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.
- ------------------------------------------------------------- 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.
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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.
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.
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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.
- ------------------------------------------------------------------------------- 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%.
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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
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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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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.
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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.
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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.
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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.
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.”
- --------------------------------------------------------------------------------- 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.”
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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.
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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.
- -------------------------------------------------------------------------------------- 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
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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
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- --------------------------------------------------------------------------------- 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 ====================================================================================
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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.
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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 - -----------------------------------------------------------------------------------
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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
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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.
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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.
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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.
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© 2004 The Vanguard Group, Inc.
All rights reserved.
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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.
1
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.
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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.
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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.”
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•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.
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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.
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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.
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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
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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 -- --
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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 -- --
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INVESTING IS FAST, EASY, AND SECURE ON VANGUARD.COM
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RESEARCH AND PLAN YOUR INVESTMENTS WITH CONFIDENCE
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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.
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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.
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Q482 082004
Vanguard(R) U.S. Stock Index Funds
Mid-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.
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[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
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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 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.
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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
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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.
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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.
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- -------------------------------------------------------------------------------- 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%.
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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 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.
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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
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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.
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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.
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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.”
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• 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:*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.
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 - ----------------------------------------------------------------------------
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
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- ---------------------------------------------------------------------------- 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
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- ---------------------------------------------------------------------------- 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
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- ------------------------------------------------------------------------------- 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
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- ---------------------------------------------------------------------------- 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
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- ----------------------------------------------------------------------------- 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. - ------------------------------------------------------------------------------------------
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Valley Forge, PA 19482-2600
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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.
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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
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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.
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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.
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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.
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
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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.
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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
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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 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%.
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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%.
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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%.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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 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.
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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.
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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
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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
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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
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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
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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
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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.
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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
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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
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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
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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
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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.
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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.
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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
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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
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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
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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
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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
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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.
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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.
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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&amp;P 500 Index, S&amp;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
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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.
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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.
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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.