,149 48,865
* Juniper Networks, Inc. 1,898,198 46,639
* Apple Computer, Inc. 1,362,761 44,344
Linear Technology Corp. 1,111,054 43,853
* Veritas Software Corp. 1,533,333 42,473
Xilinx, Inc. 1,244,515 41,455
Adobe Systems, Inc. 856,211 39,814
* Micron Technology, Inc. 2,194,586 33,599
Electronic Data Systems Corp. 1,737,037 33,264
* Computer Sciences Corp. 672,823 31,239
* Altera Corp. 1,342,813 29,837
* National Semiconductor Corp. 1,287,018 28,302
* Intuit, Inc. 706,172 27,244
* Network Appliance, Inc. 1,246,666 $ 26,841
L-3 Communications
Holdings, Inc. 380,622 25,426
* Avaya Inc. 1,591,766 25,134
Rockwell Automation, Inc. 666,909 25,016
* Affiliated Computer
Services, Inc. Class A 464,081 24,568
* PeopleSoft, Inc. 1,309,005 24,217
Seagate Technology 1,640,646 23,675
Microchip Technology, Inc. 741,956 23,401
* Solectron Corp. 3,353,724 21,699
* Advanced Micro Devices, Inc. 1,268,738 20,173
* JDS Uniphase Corp. 5,173,419 19,607
* Siebel Systems, Inc. 1,802,960 19,256
Scientific-Atlanta, Inc. 549,261 18,950
* Jabil Circuit, Inc. 720,601 18,145
Autodesk, Inc. 406,542 17,404
* Sanmina-SCI Corp. 1,869,162 17,009
* NCR Corp. 340,882 16,904
* Unisys Corp. 1,195,594 16,595
* Mercury Interactive Corp. 330,981 16,493
* Synopsys, Inc. 556,779 15,829
Applera Corp.-Applied
Biosystems Group 724,336 15,754
* Red Hat, Inc. 656,521 15,080
* BMC Software, Inc. 811,552 15,014
* Zebra Technologies Corp. Class A 171,272 14,901
* Cadence Design Systems, Inc. 979,973 14,337
* Comverse Technology, Inc. 702,052 13,999
* Tellabs, Inc. 1,505,498 13,158
* PanAmSat Corp. 541,218 12,567
* SanDisk Corp. 579,118 12,561
* Citrix Systems, Inc. 611,065 12,441
Symbol Technologies, Inc. 841,858 12,409
* UTStarcom, Inc. 407,814 12,336
* NVIDIA Corp. 595,700 12,212
Harris Corp. 240,571 12,209
* BEA Systems, Inc. 1,474,125 12,117
* Ceridian Corp. 533,717 12,009
* Cognizant Technology
Solutions Corp. 460,350 11,697
* Storage Technology Corp. 402,269 11,666
* Novell, Inc. 1,382,708 11,601
* Arrow Electronics, Inc. 413,259 11,084
Intersil Corp. 503,285 10,901
* Network Associates, Inc. 593,776 10,765
* Vishay Intertechnology, Inc. 578,418 10,747
* Amphenol Corp. 316,544 10,547
* LSI Logic Corp. 1,372,057 10,455
* Atmel Corp. 1,706,730 10,104
* Avnet, Inc. 432,868 9,826
32
Market
Value^
Shares (000)
* International Rectifier Corp. 237,015 $ 9,817
ADTRAN Inc. 285,434 9,525
* Agere Systems Inc. Class A 4,118,015 9,471
* Compuware Corp. 1,390,296 9,176
PerkinElmer, Inc. 457,860 9,176
AVX Corp. 625,634 9,040
* Qlogic Corp. 334,758 8,901
* 3Com Corp. 1,400,972 8,756
National Instruments Corp. 283,082 8,676
* Silicon Laboratories Inc. 185,131 8,582
* ADC Telecommunications, Inc. 2,903,665 8,246
* Ingram Micro, Inc. Class A 557,868 8,072
* Akamai Technologies, Inc. 441,662 7,928
Acxiom Corp. 308,895 7,670
* CIENA Corp. 2,036,457 7,576
* SpectraSite, Inc. 173,200 7,486
* MEMC Electronic Materials, Inc. 743,337 7,344
* Conexant Systems, Inc. 1,664,433 7,207
* Integrated Circuit Systems, Inc. 260,911 7,086
* Fairchild Semiconductor
International, Inc. 428,431 7,013
* Foundry Networks, Inc. 485,213 6,827
* FLIR Systems, Inc. 120,851 6,635
* Rambus Inc. 367,058 6,523
* Western Digital Corp. 748,512 6,482
* Avocent Corp. 176,346 6,479
* Advanced Fibre
Communications, Inc. 316,282 6,389
* Semtech Corp. 270,357 6,364
* Cypress Semiconductor Corp. 443,638 6,295
* Sybase, Inc. 349,270 6,287
* BearingPoint, Inc. 703,764 6,242
* Cree, Inc. 266,258 6,198
* Avid Technology, Inc. 113,384 6,187
* Hyperion Solutions Corp. 140,200 6,130
* Macromedia, Inc. 248,530 6,101
* Gateway, Inc. 1,349,876 6,074
* TIBCO Software Inc. 712,398 6,020
* Applied Micro Circuits Corp. 1,121,816 5,968
* Gartner, Inc. Class A 446,061 5,897
* Maxtor Corp. 888,281 5,889
* PalmOne, Inc. 166,302 5,782
* Brocade Communications
Systems, Inc. 934,547 5,589
