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: 811-6093
Name of Registrant: Vanguard Institutional Index Funds
Address of Registrant: | P.O. Box 2600 |
| Valley Forge, PA 19482 |
Name and address of agent for service: | Heidi Stam, 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, 2006–December 31, 2006
Item 1: Reports to Shareholders
Vanguard® Institutional Index Fund | |
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> Annual Report |
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December 31, 2006 |
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> After an up-and-down start, stocks advanced steadily throughout the second half of the year to post healthy gains for 2006.
> For the fiscal year ended December 31, Vanguard Institutional Index Fund returned 15.8%, essentially matching its target benchmark.
> The fund enjoyed solid returns across all industry sectors.
Contents |
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Your Fund’s Total Returns | 1 |
Chairman’s Letter | 2 |
Fund Profile | 7 |
Performance Summary | 8 |
Financial Statements | 10 |
About Your Fund’s Expenses | 25 |
Glossary | 27 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the cover of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2006 |
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| Total |
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Vanguard Institutional Index Fund |
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Institutional Shares1 | 15.8% |
Institutional Plus Shares2 | 15.8 |
S&P 500 Index | 15.8 |
Average Large-Cap Core Fund3 | 13.5 |
Your Fund’s Performance at a Glance | |||||
December 31, 2005–December 31, 2006 | |||||
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| Distributions Per Share | ||
| Starting | Ending | Income | Capital |
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| Share Price | Share Price | Dividends | Gains |
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Vanguard Institutional Index Fund |
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Institutional Shares | $114.01 | $129.59 | $2.240 | $0.000 |
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Institutional Plus Shares | 114.01 | 129.59 | 2.269 | 0.000 |
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1 This class of shares carries low expenses and is available for a minimum investment of $5 million.
2 This class of shares also carries low expenses and is available for a minimum investment of $200 million.
3 Derived from data provided by Lipper Inc.
1
Chairman’s Letter
Dear Shareholder,
After faltering in late spring, the U.S. stock market rallied to post solid returns for 2006. During the year, Vanguard Institutional Index Fund returned 15.8% and met its objective of closely tracking its unmanaged benchmark, the Standard & Poor’s 500 Index. The fund experienced strong results in many areas, and eight of its ten industry sectors posted double-digit returns.
Strong second half pushed stocks to new high
Beginning in mid-July, stocks climbed steadily through the remainder of the year, with the Dow Jones Industrial Average setting a record high on December 27. For the year, the broad U.S. stock market gained 15.9%. Despite a soft housing sector and ongoing troubles within the U.S. auto industry, the economy continued to grow and corporate profits remained strong.
For the year, small-capitalization stocks beat out large-cap issues, and value stocks outperformed their growth-oriented counterparts. International stocks continued to best domestic equities, particularly in emerging markets and Europe. A declining dollar further enhanced returns abroad for U.S.-based investors.
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Bond returns remained modest as the Fed paused its rate hikes
The Federal Reserve Board extended its money-tightening campaign during the first half of the year, raising its target for the federal funds rate four times. The Fed then paused, leaving the target rate unchanged at 5.25% for the rest of the year, and inflation fears eased. Bond yields declined in the second half of the year, and short-term yields were higher than longer-term yields.
Fixed income returns for 2006 were modest, with the broad taxable bond market returning 4.3%. Municipal bonds fared somewhat better, gaining 4.8%.
Fund benefited from advances across all industry groups
For Vanguard Institutional Index Fund, and indeed the broader stock market, 2006 was a story in two parts. In the first half of the year, the benchmark S&P 500 Index posted a tepid 2.7% return, as jittery investors feared the economy was overheating. Inflation concerns then moderated in mid-summer, and the market gained momentum. A strong second half propelled the S&P 500 Index to a 15.8% return for the year. And Vanguard Institutional Index Fund closely tracked this result.
Market Barometer |
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| Average Annual Total Returns | ||
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| Periods Ended December 31, 2006 | ||
| One Year | Three Years | Five Years | |
Stocks |
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Russell 1000 Index (Large-caps) | 15.5% | 11.0% | 6.8% | |
Russell 2000 Index (Small-caps) | 18.4 | 13.6 | 11.4 | |
Dow Jones Wilshire 5000 Index (Entire market) | 15.9 | 11.5 | 7.6 | |
MSCI All Country World Index ex USA (International) | 27.2 | 21.8 | 16.9 | |
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Bonds |
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Lehman Aggregate Bond Index (Broad taxable market) | 4.3% | 3.7% | 5.1% | |
Lehman Municipal Bond Index | 4.8 | 4.3 | 5.5 | |
Citigroup 3-Month Treasury Bill Index | 4.8 | 3.0 | 2.3 | |
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CPI |
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Consumer Price Index | 2.5% | 3.1% | 2.7% | |
3
The index gain was broadly based, with all ten of its industry sectors recording positive returns for the 12 months. Through a combination of their strong returns and their weightings in the index, the financials, energy, and consumer discretionary sectors were the largest contributors to the index’s overall result. Within the financials sector (which returned 19.1%), investment banks and brokerage firms were standouts, particularly in the final few months of the year. Energy stocks (up 24.2%) experienced volatility during the period as oil and gas prices fluctuated, but delivered impressive returns for yet another year. Consumer discretionary stocks returned 18.8%, despite weakness in the homebuilding category, as several large media firms rebounded from underwhelming results in 2005.
Smaller sectors also packed a punch. Telecommunication services, utilities, and materials (whose weightings, if combined, would still rank as one of the index’s smallest sectors) all outperformed the index’s overall result. Investors in telecom stocks reacted favorably to consolidation in the sector, while electric, gas, and diversified utilities firms turned in impressive gains. In materials, chemical stocks did well, and the index’s steel companies rose an average of 80% during the 12 months.
Two of the economy’s less flashy segments—industrials and consumer staples—posted solid double-digit returns that slightly trailed the index’s overall result. Meanwhile, information technology and health care, which returned 8.3% and 7.6%, respectively, were the laggards during the period.
The fund has outperformed many of its actively managed peers
Over the past decade, the Institutional Index Fund registered an average annual return of 8.5%, outpacing the average result of competing funds (most of which are actively managed) by 1.8 percentage points. The fund’s Institutional Plus Shares have also outperformed the peer-group average since their inception in 1997. While, as a group, institutional funds often have access to lower management fees than are available to the funds represented by the mutual fund peer groups, the Institutional Index Fund’s combination of low costs and market-like returns have nevertheless created a high hurdle for its peers. So close is the fund’s tracking that it has actually edged past the results of the S&P 500 Index over extended periods.
Managing a portfolio that simply “owns the market” isn’t nearly as easy as it might sound. In seeking to track the returns of the S&P 500 Index, your fund’s advisor—Vanguard Quantitative Equity Group—must, in essence, hit a moving target
4
every day that the stock market is open. By combining its collective experience and skill with sophisticated trading strategies, the Quantitative Equity Group has hit the mark consistently since the fund’s inception.
The task is made easier by Vanguard’s historically low expenses. The Institutional Index Fund is offered at a fraction of the cost of the average large-cap core mutual fund. This allows for very tight tracking of the target index, and ultimately enables a greater portion of the fund’s returns to be passed along to its institutional shareholders.
A powerful case for a simple strategy
The Institutional Index Fund’s long-term record versus its peers, and its mark of closely tracking (and even slightly outperforming) the S&P 500 Index over extended periods, present a compelling case for the power of indexing. At a very low cost, the fund provides cap-weighted exposure to 500 of the market’s largest stocks with extremely low tracking error.
Every investor has a unique set of parameters for risk and expected returns that are critical components in mapping
Total Returns |
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Ten Years Ended December 31, 2006 |
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| Final Value |
| Average | of a $5,000,000 |
| Annual Return | Initial Investment |
Institutional Index Fund Institutional Shares | 8.5% | $11,272,781 |
S&P 500 Index | 8.4 | 11,223,605 |
Average Large-Cap Core Fund2 | 6.7 | 9,524,926 |
July 7, 1997,1 Through December 31, 2006 |
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| Final Value |
| Average | of a $200,000,000 |
| Annual Return | Initial Investment |
Institutional Index Fund Institutional Plus Shares | 6.5% | $363,673,840 |
S&P 500 Index | 6.4 | 361,087,859 |
Average Large-Cap Core Fund2 | 4.9 | 315,606,881 |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, 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.
1 Share-class inception.
2 Derived from data provided by Lipper Inc.
5
long-term investment strategies. The fund’s historical record of tight market tracking can provide an element of reliability in your processes and planning that will support your overall investment mandate, whatever it may be. We believe the Institutional Index Fund is an intelligent choice for a core holding in an institutional portfolio.
Thank you for investing your organization’s assets with Vanguard.
Sincerely,
John J. Brennan
Chairman and Chief Executive Officer
January 11, 2007
6
Fund Profile
As of December 31, 2006
Portfolio Characteristics |
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| Target |
| Fund | Index1 |
Number of Stocks | 506 | 500 |
Median Market Cap | $58.8B | $58.8B |
Price/Earnings Ratio | 17.1x | 17.1x |
Price/Book Ratio | 2.9x | 2.9x |
Yield |
| 1.8% |
Institutional Shares | 1.7% |
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Institutional Plus Shares | 1.7% |
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Return on Equity | 19.1% | 19.1% |
Earnings Growth Rate | 18.8% | 18.8% |
Foreign Holdings | 0.0% | 0.0% |
Turnover Rate | 8% | — |
Expense Ratio |
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Institutional Shares | 0.05% |
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Institutional Plus Shares | 0.025% |
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Short-Term Reserves | 0% | — |
Sector Diversification (% of portfolio) | ||
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| Fund | Index1 |
Consumer Discretionary | 11% | 11% |
Consumer Staples | 9 | 9 |
Energy | 10 | 10 |
Financials | 22 | 22 |
Health Care | 12 | 12 |
Industrials | 11 | 11 |
Information Technology | 15 | 15 |
Materials | 3 | 3 |
Telecommunication Services | 3 | 3 |
Utilities | 4 | 4 |
Volatility Measures2 |
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| Fund Versus |
| Target Index1 |
R-Squared | 1.00 |
Beta | 1.00 |
Ten Largest Holdings3 (% of total net assets) | ||
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ExxonMobil Corp. | integrated oil |
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| and gas | 3.5% |
General Electric Co. | industrial |
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| conglomerates | 3.0 |
Citigroup, Inc. | diversified |
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| financial services | 2.1 |
Microsoft Corp. | systems software | 2.0 |
Bank of America Corp. | diversified |
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| financial services | 1.9 |
The Procter & Gamble Co. | household products | 1.6 |
Johnson & Johnson | pharmaceuticals | 1.5 |
Pfizer Inc. | pharmaceuticals | 1.5 |
American International |
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Group, Inc. | multi-line insurance | 1.5 |
Altria Group, Inc. | tobacco | 1.4 |
Top Ten |
| 20.0% |
Investment Focus
1 S&P 500 Index.
2 For an explanation of R-squared, beta, and other terms used here, see the Glossary on page 27.
3 “Ten Largest Holdings” excludes any temporary cash investments and equity index products.
7
Performance Summary
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. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, 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.
Cumulative Performance: December 31, 1996–December 31, 2006
Initial Investment of $5,000,000
| Average Annual Total Returns | Final Value of | ||
| Periods Ended December 31, 2006 | a $5,000,000 | ||
| One Year | Five Years | Ten Years | Investment |
Institutional Index Fund Institutional Shares | 15.78% | 6.20% | 8.47% | $11,272,781 |
Dow Jones Wilshire 5000 Index | 15.87 | 7.65 | 8.67 | 11,480,598 |
S&P 500 Index | 15.79 | 6.19 | 8.42 | 11,223,605 |
Average Large-Cap Core Fund1 | 13.53 | 4.27 | 6.66 | 9,524,926 |
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| Final Value of a |
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| Since | $200,000,000 |
| One Year | Five Years | Inception2 | Investment |
Institutional Index Fund Institutional Plus Shares | 15.81% | 6.23% | 6.51% | $363,673,840 |
Dow Jones Wilshire 5000 Index | 15.87 | 7.65 | 7.02 | 380,495,540 |
S&P 500 Index | 15.79 | 6.19 | 6.43 | 361,087,859 |
1 Derived from data provided by Lipper Inc.
2 July 7, 1997.
8
Fiscal-Year Total Returns (%): December 31, 1996–December 31, 2006
Note: See Financial Highlights tables on pages 19 and 20 for dividend and capital gains information.
9
Financial Statements
Statement of Net Assets
As of December 31, 2006
The fund provides a complete list of its holdings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at www.sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
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| Value• |
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Common Stocks (99.8%)1 |
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Consumer Discretionary (10.6%) |
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* | Comcast Corp. Class A | 10,639,028 | 450,350 |
| Time Warner, Inc. | 20,508,796 | 446,682 |
| Home Depot, Inc. | 10,483,976 | 421,036 |
| The Walt Disney Co. | 10,625,747 | 364,144 |
| McDonald’s Corp. | 6,353,245 | 281,639 |
| News Corp., Class A | 12,019,867 | 258,187 |
| Target Corp. | 4,412,144 | 251,713 |
| Lowe’s Cos., Inc. | 7,822,704 | 243,677 |
* | Viacom Inc. Class B | 3,574,321 | 146,654 |
* | Starbucks Corp. | 3,884,056 | 137,573 |
| CBS Corp. | 3,996,869 | 124,622 |
| The McGraw-Hill Cos., Inc. | 1,819,641 | 123,772 |
* | Kohl’s Corp. | 1,680,057 | 114,966 |
| Carnival Corp. | 2,286,066 | 112,132 |
| Federated Department |
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| Stores, Inc. | 2,697,929 | 102,872 |
| Best Buy Co., Inc. | 2,072,499 | 101,946 |
| Staples, Inc. | 3,712,344 | 99,120 |
* | DIRECTV Group, Inc. | 3,960,145 | 98,766 |
| NIKE, Inc. Class B | 966,050 | 95,668 |
| Harley-Davidson, Inc. | 1,331,316 | 93,818 |
| Omnicom Group Inc. | 877,995 | 91,786 |
| Clear Channel |
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| Communications, Inc. | 2,536,846 | 90,159 |
| J.C. Penney Co., Inc. |
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| (Holding Co.) | 1,155,853 | 89,417 |
| General Motors Corp. | 2,905,805 | 89,266 |
| Johnson Controls, Inc. | 1,005,857 | 86,423 |
| Marriott International, Inc. |
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| Class A | 1,726,619 | 82,394 |
* | Coach, Inc. | 1,887,931 | 81,106 |
| International Game |
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| Technology | 1,743,675 | 80,558 |
| Yum! Brands, Inc. | 1,361,849 | 80,077 |
| Harrah’s Entertainment, Inc. | 955,718 | 79,057 |
| ^Ford Motor Co. | 9,698,409 | 72,835 |
| Gannett Co., Inc. | 1,203,039 | 72,736 |
* | Sears Holdings Corp. | 427,003 | 71,707 |
| Hilton Hotels Corp. | 1,984,976 | 69,276 |
| Starwood Hotels & Resorts |
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| Worldwide, Inc. | 1,088,452 | 68,028 |
| TJX Cos., Inc. | 2,336,647 | 66,641 |
| Fortune Brands, Inc. | 777,275 | 66,372 |
* | Amazon.com, Inc. | 1,586,299 | 62,595 |
| Nordstrom, Inc. | 1,175,308 | 57,990 |
* | Bed Bath & Beyond, Inc. | 1,451,306 | 55,295 |
* | Office Depot, Inc. | 1,430,373 | 54,597 |
| The Gap, Inc. | 2,707,030 | 52,787 |
| Limited Brands, Inc. | 1,757,301 | 50,856 |
* | Univision |
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| Communications Inc. | 1,296,138 | 45,909 |
| Mattel, Inc. | 1,959,644 | 44,406 |
* | IAC/InterActiveCorp | 1,146,779 | 42,614 |
| Genuine Parts Co. | 875,578 | 41,529 |
| Newell Rubbermaid, Inc. | 1,424,255 | 41,232 |
| H & R Block, Inc. | 1,653,891 | 38,106 |
| Eastman Kodak Co. | 1,476,155 | 38,085 |
| VF Corp. | 459,419 | 37,709 |
| D. R. Horton, Inc. | 1,417,933 | 37,561 |
| Lennar Corp. Class A | 708,387 | 37,162 |
| Sherwin-Williams Co. | 574,420 | 36,522 |
| Pulte Homes, Inc. | 1,084,233 | 35,910 |
| Centex Corp. | 609,350 | 34,288 |
| Harman International |
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| Industries, Inc. | 335,048 | 33,475 |
| Whirlpool Corp. | 402,598 | 33,424 |
* | Wyndham Worldwide Corp. | 1,017,936 | 32,594 |
| Darden Restaurants Inc. | 754,220 | 30,297 |
| Tribune Co. | 979,541 | 30,150 |
* | AutoZone Inc. | 259,888 | 30,033 |
* | Apollo Group, Inc. Class A | 718,351 | 27,994 |
| Black & Decker Corp. | 349,373 | 27,939 |
* | Interpublic Group |
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| of Cos., Inc. | 2,265,148 | 27,725 |
| Tiffany & Co. | 694,839 | 27,265 |
| Dollar General Corp. | 1,601,896 | 25,726 |
| Liz Claiborne, Inc. | 526,673 | 22,889 |
| Family Dollar Stores, Inc. | 779,191 | 22,854 |
| Hasbro, Inc. | 814,864 | 22,205 |
| Leggett & Platt, Inc. | 919,817 | 21,984 |
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| Value• |
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| E.W. Scripps Co. Class A | 428,199 | 21,384 |
| The Stanley Works | 417,800 | 21,011 |
| KB Home | 403,584 | 20,696 |
* | The Goodyear Tire & |
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| Rubber Co. | 912,066 | 19,144 |
| OfficeMax, Inc. | 382,745 | 19,003 |
| Jones Apparel Group, Inc. | 565,904 | 18,918 |
| ^New York Times Co. Class A | 737,968 | 17,977 |
* | AutoNation, Inc. | 770,208 | 16,421 |
| Wendy’s International, Inc. | 491,337 | 16,258 |
| Brunswick Corp. | 472,802 | 15,082 |
| Snap-On Inc. | 300,736 | 14,327 |
| Circuit City Stores, Inc. | 730,758 | 13,870 |
* | Big Lots Inc. | 563,954 | 12,926 |
| Dow Jones & Co., Inc. | 335,204 | 12,738 |
| RadioShack Corp. | 699,520 | 11,738 |
| Meredith Corp. | 198,628 | 11,193 |
| Dillard’s Inc. | 313,612 | 10,967 |
* | Comcast Corp. Special |
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| Class A | 51,886 | 2,173 |
* | Viacom Inc. Class A | 18,015 | 739 |
| CBS Corp. Class A | 18,015 | 562 |
| News Corp., Class B | 4,500 | 100 |
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| 6,946,109 |
Consumer Staples (9.2%) |
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| The Procter & Gamble Co. | 16,277,783 | 1,046,173 |
| Altria Group, Inc. | 10,766,508 | 923,982 |
| Wal-Mart Stores, Inc. | 12,632,597 | 583,373 |
| PepsiCo, Inc. | 8,435,401 | 527,634 |
| The Coca-Cola Co. | 10,474,928 | 505,415 |
| Walgreen Co. | 5,154,769 | 236,552 |
| Anheuser-Busch Cos., Inc. | 3,949,544 | 194,318 |
| Colgate-Palmolive Co. | 2,642,175 | 172,375 |
| Kimberly-Clark Corp. | 2,354,387 | 159,981 |
| CVS Corp. | 4,230,875 | 130,776 |
| Costco Wholesale Corp. | 2,354,211 | 124,467 |
| Sysco Corp. | 3,175,527 | 116,732 |
| Archer-Daniels-Midland Co. | 3,376,455 | 107,912 |
| General Mills, Inc. | 1,762,547 | 101,523 |
| The Kroger Co. | 3,685,731 | 85,030 |
| Safeway, Inc. | 2,277,431 | 78,708 |
| H.J. Heinz Co. | 1,692,746 | 76,190 |