* Electronics for Imaging, Inc. 195,042 5,512
Reynolds & Reynolds Class A 236,942 5,480
Imation Corp. 127,502 5,433
* Siliconix, Inc. 107,967 5,357
* Perot Systems Corp. 403,123 5,349
* Varian, Inc. 125,801 5,303
* Integrated Device Technology Inc. 380,883 5,271
* Amkor Technology, Inc. 628,094 $ 5,138
* Trimble Navigation Ltd. 181,769 5,051
* RF Micro Devices, Inc. 669,766 5,023
* AMIS Holdings Inc. 295,400 4,998
* Parametric Technology Corp. 965,972 4,830
* CommScope, Inc. 220,626 4,732
* Skyworks Solutions, Inc. 537,452 4,692
* ON Semiconductor Corp. 907,444 4,555
* RSA Security Inc. 221,290 4,530
Anixter International Inc. 130,695 4,448
* Macrovision Corp. 177,082 4,432
* FileNET Corp. 140,296 4,429
* UNOVA, Inc. 216,910 4,392
* Quest Software, Inc. 340,330 4,390
* Anteon International Corp. 134,026 4,372
* Intergraph Corp. 166,079 4,295
* Benchmark Electronics, Inc. 147,362 4,288
* CACI International, Inc. 105,011 4,247
* Emulex Corp. 295,689 4,231
* Sonus Networks, Inc. 881,603 4,214
* Sycamore Networks, Inc. 984,965 4,167
* RealNetworks, Inc. 607,063 4,152
* Agere Systems Inc. Class B 1,900,700 4,087
* Micrel, Inc. 332,209 4,036
* Tekelec 221,141 4,018
* CSG Systems International, Inc. 193,392 4,003
* KEMET Corp. 326,263 3,987
* Vitesse Semiconductor Corp. 813,836 3,972
* The Titan Corp. 301,036 3,907
* Mentor Graphics Corp. 251,371 3,889
* DSP Group Inc. 140,129 3,817
* Aeroflex, Inc. 264,295 3,787
* WebEx Communications, Inc. 173,776 3,781
* Zoran Corp. 204,318 3,749
* Digital River, Inc. 112,171 3,660
* Ditech Communications Corp. 156,805 3,660
* DRS Technologies, Inc. 113,326 3,615
* Silicon Image, Inc. 271,010 3,558
* Silicon Storage Technology, Inc. 342,931 3,532
* Manhattan Associates, Inc. 113,538 3,506
* Dendrite International, Inc. 185,615 3,449
* Ascential Software Corp. 212,221 3,393
* Aspect Communications Corp. 229,102 3,253
* ANSYS, Inc. 69,192 3,252
* Opsware, Inc. 409,739 3,245
* Keane, Inc. 235,505 3,224
* F5 Networks, Inc. 121,105 3,207
* MICROS Systems, Inc. 66,627 3,196
* Altiris, Inc. 115,638 3,193
* Coherent, Inc. 106,348 3,174
* Adaptec, Inc. 374,591 3,169
33
Market
Total Stock Market Value^
Index Fund Shares (000)
Black Box Corp. 66,861 $ 3,160
* OmniVision Technologies, Inc. 197,398 3,148
* SafeNet, Inc. 111,063 3,074
* Transaction Systems
Architects, Inc. 141,854 3,054
* InVision Technologies, Inc. 61,048 3,046
* Power Integrations, Inc. 121,782 3,032
* SERENA Software, Inc. 157,417 3,005
* Verint Systems Inc. 82,593 2,826
* Lattice Semiconductor Corp. 398,491 2,793
* ScanSource, Inc. 46,375 2,756
* Novatel Wireless, Inc. 103,947 2,755
* Internet Security Systems, Inc. 178,020 2,731
* Pixelworks, Inc. 177,210 2,715
* SigmaTel Inc. 92,300 2,682
* Synaptics Inc. 139,883 2,679
* Hutchinson Technology, Inc. 108,571 2,670
* SRA International, Inc. 62,289 2,636
* Magma Design Automation, Inc. 134,236 2,581
* Progress Software Corp. 118,832 2,575
* FormFactor Inc. 114,300 2,566
* TriQuint Semiconductor, Inc. 468,414 2,558
* NetIQ Corp. 188,890 2,493
* Daktronics, Inc. 99,561 2,484
* Wind River Systems Inc. 210,079 2,471
* McDATA Corp. Class A 456,731 2,457
* Epicor Software Corp. 171,090 2,404
* Newport Corp. 145,299 2,349
Syntel, Inc. 141,894 2,348
* Websense, Inc. 62,988 2,345
* Informatica Corp. 305,800 2,333
* ViaSat, Inc. 93,358 2,329
* Corvis Corp. 1,637,693 2,309
* Identix, Inc. 308,821 2,307
Cubic Corp. 108,629 2,274
* Micromuse Inc. 338,565 2,265
* Extreme Networks, Inc. 410,077 2,264
* Intermagnetics General Corp. 66,005 2,246
Inter-Tel, Inc. 88,853 2,219
* ChipPAC, Inc. 352,753 2,212
* Checkpoint Systems, Inc. 122,200 2,191
* Mercury Computer Systems, Inc. 87,812 2,178
* Xicor, Inc. 143,564 2,172
* Borland Software Corp. 254,633 2,162
* Microsemi Corp. 151,304 2,150
* Exar Corp. 145,890 2,139
* Silicon Graphics, Inc. 970,152 2,134
* Openwave Systems Inc. 166,947 2,120
* Advanced Digital
Information Corp. 216,515 2,100
* j2 Global Communications, Inc. 74,773 2,079
* webMethods, Inc. 234,087 $ 2,006
* Jupitermedia Corp. 141,547 2,004
* Tyler Technologies, Inc. 209,047 1,978
* Pinnacle Systems, Inc. 276,315 1,976
* InterVoice, Inc. 171,973 1,973
* Carrier Access Corp. 165,023 1,967
* Standard Microsystem Corp. 83,812 1,954
* PLX Technology, Inc. 112,100 1,935
* Sapient Corp. 318,743 1,916
* Actuate Software Corp. 479,638 1,895
* ESS Technology, Inc. 175,882 1,884
* Packeteer, Inc. 115,956 1,873
* Cirrus Logic 311,505 1,872
* RadiSys Corp. 99,990 1,857
* I.D. Systems, Inc. 122,977 1,853
* SonicWALL, Inc. 215,299 1,853
* Lexar Media, Inc. 277,135 1,851
* Quantum Corp. 593,635 1,840
EDO Corp. 76,235 1,839
* Harmonic, Inc. 215,524 1,836
* Ariba, Inc. 926,478 1,834
* Diodes Inc. 77,285 1,831
* SeeBeyond Technology Corp. 484,803 1,828
* Mindspeed Technologies, Inc. 361,838 1,795
* Integrated Silicon Solution, Inc. 146,049 1,783
* Tessera Technologies, Inc. 97,572 1,758
* Verity, Inc. 129,581 1,751
* TTM Technologies, Inc. 145,339 1,722
Bel Fuse, Inc. Class B 40,350 1,683
* Enterasys Networks, Inc. 795,125 1,678
* Digitas Inc. 151,626 1,672
* Ixia 169,222 1,665
Interwoven, Inc. 163,949 1,656
* Witness Systems, Inc. 136,136 1,654
* ManTech International Corp. 88,044 1,653
* Sigma Designs, Inc. 205,274 1,638
* Lawson Software Inc. 231,200 1,637
* MIPS Technologies, Inc. 265,491 1,625
* PDF Solutions, Inc. 190,084 1,610
* Equinix, Inc. 47,327 1,606
* Inet Technologies, Inc. 128,625 1,604
* Netegrity, Inc. 189,164 1,600
* Hifn, Inc. 133,723 1,598
* InFocus Corp. 187,661 1,595
* Remec, Inc. 252,081 1,593
* Actel Corp. 86,111 1,593
Agilysys, Inc. 114,747 1,582
* II-VI, Inc. 51,174 1,569
Lowrance Electronics, Inc. 50,669 1,569
* IPIX Corp. 112,075 1,567
* Blue Coat Systems, Inc. 46,683 1,563
34
Market
Value^
Shares (000)
* MicroStrategy Inc. 36,604 $ 1,563
* MatrixOne, Inc. 219,773 1,519
* SeaChange International, Inc. 89,347 1,508
* Answerthink Consulting
Group, Inc. 262,868 1,506
* Echelon Corp. 134,403 1,504
* MRV Communications Inc. 546,190 1,497
* Cray Inc. 223,548 1,480
Iomega Corp. 260,260 1,452
* Kopin Corp. 283,824 1,450
* Plexus Corp. 107,054 1,445
* Ciber, Inc. 175,421 1,442
* NetScout Systems, Inc. 218,561 1,440
* Keynote Systems Inc. 104,131 1,432
* Avanex Corp. 355,296 1,382
* Artisan Components, Inc. 53,430 1,378
Talx Corp. 55,884 1,365
* Dynamics Research Corp. 75,654 1,361
* Aspen Technologies, Inc. 185,742 1,348
* Paradyne Networks, Inc. 242,408 1,333
* QAD Inc. 125,168 1,328
* ScanSoft, Inc. 265,262 1,313
* Secure Computing Corp. 111,983 1,305
* Clarus Corp. 112,746 1,304
* Dot Hill Systems Corp. 114,357 1,282
* Infonet Services Corp. 724,882 1,269
* Digi International, Inc. 117,712 1,262
* Group 1 Software, Inc. 54,962 1,261
* Fargo Electronics 113,210 1,258
* Interlink Electronics Inc. 128,865 1,256
* Stratasys, Inc. 49,250 1,219
* At Road, Inc. 159,266 1,218
* Comtech
Telecommunications Corp. 53,796 1,214
* PalmSource, Inc. 70,280 1,205
* Virage Logic Corp. 131,666 1,198
* Vignette Corp. 708,854 1,177
* Captiva Software Corp. 119,830 1,161
* Mapics Inc. 109,354 1,155
* Safeguard Scientifics, Inc. 500,912 1,152
* PEC Solutions, Inc. 96,208 1,148
* SiRF Technology Holdings, Inc. 87,000 1,137
* Mechanical Technology Inc. 187,663 1,122
* Applix, Inc. 253,384 1,092
* EMS Technologies, Inc. 55,782 1,084
* Lionbridge Technologies, Inc. 141,573 1,083
* Agile Software Corp. 123,588 1,081
* eCollege.com Inc. 67,157 1,075
* Zix Corp. 134,974 1,072
* Stellent Inc. 124,846 1,066
* Visual Networks, Inc. 349,823 1,060
* Alliance Semiconductor Corp. 177,750 $ 1,058
* KVH Industries, Inc. 83,057 1,057
* Drexler Technology Corp. 78,684 1,049
Methode Electronics, Inc. Class A 80,499 1,044
* Embarcadero Technologies, Inc. 83,917 1,037