| Avon Products, Inc. | 2,282,369 | 75,409 |
| ConAgra Foods, Inc. | 2,616,063 | 70,634 |
| Sara Lee Corp. | 3,834,454 | 65,301 |
| Kellogg Co. | 1,288,525 | 64,504 |
| Reynolds American Inc. | 880,247 | 57,630 |
| The Clorox Co. | 779,993 | 50,037 |
| UST, Inc. | 826,654 | 48,111 |
| Wm. Wrigley Jr. Co. | 902,134 | 46,658 |
| The Hershey Co. | 893,421 | 44,492 |
| Campbell Soup Co. | 1,119,028 | 43,519 |
| SuperValu Inc. | 1,057,795 | 37,816 |
| Whole Foods Market, Inc. | 734,416 | 34,466 |
* | Constellation Brands, Inc. |
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| Class A | 1,078,540 | 31,299 |
| Coca-Cola Enterprises, Inc. | 1,423,745 | 29,073 |
* | Dean Foods Co. | 687,200 | 29,055 |
| Brown-Forman Corp. Class B | 404,683 | 26,806 |
| The Estee Lauder Cos. Inc. |
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| Class A | 653,822 | 26,689 |
| McCormick & Co., Inc. | 674,634 | 26,014 |
| The Pepsi Bottling Group, Inc. | 703,404 | 21,742 |
| Tyson Foods, Inc. | 1,294,730 | 21,298 |
| Molson Coors Brewing Co. |
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| Class B | 235,060 | 17,968 |
| Wm. Wrigley Jr. Co. Class B | 224,830 | 11,556 |
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| 6,051,218 |
Energy (9.8%) |
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| ExxonMobil Corp. | 29,961,093 | 2,295,919 |
| Chevron Corp. | 11,198,550 | 823,429 |
| ConocoPhillips Co. | 8,454,311 | 608,288 |
| Schlumberger Ltd. | 6,052,544 | 382,279 |
| Occidental Petroleum Corp. | 4,425,796 | 216,112 |
| Marathon Oil Corp. | 1,805,899 | 167,046 |
| Halliburton Co. | 5,165,472 | 160,388 |
| Valero Energy Corp. | 3,106,070 | 158,907 |
| Devon Energy Corp. | 2,270,703 | 152,319 |
| Baker Hughes, Inc. | 1,647,715 | 123,018 |
* | Transocean Inc. | 1,502,136 | 121,508 |
| Apache Corp. | 1,692,318 | 112,556 |
| Anadarko Petroleum Corp. | 2,361,856 | 102,788 |
| XTO Energy, Inc. | 1,879,910 | 88,450 |
| Williams Cos., Inc. | 3,063,622 | 80,022 |
| EOG Resources, Inc. | 1,250,049 | 78,066 |
* | Weatherford |
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| International Ltd. | 1,744,128 | 72,887 |
| Hess Corp. | 1,389,941 | 68,899 |
| Chesapeake Energy Corp. | 2,135,296 | 62,030 |
| Kinder Morgan, Inc. | 551,093 | 58,278 |
| El Paso Corp. | 3,623,995 | 55,375 |
* | National Oilwell Varco Inc. | 901,024 | 55,125 |
| Peabody Energy Corp. | 1,354,363 | 54,730 |
| Noble Corp. | 696,571 | 53,044 |
| Murphy Oil Corp. | 961,036 | 48,869 |
* | Nabors Industries, Inc. | 1,537,946 | 45,800 |
| BJ Services Co. | 1,506,117 | 44,159 |
| Smith International, Inc. | 1,024,470 | 42,075 |
| Sunoco, Inc. | 631,789 | 39,398 |
| CONSOL Energy, Inc. | 937,536 | 30,123 |
| Rowan Cos., Inc. | 567,499 | 18,841 |
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| 6,420,728 |
Financials (22.2%) |
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| Citigroup, Inc. | 25,241,235 | 1,405,937 |
| Bank of America Corp. | 23,068,410 | 1,231,622 |
| American International |
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| Group, Inc. | 13,354,734 | 957,000 |
| JPMorgan Chase & Co. | 17,819,933 | 860,703 |
| Wells Fargo & Co. | 17,342,257 | 616,691 |
| Wachovia Corp. | 9,791,295 | 557,614 |
| Morgan Stanley | 5,437,807 | 442,801 |
11
|
| Market |
|
| Value• |
| Shares | ($000) |
The Goldman Sachs |
|
|
Group, Inc. | 2,187,502 | 436,079 |
Merrill Lynch & Co., Inc. | 4,541,000 | 422,767 |
American Express Co. | 6,188,969 | 375,485 |
U.S. Bancorp | 9,030,188 | 326,803 |
Fannie Mae | 5,008,957 | 297,482 |
Freddie Mac | 3,560,039 | 241,727 |
MetLife, Inc. | 3,905,459 | 230,461 |
Washington Mutual, Inc. | 4,855,753 | 220,888 |
Lehman Brothers |
|
|
Holdings, Inc. | 2,723,044 | 212,724 |
Prudential Financial, Inc. | 2,450,441 | 210,395 |
The Allstate Corp. | 3,210,448 | 209,032 |
The St. Paul |
|
|
Travelers, Cos. Inc. | 3,544,744 | 190,317 |
Capital One Financial Corp. | 2,095,865 | 161,004 |
The Bank of |
|
|
New York Co., Inc. | 3,925,825 | 154,560 |
SunTrust Banks, Inc. | 1,819,339 | 153,643 |
The Hartford Financial |
|
|
Services Group Inc. | 1,628,165 | 151,924 |
Regions Financial Corp. | 3,745,436 | 140,079 |
Countrywide Financial Corp. | 3,190,653 | 135,443 |
BB&T Corp. | 2,778,968 | 122,080 |
National City Corp. | 3,244,585 | 118,622 |
Fifth Third Bancorp | 2,866,959 | 117,345 |
AFLAC Inc. | 2,540,462 | 116,861 |
Simon Property |
|
|
Group, Inc. REIT | 1,136,897 | 115,156 |
State Street Corp. | 1,706,024 | 115,054 |
The Chubb Corp. | 2,114,813 | 111,895 |
PNC Financial |
|
|
Services Group | 1,509,376 | 111,754 |
SLM Corp. | 2,099,974 | 102,416 |
Charles Schwab Corp. | 5,254,707 | 101,626 |
ACE Ltd. | 1,672,537 | 101,306 |
Bear Stearns Co., Inc. | 602,657 | 98,101 |
Lincoln National Corp. | 1,475,092 | 97,946 |
Loews Corp. | 2,347,541 | 97,353 |
Progressive Corp. of Ohio | 3,912,998 | 94,773 |
Franklin Resources Corp. | 856,420 | 94,352 |
The Chicago |
|
|
Mercantile Exchange | 178,868 | 91,178 |
Mellon Financial Corp. | 2,115,907 | 89,185 |
Equity Office Properties |
|
|
Trust REIT | 1,805,744 | 86,983 |
Marsh & |
|
|
McLennan Cos., Inc. | 2,831,359 | 86,809 |
Moody’s Corp. | 1,206,846 | 83,345 |
The Principal Financial |
|
|
Group, Inc. | 1,385,058 | 81,303 |
Vornado Realty Trust REIT | 663,459 | 80,610 |
| KeyCorp | 2,063,117 | 78,460 |
| Genworth Financial Inc. | 2,276,900 | 77,893 |
| ProLogis REIT | 1,270,536 | 77,210 |
| Equity Residential REIT | 1,500,886 | 76,170 |
| Ameriprise Financial, Inc. | 1,242,338 | 67,707 |
| Boston Properties, Inc. REIT | 599,798 | 67,105 |
| XL Capital Ltd. Class A | 927,092 | 66,769 |
| Archstone-Smith Trust REIT | 1,121,147 | 65,262 |
| Legg Mason Inc. | 674,672 | 64,128 |
| Marshall & Ilsley Corp. | 1,309,752 | 63,012 |
| Public Storage, Inc. REIT | 629,108 | 61,338 |
| T. Rowe Price Group Inc. | 1,353,580 | 59,246 |
| Northern Trust Corp. | 962,498 | 58,414 |
| CIT Group Inc. | 1,018,042 | 56,776 |
| Aon Corp. | 1,591,048 | 56,228 |
| Kimco Realty Corp. REIT | 1,161,256 | 52,198 |
| Synovus Financial Corp. | 1,669,652 | 51,475 |
| MBIA, Inc. | 692,602 | 50,602 |
* | E*TRADE Financial Corp. | 2,191,445 | 49,132 |
| M & T Bank Corp. | 398,011 | 48,621 |
| Ambac Financial Group, Inc. | 545,108 | 48,553 |
| Comerica, Inc. | 816,230 | 47,896 |
| Sovereign Bancorp, Inc. | 1,846,589 | 46,885 |
| Zions Bancorp | 549,358 | 45,289 |
| Cincinnati Financial Corp. | 890,175 | 40,334 |
| Compass Bancshares Inc. | 667,131 | 39,794 |
| UnumProvident Corp. | 1,758,605 | 36,544 |
| Plum Creek |
|
|
| Timber Co. Inc. REIT | 909,475 | 36,243 |
| Commerce Bancorp, Inc. | 962,310 | 33,941 |
| Safeco Corp. | 540,710 | 33,821 |
* | Realogy Corp. | 1,101,387 | 33,394 |
| Torchmark Corp. | 503,571 | 32,108 |
* | CB Richard Ellis Group, Inc. | 949,265 | 31,516 |
| Huntington Bancshares Inc. | 1,220,703 | 28,992 |
| Apartment Investment & |
|
|
| Management Co. |
|
|
| Class A REIT | 495,308 | 27,747 |
| First Horizon National Corp. | 639,359 | 26,712 |
| MGIC Investment Corp. | 426,143 | 26,651 |
| Janus Capital Group Inc. | 1,018,443 | 21,988 |
| Federated Investors, Inc. | 462,914 | 15,637 |
|
|
| 14,561,025 |
Health Care (12.0%) |
|
| |
| Johnson & Johnson | 14,893,841 | 983,291 |
| Pfizer Inc. | 37,039,764 | 959,330 |
| Merck & Co., Inc. | 11,152,459 | 486,247 |
* | Amgen, Inc. | 5,992,474 | 409,346 |
| Abbott Laboratories | 7,884,606 | 384,059 |
| UnitedHealth Group Inc. | 6,919,591 | 371,790 |
| Wyeth | 6,918,018 | 352,265 |
| Medtronic, Inc. | 5,913,491 | 316,431 |
| Bristol-Myers Squibb Co. | 10,103,249 | 265,918 |
| Eli Lilly & Co. | 5,057,333 | 263,487 |
* | WellPoint Inc. | 3,185,154 | 250,640 |
| Schering-Plough Corp. | 7,616,210 | 180,047 |
| Baxter International, Inc. | 3,362,086 | 155,967 |
* | Gilead Sciences, Inc. | 2,362,201 | 153,378 |
| Cardinal Health, Inc. | 2,080,663 | 134,057 |
| Caremark Rx, Inc. | 2,190,890 | 125,122 |
12
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Aetna Inc. | 2,681,677 | 115,795 |
* | Celgene Corp. | 1,913,395 | 110,078 |
* | Boston Scientific Corp. | 6,057,698 | 104,071 |
* | Zimmer Holdings, Inc. | 1,226,065 | 96,099 |
* | Thermo Fisher |
|
|
| Scientific, Inc. | 2,096,482 | 94,950 |
| Allergan, Inc. | 789,515 | 94,537 |
| Becton, Dickinson & Co. | 1,267,080 | 88,886 |
* | Biogen Idec Inc. | 1,730,978 | 85,147 |
| Stryker Corp. | 1,527,026 | 84,154 |
* | Genzyme Corp. | 1,349,601 | 83,108 |
* | Forest Laboratories, Inc. | 1,627,174 | 82,335 |
* | Medco Health |
|
|
| Solutions, Inc. | 1,506,547 | 80,510 |
| McKesson Corp. | 1,519,542 | 77,041 |
| CIGNA Corp. | 526,622 | 69,288 |
* | St. Jude Medical, Inc. | 1,814,840 | 66,351 |
| Biomet, Inc. | 1,258,342 | 51,932 |
* | Express Scripts Inc. | 695,868 | 49,824 |
* | Laboratory Corp. of |
|
|
| America Holdings | 644,283 | 47,335 |
* | Humana Inc. | 854,104 | 47,240 |
| AmerisourceBergen Corp. | 986,927 | 44,372 |
| C.R. Bard, Inc. | 529,144 | 43,903 |
| Quest Diagnostics, Inc. | 821,786 | 43,555 |
* | Coventry Health Care Inc. | 818,817 | 40,982 |
* | MedImmune Inc. | 1,229,028 | 39,784 |
| Applera Corp.–Applied |
|
|
| Biosystems Group | 940,564 | 34,509 |
| IMS Health, Inc. | 1,018,775 | 27,996 |
* | Barr Pharmaceuticals Inc. | 546,622 | 27,397 |
* | Hospira, Inc. | 799,863 | 26,859 |
| Health Management |
|
|
| Associates Class A | 1,235,018 | 26,071 |
* | Waters Corp. | 520,949 | 25,511 |
* | Patterson Cos. | 713,272 | 25,328 |
| Mylan Laboratories, Inc. | 1,087,589 | 21,708 |
* | King Pharmaceuticals, Inc. | 1,249,335 | 19,889 |
* | Millipore Corp. | 274,449 | 18,278 |
| Manor Care, Inc. | 380,021 | 17,831 |
* | Tenet Healthcare Corp. | 2,419,592 | 16,865 |
| Bausch & Lomb, Inc. | 276,988 | 14,420 |
| PerkinElmer, Inc. | 633,155 | 14,075 |
* | Watson |
|
|
| Pharmaceuticals, Inc. | 527,732 | 13,737 |
|
|
| 7,863,126 |
Industrials (10.8%) |
|
| |
| General Electric Co. | 52,952,018 | 1,970,345 |
| United Parcel Service, Inc. | 5,514,883 | 413,506 |
| The Boeing Co. | 4,062,099 | 360,877 |
| United Technologies Corp. | 5,155,855 | 322,344 |
| Tyco International Ltd. | 10,216,825 | 310,591 |
| 3M Co. | 3,782,795 | 294,793 |
| Caterpillar, Inc. | 3,341,878 | 204,957 |
| Honeywell International Inc. | 4,194,549 | 189,761 |
| Emerson Electric Co. | 4,121,917 | 181,735 |
| FedEx Corp. | 1,575,223 | 171,101 |
| Lockheed Martin Corp. | 1,829,216 | 168,416 |
| General Dynamics Corp. | 2,078,725 | 154,553 |
| Burlington Northern |
|
|
| Santa Fe Corp. | 1,845,365 | 136,206 |
| Union Pacific Corp. | 1,385,643 | 127,507 |
| Raytheon Co. | 2,284,241 | 120,608 |
| Northrop Grumman Corp. | 1,774,491 | 120,133 |
| Deere & Co. | 1,187,804 | 112,925 |
| Norfolk Southern Corp. | 2,039,000 | 102,541 |
| Waste Management, Inc. | 2,748,541 | 101,064 |
| Illinois Tool Works, Inc. | 2,155,044 | 99,541 |
| Danaher Corp. | 1,217,607 | 88,203 |
| PACCAR, Inc. | 1,275,740 | 82,796 |
| CSX Corp. | 2,235,775 | 76,978 |
| Southwest Airlines Co. | 4,065,566 | 62,284 |
| Ingersoll-Rand Co. | 1,574,134 | 61,596 |
| Masco Corp. | 2,023,923 | 60,455 |
| Textron, Inc. | 644,539 | 60,438 |
| Eaton Corp. | 765,488 | 57,519 |
| Rockwell Collins, Inc. | 859,093 | 54,372 |
| ITT Industries, Inc. | 948,161 | 53,874 |
| Rockwell Automation, Inc. | 874,311 | 53,403 |
| Pitney Bowes, Inc. | 1,140,019 | 52,657 |
| L-3 Communications |
|
|
| Holdings, Inc. | 641,935 | 52,497 |
| Dover Corp. | 1,048,988 | 51,421 |
| Parker Hannifin Corp. | 605,884 | 46,580 |
| Cooper Industries, Inc. |
|
|
| Class A | 466,664 | 42,200 |
| American Standard Cos., Inc. | 890,549 | 40,832 |
| R.R. Donnelley & Sons Co. | 1,113,954 | 39,590 |
| Fluor Corp. | 452,542 | 36,950 |
* | Terex Corp. | 522,153 | 33,721 |
| Avery Dennison Corp. | 485,028 | 32,948 |
| Robert Half International, Inc. | 860,837 | 31,954 |
| Cummins Inc. | 269,421 | 31,840 |
* | Monster Worldwide Inc. | 659,344 | 30,752 |
| Goodrich Corp. | 640,966 | 29,196 |
| Cintas Corp. | 701,123 | 27,842 |
| American Power |
|
|
| Conversion Corp. | 867,836 | 26,547 |
| W.W. Grainger, Inc. | 375,253 | 26,245 |
| Equifax, Inc. | 642,288 | 26,077 |
| Pall Corp. | 629,048 | 21,734 |
* | Allied Waste Industries, Inc. | 1,303,553 | 16,021 |
| Ryder System, Inc. | 312,557 | 15,959 |
* | Raytheon Co. Warrants. |
|
|
| Exp. 6/16/11 | 20,998 | 376 |
|
|
| 7,089,361 |
Information Technology (15.1%) |
| ||
| Microsoft Corp. | 44,438,704 | 1,326,940 |
* | Cisco Systems, Inc. | 31,195,315 | 852,568 |
| International Business |
|
|
| Machines Corp. | 7,738,126 | 751,759 |
| Intel Corp. | 29,619,858 | 599,802 |
13
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Hewlett-Packard Co. | 14,069,971 | 579,542 |
* | Google Inc. | 1,100,911 | 506,947 |
* | Apple Computer, Inc. | 4,369,137 | 370,678 |
* | Oracle Corp. | 20,550,719 | 352,239 |
| QUALCOMM Inc. | 8,489,249 | 320,809 |
* | Dell Inc. | 11,669,403 | 292,785 |
| Motorola, Inc. | 12,418,706 | 255,329 |
| Texas Instruments, Inc. | 7,622,850 | 219,538 |
* | eBay Inc. | 5,944,197 | 178,742 |
* | Yahoo! Inc. | 6,288,922 | 160,619 |
* | Corning, Inc. | 8,036,114 | 150,356 |
* | EMC Corp. | 11,314,086 | 149,346 |
| Automatic Data |
|
|
| Processing, Inc. | 2,828,560 | 139,307 |
| Applied Materials, Inc. | 7,135,162 | 131,644 |
* | Adobe Systems, Inc. | 2,996,748 | 123,226 |
* | Symantec Corp. | 4,818,881 | 100,474 |
| First Data Corp. | 3,934,179 | 100,400 |
* | Sun Microsystems, Inc. | 18,080,913 | 97,999 |
| Western Union Co. | 3,937,583 | 88,281 |
* | Xerox Corp. | 4,958,990 | 84,055 |
* | Electronic Arts Inc. | 1,583,928 | 79,767 |
* | Broadcom Corp. | 2,409,261 | 77,843 |
* | Network Appliance, Inc. | 1,920,627 | 75,442 |
| Electronic Data |
|
|
| Systems Corp. | 2,655,710 | 73,165 |
* | Agilent Technologies, Inc. | 2,098,350 | 73,127 |
| Paychex, Inc. | 1,738,393 | 68,736 |
* | NVIDIA Corp. | 1,825,487 | 67,561 |
| Analog Devices, Inc. | 1,755,792 | 57,713 |
* | Advanced Micro |
|
|
| Devices, Inc. | 2,816,698 | 57,320 |
* | Cognizant Technology |
|
|
| Solutions Corp. | 727,980 | 56,171 |
* | Juniper Networks, Inc. | 2,904,808 | 55,017 |
* | Intuit, Inc. | 1,790,061 | 54,615 |
* | Micron Technology, Inc. | 3,875,860 | 54,107 |
| KLA-Tencor Corp. | 1,022,832 | 50,886 |
| Maxim Integrated |
|
|
| Products, Inc. | 1,647,648 | 50,451 |
* | SanDisk Corp. | 1,156,170 | 49,750 |
* | Autodesk, Inc. | 1,190,432 | 48,165 |
| CA, Inc. | 2,110,092 | 47,794 |
* | Computer Sciences Corp. | 882,320 | 47,089 |
* | Fiserv, Inc. | 889,811 | 46,644 |
| Linear Technology Corp. | 1,535,930 | 46,569 |
| Xilinx, Inc. | 1,727,532 | 41,133 |
* | NCR Corp. | 914,838 | 39,118 |
* | Lexmark International, Inc. | 503,032 | 36,822 |
* | Altera Corp. | 1,857,735 | 36,560 |
* | BMC Software, Inc. | 1,052,875 | 33,903 |
| National |
|
|
| Semiconductor Corp. | 1,482,540 | 33,654 |
| Fidelity National Information |
|
|
| Services, Inc. | 831,053 | 33,317 |
* | Avaya Inc. | 2,332,806 | 32,613 |
* | VeriSign, Inc. | 1,259,328 | 30,287 |
* | Affiliated Computer |
|
|
| Services, Inc. Class A | 609,097 | 29,748 |
* | Citrix Systems, Inc. | 927,076 | 25,077 |
| Jabil Circuit, Inc. | 948,080 | 23,275 |
* | Tellabs, Inc. | 2,267,936 | 23,269 |
| Molex, Inc. | 727,836 | 23,021 |
* | Comverse Technology, Inc. | 1,038,042 | 21,913 |
* | Novellus Systems, Inc. | 635,195 | 21,863 |
| Sabre Holdings Corp. | 680,294 | 21,695 |
| Symbol Technologies, Inc. | 1,309,034 | 19,557 |
* | LSI Logic Corp. | 2,058,711 | 18,528 |
* | JDS Uniphase Corp. | 1,081,567 | 18,019 |
* | QLogic Corp. | 809,256 | 17,739 |
* | Convergys Corp. | 709,432 | 16,870 |
* | Solectron Corp. | 4,709,312 | 15,164 |
* | Compuware Corp. | 1,813,874 | 15,110 |
* | Teradyne, Inc. | 977,195 | 14,619 |
* | Unisys Corp. | 1,774,389 | 13,911 |
| Tektronix, Inc. | 424,661 | 12,387 |
* | Ciena Corp. | 434,930 | 12,052 |
* | Novell, Inc. | 1,740,445 | 10,791 |
* | Sanmina-SCI Corp. | 2,735,370 | 9,437 |
* | ADC |
|
|
| Telecommunications, Inc. | 601,901 | 8,746 |
* | PMC Sierra Inc. | 1,077,199 | 7,228 |
* | Parametric Technology Corp. | 208,373 | 3,755 |
|
|
| 9,892,498 |
Materials (3.0%) |
|
| |
| E.I. du Pont de |
|
|
| Nemours & Co. | 4,725,107 | 230,160 |
| Dow Chemical Co. | 4,906,949 | 195,984 |
| Monsanto Co. | 2,791,059 | 146,614 |
| Alcoa Inc. | 4,454,489 | 133,679 |
| Phelps Dodge Corp. | 1,047,965 | 125,462 |
| Newmont Mining Corp. |
|
|
| (Holding Co.) | 2,312,925 | 104,429 |
| Praxair, Inc. | 1,658,840 | 98,419 |
| Weyerhaeuser Co. | 1,215,138 | 85,849 |
| Nucor Corp. | 1,551,196 | 84,788 |
| International Paper Co. | 2,335,953 | 79,656 |
| Air Products & |
|
|
| Chemicals, Inc. | 1,131,653 | 79,533 |
| Freeport-McMoRan Copper |
|
|
| & Gold, Inc. Class B | 1,011,108 | 56,349 |
| PPG Industries, Inc. | 848,465 | 54,480 |
| Allegheny Technologies Inc. | 517,534 | 46,930 |
| United States Steel Corp. | 608,694 | 44,520 |
| Vulcan Materials Co. | 484,753 | 43,565 |
| Ecolab, Inc. | 916,186 | 41,412 |
| Rohm & Haas Co. | 728,890 | 37,261 |
| MeadWestvaco Corp. | 930,684 | 27,976 |
| Sealed Air Corp. | 413,570 | 26,849 |
| Sigma-Aldrich Corp. | 338,482 | 26,307 |
| Temple-Inland Inc. | 548,960 | 25,269 |
| Eastman Chemical Co. | 422,626 | 25,066 |
14
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Pactiv Corp. | 682,768 | 24,368 |
| Ball Corp. | 535,347 | 23,341 |
| Ashland, Inc. | 293,783 | 20,324 |
| International Flavors & |
|
|
| Fragrances, Inc. | 401,026 | 19,714 |
| Bemis Co., Inc. | 538,815 | 18,309 |
* | Hercules, Inc. | 584,826 | 11,293 |
|
|
| 1,937,906 |
Telecommunication Services (3.5%) |
| ||
| AT&T Inc. | 19,740,893 | 705,737 |
| Verizon Communications Inc. | 14,997,480 | 558,506 |
| BellSouth Corp. | 9,370,309 | 441,435 |
| Sprint Nextel Corp. | 14,871,307 | 280,919 |
| Alltel Corp. | 1,919,456 | 116,089 |
* | Qwest Communications |
|
|
| International Inc. | 8,256,492 | 69,107 |
| Embarq Corp. | 768,073 | 40,370 |
| Windstream Corp. | 2,447,716 | 34,807 |
| CenturyTel, Inc. | 588,905 | 25,712 |
| Citizens Communications Co. | 1,652,478 | 23,746 |
|
|
| 2,296,428 |
Utilities (3.6%) |
|
| |
| Duke Energy Corp. | 6,450,780 | 214,230 |
| Exelon Corp. | 3,446,776 | 213,321 |
| Dominion Resources, Inc. | 1,817,144 | 152,349 |
| Southern Co. | 3,815,634 | 140,644 |
| TXU Corp. | 2,359,253 | 127,895 |
| FPL Group, Inc. | 2,076,802 | 113,020 |
| FirstEnergy Corp. | 1,639,904 | 98,886 |
| Entergy Corp. | 1,062,171 | 98,060 |
| American Electric |
|
|
| Power Co., Inc. | 2,032,188 | 86,531 |
| Public Service Enterprise |
|
|
| Group, Inc. | 1,295,708 | 86,009 |
| PG&E Corp. | 1,792,003 | 84,816 |
| Edison International | 1,672,847 | 76,081 |
| Sempra Energy | 1,346,044 | 75,432 |
* | AES Corp. | 3,412,208 | 75,205 |
| PPL Corp. | 1,959,093 | 70,214 |
| Progress Energy, Inc. | 1,305,137 | 64,056 |
| Constellation Energy |
|
|
| Group, Inc. | 924,218 | 63,651 |
| Consolidated Edison Inc. | 1,318,469 | 63,379 |
| Ameren Corp. | 1,059,006 | 56,900 |
| Xcel Energy, Inc. | 2,090,466 | 48,206 |
| DTE Energy Co. | 914,347 | 44,264 |
* | Allegheny Energy, Inc. | 849,172 | 38,985 |
| KeySpan Corp. | 899,419 | 37,038 |
| Questar Corp. | 441,390 | 36,657 |
| NiSource, Inc. | 1,401,529 | 33,777 |
| CenterPoint Energy Inc. | 1,606,071 | 26,629 |
| Pinnacle West Capital Corp. | 512,713 | 25,989 |
* | CMS Energy Corp. | 1,143,057 | 19,089 |
TECO Energy, Inc. | 1,075,087 | 18,524 | |
* Dynegy, Inc. | 1,949,362 | 14,113 | |
Nicor Inc. | 229,587 | 10,745 | |
Peoples Energy Corp. | 197,549 | 8,805 | |
|
| 2,323,500 | |
Total Common Stocks |
|
| |
(Cost $48,674,432) |
| 65,381,899 | |
Temporary Cash Investments (0.1%)1 |
| ||
Money Market Fund (0.1%) |
|
| |
2 Vanguard Market |
|
| |
Liquidity Fund, 5.294% | 19,938,802 | 19,939 | |
2 Vanguard Market |
|
| |
Liquidity Fund, |
|
| |
5.294%—Note E | 51,837,500 | 51,838 | |
|
| 71,777 | |
|
|
| |
| Face |
| |
| Amount |
| |
| ($000) |
| |
U.S. Agency Obligation (0.0%) |
|
| |
3 Federal Home Loan |
|
| |
Mortgage Corp. |
|
| |
4 5.198%, 1/3/07 | 14,000 | 13,998 | |
U.S. Treasury Bill |
|
| |
5.178%, 3/1/07 | 278 | 276 | |
|
| 14,274 | |
Total Temporary Cash Investments |
|
| |
(Cost $86,049) |
| 86,051 | |
Total Investments (99.9%) |
|
| |
(Cost $48,760,481) |
| 65,467,950 | |
Other Assets and Liabilities (0.1%) |
|
| |
Other Assets |
| 401,508 | |
Liabilities—Note E |
| (332,249) | |
|
| 69,259 | |
Net Assets (100%) |
| 65,537,209 |
15
At December 31, 2006, net assets consisted of:5 | |
| Amount |
| ($000) |
Paid-in Capital | 52,144,583 |
Undistributed Net Investment Income | 7,694 |
Accumulated Net Realized Losses | (3,322,380) |
Unrealized Appreciation (Depreciation) |
|
Investment Securities | 16,707,469 |
Futures Contracts | (157) |
Net Assets | 65,537,209 |
|
|
Institutional Shares—Net Assets |
|
Applicable to 349,123,837 outstanding |
|
$.001 par value shares of beneficial |
|
interest (unlimited authorization) | 45,243,083 |
Net Asset Value Per Share— |
|
Institutional Shares | $129.59 |
|
|
Institutional Plus Shares—Net Assets |
|
Applicable to 156,597,925 outstanding |
|
$.001 par value shares of beneficial |
|
interest (unlimited authorization) | 20,294,126 |
Net Asset Value Per Share— |
|
Institutional Plus Shares | $129.59 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. See Note E in Notes to Financial Statements.