* Finisar Corp. 523,122 1,036
* VA Software Corp. 422,485 1,035
* Marimba, Inc. 126,540 1,029
* Tier Technologies, Inc. 105,609 1,029
* Anaren, Inc. 62,540 1,022
* SupportSoft, Inc. 117,497 1,020
* Docucorp International, Inc. 116,150 1,018
* Ulticom, Inc. 86,877 1,016
* AuthentiDate Holding Corp. 92,970 1,016
* OPNET Technologies, Inc. 77,277 1,012
* Genesis Microchip Inc. 73,182 1,008
* Bioveris Corp. 120,825 1,005
* Transmeta Corp. 458,321 1,004
* COMARCO, Inc. 141,768 999
* TechTeam Global, Inc. 110,800 999
* Datastream Systems, Inc. 153,385 994
* NETGEAR, Inc. 92,023 988
* Sykes Enterprises, Inc. 130,665 988
* Pegasystems Inc. 112,566 985
* Ramtron International Corp. 214,097 970
* MRO Software Inc. 70,225 956
* FalconStor Software, Inc. 122,784 948
* Inforte Corp. 93,601 945
* LCC International, Inc. Class A 192,322 942
* Komag, Inc. 66,800 933
* All American Semiconductor, Inc. 99,339 925
* Niku Corp. 80,389 914
* NetManage, Inc. 116,971 912
* Gerber Scientific, Inc. 127,609 901
Park Electrochemical Corp. 35,354 893
* Universal Display Corp. 80,861 868
* Wave Systems Corp. 661,632 860
* IXYS Corp. 107,667 848
* PC-Tel, Inc. 71,649 845
* SPSS, Inc. 46,783 841
* QuickLogic Corp. 239,787 837
* Intellisync Corp. 285,846 820
* WatchGuard Technologies, Inc. 112,435 812
* Telular Corp. 112,287 807
* Xybernaut Corp. 483,040 807
* Merix Corp. 70,580 800
* JDA Software Group, Inc. 60,708 800
* The TriZetto Group, Inc. 119,275 799
* MSC Software Corp. 89,124 798
* Captaris Inc. 123,337 797
* Bell Microproducts Inc. 98,017 793
35
Market
Total Stock Market Value^
Index Fund Shares (000)
* Atheros Communications 73,293 $ 773
* Pericom Semiconductor Corp. 71,697 768
* Stratex Networks, Inc. 260,268 768
* ePlus Inc. 71,907 766
* Concurrent Computer Corp. 385,157 763
* Chordiant Software, Inc. 161,259 735
* MapInfo Corp. 69,133 733
* Retek Inc. 118,754 729
* Nu Horizons Electronics Corp. 80,995 729
* Verisity Ltd. 120,035 720
* Avici Systems Inc. 55,062 716
* OSI Systems Inc. 35,827 714
* Sirenza Microdevices, Inc. 169,112 710
* Herley Industries Inc. 36,114 706
* Manugistics Group, Inc. 215,081 703
* E.piphany Inc. 144,402 697
* ANADIGICS, Inc. 135,190 697
* Concord Communications, Inc. 60,903 695
* Westell Technologies, Inc. 136,180 695
* NVE Corp. 17,278 690
* Online Resources Corp. 101,711 690
* Tumbleweed
Communications Corp. 161,484 688
* Computer Task Group, Inc. 174,035 687
* iGATE Corp. 171,159 681
* Argonaut Technologies Inc. 506,461 679
SS&C Technologies, Inc. 35,833 670
* BindView Development Corp. 190,851 668
* Oplink Communications, Inc. 346,899 666
* Kana Software, Inc. 278,093 662
* ActivCard Corp. 90,375 656
* Mobius Management
Systems, Inc. 106,886 655
* NMS Communications Corp. 88,047 650
* EPIQ Systems, Inc. 44,301 642
* Zomax Inc. 167,263 631
* TranSwitch Corp. 353,371 625
* On2 Technologies, Inc. 902,207 623
* SYNNEX Corp. 39,600 622
* Glenayre Technologies, Inc. 266,664 613
* Net2Phone, Inc. 134,595 610
* Roxio, Inc. 122,180 600
* Network Equipment
Technologies, Inc. 73,241 598
* Aware, Inc. 150,947 596
* Entrust, Inc. 131,457 592
* Excel Technology, Inc. 17,713 589
* Extended Systems Inc. 117,086 585
BEI Technologies, Inc. 20,462 579
* Zhone Technologies 147,827 577
* Nuance Communications Inc. 125,883 574
* Open Solutions Inc. 22,900 $ 572
* Sipex Corp. 99,378 566
* Bottomline Technologies, Inc. 53,500 564
* BroadVision, Inc. 134,204 564
* NYFIX, Inc. 113,529 555
* Interactive Intelligence Inc. 92,540 553
Sunrise Telecom Inc. 212,512 553
* Phoenix Technologies Ltd. 78,832 552
* Innovex, Inc. 119,272 545
* Vyyo Inc. 83,984 543
* Concur Technologies, Inc. 50,623 542
* Ebix, Inc. 37,574 526
Celeritek, Inc. 136,315 523
* Computer Horizons Corp. 130,806 522
* White Electronic Designs Corp. 97,552 511
* WorldGate Communications, Inc. 243,317 511
* Micro Linear Corp. 89,593 511
* Vastera, Inc. 169,381 508
* Supertex, Inc. 31,069 508
* ONYX Software Corp. 121,092 503
* SAFLINK Corp. 213,714 502
* NetSolve, Inc. 49,600 491
* Research Frontiers, Inc. 68,709 491
* Click Commerce, Inc. 86,232 487
* Merge Technologies, Inc. 33,087 484
* Covansys Corp. 46,720 483
* CompuCom Systems, Inc. 105,854 481
* Ceva, Inc. 60,713 480
* Selectica, Inc. 100,765 479
* Redback Networks Inc. 74,450 477
* Aether Systems, Inc. 137,771 474
Integral Systems, Inc. 29,290 471
* Plumtree Software, Inc. 125,200 470
* Netopia, Inc. 70,688 467
* Versant Corp. 358,592 466
* Verso Technologies, Inc. 265,044 464
* Centra Software, Inc. 205,690 463
* Loudeye Corp. 292,891 462
* Radiant Systems, Inc. 97,350 457
* ImageWare Systems, Inc. 164,900 453
* Viewpoint Corp. 229,539 452
* MetaSolv, Inc. 158,623 450
* Forgent Networks, Inc. 330,066 449
TSR, Inc. 69,004 449
* Corio, Inc. 202,280 439
* The SCO Group, Inc. 74,867 438
* Crossroads Systems, Inc. 248,419 435
* OpenTV Corp. 207,376 431
* Neoware Systems, Inc. 51,807 428
* American Power Technology, Inc. 34,300 427
* Numerex Corp. 92,042 422
36
Market
Value^
Shares (000)
* Centillium Communications, Inc. 109,678 $ 420
* Ansoft Corp. 27,506 420
* SBS Technologies, Inc. 25,964 417
* Monolithic System
Technology, Inc. 55,292 416
* Network Engines, Inc. 149,401 406
* Optical Communication
Products, Inc. 165,247 403
* TippingPoint Technologies Inc. 15,771 400
* Saba Software, Inc. 106,124 398
* Intraware, Inc. 220,226 396
* Overland Storage, Inc. 29,646 394
* WJ Communications, Inc. 111,088 393
* Catapult Communications Corp. 16,412 377
* Planar Systems, Inc. 27,771 372
* California Micro Devices Corp. 32,200 371
* 3D Systems Corp. 31,929 365
* DigitalNet Holdings, Inc. 17,497 356
* Norstan, Inc. 117,778 350
* SAVVIS Communications Corp. 253,179 349
* ACT Teleconferencing, Inc. 138,605 349
* Sumtotal Systems Inc. 53,507 348
* Trident Microsystems, Inc. 30,850 346
* Vitria Technology, Inc. 110,300 339
Bel Fuse, Inc. Class A 8,967 322
* Art Technology Group, Inc. 267,840 321
* Digimarc Corp. 23,942 320
* Convera Corp. 137,789 318
* Computer Network
Technology Corp. 53,048 318
* Analysts International Corp. 102,583 316
* Superconductor Technologies Inc. 253,960 312
* Three-Five Systems, Inc. 60,050 306
Sypris Solutions, Inc. 15,322 294
* Datawatch Corp. 63,876 287
* Leadis Technology Inc. 20,975 281
* Apropos Technology, Inc. 71,600 279
* Omtool, Ltd. 27,444 265
* Cherokee International Corp. 22,793 260
* SCM Microsystems, Inc. 38,627 251
* HEI, Inc. 105,250 246
* Astea International, Inc. 27,799 246
* Braun Consulting, Inc. 132,644 239
* eLoyalty Corp. 36,469 230
* Digital Lightwave, Inc. 129,120 223
* Staktek Holdings Inc. 42,503 223
* I-many, Inc. 174,741 208
* SteelCloud Inc. 76,384 206
* BSQUARE Corp. 205,047 205
* Datalink Corp. 60,600 201
* Lantronix, Inc. 156,839 199
* SimpleTech, Inc. 57,163 $ 195
* MTI Technology Corp. 105,919 195
* Insightful Corp. 88,036 191
Pomeroy IT Solutions, Inc. 15,744 189
* Internet Capital Group Inc 24,231 188
* Larscom Inc. 41,053 184
* Tripath Technology Inc. 55,776 181
* ACE Corp. 74,705 180
* Stratos International Inc. 32,911 180
* VIA NET.WORKS, Inc. 223,374 176
* Blue Martini Software, Inc. 37,795 167
* Mobility Electronics, Inc. 19,660 166
* Merisel, Inc. 34,084 164
* Terremark Worldwide, Inc. 192,100 163
* PowerDsine Ltd. 13,500 163
* NASSDA Corp. 38,639 160
* The Ultimate Software Group, Inc. 15,600 158
* InterVideo Inc. 11,502 149
* Critical Path, Inc. 103,604 143
* Cosine Communications, Inc. 28,188 121
* Technology Solutions Co. 108,739 117
* Interland, Inc. 40,068 113
* Primus Knowledge Solutions, Inc. 56,825 105
* Segue Software, Inc. 27,707 102
* Alanco Technologies, Inc. 64,787 100
* Quovadx, Inc. 81,356 98
* Amtech Systems, Inc. 18,932 93
* Evolving Systems, Inc. 19,193 91
* LightPath Technologies, Inc.