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%, respectively, of net assets. See Note C in Notes to Financial Statements.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government. If needed, access to additional funding from the U.S. Treasury (beyond the issuer’s line of credit) would require congressional action.
4 Securities with a value of $13,998,000 have been segregated as initial margin for open futures contracts.
5 See Note C in Notes to Financial Statements for the tax-basis components of net assets.
REIT—Real Estate Investment Trust.
16
Statement of Operations
| Year Ended |
| December 31, 2006 |
| ($000) |
Investment Income |
|
Income |
|
Dividends | 1,139,516 |
Interest1 | 5,611 |
Security Lending | 1,485 |
Total Income | 1,146,612 |
Expenses |
|
The Vanguard Group—Note B |
|
Management and Administrative |
|
Institutional Shares | 20,739 |
Institutional Plus Shares | 4,549 |
Total Expenses | 25,288 |
Net Investment Income | 1,121,324 |
Realized Net Gain (Loss) |
|
Investment Securities Sold | (284,436) |
Futures Contracts | 15,954 |
Realized Net Gain (Loss) | (268,482) |
Change in Unrealized Appreciation (Depreciation) |
|
Investment Securities | 8,011,677 |
Futures Contracts | 1,826 |
Change in Unrealized Appreciation (Depreciation) | 8,013,503 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 8,866,345 |
1 Interest income from an affiliated company of the fund was $4,862,000.
17
Statement of Changes in Net Assets
| Year Ended December 31, | |
| 2006 | 2005 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net Investment Income | 1,121,324 | 971,419 |
Realized Net Gain (Loss) | (268,482) | (244,797) |
Change in Unrealized Appreciation (Depreciation) | 8,013,503 | 1,908,638 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 8,866,345 | 2,635,260 |
Distributions |
|
|
Net Investment Income |
|
|
Institutional Shares | (775,520) | (692,551) |
Institutional Plus Shares | (346,418) | (278,466) |
Realized Capital Gain |
|
|
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
Total Distributions | (1,121,938) | (971,017) |
Capital Share Transactions—Note F |
|
|
Institutional Shares | 725,541 | 2,959,862 |
Institutional Plus Shares | 817,953 | 3,141,934 |
Net Increase (Decrease) from Capital Share Transactions | 1,543,494 | 6,101,796 |
Total Increase (Decrease) | 9,287,901 | 7,766,039 |
Net Assets |
|
|
Beginning of Period | 56,249,308 | 48,483,269 |
End of Period1 | 65,537,209 | 56,249,308 |
1 Net Assets—End of Period includes undistributed net investment income of $7,694,000 and $8,308,000.
18
Financial Highlights
Institutional Index Fund Institutional Shares | |||||
|
|
| Year Ended December 31, | ||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $114.01 | $110.70 | $101.78 | $80.45 | $104.89 |
Investment Operations |
|
|
|
|
|
Net Investment Income | 2.24 | 2.05 | 2.031 | 1.54 | 1.42 |
Net Realized and Unrealized Gain |
|
|
|
|
|
(Loss) on Investments | 15.58 | 3.31 | 8.91 | 21.32 | (24.45) |
Total from Investment Operations | 17.82 | 5.36 | 10.94 | 22.86 | (23.03) |
Distributions |
|
|
|
|
|
Dividends from Net Investment Income | (2.24) | (2.05) | (2.02) | (1.53) | (1.41) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.24) | (2.05) | (2.02) | (1.53) | (1.41) |
Net Asset Value, End of Period | $129.59 | $114.01 | $110.70 | $10.781 | $80.45 |
|
|
|
|
|
|
Total Return | 15.78% | 4.91% | 10.86% | 28.66% | –22.03% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) | $45,243 | $39,154 | $34,990 | $29,458 | $20,361 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to |
|
|
|
|
|
Average Net Assets | 1.87% | 1.87% | 2.00%1 | 1.74% | 1.57% |
Portfolio Turnover Rate2 | 8% | 8% | 5% | 4% | 8% |
1 Net investment income per share and the ratio of net investment income to average net assets include $.32 and 0.32%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
19
Institutional Index Fund Institutional Plus Shares | |||||
|
|
| Year Ended December 31, | ||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $114.01 | $110.71 | $101.78 | $ 80.45 | $104.89 |
Investment Operations |
|
|
|
|
|
Net Investment Income | 2.269 | 2.068 | 2.0511 | 1.562 | 1.438 |
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
on Investments | 15.580 | 3.310 | 8.925 | 21.320 | (24.446) |
Total from Investment Operations | 17.849 | 5.378 | 10.976 | 22.882 | (23.008) |
Distributions |
|
|
|
|
|
Dividends from Net Investment Income | (2.269) | (2.078) | (2.046) | (1.552) | (1.432) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.269) | (2.078) | (2.046) | (1.552) | (1.432) |
Net Asset Value, End of Period | $129.59 | $114.01 | $110.71 | $101.78 | $80.45 |
|
|
|
|
|
|
Total Return | 15.81% | 4.93% | 10.90% | 28.69% | –22.01% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) | $20,294 | $17,095 | $13,493 | $8,805 | $9,042 |
Ratio of Total Expenses to |
|
|
|
|
|
Average Net Assets | 0.025% | 0.025% | 0.025% | 0.025% | 0.025% |
Ratio of Net Investment Income to |
|
|
|
|
|
Average Net Assets | 1.90% | 1.90% | 2.02%1 | 1.76% | 1.59% |
Portfolio Turnover Rate2 | 8% | 8% | 5% | 4% | 8% |
1 Net investment income per share and the ratio of net investment income to average net assets include $.316 and 0.32%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
2 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.
20
Notes to Financial Statements
Vanguard Institutional 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, Institutional Shares and Institutional Plus Shares, to investors who invest minimum amounts of $5 million and $200 million, respectively.
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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset 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 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 Statement of Net Assets. 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. 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.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market
21
Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. 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. Class-specific shareholder servicing fees are charged to each class at the contractual rate. Income, expenses not attributable to a specific class, 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 provides investment advisory, corporate management, administrative, marketing, and distribution services and pays for all other operating expenses, except for taxes, in return for a fee calculated at an annual percentage rate of the average net assets of the fund, or, for shareholder services, each class of shares. 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 year ended December 31, 2006, the fund realized $655,334,000 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 fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital.
For tax purposes, at December 31, 2006, the fund had $7,257,000 of ordinary income available for distribution. The fund had available realized losses of $3,164,319,000 to offset future net capital gains of $32,279,000 through December 31, 2008, $385,639,000 through December 31, 2009, $1,269,960,000 through December 31, 2010, $98,197,000 through December 31, 2011, $481,996,000 through December 31, 2013, $522,475,000 through December 31, 2014, and $373,773,000 through December 31, 2015.
At December 31, 2006, the cost of investment securities for tax purposes was $48,918,263,000. Net unrealized appreciation of investment securities for tax purposes was $16,549,687,000, consisting of unrealized gains of $19,195,042,000 on securities that had risen in value since their purchase and $2,645,355,000 in unrealized losses on securities that had fallen in value since their purchase.
22
At December 31, 2006, the aggregate settlement value of open futures contracts expiring in March 2007, and the related unrealized appreciation (depreciation), were:
|
|
| ($000) |
|
| Aggregate | Unrealized |
| Number of | Settlement | Appreciation |
Futures Contracts | Long Contracts | Value | (Depreciation) |
E-mini S&P 500 Index | 1,418 | 101,274 | (166) |
S&P 500 Index | 23 | 8,213 | 9 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D. During the year ended December 31, 2006, the fund purchased $7,547,853,000 of investment securities and sold $5,926,115,000 of investment securities, other than temporary cash investments.
E. The market value of securities on loan to broker-dealers at December 31, 2006, was $48,956,000, for which the fund received cash collateral of $51,838,000.
F. Capital share transactions for each class of shares were:
Year Ended December 31, | |||||
|
| 2006 |
|
| 2005 |
| Amount | Shares |
| Amount | Shares |
| ($000) | (000) |
| ($000) | (000) |
Institutional Shares |
|
|
|
|
|
Issued | 9,277,661 | 77,273 |
| 11,387,123 | 103,163 |
Issued in Lieu of Cash Distributions | 703,812 | 5,818 |
| 627,353 | 5,662 |
Redeemed | (9,255,932) | (77,396) |
| (9,054,614) | (81,461) |
Net Increase (Decrease)—Institutional Shares | 725,541 | 5,695 |
| 2,959,862 | 27,364 |
Institutional Plus Shares |
|
|
|
|
|
Issued | 4,548,018 | 38,148 |
| 4,890,238 | 43,835 |
Issued in Lieu of Cash Distributions | 327,357 | 2,703 |
| 247,167 | 2,228 |
Redeemed | (4,057,422) | (34,197) |
| (1,995,471) | (18,003) |
Net Increase (Decrease)—Institutional Plus Shares | 817,953 | 6,654 |
| 3,141,934 | 28,060 |
G. In June 2006, the Financial Accounting Standards Board issued Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes.” FIN 48 establishes the minimum threshold for recognizing, and a system for measuring, the benefits of tax-return positions in financial statements. FIN 48 will be effective for the fund’s fiscal year ending December 31, 2007. Management is in the process of analyzing the fund’s tax positions for purposes of implementing FIN 48; based on the analysis completed to date, management does not believe the adoption of FIN 48 will result in any material impact to the fund’s financial statements.
23
Report of Independent Registered Public Accounting Firm
To the Trustees and Shareholders of Vanguard Institutional Index Fund:
In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Institutional Index Fund (one of the funds constituting Vanguard Institutional Index Fund, hereafter referred to as the “Fund”) at December 31, 2006, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2006 by correspondence with the custodian and broker and by agreement to the underlying ownership records for Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 9, 2007
Special 2006 tax information (unaudited) for Vanguard Institutional Index Fund
This information for the fiscal year ended December 31, 2006, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $1,121,937,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 99.2% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
24
About Your Fund’s 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:
• 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.”
• Based on hypothetical 5% yearly 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 yearly return of 5% before expenses, 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. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a “sales load.”
Six Months Ended December 31, 2006 |
|
|
|
| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
Institutional Index Fund | 6/30/2006 | 12/31/2006 | Period1 |
Based on Actual Fund Return |
|
|
|
Institutional Shares | $1,000.00 | $1,127.31 | $0.27 |
Institutional Plus Shares | 1,000.00 | 1,127.33 | 0.13 |
Based on Hypothetical 5% Yearly Return |
|
|
|
Institutional Shares | $1,000.00 | $1,024.95 | $0.26 |
Institutional Plus Shares | 1,000.00 | 1,025.08 | 0.13 |
1 The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.05% for Institutional Shares and 0.025% for Institutional Plus Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
25
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, 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.
26
Glossary
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.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
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). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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.
27
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’s 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 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.
Chairman of the Board, Chief Executive Officer, and Trustee | |
|
|
John J. Brennan1 |
|
Born 1954 | Principal Occupation(s) During the Past Five Years: Chairman of the |
Trustee since May 1987; | Board,Chief Executive Officer, and Director/Trustee of The Vanguard |
Chairman of the Board and | Group, Inc.,and of each of the investment companies served by The |
Chief Executive Officer | Vanguard Group. |
145 Vanguard Funds Overseen |
|
|
|
|
|
Independent Trustees |
|
|
|
Charles D. Ellis |
|
Born 1937 | Principal Occupation(s) During the Past Five Years: Applecore |
Trustee since January 2001 | Partners (pro bono ventures in education); Senior Advisor to Greenwich |
145 Vanguard Funds Overseen | Associates (international business strategy consulting); Successor |
| Trustee of Yale University; Overseer of the Stern School of Business |
| at New York University; Trustee of the Whitehead Institute for |
| Biomedical Research. |
|
|
Rajiv L. Gupta |
|
Born 1945 | Principal Occupation(s) During the Past Five Years: Chairman and |
Trustee since December 20012 | Chief Executive Officer of Rohm and Haas Co. (chemicals); Board |
145 Vanguard Funds Overseen | Member of the American Chemistry Council;Director of Tyco |
| International, Ltd. (diversified manufacturing and services) since 2005; |
| Trustee of Drexel University and of the Chemical Heritage Foundation. |
|
|
Amy Gutmann |
|
Born 1949 | Principal Occupation(s) During the Past Five Years: President of the |
Trustee since June 2006 | University of Pennsylvania since 2004; Professor in the School of Arts |
145 Vanguard Funds Overseen | and Sciences, Annenberg School for Communication, and Graduate |
| School of Education of the University of Pennsylvania since 2004; |
| Provost (2001–2004) and Laurance S. Rockefeller Professor of Politics |
| and the University Center for Human Values (1990–2004), Princeton |
| University; Director of Carnegie Corporation of New York since 2005 |
| and of Schuylkill River Development Corporation and Greater |
| Philadelphia Chamber of Commerce since 2004. |
|
|
JoAnn Heffernan Heisen |
|
Born 1950 | Principal Occupation(s) During the Past Five Years: Corporate Vice |
Trustee since July 1998 | President and Chief Global Diversity Officer since 2006, Vice President |
145 Vanguard Funds Overseen | and Chief Information Officer (1997–2005), and Member of the |
| Executive Committee of Johnson & Johnson (pharmaceuticals/ |
| consumer products); Director of the University Medical Center at |
| Princeton and Women’s Research and Education Institute. |
|
|
André F. Perold |
|
Born 1952 | Principal Occupation(s) During the Past Five Years: George Gund |
Trustee since December 2004 | Professor of Finance and Banking, Harvard Business School; Senior |
145 Vanguard Funds Overseen | Associate Dean, Director of Faculty Recruiting, and Chair of Finance |
| Faculty, Harvard Business School; Director and Chairman of UNX, Inc. |
| (equities trading firm) since 2003; Chair of the Investment Committee |
| of HighVista Strategies LLC (private investment firm) since2005; |
| Director of registered investment companies advised by Merrill Lynch |
| Investment Managers and affiliates(1985–2004), Genbel Securities |
| Limited (South African financial services firm) (1999–2003), Gensec |
| Bank (1999–2003), Sanlam, Ltd. (South African insurance company) |
| (2001–2003), and Stockback, Inc. (credit card firm) (2000–2002). |
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Alfred M. Rankin, Jr. |
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Born 1941 | Principal Occupation(s) During the Past Five Years: Chairman, |
Trustee since January 1993 | President, Chief Executive Officer, and Director of NACCO Industries, |
145 Vanguard Funds Overseen | Inc. (forklift trucks/housewares/lignite); Director of Goodrich |
| Corporation (industrial products/aircraft systems and services). |
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J. Lawrence Wilson |
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Born 1936 | Principal Occupation(s) During the Past Five Years: Retired Chairman |
Trustee since April 1985 | and Chief Executive Officer of Rohm and Haas Co. (chemicals); |
145 Vanguard Funds Overseen | Director of Cummins Inc. (diesel engines), MeadWestvaco Corp |
| . (packaging products), and AmerisourceBergen Corp. (pharmaceutical |
| distribution); Trustee of Vanderbilt University and of Culver |
| Educational Foundation. |
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Executive Officers1 |
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Heidi Stam |
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Born 1956 | Principal Occupation(s) During the Past Five Years: Managing Director |
Secretary since July 2005 | of The Vanguard Group, Inc., since 2006; General Counsel of The |
145 Vanguard Funds Overseen | Vanguard Group since 2005; Secretary of The Vanguard Group, and |
| of each of the investment companies served by The Vanguard |
| Group, since 2005; Principal of The Vanguard Group (1997–2006). |
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Thomas J. Higgins |
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Born 1957 | Principal Occupation(s) During the Past Five Years: Principal of The |
Treasurer since July 1998 | Vanguard Group, Inc.; Treasurer of each of the investment |
145 Vanguard Funds Overseen | companies served by The Vanguard Group. |
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Vanguard Senior Management Team |
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R. Gregory Barton | Kathleen C. Gubanich | Michael S. Miller |
Mortimer J. Buckley | Paul A. Heller | Ralph K. Packard |
James H. Gately | F. William McNabb, III | George U. Sauter |
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Founder |
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John C. Bogle |
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Chairman and Chief Executive Officer, 1974–1996 |
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1 Officers of the funds are “interested persons” as defined in the Investment Company Act of 1940.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group.
P.O. Box 2600
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| trademarks of The Vanguard Group, Inc. |
Direct Investor Account Services > 800-662-2739 | S&P 500 ® and Standard & Poor’s 500 are trademarks |
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This material may be used in conjunction |
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with the offering of shares of any Vanguard | All other marks are the exclusive property of their |
fund only if preceded or accompanied by | respective owners. |
the fund’s current prospectus. |
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| All comparative mutual fund data are from Lipper Inc. |
| or Morningstar, Inc., unless otherwise noted. |
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You can review and copy information about your fund | You can obtain a free copy of Vanguard’s proxy voting |
at the SEC’s Public Reference Room in Washington, D.C. | guidelines by visiting our website, www.vanguard.com, |
To find out more about this public service, call the SEC | and searching for “proxy voting guidelines,” or by calling |
at 202-551-8090. Information about your fund is also | Vanguard at 800-662-2739. They are also available from |
available on the SEC’s website, and you can receive | the SEC’s website, www.sec.gov. In addition, you may |
copies of this information, for a fee, by sending a | obtain a free report on how your fund voted the proxies for |
request in either of two ways: via e-mail addressed to | securities it owned during the 12 months ended June 30. |
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Public Reference Section, Securities and Exchange | or www.sec.gov. |
Commission, Washington, DC 20549-0102. |
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| © 2007 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
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| Q940 022007 |
Vanguard® Institutional Total Bond Market Index Fund | |
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> Annual Report |
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December 31, 2006 |
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> During 2006, Vanguard Institutional Total Bond Market Index Fund returned 4.3%.
> The fund succeeded in capturing the returns of its target index.
> Although the fixed income markets featured a number of unusual developments, the broad market’s return was typical of (if a bit below) its long-term average.
Contents |
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Your Fund’s Total Returns | 1 |
Chairman’s Letter | 2 |
Fund Profile | 6 |
Performance Summary | 7 |
Financial Statements | 8 |
About Your Fund’s Expenses | 52 |
Glossary | 53 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the cover of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2006 |
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| Total |
| Returns |
Vanguard Institutional Total Bond Market Index Fund | 4.3% |
Lehman Aggregate Bond Index | 4.3 |
Average Intermediate Investment Grade Debt Fund1 | 4.1 |
Your Fund’s Performance at a Glance | ||||
December 31, 2005–December 31, 2006 | ||||
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| Distributions Per Share | |
| Starting | Ending | Income | Capital |
| Share Price | Share Price | Dividends | Gains |
Vanguard Institutional |
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Total Bond Market Index Fund | $50.79 | $50.32 | $2.581 | $0.000 |
1 Derived from data provided by Lipper Inc.
1
Chairman’s Letter
Dear Shareholder,
Vanguard Institutional Total Bond Market Index Fund returned 4.3% in 2006, successfully capturing the return of its target benchmark. The portfolio’s yield crept higher in an unusual interest rate environment. At the start of the year, the yield stood at an annualized 4.90%; at year-end, the figure was 5.15%.
Bond market featured unusual developments
During the first half of 2006, interest rates, particularly short-term interest rates, climbed rapidly as the Federal Reserve Board extended its rate-boosting campaign. The Fed raised its target for the federal funds rate four times, to 5.25%. The Fed then paused, and during the second half of the year, short-term rates stabilized. As inflation fears eased, however, long-term yields drifted below the yield of the 3-month U.S. Treasury bill—an inversion of the usual relationship.
In addition to unusual interest rate dynamics, the bond market also featured shrinking risk premiums. Strong corporate fundamentals and a ready supply of cash-rich lenders helped compress the difference between the yields of virtually risk-free U.S. Treasury bonds and the rates paid by corporate borrowers. In fact, the riskiest bonds generated the best returns, as investors bid up prices in a market that exacted few penalties for risk-taking.
2
Over the full 12 months, the broad taxable bond market returned 4.3%, with corporate bonds outperforming government bonds.
Strong second half pushed stocks to new high
Beginning in mid-July, stocks climbed steadily through the remainder of the year, with the Dow Jones Industrial Average setting a record high on December 27. For the year, the broad U.S. stock market gained 15.9%. Despite a soft housing sector and ongoing troubles within the U.S. auto industry, the economy continued to grow and corporate profits remained strong.
As expected, fund performance reflected market dynamics
During the past 12 months, the performance of Vanguard Institutional Total Bond Market Index Fund largely reflected surprising shifts in interest rates.
During the first half of 2006, the sharp rise in interest rates depressed the prices of the fund’s securities. Although prices recovered somewhat in the second half, the Institutional Total Bond Market Index Fund produced a capital return of –0.9% for the full 12 months.
Compared with an all-Treasury portfolio, the shrinking yield differential between Treasuries and non-Treasury securities modestly boosted the performance of
Market Barometer |
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| Average Annual Total Returns | |
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| Periods Ended December 31, 2006 | |
| One Year | Three Years | Five Years |
Bonds |
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Lehman Aggregate Bond Index (Broad taxable market) | 4.3% | 3.7% | 5.1% |
Lehman Municipal Bond Index | 4.8 | 4.3 | 5.5 |
Citigroup 3-Month Treasury Bill Index | 4.8 | 3.0 | 2.3 |
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Stocks |
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Russell 1000 Index (Large-caps) | 15.5% | 11.0% | 6.8% |
Russell 2000 Index (Small-caps) | 18.4 | 13.6 | 11.4 |
Dow Jones Wilshire 5000 Index (Entire market) | 15.9 | 11.5 | 7.6 |
MSCI All Country World Index ex USA (International) | 27.2 | 21.8 | 16.9 |
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CPI |
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Consumer Price Index | 2.5% | 3.1% | 2.7% |
3
the Institutional Total Bond Market Index Fund. (The portfolio includes Treasuries, corporate bonds, and mortgage-backed securities, which performed strongly during 2006.) For example, the Lehman Intermediate Treasury Index returned 3.5% during the past year, compared with the 4.3% return of the Lehman Aggregate Bond Index, your fund’s benchmark, which has a similar average weighted maturity.