Class A 11,807 72
* Ezenia!, Inc. 102,053 66
* GraphOn Corp. 113,770 60
* Pemstar Inc. 25,578 59
* AXT, Inc. 29,900 59
* Direct Insite Corp. 30,651 58
* NaviSite, Inc. 13,509 53
* Applied Digital Solutions, Inc. 18,670 46
* Salesforce.com, Inc. 2,700 43
Callidus Software Inc. 7,200 37
* Artisoft, Inc. 16,051 36
* Channell Commercial Corp. 8,100 36
Net Perceptions, Inc. 52,195 35
* Universal Access Global
Holdings Inc. 29,319 34
* The A Consulting Team, Inc. 4,635 33
* Ampex Corp. Class A 17,507 32
* Cogent Communications
Group, Inc. 97,270 29
* DSL.Net, Inc. 82,929 26
* ePresence, Inc. 194,749 25
* Storage Computer Corp. 78,329 23
37
Market
Total Stock Market Value^
Index Fund Shares (000)
Dynabazaar, Inc. 65,665 $ 20
* Kintera Inc. 1,400 15
* Network-1 Security Solutions, Inc. 39,125 15
* Versata, Inc. 6,605 12
* Navidec, Inc. 7,254 11
* eGain Communications Corp. 9,782 10
* Datakey, Inc. 13,300 9
* NexPrise, Inc. 4,253 5
* M-WAVE, Inc. 4,000 5
* Covad Communications Group 1,699 4
* GoAmerica, Inc. 2,019 2
* Microstrategy Inc.
Warrants Exp. 6/24/2007 16,344 2
Auspex Systems, Inc. 116,823 1
* Media 100 Inc. 93,278 1
* ProcureNet, Inc. 22,500 0
6,955,286
Utilities (6.2%)
Verizon Communications Inc. 9,922,857 359,108
SBC Communications Inc. 11,875,576 287,983
* Comcast Corp. Class A 7,419,695 207,974
BellSouth Corp. 6,577,602 172,465
* AT&T Wireless Services Inc. 9,778,864 140,033
* Nextel Communications, Inc. 3,851,631 102,684
Sprint Corp. 4,783,530 84,190
Exelon Corp. 2,371,116 78,934
Southern Co. 2,644,977 77,101
Dominion Resources, Inc. 1,171,686 73,910
Duke Energy Corp. 3,280,676 66,565
* Cox Communications, Inc.
Class A 2,130,531 59,207
ALLTEL Corp. 1,105,132 55,942
TXU Corp. 1,161,727 47,062
Entergy Corp. 825,892 46,258
American Electric Power
Co., Inc. 1,418,804 45,402
FirstEnergy Corp. 1,182,778 44,248
FPL Group, Inc. 664,144 42,472
AT&T Corp. 2,846,793 41,649
* PG&E Corp. 1,431,729 40,003
Progress Energy, Inc. 884,456 38,960
Consolidated Edison Inc. 863,072 34,316
Public Service Enterprise
Group, Inc. 848,692 33,973
Edison International 1,168,540 29,880
PPL Corp. 639,513 29,354
Sempra Energy 823,797 28,363
Ameren Corp. 654,992 28,138
Kinder Morgan, Inc. 445,154 26,393
DTE Energy Co. 622,191 25,224
Cinergy Corp. 645,379 24,524
Xcel Energy, Inc. 1,436,724 $ 24,008
* Qwest Communications
International Inc. 6,400,751 22,979
Constellation Energy Group, Inc. 604,570 22,913
* AES Corp. 2,285,798 22,698
KeySpan Corp. 574,693 21,091
NiSource, Inc. 945,825 19,503
* Comcast Corp. Special Class A 654,930 18,083
* NTL Inc. 312,986 18,034
* Cablevision Systems NY Group
Class A 791,011 15,543
CenturyTel, Inc. 498,441 14,973
Telephone & Data Systems, Inc. 205,706 14,646
SCANA Corp. 399,781 14,540
Wisconsin Energy Corp. 427,468 13,940
Pinnacle West Capital Corp. 328,875 13,283
Energy East Corp. 526,624 12,771
CenterPoint Energy Inc. 1,102,865 12,683
* Citizens Communications Co. 1,031,850 12,485
* U.S. Cellular Corp. 310,332 11,963
Questar Corp. 300,339 11,605
Pepco Holdings, Inc. 617,454 11,287
* Nextel Partners, Inc. 660,678 10,518
Alliant Energy Corp. 399,722 10,425
* UnitedGlobalCom Inc. Class A 1,393,128 10,114
MDU Resources Group, Inc. 420,708 10,110
NSTAR 191,175 9,153
Northeast Utilities 459,202 8,941
DPL Inc. 455,863 8,853
* Western Wireless Corp. Class A 305,168 8,822
* Level 3 Communications, Inc. 2,439,856 8,661
TECO Energy, Inc. 677,074 8,118
ONEOK, Inc. 368,336 8,100
OGE Energy Corp. 314,207 8,003
Western Gas Resources, Inc. 246,362 8,002
Great Plains Energy, Inc. 266,823 7,925
Puget Energy, Inc. 355,996 7,800
Hawaiian Electric Industries Inc. 288,248 7,523
National Fuel Gas Co. 295,016 7,375
* Allegheny Energy, Inc. 458,297 7,062
Vectren Corp. 272,499 6,837
AGL Resources Inc. 232,872 6,765
Aqua America, Inc. 333,180 6,680
Energen Corp. 130,523 6,264
* Kinder Morgan Management, LLC 170,265 6,261
WPS Resources Corp. 133,182 6,173
Westar Energy, Inc. 306,460 6,102
Piedmont Natural Gas, Inc. 137,254 5,861
UGI Corp. Holding Co. 182,191 5,848
Peoples Energy Corp. 134,687 5,677
* Southern Union Co. 263,760 5,561
38
Market
Value^
Shares (000)
NICOR Inc. 158,787 $ 5,394
* CMS Energy Corp. 588,357 5,372
Duquesne Light Holdings, Inc. 273,641 5,284
WGL Holdings Inc. 175,583 5,043
* Southwestern Energy Co. 167,654 4,807
Atmos Energy Corp. 187,807 4,806
PNM Resources Inc. 219,134 4,551
New Jersey Resources Corp. 98,970 4,115
Avista Corp. 222,132 4,092
* Cincinnati Bell Inc. 893,636 3,968
* Commonwealth Telephone
Enterprises, Inc. 87,777 3,930
IDACORP, Inc. 137,070 3,701
Northwest Natural Gas Co. 118,890 3,626
Black Hills Corp. 110,816 3,491
* Sierra Pacific Resources 444,889 3,430
* Price Communications Corp. 219,701 3,243
* PTEK Holdings, Inc. 259,009 2,986
Southwest Gas Corp. 122,114 2,947
UniSource Energy Corp. 118,568 2,946
Cleco Corp. 150,911 2,713
UIL Holdings Corp. 53,292 2,595
CH Energy Group, Inc. 55,084 2,558
South Jersey Industries, Inc. 57,241 2,519
* Mediacom Communications Corp. 317,858 2,486
The Laclede Group, Inc. 89,215 2,445
* El Paso Electric Co. 155,303 2,398
Surewest Communications 69,511 2,197
Otter Tail Corp. 80,748 2,169
Empire District Electric Co. 106,503 2,142
MGE Energy, Inc. 57,117 1,864
* Centennial Communications Corp.
Class A 258,326 1,847
Cascade Natural Gas Corp. 81,755 1,804
* Aquila, Inc. 478,819 1,705
American States Water Co. 73,196 1,701
NUI Corp. 114,765 1,676
* Alamosa Holdings, Inc. 217,228 1,597
* Primus Telecommunications
Group, Inc. 313,681 1,593
California Water Service Group 56,020 1,543
* UbiquiTel Inc. 325,742 1,375
Atlantic Tele-Network, Inc. 41,040 1,317
* Talk America Holdings, Inc. 168,815 1,295
* Dobson Communications Corp. 383,088 1,249
SJW Corp. 36,427 1,239
* Global Crossing Ltd. 78,800 1,230
Middlesex Water Co. 62,718 1,215
Connecticut Water Services, Inc. 46,715 1,199
North Pittsburgh Systems, Inc. 55,500 1,113
* General Communication, Inc. 135,963 1,080
* IDT Corp. Class B 58,342 $ 1,076
* Hector Communications Corp. 51,652 1,069
* IDT Corp. 57,314 1,033
* Triton PCS, Inc. 230,621 1,006
Central Vermont Public
Service Corp. 47,368 971
* Time Warner Telecom Inc. 224,763 942
Chesapeake Utilities Corp. 35,144 798
* Boston Communications
Group, Inc. 70,272 720
EnergySouth, Inc. 17,464 699
Maine & Maritimes Corp. 21,654 693
Green Mountain Power Corp. 26,463 691
CT Communications, Inc. 38,715 583
Shenandoah
Telecommunications Co. 21,519 581
D&E Communications, Inc. 41,340 555
* Intrado Inc. 22,654 365
* Z-Tel Technologies, Inc. 186,922 252
Hickory Tech Corp. 22,653 229
* US LEC Corp. Class A 54,302 220
Warwick Valley Telephone Co. 10,288 219
* Covista Communications, Inc. 81,385 212
* Penn Octane Corp. 94,470 189
* Hungarian Telephone and
Cable Corp. 17,867 173
* McLeod USA Inc. 256,695 123
* Pac-West Telecom, Inc. 80,903 89
* RCN Corp. 334,743 43
* FiberNet Telecom Group, Inc. 29,291 32
* XO Communications, Inc. 414 2
3,068,038
Other (4.5%)
General Electric Co. 37,328,098 1,209,430
* Berkshire Hathaway Inc.