Your fund’s advisor, Vanguard Fixed Income Group, succeeded in matching the index return. That’s our expectation, of course, but it would be wrong to prize this achievement too lightly. The index is a theoretical construct that incurs none of a real-world portfolio’s operating and transaction costs. The advisor’s ability to minimize the impact of these costs is a tribute to its disciplined portfolio construction and execution methodologies.
Fund has helped investors maximize their share of returns
Your fund has achieved similar market-matching success since its 2002 inception. During the past four-plus years, Vanguard Institutional Total Bond Market Index Fund has returned an annualized 4.8%, compared with the 4.9% return of its benchmark. This result is superior to the average return of investment-grade debt funds, an admittedly imperfect standard of comparison for large institutional investors. Despite its limitations, the comparison makes clear that skillful indexing puts your institution in a good position to maximize its share of the broad fixed income market’s returns.
Total Returns |
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April 26, 20021–December 31, 2006 |
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| Final Value of |
| Average | a $100,000,000 |
| Annual Return | Initial Investment |
Institutional Total Bond Market Index Fund | 4.8% | $124,566,053 |
Lehman Aggregate Bond Index | 4.9 | 125,304,998 |
Average Intermediate Investment Grade Debt Fund2 | 4.4 | 122,372,149 |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, 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.
1 Inception.
2 Derived from data provided by Lipper Inc.
4
On its 20th anniversary, bond indexing is going strong
On December 11, 2006, Vanguard Total Bond Market Index Fund, the world’s first bond index mutual fund, celebrated its 20th anniversary. Less than a decade after the fund’s inception, Vanguard created the Short-, Intermediate-, and Long-Term Bond Index Funds. All four portfolios have delivered distinguished performance, benefiting from the strengths that have made Vanguard a leader in stock indexing: talented teams, disciplined portfolio management, and low costs.
Vanguard’s broad-market bond-indexing expertise is available to the largest institutions through Vanguard Institutional Total Bond Market Index Fund. The fund can play an important role in a variety of institutional portfolios, from pension funds seeking to fine-tune the balance between plan liabilities and assets to endowment funds looking to diversify an equity allocation.
Thank you for investing your institution’s assets with Vanguard.
Sincerely,
John J. Brennan
Chairman and Chief Executive Officer
January 19, 2007
5
Fund Profile
As of December 31, 2006
Financial Attributes |
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| Fund | Index1 |
Number of Issues | 2,020 | 7,134 |
Yield | 5.2% | — |
Yield to Maturity | 5.3%2 | 5.4% |
Average Coupon | 5.4% | 5.4% |
Average Effective Maturity | 6.9 years | 7.0 years |
Average Quality3 | Aa1 | Aa1 |
Average Duration | 4.5 years | 4.5 years |
Expense Ratio | 0.05% | — |
Short-Term Reserves | 0% | — |
Sector Diversification4 (% of portfolio) |
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Asset-Backed/Commercial Mortgage-Backed | 6% |
Finance | 8 |
Foreign | 3 |
Government Mortgage-Backed | 35 |
Industrial | 9 |
Treasury/Agency | 37 |
Utilities | 2 |
Distribution by Maturity (% of portfolio) | |
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Under 1 Year | 1% |
1–5 Years | 45 |
5–10 Years | 41 |
10–20 Years | 7 |
20–30 Years | 6 |
Volatility Measures5 |
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| Fund Versus |
| Target Index1 |
R-Squared | 1.00 |
Beta | 1.02 |
Distribution by Credit Quality3 (% of portfolio) | |
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Aaa | 80% |
Aa | 5 |
A | 8 |
Baa | 7 |
Investment Focus
1 Lehman Aggregate Bond Index.
2 Before expenses.
3 Moody’s Investors Service.
4 The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government.
5 For an explanation of R-squared, beta, and other terms used here, see the Glossary on page 53.
6
Performance Summary
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. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, 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.
Cumulative Performance: April 26, 2002–December 31, 2006
Initial Investment of $100,000,000
| Average Annual Total Returns | Final Value of a | |
| Periods Ended December 31, 2006 | $100,000,000 | |
| One Year | Since Inception1 | Investment |
Institutional Total Bond Market Index Fund | 4.30% | 4.80% | $124,566,053 |
Lehman Aggregate Bond Index | 4.33 | 4.94 | 125,304,998 |
Average Intermediate Investment |
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Grade Debt Fund2 | 4.06 | 4.41 | 122,372,149 |
Fiscal-Year Total Returns (%): April 26, 2002–December 31, 2006 | ||||
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| Lehman3 |
Fiscal | Capital | Income | Total | Total |
Year | Return | Return | Return | Return |
2002 | 3.8% | 3.5% | 7.3% | 7.9% |
2003 | 0.2 | 3.9 | 4.1 | 4.1 |
2004 | 0.0 | 4.4 | 4.4 | 4.3 |
2005 | –1.9 | 4.4 | 2.5 | 2.4 |
2006 | –0.9 | 5.2 | 4.3 | 4.3 |
1 April 26, 2002.
2 Derived from data provided by Lipper Inc.
3 Lehman Aggregate Bond Index.
Note: See Financial Highlights table on page 46 for dividend and capital gains information.
7
Financial Statements
Statement of Net Assets
As of December 31, 2006
The fund provides a complete list of its holdings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at www.sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
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U.S. Government and Agency Obligations (70.0%) |
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U.S. Government Securities (26.7%) |
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U.S. Treasury Bond | 3.625% | 5/15/13 | 9,375 | 8,834 |
U.S. Treasury Bond | 12.000% | 8/15/13 | 2,500 | 2,776 |
U.S. Treasury Bond | 13.250% | 5/15/14 | 750 | 891 |
U.S. Treasury Bond | 4.000% | 2/15/15 | 22,500 | 21,435 |
U.S. Treasury Bond | 11.250% | 2/15/15 | 2,975 | 4,274 |
U.S. Treasury Bond | 10.625% | 8/15/15 | 12,160 | 17,203 |
U.S. Treasury Bond | 9.875% | 11/15/15 | 11,000 | 15,075 |
U.S. Treasury Bond | 9.250% | 2/15/16 | 75 | 100 |
U.S. Treasury Bond | 7.250% | 5/15/16 | 24,615 | 29,265 |
U.S. Treasury Bond | 7.500% | 11/15/16 | 150 | 182 |
U.S. Treasury Bond | 8.750% | 5/15/17 | 17,100 | 22,626 |
U.S. Treasury Bond | 8.875% | 8/15/17 | 43,240 | 57,854 |
U.S. Treasury Bond | 9.125% | 5/15/18 | 325 | 447 |
U.S. Treasury Bond | 9.000% | 11/15/18 | 375 | 516 |
U.S. Treasury Bond | 8.875% | 2/15/19 | 6,265 | 8,570 |
U.S. Treasury Bond | 8.125% | 8/15/19 | 1,380 | 1,803 |
U.S. Treasury Bond | 8.500% | 2/15/20 | 18,500 | 24,987 |
U.S. Treasury Bond | 8.750% | 5/15/20 | 1,090 | 1,504 |
U.S. Treasury Bond | 8.750% | 8/15/20 | 48,300 | 66,782 |
U.S. Treasury Bond | 7.875% | 2/15/21 | 30 | 39 |
U.S. Treasury Bond | 8.125% | 5/15/21 | 735 | 979 |
U.S. Treasury Bond | 8.125% | 8/15/21 | 14,575 | 19,458 |
U.S. Treasury Bond | 8.000% | 11/15/21 | 205 | 272 |
U.S. Treasury Bond | 7.625% | 11/15/22 | 220 | 286 |
U.S. Treasury Bond | 6.250% | 8/15/23 | 25 | 29 |
U.S. Treasury Bond | 7.625% | 2/15/25 | 26,975 | 35,704 |
U.S. Treasury Bond | 6.875% | 8/15/25 | 75 | 93 |
U.S. Treasury Bond | 6.750% | 8/15/26 | 18,120 | 22,293 |
U.S. Treasury Bond | 6.500% | 11/15/26 | 50 | 60 |
U.S. Treasury Bond | 6.625% | 2/15/27 | 30 | 37 |
U.S. Treasury Bond | 6.375% | 8/15/27 | 28,400 | 33,809 |
U.S. Treasury Bond | 5.500% | 8/15/28 | 1,250 | 1,351 |
U.S. Treasury Bond | 5.250% | 11/15/28 | 125 | 131 |
U.S. Treasury Bond | 5.250% | 2/15/29 | 75 | 79 |
U.S. Treasury Bond | 6.125% | 8/15/29 | 11,485 | 13,430 |
U.S. Treasury Bond | 6.250% | 5/15/30 | 3,230 | 3,850 |
U.S. Treasury Bond | 5.375% | 2/15/31 | 5,565 | 5,964 |
U.S. Treasury Bond | 4.500% | 2/15/36 | 125 | 119 |
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| Coupon | Date | ($000) | ($000) |
U.S. Treasury Note | 4.000% | 9/30/07 | 500 | 496 |
U.S. Treasury Note | 4.375% | 12/31/07 | 18,675 | 18,561 |
U.S. Treasury Note | 4.375% | 1/31/08 | 27,425 | 27,241 |
U.S. Treasury Note | 3.000% | 2/15/08 | 12,275 | 12,010 |
U.S. Treasury Note | 3.375% | 2/15/08 | 29,025 | 28,517 |
U.S. Treasury Note | 4.625% | 2/29/08 | 31,950 | 31,810 |
U.S. Treasury Note | 4.625% | 3/31/08 | 2,325 | 2,315 |
U.S. Treasury Note | 4.875% | 4/30/08 | 6,725 | 6,719 |
U.S. Treasury Note | 2.625% | 5/15/08 | 33,725 | 32,719 |
U.S. Treasury Note | 3.750% | 5/15/08 | 875 | 862 |
U.S. Treasury Note | 4.875% | 5/31/08 | 61,350 | 61,312 |
U.S. Treasury Note | 5.125% | 6/30/08 | 5,250 | 5,266 |
U.S. Treasury Note | 5.000% | 7/31/08 | 18,650 | 18,679 |
U.S. Treasury Note | 4.875% | 8/31/08 | 32,600 | 32,595 |
U.S. Treasury Note | 4.625% | 9/30/08 | 36,200 | 36,058 |
U.S. Treasury Note | 3.125% | 10/15/08 | 225 | 218 |
U.S. Treasury Note | 3.375% | 11/15/08 | 525 | 512 |
U.S. Treasury Note | 4.375% | 11/15/08 | 42,800 | 42,452 |
U.S. Treasury Note | 4.750% | 11/15/08 | 775 | 774 |
U.S. Treasury Note | 3.250% | 1/15/09 | 11,300 | 10,965 |
U.S. Treasury Note | 3.000% | 2/15/09 | 1,995 | 1,923 |
U.S. Treasury Note | 4.500% | 2/15/09 | 13,050 | 12,971 |
U.S. Treasury Note | 3.125% | 4/15/09 | 625 | 603 |
U.S. Treasury Note | 3.875% | 5/15/09 | 11,695 | 11,465 |
U.S. Treasury Note | 4.875% | 5/15/09 | 16,325 | 16,361 |
U.S. Treasury Note | 4.000% | 6/15/09 | 5,450 | 5,355 |
U.S. Treasury Note | 3.625% | 7/15/09 | 1,975 | 1,923 |
U.S. Treasury Note | 3.500% | 8/15/09 | 40,475 | 39,248 |
U.S. Treasury Note | 4.875% | 8/15/09 | 16,775 | 16,825 |
U.S. Treasury Note | 6.000% | 8/15/09 | 22,575 | 23,256 |
U.S. Treasury Note | 3.375% | 10/15/09 | 13,215 | 12,750 |
U.S. Treasury Note | 4.625% | 11/15/09 | 10,925 | 10,891 |
U.S. Treasury Note | 3.500% | 12/15/09 | 1,050 | 1,015 |
U.S. Treasury Note | 3.625% | 1/15/10 | 8,950 | 8,673 |
U.S. Treasury Note | 3.500% | 2/15/10 | 12,950 | 12,495 |
U.S. Treasury Note | 6.500% | 2/15/10 | 21,460 | 22,543 |
U.S. Treasury Note | 4.000% | 3/15/10 | 17,500 | 17,131 |
U.S. Treasury Note | 4.000% | 4/15/10 | 6,525 | 6,384 |
U.S. Treasury Note | 3.875% | 5/15/10 | 1,325 | 1,291 |
U.S. Treasury Note | 4.125% | 8/15/10 | 12,480 | 12,242 |
U.S. Treasury Note | 4.500% | 11/15/10 | 320 | 318 |
U.S. Treasury Note | 4.375% | 12/15/10 | 14,655 | 14,486 |
U.S. Treasury Note | 4.250% | 1/15/11 | 8,955 | 8,807 |
U.S. Treasury Note | 4.500% | 2/28/11 | 29,550 | 29,328 |
U.S. Treasury Note | 4.750% | 3/31/11 | 20,150 | 20,181 |
U.S. Treasury Note | 4.875% | 4/30/11 | 43,475 | 43,754 |
U.S. Treasury Note | 4.875% | 5/31/11 | 3,000 | 3,021 |
U.S. Treasury Note | 5.125% | 6/30/11 | 375 | 381 |
U.S. Treasury Note | 4.875% | 7/31/11 | 14,625 | 14,728 |
U.S. Treasury Note | 4.500% | 9/30/11 | 9,805 | 9,719 |
U.S. Treasury Note | 4.875% | 2/15/12 | 235 | 237 |
U.S. Treasury Note | 4.375% | 8/15/12 | 160 | 158 |
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| U.S. Treasury Note | 4.000% | 11/15/12 | 25 | 24 |
| U.S. Treasury Note | 3.875% | 2/15/13 | 27,680 | 26,495 |
| U.S. Treasury Note | 4.250% | 8/15/13 | 9,875 | 9,628 |
| U.S. Treasury Note | 4.250% | 11/15/13 | 2,825 | 2,750 |
| U.S. Treasury Note | 4.000% | 2/15/14 | 4,150 | 3,972 |
| U.S. Treasury Note | 4.750% | 5/15/14 | 18,325 | 18,374 |
| U.S. Treasury Note | 4.250% | 8/15/14 | 51,975 | 50,456 |
| U.S. Treasury Note | 4.250% | 11/15/14 | 1,545 | 1,499 |
| U.S. Treasury Note | 4.875% | 8/15/16 | 75 | 76 |
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Agency Bonds and Notes (10.0%) |
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| (U.S. Government Guaranteed) | 4.450% | 9/15/15 | 800 | 772 |
1 | Federal Farm Credit Bank | 3.000% | 12/17/07 | 1,125 | 1,102 |
1 | Federal Farm Credit Bank | 3.375% | 7/15/08 | 625 | 609 |
1 | Federal Farm Credit Bank | 3.750% | 1/15/09 | 725 | 706 |
1 | Federal Farm Credit Bank | 4.125% | 4/15/09 | 350 | 343 |
1 | Federal Farm Credit Bank | 5.375% | 7/18/11 | 2,550 | 2,593 |
1 | Federal Farm Credit Bank | 4.875% | 12/16/15 | 800 | 789 |
1 | Federal Farm Credit Bank | 5.125% | 8/25/16 | 1,650 | 1,662 |
1 | Federal Home Loan Bank | 4.850% | 2/6/08 | 18,050 | 17,984 |
1 | Federal Home Loan Bank | 3.375% | 2/15/08 | 2,500 | 2,451 |
1 | Federal Home Loan Bank | 4.750% | 3/14/08 | 8,000 | 7,960 |
1 | Federal Home Loan Bank | 5.125% | 4/16/08 | 1,650 | 1,649 |
1 | Federal Home Loan Bank | 4.125% | 4/18/08 | 8,350 | 8,244 |
1 | Federal Home Loan Bank | 5.125% | 6/13/08 | 11,975 | 11,980 |
1 | Federal Home Loan Bank | 5.125% | 6/18/08 | 3,900 | 3,901 |
1 | Federal Home Loan Bank | 5.125% | 8/8/08 | 2,000 | 2,001 |
1 | Federal Home Loan Bank | 3.875% | 8/22/08 | 5,000 | 4,904 |
1 | Federal Home Loan Bank | 5.800% | 9/2/08 | 1,000 | 1,011 |
1 | Federal Home Loan Bank | 5.865% | 9/2/08 | 2,800 | 2,831 |
1 | Federal Home Loan Bank | 5.375% | 7/17/09 | 2,100 | 2,118 |
1 | Federal Home Loan Bank | 6.500% | 11/13/09 | 1,300 | 1,351 |
1 | Federal Home Loan Bank | 5.000% | 12/11/09 | 625 | 625 |
1 | Federal Home Loan Bank | 3.875% | 1/15/10 | 1,850 | 1,797 |
1 | Federal Home Loan Bank | 4.375% | 3/17/10 | 3,000 | 2,947 |
1 | Federal Home Loan Bank | 7.625% | 5/14/10 | 6,125 | 6,617 |
1 | Federal Home Loan Bank | 5.375% | 8/19/11 | 5,300 | 5,388 |
1 | Federal Home Loan Bank | 4.875% | 11/18/11 | 2,100 | 2,090 |
1 | Federal Home Loan Bank | 5.750% | 5/15/12 | 1,525 | 1,583 |
1 | Federal Home Loan Bank | 5.375% | 6/14/13 | 1,000 | 1,017 |
1 | Federal Home Loan Bank | 5.125% | 8/14/13 | 9,775 | 9,850 |
1 | Federal Home Loan Bank | 4.500% | 9/16/13 | 7,100 | 6,901 |
1 | Federal Home Loan Bank | 5.250% | 6/18/14 | 6,100 | 6,217 |
1 | Federal Home Loan Bank | 5.375% | 5/18/16 | 3,075 | 3,160 |
1 | Federal Home Loan Bank | 5.625% | 6/13/16 | 350 | 362 |
1 | Federal Home Loan Bank | 4.750% | 12/16/16 | 4,275 | 4,189 |
1 | Federal Home Loan Bank | 5.250% | 12/11/20 | 2,025 | 2,039 |
1 | Federal Home Loan Bank | 5.500% | 7/15/36 | 3,000 | 3,134 |
1 | Federal Home Loan Mortgage Corp. | 4.625% | 2/21/08 | 10,000 | 9,935 |
1 | Federal Home Loan Mortgage Corp. | 5.750% | 4/15/08 | 5,350 | 5,388 |
1 | Federal Home Loan Mortgage Corp. | 3.875% | 6/15/08 | 28,600 | 28,113 |
10
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
1 | Federal Home Loan Mortgage Corp. | 4.625% | 12/19/08 | 5,000 | 4,963 |
1 | Federal Home Loan Mortgage Corp. | 5.250% | 5/21/09 | 3,600 | 3,619 |
1 | Federal Home Loan Mortgage Corp. | 6.625% | 9/15/09 | 2,875 | 2,992 |
1 | Federal Home Loan Mortgage Corp. | 7.000% | 3/15/10 | 4,500 | 4,768 |
1 | Federal Home Loan Mortgage Corp. | 4.125% | 7/12/10 | 23,214 | 22,600 |
1 | Federal Home Loan Mortgage Corp. | 6.875% | 9/15/10 | 2,691 | 2,865 |
1 | Federal Home Loan Mortgage Corp. | 4.750% | 1/18/11 | 3,350 | 3,325 |
1 | Federal Home Loan Mortgage Corp. | 6.000% | 6/15/11 | 9,700 | 10,096 |
1 | Federal Home Loan Mortgage Corp. | 5.250% | 7/18/11 | 3,000 | 3,034 |
1 | Federal Home Loan Mortgage Corp. | 5.750% | 1/15/12 | 10,000 | 10,345 |
1 | Federal Home Loan Mortgage Corp. | 5.125% | 7/15/12 | 3,600 | 3,627 |
1 | Federal Home Loan Mortgage Corp. | 4.500% | 1/15/13 | 1,975 | 1,927 |
1 | Federal Home Loan Mortgage Corp. | 4.500% | 7/15/13 | 1,325 | 1,290 |
1 | Federal Home Loan Mortgage Corp. | 4.875% | 11/15/13 | 10,350 | 10,307 |
1 | Federal Home Loan Mortgage Corp. | 5.000% | 7/15/14 | 14,650 | 14,713 |
1 | Federal Home Loan Mortgage Corp. | 5.125% | 10/18/16 | 2,000 | 2,017 |
1 | Federal Home Loan Mortgage Corp. | 5.000% | 12/14/18 | 3,159 | 3,081 |
1 | Federal Home Loan Mortgage Corp. | 6.750% | 9/15/29 | 1,000 | 1,206 |
1 | Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 6,489 | 7,872 |
1 | Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 227 | 262 |
1 | Federal National Mortgage Assn. | 5.750% | 2/15/08 | 1,900 | 1,912 |
1 | Federal National Mortgage Assn. | 4.875% | 4/10/08 | 13,375 | 13,322 |
1 | Federal National Mortgage Assn. | 6.000% | 5/15/08 | 13,275 | 13,426 |
1 | Federal National Mortgage Assn. | 3.875% | 7/15/08 | 11,800 | 11,588 |
1 | Federal National Mortgage Assn. | 4.500% | 10/15/08 | 13,700 | 13,573 |
1 | Federal National Mortgage Assn. | 3.375% | 12/15/08 | 6,950 | 6,738 |
1 | Federal National Mortgage Assn. | 5.250% | 1/15/09 | 10,775 | 10,825 |
1 | Federal National Mortgage Assn. | 4.875% | 4/15/09 | 750 | 748 |
1 | Federal National Mortgage Assn. | 4.250% | 5/15/09 | 12,700 | 12,493 |
1 | Federal National Mortgage Assn. | 6.375% | 6/15/09 | 3,775 | 3,903 |
1 | Federal National Mortgage Assn. | 6.625% | 9/15/09 | 9,015 | 9,385 |
1 | Federal National Mortgage Assn. | 7.250% | 1/15/10 | 5,105 | 5,426 |
1 | Federal National Mortgage Assn. | 4.125% | 5/15/10 | 1,000 | 975 |
1 | Federal National Mortgage Assn. | 4.250% | 8/15/10 | 8,000 | 7,813 |
1 | Federal National Mortgage Assn. | 6.625% | 11/15/10 | 900 | 952 |
1 | Federal National Mortgage Assn. | 6.250% | 2/1/11 | 400 | 417 |
1 | Federal National Mortgage Assn. | 5.125% | 4/15/11 | 2,250 | 2,263 |
1 | Federal National Mortgage Assn. | 6.000% | 5/15/11 | 5,000 | 5,198 |
1 | Federal National Mortgage Assn. | 5.000% | 10/15/11 | 1,850 | 1,854 |
1 | Federal National Mortgage Assn. | 6.125% | 3/15/12 | 2,875 | 3,026 |
1 | Federal National Mortgage Assn. | 4.375% | 9/15/12 | 1,625 | 1,578 |
1 | Federal National Mortgage Assn. | 4.750% | 2/21/13 | 500 | 492 |
1 | Federal National Mortgage Assn. | 4.375% | 3/15/13 | 925 | 897 |
1 | Federal National Mortgage Assn. | 4.625% | 5/1/13 | 2,875 | 2,790 |
1 | Federal National Mortgage Assn. | 4.625% | 10/15/13 | 15,650 | 15,335 |
1 | Federal National Mortgage Assn. | 5.125% | 1/2/14 | 550 | 549 |
1 | Federal National Mortgage Assn. | 5.000% | 4/15/15 | 2,000 | 2,007 |
1 | Federal National Mortgage Assn. | 5.000% | 3/15/16 | 975 | 976 |
1 | Federal National Mortgage Assn. | 5.250% | 9/15/16 | 1,725 | 1,755 |
1 | Federal National Mortgage Assn. | 4.875% | 12/15/16 | 4,700 | 4,654 |
1 | Federal National Mortgage Assn. | 7.125% | 1/15/30 | 2,100 | 2,642 |
1 | Federal National Mortgage Assn. | 7.250% | 5/15/30 | 9,900 | 12,638 |
11
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
1 | Federal National Mortgage Assn. | 6.625% | 11/15/30 | 2,450 | 2,931 |
| Private Export Funding Corp. | 7.200% | 1/15/10 | 2,375 | 2,520 |
| State of Israel (U.S. Government Guaranteed) | 5.500% | 9/18/23 | 450 | 460 |
| State of Israel (U.S. Government Guaranteed) | 5.500% | 12/4/23 | 350 | 357 |
| State of Israel (U.S. Government Guaranteed) | 5.500% | 4/26/24 | 225 | 226 |
1 | Tennessee Valley Auth. | 5.375% | 11/13/08 | 575 | 578 |
1 | Tennessee Valley Auth. | 5.625% | 1/18/11 | 4,000 | 4,098 |
1 | Tennessee Valley Auth. | 7.125% | 5/1/30 | 2,075 | 2,613 |
1 | Tennessee Valley Auth. | 4.650% | 6/15/35 | 850 | 779 |
1 | Tennessee Valley Auth. | 5.375% | 4/1/56 | 1,575 | 1,609 |
|
|
|
|
| 481,543 |
Mortgage-Backed Securities (33.3%) |
|
|
|
| |
1,2 | Federal Home Loan Mortgage Corp. | 9.500% | 2/1/25 | 1 | 1 |
1,2 | Federal Home Loan Mortgage Corp. | 5.500% | 1/1/07–1/1/37 | 199,431 | 197,817 |
1,2 | Federal Home Loan Mortgage Corp. | 6.500% | 1/1/08–10/1/36 | 30,757 | 31,380 |
1,2 | Federal Home Loan Mortgage Corp. | 7.500% | 10/1/12–2/1/32 | 622 | 641 |
1,2 | Federal Home Loan Mortgage Corp. | 7.000% | 2/1/11–8/1/36 | 11,180 | 11,492 |
1,2 | Federal Home Loan Mortgage Corp. | 9.000% | 2/1/25–9/1/30 | 16 | 17 |
1,2 | Federal Home Loan Mortgage Corp. | 4.500% | 3/1/08–10/1/35 | 68,909 | 66,200 |
1,2 | Federal Home Loan Mortgage Corp. | 6.000% | 4/1/13–10/1/36 | 90,752 | 91,569 |
1,2 | Federal Home Loan Mortgage Corp. | 5.000% | 6/1/07–1/1/37 | 198,709 | 192,876 |
1,2 | Federal Home Loan Mortgage Corp. | 8.000% | 6/1/12–11/1/31 | 420 | 440 |
1,2 | Federal Home Loan Mortgage Corp. | 8.500% | 6/1/25–5/1/30 | 202 | 215 |
1,2 | Federal Home Loan Mortgage Corp. | 4.000% | 7/1/08–12/1/20 | 24,167 | 22,963 |
1,2 | Federal National Mortgage Assn. | 9.500% | 11/1/25 | 8 | 8 |
1,2 | Federal National Mortgage Assn. | 9.000% | 8/1/30 | 5 | 6 |
1,2 | Federal National Mortgage Assn. | 6.500% | 1/1/12–11/1/36 | 58,980 | 60,119 |
1,2 | Federal National Mortgage Assn. | 6.000% | 11/1/08–1/1/37 | 151,379 | 152,586 |
1,2 | Federal National Mortgage Assn. | 7.500% | 11/1/11–10/1/31 | 1,439 | 1,486 |
1,2 | Federal National Mortgage Assn. | 8.000% | 12/1/29–6/1/31 | 199 | 209 |
1,2 | Federal National Mortgage Assn. | 8.500% | 4/1/30–4/1/31 | 75 | 80 |
1,2 | Federal National Mortgage Assn. | 5.500% | 5/1/09–1/1/37 | 258,116 | 255,939 |
1,2 | Federal National Mortgage Assn. | 4.500% | 6/1/10–9/1/35 | 90,355 | 86,584 |
1,2 | Federal National Mortgage Assn. | 7.000% | 7/1/14–1/1/37 | 12,172 | 12,515 |
1,2 | Federal National Mortgage Assn. | 5.000% | 9/1/09–1/1/37 | 245,235 | 238,391 |
1,2 | Federal National Mortgage Assn. | 4.000% | 9/1/10–6/1/19 | 14,249 | 13,514 |
2 | Government National Mortgage Assn. | 9.500% | 11/15/17 | 15 | 16 |
2 | Government National Mortgage Assn. | 4.000% | 9/15/18 | 152 | 145 |
2 | Government National Mortgage Assn. | 7.000% | 10/15/10–8/20/36 | 3,764 | 3,888 |
2 | Government National Mortgage Assn. | 8.500% | 12/15/24–7/15/30 | 27 | 29 |
2 | Government National Mortgage Assn. | 5.500% | 2/15/17–12/20/36 | 62,178 | 61,903 |
2 | Government National Mortgage Assn. | 5.000% | 2/15/18–1/1/37 | 38,389 | 37,404 |
2 | Government National Mortgage Assn. | 6.500% | 5/15/13–9/20/36 | 21,677 | 22,237 |
2 | Government National Mortgage Assn. | 7.500% | 5/15/23–10/15/31 | 459 | 476 |
2 | Government National Mortgage Assn. | 9.000% | 5/15/25–9/15/30 | 18 | 19 |
2 | Government National Mortgage Assn. | 8.000% | 7/15/25–11/15/30 | 500 | 524 |
2 | Government National Mortgage Assn. | 4.500% | 8/15/18–1/15/36 | 4,479 | 4,285 |
2 | Government National Mortgage Assn. | 6.000% | 9/15/13–1/1/37 | 41,755 | 42,319 |
|
|
|
|
| 1,610,293 |
Total U.S. Government and Agency Obligations | ||||
(Cost $3,386,610) |
|
|
| 3,378,761 |
12
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
Corporate Bonds (27.4%) |
|
|
|
| |
Asset-Backed/Commercial Mortgage-Backed Securities (8.7%) | |||||
2,3 | American Express Credit Account Master Trust | 5.460% | 9/15/10 | 14,500 | 14,526 |
2,3 | American Express Credit Account Master Trust | 5.460% | 10/15/10 | 14,531 | 14,556 |
2,3 | American Express Credit Account Master Trust | 5.530% | 11/15/10 | 9,000 | 9,030 |
2 | Bank One Issuance Trust | 3.590% | 5/17/10 | 3,000 | 2,967 |
2,3 | Bank One Issuance Trust | 5.470% | 6/15/10 | 14,000 | 14,016 |
2 | Bear Stearns Commercial |
|
|
|
|
| Mortgage Securities, Inc. | 5.457% | 3/11/39 | 8,000 | 8,082 |
2 | Bear Stearns Commercial |
|
|
|
|
| Mortgage Securities, Inc. | 5.405% | 12/11/40 | 4,625 | 4,624 |
2,3 | Capital One Master Trust | 5.550% | 12/15/10 | 24,000 | 24,051 |
2,3 | Capital One Master Trust | 5.550% | 11/15/11 | 14,000 | 14,109 |
2,3 | Capital One Multi-Asset Execution Trust | 5.620% | 7/15/10 | 3,000 | 3,006 |
2,3 | Chase Credit Card Master Trust | 5.470% | 2/15/10 | 11,500 | 11,513 |
2,3 | Chase Issuance Trust | 5.360% | 12/15/10 | 24,000 | 24,011 |
2 | Chase Issuance Trust | 4.650% | 12/17/12 | 1,300 | 1,285 |
2 | Chase Manhattan Auto Owner Trust | 2.570% | 2/16/10 | 2,287 | 2,268 |
2 | Citibank Credit Card Issuance Trust | 6.875% | 11/16/09 | 3,500 | 3,547 |
2 | Citibank Credit Card Master Trust | 5.875% | 3/10/11 | 1,750 | 1,778 |
2,4 | Citicorp Lease Pass-Through Trust | 8.040% | 12/15/19 | 225 | 266 |
2 | Countrywide Home Loans | 4.046% | 5/25/33 | 416 | 409 |
2 | Credit Suisse First Boston |
|
|
|
|
| Mortgage Securities Corp. | 5.100% | 8/15/38 | 6,200 | 6,085 |
2 | Credit Suisse Mortgage Capital Certificate | 5.556% | 2/15/39 | 10,000 | 10,113 |
2 | DaimlerChrysler Auto Trust | 5.330% | 8/8/10 | 3,300 | 3,305 |
2,3 | DaimlerChrysler Master Owner Trust | 5.360% | 8/17/09 | 25,000 | 25,004 |
2,3 | Discover Card Master Trust I | 5.460% | 11/17/09 | 5,500 | 5,501 |
2,3 | Discover Card Master Trust I | 5.380% | 4/16/10 | 17,000 | 17,011 |
2,3 | Discover Card Master Trust I | 5.370% | 5/15/10 | 15,000 | 15,008 |
2,3 | Discover Card Master Trust I | 5.480% | 8/15/10 | 3,000 | 3,007 |
2,3 | Fleet Credit Card Master Trust II | 5.490% | 4/15/10 | 33,500 | 33,543 |
2 | Ford Credit Auto Owner Trust | 4.300% | 8/15/09 | 600 | 595 |
2,3 | GE Capital Credit Card Master Note Trust | 5.400% | 6/15/10 | 18,840 | 18,843 |
2,3 | GE Capital Credit Card Master Note Trust | 5.390% | 9/15/10 | 5,500 | 5,504 |
2,3 | GE Capital Credit Card Master Note Trust | 5.360% | 6/15/11 | 6,000 | 6,008 |
2 | GE Capital Credit Card Master Note Trust | 5.080% | 9/15/12 | 6,600 | 6,614 |
2,3 | Gracechurch Card Funding PLC | 5.370% | 11/16/09 | 4,000 | 4,003 |
2,3 | Gracechurch Card Funding PLC | 5.360% | 6/15/10 | 20,000 | 20,028 |
2,3 | Gracechurch Card Funding PLC | 5.360% | 9/15/10 | 13,000 | 13,017 |
2 | Honda Auto Receivables Owner Trust | 2.770% | 11/21/08 | 1,261 | 1,259 |
2 | Honda Auto Receivables Owner Trust | 4.610% | 8/17/09 | 2,100 | 2,089 |
2 | Honda Auto Receivables Owner Trust | 5.300% | 7/21/10 | 4,050 | 4,087 |
2 | LB-UBS Commercial Mortgage Trust | 5.197% | 11/15/30 | 1,800 | 1,782 |
2 | MBNA Credit Card Master Note Trust | 4.950% | 6/15/09 | 1,300 | 1,300 |
2,3 | MBNA Credit Card Master Note Trust | 5.350% | 12/15/10 | 23,459 | 23,475 |
2 | MBNA Credit Card Master Note Trust | 4.300% | 2/15/11 | 950 | 938 |
2,3 | MBNA Credit Card Master Note Trust | 5.480% | 2/15/11 | 19,000 | 19,059 |
2 | MBNA Master Credit Card Trust | 7.000% | 2/15/12 | 800 | 838 |
2 | Morgan Stanley Capital I | 5.230% | 9/15/42 | 1,675 | 1,657 |
2 | Nissan Auto Receivables Owner Trust | 2.050% | 3/16/09 | 402 | 399 |
2 | Nissan Auto Receivables Owner Trust | 4.190% | 7/15/09 | 775 | 768 |
13
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
2 | PG&E Energy Recovery Funding LLC | 4.140% | 9/25/12 | 350 | 341 |
2 | PG&E Energy Recovery Funding LLC | 5.030% | 3/25/14 | 750 | 750 |
2 | PSE&G Transition Funding LLC | 6.890% | 12/15/17 | 200 | 223 |
2 | Salomon Brothers Mortgage Securities VII | 4.117% | 9/25/33 | 999 | 992 |
2 | USAA Auto Owner Trust | 4.550% | 2/16/10 | 1,400 | 1,390 |
2 | USAA Auto Owner Trust | 5.360% | 2/15/11 | 4,600 | 4,621 |
2 | Volkswagen Auto Loan Enhanced Trust | 4.800% | 7/20/09 | 1,350 | 1,346 |
2 | Wachovia Auto Owner Trust | 4.790% | 4/20/10 | 2,800 | 2,788 |
2 | Wachovia Auto Owner Trust | 3.440% | 3/21/11 | 250 | 246 |
2 | World Omni Auto Receivables Trust | 3.540% | 6/12/09 | 871 | 864 |
|
|
|
|
| 418,445 |
Finance (8.1%) |
|
|
|
| |
| Banking (3.5%) |
|
|
|
|
| Abbey National PLC | 7.950% | 10/26/29 | 1,250 | 1,585 |
| AmSouth Bank NA | 5.200% | 4/1/15 | 775 | 760 |
| BAC Capital Trust XI | 6.625% | 5/23/36 | 1,700 | 1,835 |
| Banc One Corp. | 7.625% | 10/15/26 | 175 | 211 |
| Bank of America Corp. | 3.250% | 8/15/08 | 5,400 | 5,240 |
| Bank of America Corp. | 3.375% | 2/17/09 | 450 | 435 |
| Bank of America Corp. | 4.250% | 10/1/10 | 650 | 631 |
| Bank of America Corp. | 4.375% | 12/1/10 | 550 | 536 |
| Bank of America Corp. | 6.250% | 4/15/12 | 900 | 941 |
| Bank of America Corp. | 4.750% | 8/15/13 | 325 | 315 |
| Bank of America Corp. | 5.375% | 6/15/14 | 1,025 | 1,032 |
| Bank of America Corp. | 5.250% | 12/1/15 | 775 | 765 |
| Bank of America Corp. | 5.750% | 8/15/16 | 350 | 359 |
| Bank of America Corp. | 5.625% | 10/14/16 | 1,850 | 1,885 |
4 | Bank of America Corp. | 5.420% | 3/15/17 | 1,000 | 986 |
| Bank of America Corp. | 5.625% | 3/8/35 | 1,025 | 961 |
| Bank of America Corp. | 6.000% | 10/15/36 | 650 | 672 |
| Bank of New York Co., Inc. | 3.750% | 2/15/08 | 500 | 492 |
| Bank of New York Co., Inc. | 4.950% | 1/14/11 | 350 | 347 |
| Bank of New York Co., Inc. | 4.950% | 3/15/15 | 1,350 | 1,314 |
| Bank of Tokyo-Mitsubishi | 8.400% | 4/15/10 | 500 | 546 |
| Bank One Corp. | 2.625% | 6/30/08 | 100 | 96 |
| Bank One Corp. | 6.000% | 2/17/09 | 795 | 808 |
| Bank One Corp. | 7.875% | 8/1/10 | 2,200 | 2,387 |
| Bank One Corp. | 5.900% | 11/15/11 | 500 | 514 |
| Bank One Corp. | 5.250% | 1/30/13 | 225 | 224 |
| BankAmerica Capital II | 8.000% | 12/15/26 | 900 | 931 |
| BankAmerica Corp. | 5.875% | 2/15/09 | 675 | 686 |
| Barclays Bank PLC | 6.278% | 12/29/49 | 375 | 368 |
| BB&T Corp. | 6.500% | 8/1/11 | 100 | 105 |
| BB&T Corp. | 4.750% | 10/1/12 | 675 | 657 |
| BB&T Corp. | 5.200% | 12/23/15 | 725 | 713 |
| BB&T Corp. | 5.625% | 9/15/16 | 700 | 711 |
| BB&T Corp. | 5.250% | 11/1/19 | 650 | 633 |
| BB&T Corp. | 6.750% | 6/7/36 | 1,025 | 1,123 |
| Charter One Bank N.A. | 5.500% | 4/26/11 | 1,000 | 1,010 |
| Citicorp | 6.375% | 11/15/08 | 1,675 | 1,710 |
| Citicorp Capital II | 8.015% | 2/15/27 | 175 | 182 |
| Citigroup, Inc. | 3.500% | 2/1/08 | 1,500 | 1,473 |
14
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Citigroup, Inc. | 6.500% | 2/15/08 | 2,800 | 2,837 |
Citigroup, Inc. | 3.625% | 2/9/09 | 1,600 | 1,554 |
Citigroup, Inc. | 4.250% | 7/29/09 | 275 | 269 |
Citigroup, Inc. | 4.625% | 8/3/10 | 200 | 197 |
Citigroup, Inc. | 6.500% | 1/18/11 | 450 | 471 |
Citigroup, Inc. | 5.100% | 9/29/11 | 2,425 | 2,417 |
Citigroup, Inc. | 6.000% | 2/21/12 | 325 | 337 |
Citigroup, Inc. | 5.625% | 8/27/12 | 1,750 | 1,782 |
Citigroup, Inc. | 5.125% | 5/5/14 | 675 | 670 |
Citigroup, Inc. | 5.000% | 9/15/14 | 2,779 | 2,711 |
Citigroup, Inc. | 4.875% | 5/7/15 | 200 | 193 |
Citigroup, Inc. | 4.700% | 5/29/15 | 275 | 264 |
Citigroup, Inc. | 5.300% | 1/7/16 | 175 | 174 |
Citigroup, Inc. | 5.850% | 8/2/16 | 150 | 156 |
Citigroup, Inc. | 6.625% | 6/15/32 | 500 | 559 |
Citigroup, Inc. | 5.875% | 2/22/33 | 2,475 | 2,509 |
Citigroup, Inc. | 6.000% | 10/31/33 | 350 | 363 |
Citigroup, Inc. | 5.850% | 12/11/34 | 400 | 410 |
Citigroup, Inc. | 6.125% | 8/25/36 | 425 | 447 |
Colonial Bank NA | 6.375% | 12/1/15 | 125 | 129 |
Comerica Bank | 5.200% | 8/22/17 | 450 | 429 |
Compass Bank | 5.900% | 4/1/26 | 225 | 224 |
Credit Suisse First Boston USA, Inc. | 4.625% | 1/15/08 | 450 | 447 |
Credit Suisse First Boston USA, Inc. | 4.875% | 8/15/10 | 2,400 | 2,379 |
Credit Suisse First Boston USA, Inc. | 5.250% | 3/2/11 | 900 | 902 |
Credit Suisse First Boston USA, Inc. | 6.125% | 11/15/11 | 350 | 364 |
Credit Suisse First Boston USA, Inc. | 6.500% | 1/15/12 | 1,250 | 1,319 |
Credit Suisse First Boston USA, Inc. | 5.500% | 8/15/13 | 175 | 178 |
Credit Suisse First Boston USA, Inc. | 4.875% | 1/15/15 | 4,025 | 3,912 |
Credit Suisse First Boston USA, Inc. | 5.125% | 8/15/15 | 450 | 443 |
Credit Suisse First Boston USA, Inc. | 5.375% | 3/2/16 | 775 | 777 |
Credit Suisse First Boston USA, Inc. | 7.125% | 7/15/32 | 175 | 210 |
Deutsche Bank Financial LLC | 5.375% | 3/2/15 | 500 | 501 |
Fifth Third Bank | 3.375% | 8/15/08 | 200 | 194 |
Fifth Third Bank | 4.200% | 2/23/10 | 1,225 | 1,192 |
Fifth Third Bank | 4.750% | 2/1/15 | 675 | 645 |
First Tennessee Bank | 5.050% | 1/15/15 | 125 | 121 |
First Union Institutional Capital I | 8.040% | 12/1/26 | 175 | 181 |
FirstStar Bank | 7.125% | 12/1/09 | 275 | 290 |
Fleet Capital Trust II | 7.920% | 12/11/26 | 725 | 749 |
HSBC Bank PLC | 6.950% | 3/15/11 | 350 | 372 |
HSBC Bank USA | 4.625% | 4/1/14 | 1,275 | 1,223 |
HSBC Bank USA | 5.875% | 11/1/34 | 175 | 177 |
HSBC Bank USA | 5.625% | 8/15/35 | 1,400 | 1,362 |
HSBC Holdings PLC | 7.500% | 7/15/09 | 1,300 | 1,371 |
HSBC Holdings PLC | 5.250% | 12/12/12 | 625 | 624 |
HSBC Holdings PLC | 7.350% | 11/27/32 | 125 | 148 |
HSBC Holdings PLC | 6.500% | 5/2/36 | 800 | 865 |
J.P. Morgan, Inc. | 6.000% | 1/15/09 | 1,125 | 1,144 |
JPM Capital Trust | 6.550% | 9/29/36 | 650 | 667 |
JPM Capital Trust II | 7.950% | 2/1/27 | 275 | 286 |
JPMorgan Capital Trust | 5.875% | 3/15/35 | 1,525 | 1,484 |
15
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| JPMorgan Chase & Co. | 3.700% | 1/15/08 | 1,750 | 1,724 |
| JPMorgan Chase & Co. | 4.000% | 2/1/08 | 340 | 336 |
| JPMorgan Chase & Co. | 3.625% | 5/1/08 | 335 | 328 |
| JPMorgan Chase & Co. | 3.500% | 3/15/09 | 1,300 | 1,257 |
| JPMorgan Chase & Co. | 6.750% | 2/1/11 | 1,000 | 1,055 |
| JPMorgan Chase & Co. | 5.600% | 6/1/11 | 875 | 890 |
| JPMorgan Chase & Co. | 6.625% | 3/15/12 | 350 | 371 |