Class A 3,635 323,333
3M Co. 2,804,576 252,440
Honeywell International Inc. 3,080,902 112,853
Fortune Brands, Inc. 524,577 39,569
Johnson Controls, Inc. 681,612 36,384
Eaton Corp. 540,168 34,970
* Berkshire Hathaway Inc. Class B 11,235 33,199
Textron, Inc. 494,420 29,344
ITT Industries, Inc. 332,279 27,579
Brunswick Corp. 340,018 13,873
Hillenbrand Industries, Inc. 223,492 13,510
SPX Corp. 272,778 12,668
Allete, Inc. 316,441 10,537
Wesco Financial Corp. 25,555 9,251
Teleflex Inc. 143,974 7,220
Carlisle Co., Inc. 111,554 6,944
39
Market
Total Stock Market Value^
Index Fund Shares (000)
Lancaster Colony Corp. 129,024 $ 5,373
Trinity Industries, Inc. 168,966 5,371
* Global Signal, Inc. 156,400 3,433
Walter Industries, Inc. 178,932 2,437
* McDermott International, Inc. 196,872 2,000
GenCorp, Inc. 148,246 1,985
* Sequa Corp. Class A 23,418 1,369
Raven Industries, Inc. 37,973 1,349
* Xanser Corp. 391,634 963
* United Capital Corp. 50,384 858
Kaman Corp. Class A 54,399 761
* Foster Wheeler Ltd. 235,171 329
* Adesa, Inc. 5,400 130
2,199,462
TOTAL COMMON STOCKS
(Cost $43,875,256) 49,075,213
Face
Amount
(000)
TEMPORARY CASH INVESTMENTS (1.6%)(1)
Federal National Mortgage Assn.
(2) 1.03%, 7/7/2004 $ 5,000 $ 4,999
(2) 1.05%, 7/14/2004 7,000 6,997
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
1.47%, 7/1/2004 165,361 165,361
1.46%, 7/1/2004--Note E 621,198 621,198
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $798,555) 798,555
TOTAL INVESTMENTS (101.2%)
(Cost $44,673,811) 49,873,768
OTHER ASSETS AND LIABILITIES (-1.2%)
Other Assets--Note B 123,346
Liabilities--Note E (732,669)
(609,323)
NET ASSETS (100%) $49,264,445
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
(1)The fund invests a portion of its cash reserves in equity
markets through the use of index futures contracts. After
giving effect to futures investments, the fund's effective
common stock and temporary cash investment positions
represent 99.9% and 1.3%, respectively, of net assets.
See Note C in Notes to Financial Statements.
(2)Securities with an aggregate value of $11,996,000
have been segregated as initial margin for open futures
contracts.
REIT--Real Estate Investment Trust.
Amount
(000)
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
Paid-in Capital $45,375,397
Overdistributed Net Investment Income (18,715)
Accumulated Net Realized Losses (1,293,977)
Unrealized Appreciation
Investment Securities 5,199,957
Futures Contracts 1,783
NET ASSETS $49,264,445
Investor Shares--Net Assets
Applicable to 1,038,726,148 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $27,871,508
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $26.83
Admiral Shares--Net Assets
Applicable to 346,596,183 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $9,300,288
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $26.83
Institutional Shares--Net Assets
Applicable to 331,472,474 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $8,895,423
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $26.84
VIPER Shares--Net Assets
Applicable to 28,998,656 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $3,197,226
NET ASSET VALUE PER SHARE--
VIPER SHARES $110.25
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
© 2004 The Vanguard Group, Inc.All
rights reserved.Vanguard
MarketingCorporation,
Distributor.
F852 082004
40
Item 2: Not applicable.
Item 3: Not applicable.
Item 4: Not applicable.
Item 5: Not applicable.
Item 6: Not applicable.
Item 7: Not applicable.
Item 8: Not applicable.
Item 9: Not applicable.
Item 10: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and
Financial Officers concluded that the Registrant's Disclosure Controls and
Procedures are effective based on their evaluation of the Disclosure Controls
and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Controls. There were no significant changes in Registrant's
internal controls or in other factors that could significantly affect these
controls subsequent to the date of their evaluation, including any corrective
actions with regard to significant deficiencies and material weaknesses.
Item 11: Exhibits.
(a) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD INDEX FUNDS
BY: (signature)
----------------------------------------
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER
Date: August 16, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
VANGUARD INDEX FUNDS
BY: (signature)
----------------------------------------
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER
Date: August 16, 2004
VANGUARD INDEX FUNDS
BY: (signature)
----------------------------------------
(HEIDI STAM)
THOMAS J. HIGGINS*
TREASURER
Date: August 16, 2004
*By Power of Attorney. See File Number 2-57689, filed on December 26, 2002.
Incorporated by Reference.