| JPMorgan Chase & Co. | 5.750% | 1/2/13 | 350 | 357 |
| JPMorgan Chase & Co. | 4.875% | 3/15/14 | 620 | 602 |
| JPMorgan Chase & Co. | 5.125% | 9/15/14 | 295 | 291 |
| JPMorgan Chase & Co. | 5.250% | 5/1/15 | 2,900 | 2,873 |
| JPMorgan Chase & Co. | 5.150% | 10/1/15 | 1,975 | 1,941 |
| JPMorgan Chase & Co. | 5.875% | 6/13/16 | 525 | 540 |
| JPMorgan Chase & Co. | 5.850% | 8/1/35 | 100 | 98 |
| Key Bank NA | 4.412% | 3/18/08 | 625 | 619 |
| Key Bank NA | 7.000% | 2/1/11 | 300 | 319 |
| Key Bank NA | 4.950% | 9/15/15 | 800 | 769 |
| Key Bank NA | 5.450% | 3/3/16 | 850 | 847 |
| Marshall & Ilsley Bank | 4.850% | 6/16/15 | 450 | 434 |
| Marshall & Ilsley Corp. | 4.375% | 8/1/09 | 900 | 884 |
| MBNA America Bank NA | 5.375% | 1/15/08 | 550 | 551 |
| MBNA America Bank NA | 4.625% | 8/3/09 | 50 | 49 |
| MBNA Corp. | 6.125% | 3/1/13 | 550 | 574 |
| MBNA Corp. | 5.000% | 6/15/15 | 625 | 613 |
| Mellon Capital II | 7.995% | 1/15/27 | 1,125 | 1,171 |
| Mellon Funding Corp. | 3.250% | 4/1/09 | 225 | 216 |
| Mellon Funding Corp. | 5.000% | 12/1/14 | 350 | 343 |
| National City Bank | 4.150% | 8/1/09 | 275 | 268 |
| National City Bank | 4.500% | 3/15/10 | 650 | 636 |
| National City Corp. | 3.200% | 4/1/08 | 775 | 756 |
| National City Corp. | 6.875% | 5/15/19 | 550 | 609 |
| NationsBank Corp. | 6.800% | 3/15/28 | 900 | 1,011 |
| PNC Bank NA | 4.875% | 9/21/17 | 1,300 | 1,237 |
| PNC Funding Corp. | 5.250% | 11/15/15 | 675 | 670 |
| Regions Financial Corp. | 7.750% | 3/1/11 | 1,175 | 1,282 |
| Regions Financial Corp. | 6.375% | 5/15/12 | 1,625 | 1,706 |
| Royal Bank of Canada | 4.125% | 1/26/10 | 1,025 | 997 |
| Royal Bank of Canada | 5.650% | 7/20/11 | 375 | 383 |
| Royal Bank of Scotland Group PLC | 5.000% | 11/12/13 | 625 | 613 |
| Royal Bank of Scotland Group PLC | 5.050% | 1/8/15 | 1,800 | 1,757 |
| Royal Bank of Scotland Group PLC | 7.648% | 8/29/49 | 2,375 | 2,785 |
| Santander Central Hispano Issuances | 7.625% | 9/14/10 | 1,475 | 1,591 |
| Santander Finance Issuances | 6.375% | 2/15/11 | 475 | 490 |
| Sanwa Bank Ltd. | 8.350% | 7/15/09 | 1,175 | 1,254 |
| Sanwa Bank Ltd. | 7.400% | 6/15/11 | 1,275 | 1,379 |
| Southtrust Corp. | 5.800% | 6/15/14 | 225 | 229 |
4 | Sovereign Bancorp, Inc. | 4.800% | 9/1/10 | 1,100 | 1,075 |
| State Street Capital Trust | 5.300% | 1/15/16 | 275 | 275 |
| Sumitomo Bank International Finance NV | 8.500% | 6/15/09 | 925 | 990 |
| Sumitomo Mitsui Banking Corp. | 8.000% | 6/15/12 | 1,565 | 1,743 |
| SunTrust Banks, Inc. | 4.250% | 10/15/09 | 1,000 | 978 |
| SunTrust Banks, Inc. | 6.375% | 4/1/11 | 200 | 209 |
| SunTrust Banks, Inc. | 6.000% | 2/15/26 | 1,075 | 1,106 |
16
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Suntrust Capital | 6.100% | 12/15/36 | 200 | 196 |
| Swiss Bank Corp. | 7.000% | 10/15/15 | 675 | 753 |
| Swiss Bank Corp. | 7.375% | 6/15/17 | 175 | 205 |
| Synovus Financial Corp. | 5.125% | 6/15/17 | 600 | 579 |
| UFJ Finance Aruba AEC | 6.750% | 7/15/13 | 1,750 | 1,876 |
| Union Bank of California NA | 5.950% | 5/11/16 | 550 | 566 |
| UnionBanCal Corp. | 5.250% | 12/16/13 | 125 | 123 |
| US Bancorp | 3.125% | 3/15/08 | 625 | 610 |
| US Bank NA | 4.125% | 3/17/08 | 625 | 617 |
| US Bank NA | 6.375% | 8/1/11 | 1,275 | 1,336 |
| US Bank NA | 6.300% | 2/4/14 | 2,000 | 2,119 |
| US Bank NA | 4.950% | 10/30/14 | 575 | 561 |
| Wachovia Bank NA | 4.375% | 8/15/08 | 500 | 493 |
| Wachovia Bank NA | 4.875% | 2/1/15 | 4,000 | 3,866 |
| Wachovia Bank NA | 5.000% | 8/15/15 | 175 | 170 |
| Wachovia Corp. | 3.500% | 8/15/08 | 500 | 487 |
| Wachovia Corp. | 3.625% | 2/17/09 | 225 | 218 |
| Wachovia Corp. | 4.375% | 6/1/10 | 1,500 | 1,467 |
| Wachovia Corp. | 7.800% | 8/18/10 | 400 | 434 |
| Wachovia Corp. | 5.300% | 10/15/11 | 1,100 | 1,103 |
| Wachovia Corp. | 4.875% | 2/15/14 | 425 | 411 |
| Wachovia Corp. | 5.625% | 10/15/16 | 625 | 628 |
4 | Wachovia Corp. | 8.000% | 12/15/26 | 775 | 801 |
| Wachovia Corp. | 7.500% | 4/15/35 | 100 | 122 |
| Wachovia Corp. | 6.550% | 10/15/35 | 100 | 109 |
| Washington Mutual Bank | 6.875% | 6/15/11 | 2,700 | 2,856 |
| Washington Mutual Bank | 5.500% | 1/15/13 | 925 | 925 |
| Washington Mutual Bank | 5.125% | 1/15/15 | 1,175 | 1,141 |
| Washington Mutual Capital I | 8.375% | 6/1/27 | 225 | 236 |
| Washington Mutual, Inc. | 4.000% | 1/15/09 | 500 | 488 |
| Washington Mutual, Inc. | 4.200% | 1/15/10 | 50 | 49 |
| Washington Mutual, Inc. | 5.000% | 3/22/12 | 350 | 345 |
| Washington Mutual, Inc. | 5.250% | 9/15/17 | 125 | 121 |
| Wells Fargo & Co. | 4.125% | 3/10/08 | 1,775 | 1,754 |
| Wells Fargo & Co. | 3.125% | 4/1/09 | 855 | 822 |
| Wells Fargo & Co. | 4.200% | 1/15/10 | 3,695 | 3,596 |
| Wells Fargo & Co. | 4.625% | 8/9/10 | 500 | 492 |
| Wells Fargo & Co. | 4.875% | 1/12/11 | 450 | 446 |
| Wells Fargo & Co. | 5.300% | 8/26/11 | 300 | 302 |
| Wells Fargo & Co. | 5.125% | 9/1/12 | 650 | 647 |
| Wells Fargo & Co. | 4.950% | 10/16/13 | 550 | 538 |
| Wells Fargo & Co. | 5.000% | 11/15/14 | 1,025 | 1,001 |
| Wells Fargo & Co. | 5.375% | 2/7/35 | 750 | 722 |
| Wells Fargo Bank NA | 6.450% | 2/1/11 | 775 | 811 |
| Wells Fargo Bank NA | 4.750% | 2/9/15 | 1,025 | 986 |
| Wells Fargo Bank NA | 5.750% | 5/16/16 | 450 | 463 |
| Wells Fargo Bank NA | 5.950% | 8/26/36 | 300 | 310 |
| Wells Fargo Capital X | 5.950% | 12/15/36 | 50 | 49 |
| Wells Fargo Financial | 5.500% | 8/1/12 | 675 | 685 |
| World Savings Bank, FSB | 4.125% | 3/10/08 | 1,525 | 1,506 |
| World Savings Bank, FSB | 4.125% | 12/15/09 | 350 | 340 |
| Zions Bancorp. | 5.500% | 11/16/15 | 850 | 841 |
17
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Brokerage (1.4%) |
|
|
|
|
Ameriprise Financial Inc. | 5.350% | 11/15/10 | 300 | 301 |
Ameriprise Financial Inc. | 5.650% | 11/15/15 | 875 | 882 |
Amvescap PLC | 5.375% | 2/27/13 | 25 | 25 |
Bear Stearns Co., Inc. | 4.000% | 1/31/08 | 2,000 | 1,972 |
Bear Stearns Co., Inc. | 2.875% | 7/2/08 | 100 | 97 |
Bear Stearns Co., Inc. | 4.550% | 6/23/10 | 675 | 662 |
Bear Stearns Co., Inc. | 5.500% | 8/15/11 | 200 | 202 |
Bear Stearns Co., Inc. | 5.700% | 11/15/14 | 1,450 | 1,478 |
Bear Stearns Co., Inc. | 5.300% | 10/30/15 | 400 | 396 |
Bear Stearns Co., Inc. | 5.550% | 1/22/17 | 725 | 724 |
Goldman Sachs Group, Inc. | 4.125% | 1/15/08 | 500 | 494 |
Goldman Sachs Group, Inc. | 3.875% | 1/15/09 | 1,435 | 1,402 |
Goldman Sachs Group, Inc. | 4.500% | 6/15/10 | 2,385 | 2,337 |
Goldman Sachs Group, Inc. | 6.600% | 1/15/12 | 350 | 370 |
Goldman Sachs Group, Inc. | 5.700% | 9/1/12 | 450 | 459 |
Goldman Sachs Group, Inc. | 5.250% | 4/1/13 | 1,425 | 1,422 |
Goldman Sachs Group, Inc. | 4.750% | 7/15/13 | 275 | 266 |
Goldman Sachs Group, Inc. | 5.150% | 1/15/14 | 2,525 | 2,487 |
Goldman Sachs Group, Inc. | 5.000% | 10/1/14 | 2,750 | 2,674 |
Goldman Sachs Group, Inc. | 5.500% | 11/15/14 | 2,025 | 2,029 |
Goldman Sachs Group, Inc. | 5.125% | 1/15/15 | 225 | 220 |
Goldman Sachs Group, Inc. | 5.350% | 1/15/16 | 1,850 | 1,834 |
Goldman Sachs Group, Inc. | 5.750% | 10/1/16 | 375 | 382 |
Goldman Sachs Group, Inc. | 5.950% | 1/15/27 | 1,025 | 1,014 |
Goldman Sachs Group, Inc. | 6.125% | 2/15/33 | 350 | 358 |
Goldman Sachs Group, Inc. | 6.345% | 2/15/34 | 1,150 | 1,165 |
Goldman Sachs Group, Inc. | 6.450% | 5/1/36 | 2,375 | 2,490 |
Janus Capital Group | 5.875% | 9/15/11 | 400 | 403 |
Jefferies Group Inc. | 6.250% | 1/15/36 | 925 | 898 |
Lehman Brothers Holdings, Inc. | 4.000% | 1/22/08 | 725 | 716 |
Lehman Brothers Holdings, Inc. | 7.000% | 2/1/08 | 775 | 788 |
Lehman Brothers Holdings, Inc. | 3.500% | 8/7/08 | 175 | 171 |
Lehman Brothers Holdings, Inc. | 3.600% | 3/13/09 | 850 | 823 |
Lehman Brothers Holdings, Inc. | 3.950% | 11/10/09 | 675 | 654 |
Lehman Brothers Holdings, Inc. | 4.250% | 1/27/10 | 550 | 537 |
Lehman Brothers Holdings, Inc. | 4.500% | 7/26/10 | 400 | 392 |
Lehman Brothers Holdings, Inc. | 4.375% | 11/30/10 | 500 | 486 |
Lehman Brothers Holdings, Inc. | 5.000% | 1/14/11 | 500 | 497 |
Lehman Brothers Holdings, Inc. | 6.625% | 1/18/12 | 2,000 | 2,120 |
Lehman Brothers Holdings, Inc. | 5.750% | 5/17/13 | 1,650 | 1,689 |
Lehman Brothers Holdings, Inc. | 5.500% | 4/4/16 | 950 | 953 |
Lehman Brothers Holdings, Inc. | 5.750% | 1/3/17 | 125 | 127 |
Merrill Lynch & Co., Inc. | 4.125% | 1/15/09 | 275 | 270 |
Merrill Lynch & Co., Inc. | 6.000% | 2/17/09 | 1,125 | 1,145 |
Merrill Lynch & Co., Inc. | 4.250% | 2/8/10 | 725 | 706 |
Merrill Lynch & Co., Inc. | 4.790% | 8/4/10 | 2,475 | 2,447 |
Merrill Lynch & Co., Inc. | 5.770% | 7/25/11 | 1,650 | 1,686 |
Merrill Lynch & Co., Inc. | 5.000% | 2/3/14 | 500 | 491 |
Merrill Lynch & Co., Inc. | 5.450% | 7/15/14 | 100 | 101 |
Merrill Lynch & Co., Inc. | 5.000% | 1/15/15 | 2,175 | 2,127 |
Merrill Lynch & Co., Inc. | 6.050% | 5/16/16 | 650 | 673 |
Merrill Lynch & Co., Inc. | 6.875% | 11/15/18 | 1,350 | 1,514 |
18
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Merrill Lynch & Co., Inc. | 6.220% | 9/15/26 | 1,100 | 1,143 |
| Morgan Stanley Dean Witter | 3.625% | 4/1/08 | 900 | 883 |
| Morgan Stanley Dean Witter | 3.875% | 1/15/09 | 1,175 | 1,147 |
| Morgan Stanley Dean Witter | 4.000% | 1/15/10 | 4,075 | 3,945 |
| Morgan Stanley Dean Witter | 4.250% | 5/15/10 | 675 | 656 |
| Morgan Stanley Dean Witter | 5.050% | 1/21/11 | 575 | 572 |
| Morgan Stanley Dean Witter | 6.750% | 4/15/11 | 175 | 185 |
| Morgan Stanley Dean Witter | 5.625% | 1/9/12 | 450 | 458 |
| Morgan Stanley Dean Witter | 4.750% | 4/1/14 | 3,750 | 3,596 |
| Morgan Stanley Dean Witter | 5.375% | 10/15/15 | 925 | 919 |
| Morgan Stanley Dean Witter | 5.750% | 10/18/16 | 950 | 967 |
| Morgan Stanley Dean Witter | 6.250% | 8/9/26 | 1,775 | 1,871 |
| Morgan Stanley Dean Witter | 7.250% | 4/1/32 | 1,200 | 1,427 |
|
|
|
|
|
|
| Finance Companies (1.8%) |
|
|
|
|
| Allied Capital Corp. | 6.000% | 4/1/12 | 375 | 371 |
| American Express Centurion Bank | 4.375% | 7/30/09 | 775 | 760 |
| American Express Co. | 4.750% | 6/17/09 | 175 | 173 |
| American Express Co. | 5.250% | 9/12/11 | 500 | 501 |
| American Express Co. | 5.500% | 9/12/16 | 500 | 504 |
2 | American Express Co. | 6.800% | 9/1/66 | 700 | 746 |
| American Express Credit Corp. | 3.000% | 5/16/08 | 50 | 49 |
| American Express Credit Corp. | 5.000% | 12/2/10 | 225 | 224 |
| American General Finance Corp. | 3.875% | 10/1/09 | 325 | 314 |
| American General Finance Corp. | 4.875% | 5/15/10 | 350 | 346 |
| American General Finance Corp. | 5.625% | 8/17/11 | 725 | 732 |
| American General Finance Corp. | 4.875% | 7/15/12 | 1,050 | 1,026 |
| American General Finance Corp. | 5.850% | 6/1/13 | 1,925 | 1,969 |
| American General Finance Corp. | 5.750% | 9/15/16 | 1,200 | 1,215 |
| Capital One Bank | 4.875% | 5/15/08 | 1,225 | 1,219 |
| Capital One Bank | 5.750% | 9/15/10 | 350 | 356 |
| Capital One Capital III | 7.686% | 8/15/36 | 600 | 679 |
| Capital One Financial | 5.700% | 9/15/11 | 400 | 406 |
| Capital One Financial | 4.800% | 2/21/12 | 175 | 170 |
| Capital One Financial | 5.500% | 6/1/15 | 425 | 425 |
| Capital One Financial | 6.150% | 9/1/16 | 500 | 518 |
| Capital One Financial | 5.250% | 2/21/17 | 1,150 | 1,113 |
| CIT Group Co. of Canada | 4.650% | 7/1/10 | 800 | 782 |
| CIT Group Co. of Canada | 5.600% | 11/2/11 | 400 | 404 |
| CIT Group Co. of Canada | 5.200% | 6/1/15 | 675 | 656 |
| CIT Group, Inc. | 5.000% | 11/24/08 | 450 | 448 |
| CIT Group, Inc. | 4.250% | 2/1/10 | 600 | 583 |
| CIT Group, Inc. | 5.200% | 11/3/10 | 450 | 448 |
| CIT Group, Inc. | 4.750% | 12/15/10 | 400 | 392 |
| CIT Group, Inc. | 5.600% | 4/27/11 | 175 | 176 |
| CIT Group, Inc. | 7.750% | 4/2/12 | 800 | 883 |
| CIT Group, Inc. | 5.400% | 3/7/13 | 100 | 99 |
| CIT Group, Inc. | 5.125% | 9/30/14 | 1,400 | 1,358 |
| CIT Group, Inc. | 5.000% | 2/1/15 | 275 | 264 |
| CIT Group, Inc. | 5.400% | 1/30/16 | 100 | 98 |
| CIT Group, Inc. | 5.850% | 9/15/16 | 800 | 811 |
| CIT Group, Inc. | 6.000% | 4/1/36 | 750 | 743 |
| Countrywide Financial Corp. | 6.250% | 5/15/16 | 75 | 76 |
19
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Countrywide Home Loan | 3.250% | 5/21/08 | 100 | 97 |
| Countrywide Home Loan | 6.250% | 4/15/09 | 1,000 | 1,019 |
| Countrywide Home Loan | 4.125% | 9/15/09 | 1,700 | 1,651 |
| Countrywide Home Loan | 4.000% | 3/22/11 | 1,425 | 1,353 |
| General Electric Capital Corp. | 4.250% | 1/15/08 | 775 | 767 |
| General Electric Capital Corp. | 3.500% | 5/1/08 | 500 | 489 |
| General Electric Capital Corp. | 3.600% | 10/15/08 | 440 | 428 |
| General Electric Capital Corp. | 3.125% | 4/1/09 | 175 | 168 |
| General Electric Capital Corp. | 3.250% | 6/15/09 | 3,050 | 2,921 |
| General Electric Capital Corp. | 4.125% | 9/1/09 | 1,400 | 1,365 |
| General Electric Capital Corp. | 5.250% | 10/27/09 | 700 | 703 |
| General Electric Capital Corp. | 7.375% | 1/19/10 | 1,575 | 1,671 |
| General Electric Capital Corp. | 4.875% | 10/21/10 | 1,250 | 1,239 |
| General Electric Capital Corp. | 6.125% | 2/22/11 | 3,850 | 3,986 |
| General Electric Capital Corp. | 5.500% | 4/28/11 | 1,450 | 1,468 |
| General Electric Capital Corp. | 4.375% | 3/3/12 | 1,050 | 1,011 |
| General Electric Capital Corp. | 4.250% | 6/15/12 | 1,675 | 1,599 |
| General Electric Capital Corp. | 6.000% | 6/15/12 | 1,375 | 1,424 |
| General Electric Capital Corp. | 5.450% | 1/15/13 | 550 | 556 |
| General Electric Capital Corp. | 5.650% | 6/9/14 | 2,725 | 2,781 |
| General Electric Capital Corp. | 5.000% | 1/8/16 | 850 | 831 |
| General Electric Capital Corp. | 5.375% | 10/20/16 | 1,100 | 1,102 |
| General Electric Capital Corp. | 6.750% | 3/15/32 | 2,150 | 2,481 |
2 | HSBC Finance Capital Trust IX | 5.911% | 11/30/35 | 100 | 101 |
| HSBC Finance Corp. | 4.625% | 1/15/08 | 1,550 | 1,539 |
| HSBC Finance Corp. | 4.125% | 3/11/08 | 525 | 518 |
| HSBC Finance Corp. | 4.125% | 12/15/08 | 2,750 | 2,695 |
| HSBC Finance Corp. | 5.875% | 2/1/09 | 250 | 253 |
| HSBC Finance Corp. | 4.750% | 5/15/09 | 775 | 768 |
| HSBC Finance Corp. | 4.125% | 11/16/09 | 1,050 | 1,022 |
| HSBC Finance Corp. | 4.625% | 9/15/10 | 1,025 | 1,007 |
| HSBC Finance Corp. | 5.250% | 1/14/11 | 1,600 | 1,600 |
| HSBC Finance Corp. | 5.700% | 6/1/11 | 2,350 | 2,391 |
| HSBC Finance Corp. | 6.375% | 10/15/11 | 350 | 366 |
| HSBC Finance Corp. | 7.000% | 5/15/12 | 1,375 | 1,482 |
| HSBC Finance Corp. | 6.375% | 11/27/12 | 750 | 790 |
| HSBC Finance Corp. | 4.750% | 7/15/13 | 1,075 | 1,040 |
| HSBC Finance Corp. | 5.250% | 1/15/14 | 575 | 571 |
| HSBC Finance Corp. | 5.250% | 4/15/15 | 175 | 173 |
| HSBC Finance Corp. | 5.000% | 6/30/15 | 1,100 | 1,068 |
| HSBC Finance Corp. | 5.500% | 1/19/16 | 500 | 503 |
| International Lease Finance Corp. | 4.500% | 5/1/08 | 450 | 445 |
| International Lease Finance Corp. | 6.375% | 3/15/09 | 450 | 460 |
| International Lease Finance Corp. | 3.500% | 4/1/09 | 150 | 144 |
| International Lease Finance Corp. | 5.125% | 11/1/10 | 1,025 | 1,018 |
| International Lease Finance Corp. | 5.450% | 3/24/11 | 475 | 478 |
| International Lease Finance Corp. | 5.750% | 6/15/11 | 1,625 | 1,651 |
| International Lease Finance Corp. | 5.400% | 2/15/12 | 300 | 301 |
| International Lease Finance Corp. | 5.000% | 9/15/12 | 500 | 491 |
| International Lease Finance Corp. | 5.625% | 9/20/13 | 100 | 101 |
| iStar Financial Inc. | 6.000% | 12/15/10 | 250 | 254 |
| iStar Financial Inc. | 5.800% | 3/15/11 | 50 | 50 |
| iStar Financial Inc. | 5.650% | 9/15/11 | 425 | 425 |
20
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| iStar Financial Inc. | 5.150% | 3/1/12 | 1,125 | 1,096 |
4 | iStar Financial Inc. | 5.950% | 10/15/13 | 200 | 201 |
| iStar Financial Inc. | 5.875% | 3/15/16 | 325 | 323 |
| Residential Capital Corp. | 6.125% | 11/21/08 | 1,825 | 1,827 |
| Residential Capital Corp. | 6.375% | 6/30/10 | 625 | 633 |
| Residential Capital Corp. | 6.000% | 2/22/11 | 1,100 | 1,099 |
| Residential Capital Corp. | 6.500% | 4/17/13 | 1,820 | 1,848 |
| SLM Corp. | 3.625% | 3/17/08 | 720 | 705 |
| SLM Corp. | 4.500% | 7/26/10 | 450 | 437 |
| SLM Corp. | 5.400% | 10/25/11 | 2,800 | 2,801 |
| SLM Corp. | 5.050% | 11/14/14 | 750 | 726 |
| SLM Corp. | 5.625% | 8/1/33 | 1,075 | 1,035 |
|
|
|
|
|
|
| Insurance (1.0%) |
|
|
|
|
| ACE Capital Trust II | 9.700% | 4/1/30 | 225 | 309 |
| AEGON Funding Corp. | 5.750% | 12/15/20 | 100 | 101 |
| AEGON NV | 4.750% | 6/1/13 | 500 | 484 |
| Aetna, Inc. | 7.875% | 3/1/11 | 150 | 163 |
| Aetna, Inc. | 5.750% | 6/15/11 | 300 | 304 |
| Aetna, Inc. | 6.000% | 6/15/16 | 525 | 541 |
| Aetna, Inc. | 6.625% | 6/15/36 | 725 | 777 |
| Allstate Corp. | 7.200% | 12/1/09 | 800 | 843 |
| Allstate Corp. | 5.000% | 8/15/14 | 225 | 220 |
| Allstate Corp. | 6.125% | 12/15/32 | 550 | 566 |
| Allstate Corp. | 5.550% | 5/9/35 | 250 | 241 |
| Allstate Life Global Funding | 4.500% | 5/29/09 | 300 | 295 |
| Ambac, Inc. | 5.950% | 12/5/35 | 1,050 | 1,047 |
| American General Capital II | 8.500% | 7/1/30 | 100 | 128 |
| American International Group, Inc. | 2.875% | 5/15/08 | 275 | 266 |
| American International Group, Inc. | 4.700% | 10/1/10 | 1,550 | 1,523 |
| American International Group, Inc. | 5.375% | 10/18/11 | 500 | 501 |
| American International Group, Inc. | 5.050% | 10/1/15 | 625 | 609 |
| American International Group, Inc. | 5.600% | 10/18/16 | 350 | 355 |
| Arch Capital Group Ltd. | 7.350% | 5/1/34 | 275 | 302 |
| Aspen Insurance Holdings Ltd. | 6.000% | 8/15/14 | 225 | 218 |
| Assurant, Inc. | 5.625% | 2/15/14 | 100 | 100 |
| Assurant, Inc. | 6.750% | 2/15/34 | 350 | 377 |
| AXA Financial, Inc. | 7.750% | 8/1/10 | 325 | 351 |
| AXA SA | 8.600% | 12/15/30 | 775 | 1,002 |
| Axis Capital Holdings | 5.750% | 12/1/14 | 175 | 174 |
| Berkshire Hathaway Finance Corp. | 3.375% | 10/15/08 | 475 | 461 |
| Berkshire Hathaway Finance Corp. | 4.125% | 1/15/10 | 785 | 764 |
| Berkshire Hathaway Finance Corp. | 4.200% | 12/15/10 | 350 | 339 |
| Berkshire Hathaway Finance Corp. | 4.625% | 10/15/13 | 850 | 824 |
| Berkshire Hathaway Finance Corp. | 5.100% | 7/15/14 | 50 | 50 |
| Berkshire Hathaway Finance Corp. | 4.850% | 1/15/15 | 1,150 | 1,115 |
| CIGNA Corp. | 7.875% | 5/15/27 | 150 | 176 |
| CIGNA Corp. | 6.150% | 11/15/36 | 400 | 396 |
| Cincinnati Financial Corp. | 6.920% | 5/15/28 | 400 | 443 |
| Cincinnati Financial Corp. | 6.125% | 11/1/34 | 375 | 383 |
| CNA Financial Corp. | 6.000% | 8/15/11 | 200 | 203 |
| CNA Financial Corp. | 5.850% | 12/15/14 | 925 | 928 |
| CNA Financial Corp. | 6.500% | 8/15/16 | 475 | 494 |
21
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Commerce Group, Inc. | 5.950% | 12/9/13 | 125 | 125 |
| Fidelity National Financial, Inc. | 7.300% | 8/15/11 | 400 | 420 |
| Fund American Cos., Inc. | 5.875% | 5/15/13 | 250 | 249 |
| GE Global Insurance Holdings Corp. | 7.000% | 2/15/26 | 475 | 530 |
| GE Global Insurance Holdings Corp. | 7.750% | 6/15/30 | 350 | 425 |
| Genworth Financial, Inc. | 4.750% | 6/15/09 | 375 | 371 |
| Genworth Financial, Inc. | 5.750% | 6/15/14 | 175 | 179 |
| Genworth Financial, Inc. | 4.950% | 10/1/15 | 100 | 96 |
| Genworth Financial, Inc. | 6.500% | 6/15/34 | 375 | 407 |
2 | Genworth Financial, Inc. | 6.150% | 11/15/66 | 200 | 200 |
| Hartford Financial Services Group, Inc. | 5.250% | 10/15/11 | 625 | 624 |
| Hartford Financial Services Group, Inc. | 4.625% | 7/15/13 | 300 | 288 |
| Hartford Financial Services Group, Inc. | 5.500% | 10/15/16 | 250 | 250 |
| Hartford Financial Services Group, Inc. | 5.950% | 10/15/36 | 400 | 405 |
| Hartford Financial Services Group, Inc. | 6.100% | 10/1/41 | 550 | 561 |
| Humana Inc. | 6.450% | 6/1/16 | 700 | 719 |
2 | ING Capital Funding Trust III | 5.775% | 12/8/49 | 750 | 748 |
| ING USA Global | 4.500% | 10/1/10 | 1,550 | 1,513 |
| Lincoln National Corp. | 6.150% | 4/7/36 | 825 | 854 |
| Loews Corp. | 6.000% | 2/1/35 | 175 | 172 |
| Marsh & McLennan Cos., Inc. | 5.150% | 9/15/10 | 125 | 123 |
| Marsh & McLennan Cos., Inc. | 6.250% | 3/15/12 | 925 | 942 |
| Marsh & McLennan Cos., Inc. | 5.750% | 9/15/15 | 1,575 | 1,554 |
| MetLife, Inc. | 5.375% | 12/15/12 | 350 | 351 |
| MetLife, Inc. | 5.000% | 11/24/13 | 225 | 220 |
| MetLife, Inc. | 5.500% | 6/15/14 | 100 | 100 |
| MetLife, Inc. | 5.000% | 6/15/15 | 175 | 170 |
| MetLife, Inc. | 6.500% | 12/15/32 | 250 | 271 |
| MetLife, Inc. | 6.375% | 6/15/34 | 800 | 856 |
| MetLife, Inc. | 5.700% | 6/15/35 | 300 | 294 |
| Principal Financial Group, Inc. | 6.050% | 10/15/36 | 550 | 564 |
| Principal Life Income Funding | 5.125% | 3/1/11 | 600 | 597 |
| Principal Life Income Funding | 5.100% | 4/15/14 | 350 | 344 |
| Progressive Corp. | 6.625% | 3/1/29 | 575 | 637 |
| Protective Life Secured Trust | 3.700% | 11/24/08 | 875 | 851 |
| Prudential Financial, Inc. | 3.750% | 5/1/08 | 1,050 | 1,029 |
| Prudential Financial, Inc. | 4.500% | 7/15/13 | 225 | 214 |
| Prudential Financial, Inc. | 4.750% | 4/1/14 | 450 | 430 |
| Prudential Financial, Inc. | 5.500% | 3/15/16 | 450 | 451 |
| Prudential Financial, Inc. | 5.750% | 7/15/33 | 450 | 444 |
| Prudential Financial, Inc. | 5.400% | 6/13/35 | 100 | 94 |
| Prudential Financial, Inc. | 5.900% | 3/17/36 | 650 | 652 |
| Safeco Corp. | 4.875% | 2/1/10 | 250 | 246 |
| St. Paul Travelers Cos., Inc. | 5.500% | 12/1/15 | 350 | 351 |
| St. Paul Travelers Cos., Inc. | 6.250% | 6/20/16 | 250 | 263 |
| Torchmark Corp. | 6.375% | 6/15/16 | 500 | 523 |
| Travelers Property Casualty Corp. | 3.750% | 3/15/08 | 325 | 319 |
| Travelers Property Casualty Corp. | 6.375% | 3/15/33 | 175 | 184 |
| UnitedHealth Group, Inc. | 4.125% | 8/15/09 | 1,075 | 1,045 |
| UnitedHealth Group, Inc. | 5.000% | 8/15/14 | 250 | 242 |
| UnitedHealth Group, Inc. | 4.875% | 3/15/15 | 175 | 168 |
| UnitedHealth Group, Inc. | 5.375% | 3/15/16 | 425 | 421 |
| UnitedHealth Group, Inc. | 5.800% | 3/15/36 | 200 | 197 |
22
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
WellPoint Inc. | 3.750% | 12/14/07 | 175 | 172 |
WellPoint Inc. | 4.250% | 12/15/09 | 125 | 121 |
WellPoint Inc. | 5.000% | 1/15/11 | 1,075 | 1,061 |
WellPoint Inc. | 6.375% | 1/15/12 | 275 | 287 |
WellPoint Inc. | 5.000% | 12/15/14 | 575 | 557 |
WellPoint Inc. | 5.250% | 1/15/16 | 100 | 98 |
WellPoint Inc. | 5.950% | 12/15/34 | 500 | 492 |
WellPoint Inc. | 5.850% | 1/15/36 | 150 | 146 |
Willis North America Inc. | 5.625% | 7/15/15 | 500 | 479 |
XL Capital Ltd. | 5.250% | 9/15/14 | 400 | 393 |
XL Capital Ltd. | 6.375% | 11/15/24 | 125 | 130 |
|
|
|
|
|
Real Estate Investment Trusts (0.4%) |
|
|
|
|
Archstone-Smith Operating Trust | 5.250% | 5/1/15 | 325 | 319 |
Arden Realty LP | 5.250% | 3/1/15 | 100 | 99 |
AvalonBay Communities, Inc. | 5.500% | 1/15/12 | 275 | 276 |
AvalonBay Communities, Inc. | 5.750% | 9/15/16 | 125 | 126 |
Boston Properties, Inc. | 6.250% | 1/15/13 | 75 | 78 |
Boston Properties, Inc. | 5.625% | 4/15/15 | 375 | 377 |
Brandywine Operating Partnership | 5.625% | 12/15/10 | 1,025 | 1,030 |
Brandywine Operating Partnership | 5.400% | 11/1/14 | 50 | 49 |
Colonial Realty LP | 5.500% | 10/1/15 | 175 | 171 |
Developers Diversified Realty Corp. | 5.375% | 10/15/12 | 650 | 644 |
Duke Realty LP | 5.625% | 8/15/11 | 200 | 201 |
Duke Realty LP | 5.950% | 2/15/17 | 225 | 229 |
EOP Operating LP | 6.750% | 2/15/08 | 425 | 432 |
EOP Operating LP | 6.750% | 2/15/12 | 625 | 676 |
EOP Operating LP | 4.750% | 3/15/14 | 1,000 | 990 |
ERP Operating LP | 6.625% | 3/15/12 | 1,175 | 1,236 |
ERP Operating LP | 5.125% | 3/15/16 | 1,075 | 1,042 |
ERP Operating LP | 5.375% | 8/1/16 | 225 | 222 |
Health Care Property Investors, Inc. | 5.950% | 9/15/11 | 375 | 376 |
Health Care Property Investors, Inc. | 6.450% | 6/25/12 | 200 | 205 |
Health Care Property Investors, Inc. | 5.650% | 12/15/13 | 1,175 | 1,158 |
Health Care REIT, Inc. | 6.200% | 6/1/16 | 650 | 655 |
Hospitality Properties | 5.125% | 2/15/15 | 175 | 166 |
HRPT Properties Trust | 6.250% | 8/15/16 | 250 | 258 |
Kimco Realty Corp. | 5.783% | 3/15/16 | 125 | 127 |
Liberty Property LP | 5.125% | 3/2/15 | 1,250 | 1,203 |
Liberty Property LP | 5.500% | 12/15/16 | 175 | 173 |
ProLogis | 5.250% | 11/15/10 | 525 | 521 |
ProLogis | 5.500% | 3/1/13 | 175 | 174 |
ProLogis | 5.625% | 11/15/15 | 175 | 175 |
ProLogis | 5.750% | 4/1/16 | 525 | 526 |
ProLogis | 5.625% | 11/15/16 | 575 | 571 |
Reckson Operating Partnership | 6.000% | 3/31/16 | 275 | 267 |
Regency Centers LP | 6.750% | 1/15/12 | 775 | 815 |
Regency Centers LP | 5.250% | 8/1/15 | 450 | 439 |
Simon Property Group Inc. | 5.600% | 9/1/11 | 500 | 505 |
Simon Property Group Inc. | 5.000% | 3/1/12 | 350 | 344 |
Simon Property Group Inc. | 5.750% | 12/1/15 | 725 | 736 |
Simon Property Group Inc. | 6.100% | 5/1/16 | 200 | 208 |
Simon Property Group Inc. | 5.250% | 12/1/16 | 750 | 731 |
23
|
|
|
| Face | Market |
| |||||
|
|
| Maturity | Amount | Value• |
| |||||
|
| Coupon | Date | ($000) | ($000) |
| |||||
| Simon Property Group Inc. | 5.875% | 3/1/17 | 750 | 766 |
| |||||
| Tanger Factory Outlet Centers, Inc. | 6.150% | 11/15/15 | 525 | 531 |
| |||||
| Vornado Realty | 5.600% | 2/15/11 | 400 | 399 |
| |||||
|
|
|
|
|
|
| |||||
| Other Finance (0.0%) |
|
|
|
|
| |||||
| J. Paul Getty Trust | 5.875% | 10/1/33 | 225 | 225 |
| |||||
|
|
|
|
| 393,162 |
| |||||
Industrial (8.9%) |
|
|
|
|
| ||||||
| Basic Industry (0.6%) |
|
|
|
| ||||||
| Alcan, Inc. | 4.500% | 5/15/13 | 500 | 471 | ||||||
| Alcan, Inc. | 5.000% | 6/1/15 | 100 | 95 | ||||||
| Alcan, Inc. | 6.125% | 12/15/33 | 575 | 568 | ||||||
| Alcoa, Inc. | 6.500% | 6/1/11 | 1,625 | 1,697 | ||||||
| Barrick Gold Finance Inc. | 4.875% | 11/15/14 | 225 | 213 | ||||||
| BHP Billiton Finance | 4.800% | 4/15/13 | 650 | 629 | ||||||
| BHP Billiton Finance | 5.250% | 12/15/15 | 725 | 719 | ||||||
| BHP Finance USA Ltd. | 8.500% | 12/1/12 | 300 | 346 | ||||||
| Celulosa Arauco Constitution SA | 8.625% | 8/15/10 | 275 | 304 | ||||||
| Celulosa Arauco Constitution SA | 5.625% | 4/20/15 | 825 | 817 | ||||||
| Dow Chemical Co. | 6.125% | 2/1/11 | 1,575 | 1,619 | ||||||
| Dow Chemical Co. | 6.000% | 10/1/12 | 125 | 129 | ||||||
| Dow Chemical Co. | 7.375% | 11/1/29 | 275 | 317 | ||||||
| E.I. du Pont de Nemours & Co. | 6.875% | 10/15/09 | 725 | 758 | ||||||
| E.I. du Pont de Nemours & Co. | 4.125% | 4/30/10 | 125 | 121 | ||||||
| E.I. du Pont de Nemours & Co. | 4.750% | 11/15/12 | 200 | 194 | ||||||
| E.I. du Pont de Nemours & Co. | 5.250% | 12/15/16 | 75 | 73 | ||||||
| E.I. du Pont de Nemours & Co. | 6.500% | 1/15/28 | 175 | 189 | ||||||
| Eastman Chemical Co. | 7.600% | 2/1/27 | 275 | 298 | ||||||
| Falconbridge Ltd. | 7.350% | 6/5/12 | 275 | 297 | ||||||
| ICI Wilmington | 4.375% | 12/1/08 | 575 | 562 | ||||||
| Inco Ltd. | 7.750% | 5/15/12 | 275 | 300 | ||||||
| Inco Ltd. | 5.700% | 10/15/15 | 450 | 439 | ||||||
| International Paper Co. | 4.250% | 1/15/09 | 275 | 269 | ||||||
| International Paper Co. | 5.850% | 10/30/12 | 292 | 297 | ||||||
| International Paper Co. | 5.300% | 4/1/15 | 550 | 529 | ||||||
| Lubrizol Corp. | 5.500% | 10/1/14 | 150 | 146 | ||||||
| MeadWestvaco Corp. | 6.850% | 4/1/12 | 225 | 235 | ||||||
| Monsanto Co. | 7.375% | 8/15/12 | 500 | 546 | ||||||
| Newmont Mining | 5.875% | 4/1/35 | 225 | 210 | ||||||
| Noranda, Inc. | 7.250% | 7/15/12 | 950 | 1,026 | ||||||
| Noranda, Inc. | 5.500% | 6/15/17 | 175 | 169 | ||||||
| Placer Dome, Inc. | 6.450% | 10/15/35 | 350 | 355 | ||||||
| Plum Creek Timber Co. | 5.875% | 11/15/15 | 525 | 516 | ||||||
| Potash Corp. of Saskatchewan | 7.750% | 5/31/11 | 1,325 | 1,444 | ||||||
| Praxair, Inc. | 2.750% | 6/15/08 | 50 | 48 | ||||||
| Praxair, Inc. | 3.950% | 6/1/13 | 950 | 877 | ||||||
| Rio Tinto Finance USA Ltd. | 2.625% | 9/30/08 | 325 | 311 | ||||||
2 | Rohm & Haas Co. | 9.800% | 4/15/20 | 325 | 401 | ||||||
| Rohm & Haas Co. | 7.850% | 7/15/29 | 350 | 425 | ||||||
| Southern Copper Corp. | 7.500% | 7/27/35 | 675 | 742 | ||||||
| Teck Cominco Ltd. | 6.125% | 10/1/35 | 675 | 650 | ||||||
| Vale Overseas Ltd. | 6.250% | 1/11/16 | 150 | 152 | ||||||
24
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Vale Overseas Ltd. | 6.250% | 1/23/17 | 925 | 938 |
| Vale Overseas Ltd. | 8.250% | 1/17/34 | 825 | 988 |
| Vale Overseas Ltd. | 6.875% | 11/21/36 | 950 | 973 |
| Weyerhaeuser Co. | 5.950% | 11/1/08 | 386 | 389 |
| Weyerhaeuser Co. | 6.750% | 3/15/12 | 1,125 | 1,180 |
| Weyerhaeuser Co. | 7.375% | 3/15/32 | 900 | 938 |
| WMC Finance USA | 5.125% | 5/15/13 | 1,000 | 984 |
|
|
|
|
|
|
| Capital Goods (1.1%) |
|
|
|
|
| 3M Co. | 5.125% | 11/6/09 | 175 | 175 |
2,4 | BAE Systems Asset Trust | 7.156% | 12/15/11 | 83 | 87 |
| Boeing Capital Corp. | 7.375% | 9/27/10 | 400 | 429 |
| Boeing Capital Corp. | 6.500% | 2/15/12 | 1,475 | 1,558 |
| Boeing Capital Corp. | 5.800% | 1/15/13 | 875 | 899 |
| Boeing Co. | 8.750% | 8/15/21 | 550 | 724 |
| Boeing Co. | 8.750% | 9/15/31 | 175 | 247 |
| Boeing Co. | 6.125% | 2/15/33 | 75 | 81 |
| Caterpillar Financial Services Corp. | 4.500% | 9/1/08 | 30 | 30 |
| Caterpillar Financial Services Corp. | 4.150% | 1/15/10 | 625 | 607 |
| Caterpillar Financial Services Corp. | 4.300% | 6/1/10 | 1,750 | 1,701 |
| Caterpillar Financial Services Corp. | 4.750% | 2/17/15 | 125 | 119 |
| Caterpillar Financial Services Corp. | 4.625% | 6/1/15 | 275 | 259 |
| Caterpillar, Inc. | 7.300% | 5/1/31 | 1,000 | 1,189 |
| Caterpillar, Inc. | 7.375% | 3/1/97 | 775 | 912 |
| CRH America Inc. | 5.625% | 9/30/11 | 525 | 528 |
| CRH America Inc. | 6.950% | 3/15/12 | 350 | 370 |
| CRH America Inc. | 5.300% | 10/15/13 | 450 | 438 |
| CRH America Inc. | 6.000% | 9/30/16 | 450 | 454 |
| CRH America Inc. | 6.400% | 10/15/33 | 350 | 349 |
| Deere & Co. | 6.950% | 4/25/14 | 325 | 354 |
| Deere & Co. | 8.100% | 5/15/30 | 1,175 | 1,523 |
| Deere & Co. | 7.125% | 3/3/31 | 675 | 800 |
4 | Embraer Overseas Ltd. | 6.375% | 1/24/17 | 700 | 694 |
| Emerson Electric Co. | 7.125% | 8/15/10 | 175 | 186 |
| Emerson Electric Co. | 4.625% | 10/15/12 | 1,150 | 1,112 |
| Emerson Electric Co. | 4.500% | 5/1/13 | 400 | 383 |
| General Dynamics Corp. | 3.000% | 5/15/08 | 350 | 339 |
| General Dynamics Corp. | 4.500% | 8/15/10 | 125 | 122 |
| General Dynamics Corp. | 4.250% | 5/15/13 | 975 | 922 |
| General Electric Co. | 5.000% | 2/1/13 | 3,225 | 3,190 |
| Hanson PLC | 5.250% | 3/15/13 | 175 | 170 |
| Honeywell International, Inc. | 6.125% | 11/1/11 | 350 | 363 |
| Honeywell International, Inc. | 5.400% | 3/15/16 | 1,000 | 1,003 |
| Honeywell International, Inc. | 5.700% | 3/15/36 | 125 | 124 |
| John Deere Capital Corp. | 4.875% | 3/16/09 | 1,750 | 1,736 |
| John Deere Capital Corp. | 5.400% | 10/17/11 | 900 | 902 |
4 | Joy Global, Inc. | 6.000% | 11/15/16 | 250 | 249 |
| Lafarge SA | 6.150% | 7/15/11 | 75 | 77 |
| Lafarge SA | 6.500% | 7/15/16 | 900 | 938 |
| Lafarge SA | 7.125% | 7/15/36 | 1,425 | 1,553 |
| Lockheed Martin Corp. | 7.650% | 5/1/16 | 1,425 | 1,645 |
| Lockheed Martin Corp. | 6.150% | 9/1/36 | 175 | 185 |
25
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Masco Corp. | 5.875% | 7/15/12 | 200 | 200 |
| Masco Corp. | 4.800% | 6/15/15 | 750 | 685 |
| Masco Corp. | 6.500% | 8/15/32 | 175 | 166 |
| Minnesota Mining & Manufacturing Corp. | 6.375% | 2/15/28 | 625 | 685 |
| Mohawk Industries Inc. | 5.750% | 1/15/11 | 2,500 | 2,501 |
| Mohawk Industries Inc. | 6.125% | 1/15/16 | 1,400 | 1,388 |
| Northrop Grumman Corp. | 7.125% | 2/15/11 | 1,350 | 1,439 |
| Northrop Grumman Corp. | 7.750% | 3/1/16 | 275 | 319 |
| Northrop Grumman Corp. | 7.750% | 2/15/31 | 450 | 559 |
4 | Owens Corning, Inc. | 6.500% | 12/1/16 | 125 | 125 |
4 | Owens Corning, Inc. | 7.000% | 12/1/36 | 175 | 173 |
| Raytheon Co. | 4.850% | 1/15/11 | 775 | 762 |
| Raytheon Co. | 5.500% | 11/15/12 | 725 | 731 |
| Raytheon Co. | 5.375% | 4/1/13 | 75 | 75 |
| Raytheon Co. | 7.200% | 8/15/27 | 500 | 581 |
| Republic Services, Inc. | 6.086% | 3/15/35 | 350 | 346 |
| Textron Financial Corp. | 4.600% | 5/3/10 | 2,100 | 2,054 |
| Textron, Inc. | 6.500% | 6/1/12 | 350 | 367 |
| TRW, Inc. | 7.750% | 6/1/29 | 350 | 429 |
| Tyco International Group SA | 6.125% | 11/1/08 | 500 | 507 |
| Tyco International Group SA | 6.125% | 1/15/09 | 100 | 101 |
| Tyco International Group SA | 6.750% | 2/15/11 | 1,325 | 1,397 |
| Tyco International Group SA | 6.000% | 11/15/13 | 125 | 130 |
| Tyco International Group SA | 7.000% | 6/15/28 | 1,175 | 1,357 |
| United Technologies Corp. | 4.375% | 5/1/10 | 1,100 | 1,073 |
| United Technologies Corp. | 7.125% | 11/15/10 | 250 | 266 |
| United Technologies Corp. | 6.350% | 3/1/11 | 650 | 676 |
| United Technologies Corp. | 4.875% | 5/1/15 | 325 | 314 |
| United Technologies Corp. | 7.500% | 9/15/29 | 350 | 429 |
| United Technologies Corp. | 5.400% | 5/1/35 | 500 | 486 |
| United Technologies Corp. | 6.050% | 6/1/36 | 400 | 422 |
| USA Waste Services, Inc. | 7.000% | 7/15/28 | 275 | 295 |
| Waste Management, Inc. | 6.500% | 11/15/08 | 1,250 | 1,274 |
| Waste Management, Inc. | 6.875% | 5/15/09 | 225 | 232 |
| Waste Management, Inc. | 7.375% | 8/1/10 | 175 | 186 |
| Waste Management, Inc. | 6.375% | 11/15/12 | 225 | 235 |
| Waste Management, Inc. | 5.000% | 3/15/14 | 450 | 434 |
| Waste Management, Inc. | 7.750% | 5/15/32 | 75 | 88 |
|
|
|
|
|
|
| Communication (2.4%) |
|
|
|
|
| Alltel Corp. | 7.000% | 7/1/12 | 700 | 728 |
| America Movil SA de C.V. | 4.125% | 3/1/09 | 450 | 439 |
| America Movil SA de C.V. | 5.500% | 3/1/14 | 225 | 220 |
| America Movil SA de C.V. | 5.750% | 1/15/15 | 400 | 397 |
| America Movil SA de C.V. | 6.375% | 3/1/35 | 675 | 663 |
| AT&T Corp. | 6.000% | 3/15/09 | 925 | 937 |
| AT&T Corp. | 7.300% | 11/15/11 | 850 | 920 |
| AT&T Corp. | 8.000% | 11/15/31 | 1,750 | 2,177 |
| AT&T Corp. | 6.800% | 5/15/36 | 75 | 80 |
| AT&T Inc. | 4.125% | 9/15/09 | 625 | 608 |
| AT&T Inc. | 5.300% | 11/15/10 | 650 | 651 |
| AT&T Inc. | 6.250% | 3/15/11 | 400 | 413 |
26
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
AT&T Inc. | 5.875% | 2/1/12 | 960 | 981 |
AT&T Inc. | 5.875% | 8/15/12 | 1,315 | 1,345 |
AT&T Inc. | 5.100% | 9/15/14 | 950 | 925 |
AT&T Inc. | 5.625% | 6/15/16 | 1,300 | 1,292 |
AT&T Inc. | 6.450% | 6/15/34 | 725 | 741 |
AT&T Inc. | 6.150% | 9/15/34 | 250 | 247 |
BellSouth Corp. | 4.200% | 9/15/09 | 1,150 | 1,119 |
BellSouth Corp. | 4.750% | 11/15/12 | 400 | 387 |
BellSouth Corp. | 5.200% | 9/15/14 | 650 | 636 |
BellSouth Corp. | 6.550% | 6/15/34 | 500 | 512 |
BellSouth Corp. | 6.000% | 11/15/34 | 555 | 532 |
BellSouth Telecommunications | 6.375% | 6/1/28 | 1,685 | 1,705 |
British Sky Broadcasting Corp. | 6.875% | 2/23/09 | 875 | 899 |
British Sky Broadcasting Corp. | 8.200% | 7/15/09 | 125 | 133 |
British Telecommunications PLC | 8.625% | 12/15/10 | 2,450 | 2,737 |
British Telecommunications PLC | 9.125% | 12/15/30 | 1,650 | 2,258 |
CBS Corp. | 6.625% | 5/15/11 | 715 | 738 |
CBS Corp. | 5.625% | 8/15/12 | 85 | 84 |
CBS Corp. | 7.875% | 7/30/30 | 375 | 395 |
CBS Corp. | 5.500% | 5/15/33 | 175 | 146 |
CenturyTel Enterprises | 6.875% | 1/15/28 | 175 | 170 |
CenturyTel, Inc. | 7.875% | 8/15/12 | 225 | 244 |
Cingular Wireless LLC | 7.125% | 12/15/31 | 1,400 | 1,553 |
Comcast Cable Communications Holdings Inc. | 8.375% | 3/15/13 | 1,350 | 1,538 |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 175 | 227 |
Comcast Cable Communications, Inc. | 6.200% | 11/15/08 | 1,000 | 1,015 |
Comcast Cable Communications, Inc. | 6.875% | 6/15/09 | 1,500 | 1,552 |
Comcast Cable Communications, Inc. | 6.750% | 1/30/11 | 1,000 | 1,048 |
Comcast Cable Communications, Inc. | 8.875% | 5/1/17 | 625 | 758 |
Comcast Corp. | 5.500% | 3/15/11 | 175 | 176 |
Comcast Corp. | 6.500% | 1/15/15 | 1,450 | 1,513 |
Comcast Corp. | 5.900% | 3/15/16 | 100 | 100 |
Comcast Corp. | 5.875% | 2/15/18 | 1,050 | 1,039 |
Comcast Corp. | 7.050% | 3/15/33 | 175 | 188 |
Comcast Corp. | 6.500% | 11/15/35 | 1,975 | 1,987 |
Comcast Corp. | 6.450% | 3/15/37 | 575 | 578 |
Cox Communications, Inc. | 4.625% | 1/15/10 | 1,000 | 979 |
Cox Communications, Inc. | 6.750% | 3/15/11 | 2,725 | 2,849 |
Cox Communications, Inc. | 7.125% | 10/1/12 | 450 | 480 |
Cox Communications, Inc. | 5.450% | 12/15/14 | 550 | 535 |
Deutsche Telekom International Finance | 3.875% | 7/22/08 | 175 | 171 |
Deutsche Telekom International Finance | 8.000% | 6/15/10 | 2,350 | 2,547 |
Deutsche Telekom International Finance | 5.250% | 7/22/13 | 175 | 171 |
Deutsche Telekom International Finance | 5.750% | 3/23/16 | 200 | 198 |
Deutsche Telekom International Finance | 8.250% | 6/15/30 | 2,150 | 2,647 |
Embarq Corp. | 7.082% | 6/1/16 | 975 | 994 |
Embarq Corp. | 7.995% | 6/1/36 | 225 | 234 |
France Telecom | 7.750% | 3/1/11 | 2,500 | 2,725 |
France Telecom | 8.500% | 3/1/31 | 1,400 | 1,847 |
Gannett Co., Inc. | 6.375% | 4/1/12 | 300 | 309 |
Grupo Televisa SA | 6.625% | 3/18/25 | 625 | 655 |
GTE Corp. | 8.750% | 11/1/21 | 175 | 208 |
27
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
IAC/InteractiveCorp | 7.000% | 1/15/13 | 475 | 492 |
Koninklijke KPN NV | 8.000% | 10/1/10 | 50 | 54 |
Koninklijke KPN NV | 8.375% | 10/1/30 | 500 | 579 |
New Cingular Wireless Services | 7.875% | 3/1/11 | 1,900 | 2,077 |
New Cingular Wireless Services | 8.125% | 5/1/12 | 1,625 | 1,827 |
New Cingular Wireless Services | 8.750% | 3/1/31 | 825 | 1,072 |
New England Telephone & Telegraph Co. | 7.875% | 11/15/29 | 225 | 244 |
News America Holdings, Inc. | 9.250% | 2/1/13 | 350 | 411 |
News America Holdings, Inc. | 8.000% | 10/17/16 | 425 | 487 |
News America Holdings, Inc. | 8.150% | 10/17/36 | 175 | 207 |
News America Inc. | 5.300% | 12/15/14 | 150 | 147 |
News America Inc. | 6.200% | 12/15/34 | 625 | 606 |
News America Inc. | 6.400% | 12/15/35 | 750 | 748 |
Nextel Communications | 6.875% | 10/31/13 | 400 | 404 |
Nextel Communications | 5.950% | 3/15/14 | 290 | 284 |
Nextel Communications | 7.375% | 8/1/15 | 550 | 565 |
Omnicom Group Inc. | 5.900% | 4/15/16 | 50 | 51 |
R.R. Donnelley & Sons Co. | 3.750% | 4/1/09 | 175 | 169 |
R.R. Donnelley & Sons Co. | 4.950% | 5/15/10 | 425 | 417 |
R.R. Donnelley & Sons Co. | 4.950% | 4/1/14 | 125 | 115 |
R.R. Donnelley & Sons Co. | 5.500% | 5/15/15 | 175 | 165 |
Reed Elsevier Capital | 4.625% | 6/15/12 | 100 | 96 |
Sprint Capital Corp. | 6.125% | 11/15/08 | 350 | 355 |
Sprint Capital Corp. | 6.375% | 5/1/09 | 1,475 | 1,507 |
Sprint Capital Corp. | 7.625% | 1/30/11 | 2,650 | 2,837 |
Sprint Capital Corp. | 8.375% | 3/15/12 | 1,125 | 1,252 |
Sprint Capital Corp. | 6.875% | 11/15/28 | 1,050 | 1,048 |
Sprint Capital Corp. | 8.750% | 3/15/32 | 750 | 901 |
Sprint Nextel Corp. | 6.000% | 12/1/16 | 550 | 536 |
TCI Communications, Inc. | 8.750% | 8/1/15 | 675 | 796 |
TCI Communications, Inc. | 7.875% | 2/15/26 | 175 | 200 |
Telecom Italia Capital | 4.000% | 11/15/08 | 405 | 394 |
Telecom Italia Capital | 4.000% | 1/15/10 | 495 | 474 |
Telecom Italia Capital | 6.200% | 7/18/11 | 950 | 964 |
Telecom Italia Capital | 5.250% | 11/15/13 | 430 | 411 |
Telecom Italia Capital | 5.250% | 10/1/15 | 825 | 770 |
Telecom Italia Capital | 6.375% | 11/15/33 | 1,925 | 1,826 |
Telecom Italia Capital | 7.200% | 7/18/36 | 500 | 523 |
Tele-Communications, Inc. | 7.875% | 8/1/13 | 275 | 305 |
Telecomunicaciones de Puerto Rico | 6.800% | 5/15/09 | 350 | 357 |
Telefonica Emisiones SAU | 5.984% | 6/20/11 | 1,875 | 1,911 |
Telefonica Emisiones SAU | 6.421% | 6/20/16 | 1,250 | 1,291 |
Telefonica Emisiones SAU | 7.045% | 6/20/36 | 1,100 | 1,176 |
Telefonica Europe BV | 7.750% | 9/15/10 | 1,425 | 1,533 |
Telefonica Europe BV | 8.250% | 9/15/30 | 400 | 478 |
Telefonos de Mexico SA | 4.500% | 11/19/08 | 200 | 197 |
Telefonos de Mexico SA | 4.750% | 1/27/10 | 375 | 368 |
Telefonos de Mexico SA | 5.500% | 1/27/15 | 1,750 | 1,693 |
Telus Corp. | 8.000% | 6/1/11 | 1,125 | 1,233 |
Thomson Corp. | 5.750% | 2/1/08 | 950 | 953 |
Thomson Corp. | 5.500% | 8/15/35 | 225 | 204 |
Time Warner Entertainment | 7.250% | 9/1/08 | 400 | 411 |
28
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Time Warner Entertainment | 8.375% | 3/15/23 | 325 | 380 |
Time Warner Entertainment | 8.375% | 7/15/33 | 950 | 1,147 |
US Cellular | 6.700% | 12/15/33 | 325 | 307 |
Verizon Communications Corp. | 5.350% | 2/15/11 | 200 | 200 |
Verizon Communications Corp. | 5.550% | 2/15/16 | 1,450 | 1,450 |
Verizon Global Funding Corp. | 4.000% | 1/15/08 | 350 | 345 |
Verizon Global Funding Corp. | 6.875% | 6/15/12 | 3,450 | 3,690 |
Verizon Global Funding Corp. | 7.375% | 9/1/12 | 1,050 | 1,149 |
Verizon Global Funding Corp. | 4.900% | 9/15/15 | 1,000 | 953 |
Verizon Global Funding Corp. | 7.750% | 12/1/30 | 450 | 528 |
Verizon Global Funding Corp. | 5.850% | 9/15/35 | 600 | 577 |
Verizon New England, Inc. | 6.500% | 9/15/11 | 575 | 592 |
Verizon New Jersey, Inc. | 5.875% | 1/17/12 | 675 | 684 |
Verizon New York, Inc. | 6.875% | 4/1/12 | 225 | 234 |
Verizon New York, Inc. | 7.375% | 4/1/32 | 225 | 232 |
Verizon Pennsylvania, Inc. | 5.650% | 11/15/11 | 850 | 854 |
Verizon Virginia, Inc. | 4.625% | 3/15/13 | 275 | 259 |
Vodafone AirTouch PLC | 7.750% | 2/15/10 | 325 | 346 |
Vodafone AirTouch PLC | 7.875% | 2/15/30 | 850 | 996 |
Vodafone Group PLC | 3.950% | 1/30/08 | 825 | 813 |
Vodafone Group PLC | 5.000% | 12/16/13 | 950 | 919 |
Vodafone Group PLC | 5.375% | 1/30/15 | 125 | 122 |
Vodafone Group PLC | 5.000% | 9/15/15 | 575 | 547 |
Vodafone Group PLC | 5.750% | 3/15/16 | 450 | 451 |
Vodafone Group PLC | 6.250% | 11/30/32 | 1,225 | 1,223 |
WPP Finance USA Corp. | 5.875% | 6/15/14 | 475 | 477 |
|
|
|
|
|
Consumer Cyclical (1.4%) |
|
|
|
|
Brinker International | 5.750% | 6/1/14 | 125 | 121 |
Centex Corp. | 5.125% | 10/1/13 | 550 | 527 |
Centex Corp. | 6.500% | 5/1/16 | 400 | 409 |
Chrysler Corp. | 7.450% | 3/1/27 | 350 | 373 |
CVS Corp. | 4.000% | 9/15/09 | 75 | 73 |
CVS Corp. | 5.750% | 8/15/11 | 125 | 127 |
CVS Corp. | 4.875% | 9/15/14 | 225 | 216 |
CVS Corp. | 6.125% | 8/15/16 | 250 | 257 |
D.R. Horton, Inc. | 4.875% | 1/15/10 | 225 | 220 |
D.R. Horton, Inc. | 6.000% | 4/15/11 | 25 | 25 |
D.R. Horton, Inc. | 5.250% | 2/15/15 | 1,050 | 981 |
D.R. Horton, Inc. | 5.625% | 1/15/16 | 1,000 | 951 |
D.R. Horton, Inc. | 6.500% | 4/15/16 | 375 | 377 |
DaimlerChrysler North America Holding Corp. | 4.750% | 1/15/08 | 4,350 | 4,315 |
DaimlerChrysler North America Holding Corp. | 4.050% | 6/4/08 | 450 | 440 |
DaimlerChrysler North America Holding Corp. | 4.875% | 6/15/10 | 225 | 220 |
DaimlerChrysler North America Holding Corp. | 8.000% | 6/15/10 | 200 | 214 |
DaimlerChrysler North America Holding Corp. | 5.875% | 3/15/11 | 3,350 | 3,365 |
DaimlerChrysler North America Holding Corp. | 5.750% | 9/8/11 | 1,525 | 1,523 |
DaimlerChrysler North America Holding Corp. | 7.300% | 1/15/12 | 400 | 425 |
DaimlerChrysler North America Holding Corp. | 6.500% | 11/15/13 | 100 | 103 |
DaimlerChrysler North America Holding Corp. | 8.500% | 1/18/31 | 1,125 | 1,340 |
Federated Department Stores, Inc. | 6.300% | 4/1/09 | 750 | 764 |
Federated Department Stores, Inc. | 6.790% | 7/15/27 | 175 | 174 |
29
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Federated Department Stores, Inc. | 7.000% | 2/15/28 | 200 | 203 |
Federated Department Stores, Inc. | 6.900% | 4/1/29 | 175 | 177 |
Federated Retail Holding | 5.900% | 12/1/16 | 400 | 401 |
Home Depot Inc. | 3.750% | 9/15/09 | 625 | 603 |
Home Depot Inc. | 4.625% | 8/15/10 | 1,025 | 1,002 |
Home Depot Inc. | 5.250% | 12/16/13 | 550 | 547 |
Home Depot Inc. | 5.400% | 3/1/16 | 550 | 539 |
Home Depot Inc. | 5.875% | 12/16/36 | 1,100 | 1,081 |
ITT Corp. | 7.375% | 11/15/15 | 450 | 461 |
J.C. Penney Co., Inc. | 8.000% | 3/1/10 | 550 | 586 |
J.C. Penney Co., Inc. | 7.950% | 4/1/17 | 825 | 936 |
J.C. Penney Co., Inc. | 7.400% | 4/1/37 | 250 | 272 |
Johnson Controls, Inc. | 5.250% | 1/15/11 | 250 | 248 |
Johnson Controls, Inc. | 6.000% | 1/15/36 | 100 | 96 |
Kohl’s Corp. | 6.000% | 1/15/33 | 200 | 194 |
Lennar Corp. | 5.125% | 10/1/10 | 100 | 98 |
Lennar Corp. | 5.950% | 10/17/11 | 1,350 | 1,360 |
Lennar Corp. | 5.600% | 5/31/15 | 900 | 867 |
Limited Brands Inc. | 5.250% | 11/1/14 | 150 | 143 |
Lowe’s Cos., Inc. | 5.000% | 10/15/15 | 725 | 697 |
Lowe’s Cos., Inc. | 5.400% | 10/15/16 | 1,000 | 984 |
Lowe’s Cos., Inc. | 6.875% | 2/15/28 | 450 | 509 |
Lowe’s Cos., Inc. | 5.800% | 10/15/36 | 650 | 631 |
Marriott International | 4.625% | 6/15/12 | 275 | 260 |
Marriott International | 6.200% | 6/15/16 | 400 | 404 |
May Department Stores Co. | 5.750% | 7/15/14 | 850 | 831 |
May Department Stores Co. | 6.700% | 7/15/34 | 475 | 469 |
McDonald’s Corp. | 6.000% | 4/15/11 | 425 | 436 |
Nordstrom, Inc. | 6.950% | 3/15/28 | 175 | 188 |
Pulte Homes, Inc. | 4.875% | 7/15/09 | 500 | 494 |
Pulte Homes, Inc. | 5.250% | 1/15/14 | 450 | 432 |
Pulte Homes, Inc. | 5.200% | 2/15/15 | 375 | 357 |
Pulte Homes, Inc. | 6.000% | 2/15/35 | 100 | 92 |
Target Corp. | 3.375% | 3/1/08 | 575 | 563 |
Target Corp. | 5.400% | 10/1/08 | 765 | 768 |
Target Corp. | 7.500% | 8/15/10 | 225 | 242 |
Target Corp. | 6.350% | 1/15/11 | 275 | 286 |
Target Corp. | 5.875% | 3/1/12 | 175 | 180 |
Target Corp. | 4.000% | 6/15/13 | 650 | 604 |
Target Corp. | 5.875% | 7/15/16 | 575 | 593 |
Target Corp. | 7.000% | 7/15/31 | 225 | 259 |
Target Corp. | 6.350% | 11/1/32 | 1,625 | 1,745 |
The Walt Disney Co. | 5.700% | 7/15/11 | 800 | 814 |
The Walt Disney Co. | 6.375% | 3/1/12 | 1,125 | 1,180 |
The Walt Disney Co. | 5.625% | 9/15/16 | 825 | 831 |
Time Warner, Inc. | 6.750% | 4/15/11 | 550 | 575 |
Time Warner, Inc. | 5.500% | 11/15/11 | 50 | 50 |
Time Warner, Inc. | 6.875% | 5/1/12 | 2,075 | 2,192 |
Time Warner, Inc. | 5.875% | 11/15/16 | 400 | 398 |
Time Warner, Inc. | 9.150% | 2/1/23 | 275 | 342 |
Time Warner, Inc. | 7.625% | 4/15/31 | 2,210 | 2,461 |
Time Warner, Inc. | 7.700% | 5/1/32 | 1,465 | 1,653 |
30
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Time Warner, Inc. | 6.500% | 11/15/36 | 825 | 822 |
| Toll Brothers, Inc. | 5.150% | 5/15/15 | 275 | 252 |
| Toyota Motor Credit Corp. | 4.250% | 3/15/10 | 3,125 | 3,050 |
| Toyota Motor Credit Corp. | 5.450% | 5/18/11 | 300 | 304 |
| Viacom Inc. | 5.750% | 4/30/11 | 800 | 800 |
| Viacom Inc. | 6.250% | 4/30/16 | 225 | 223 |
| Viacom Inc. | 6.875% | 4/30/36 | 1,275 | 1,258 |
| Wal-Mart Stores, Inc. | 3.375% | 10/1/08 | 800 | 776 |
| Wal-Mart Stores, Inc. | 6.875% | 8/10/09 | 350 | 365 |
| Wal-Mart Stores, Inc. | 4.000% | 1/15/10 | 475 | 460 |
| Wal-Mart Stores, Inc. | 4.125% | 7/1/10 | 1,490 | 1,442 |
| Wal-Mart Stores, Inc. | 4.750% | 8/15/10 | 160 | 158 |
| Wal-Mart Stores, Inc. | 4.125% | 2/15/11 | 850 | 818 |
| Wal-Mart Stores, Inc. | 4.550% | 5/1/13 | 1,925 | 1,853 |
| Wal-Mart Stores, Inc. | 4.500% | 7/1/15 | 2,625 | 2,469 |
| Wal-Mart Stores, Inc. | 7.550% | 2/15/30 | 1,025 | 1,244 |
| Wal-Mart Stores, Inc. | 5.250% | 9/1/35 | 100 | 92 |
4 | Western Union Co. | 5.400% | 11/17/11 | 650 | 640 |
4 | Western Union Co. | 5.930% | 10/1/16 | 75 | 74 |
4 | Western Union Co. | 6.200% | 11/17/36 | 350 | 328 |
| Yum! Brands, Inc. | 8.875% | 4/15/11 | 825 | 920 |
| Yum! Brands, Inc. | 7.700% | 7/1/12 | 175 | 191 |
| Yum! Brands, Inc. | 6.250% | 4/15/16 | 1,000 | 1,017 |
|
|
|
|
|
|
| Consumer Noncyclical (1.7%) |
|
|
|
|
| Abbott Laboratories | 3.500% | 2/17/09 | 325 | 314 |
| Abbott Laboratories | 5.375% | 5/15/09 | 50 | 50 |
| Abbott Laboratories | 5.600% | 5/15/11 | 700 | 710 |
| Abbott Laboratories | 4.350% | 3/15/14 | 1,000 | 939 |
| Abbott Laboratories | 5.875% | 5/15/16 | 2,125 | 2,192 |
| Allergan Inc. | 5.750% | 4/1/16 | 125 | 127 |
| Altria Group, Inc. | 5.625% | 11/4/08 | 500 | 502 |
| Altria Group, Inc. | 7.000% | 11/4/13 | 550 | 599 |
| AmerisourceBergen Corp. | 5.875% | 9/15/15 | 1,125 | 1,095 |
| Amgen Inc. | 4.000% | 11/18/09 | 1,125 | 1,092 |
| Amgen Inc. | 4.850% | 11/18/14 | 350 | 339 |
| Anheuser-Busch Cos., Inc. | 6.000% | 4/15/11 | 700 | 719 |
| Anheuser-Busch Cos., Inc. | 7.125% | 7/1/17 | 500 | 510 |
| Anheuser-Busch Cos., Inc. | 6.800% | 8/20/32 | 450 | 496 |
| Anheuser-Busch Cos., Inc. | 5.750% | 4/1/36 | 1,300 | 1,245 |
| Archer-Daniels-Midland Co. | 8.125% | 6/1/12 | 550 | 620 |
| Archer-Daniels-Midland Co. | 7.000% | 2/1/31 | 425 | 489 |
| Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 1,575 | 1,492 |
| AstraZeneca PLC | 5.400% | 6/1/14 | 275 | 276 |
| Baxter Finco, BV | 4.750% | 10/15/10 | 850 | 836 |
| Baxter International, Inc. | 5.900% | 9/1/16 | 625 | 643 |
| Boston Scientific | 6.000% | 6/15/11 | 500 | 505 |
| Boston Scientific | 5.450% | 6/15/14 | 275 | 264 |
| Boston Scientific | 6.400% | 6/15/16 | 300 | 303 |
| Boston Scientific | 6.250% | 11/15/35 | 675 | 672 |
| Bottling Group LLC | 4.625% | 11/15/12 | 1,775 | 1,714 |
| Bottling Group LLC | 5.000% | 11/15/13 | 300 | 293 |
31
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Bottling Group LLC | 5.500% | 4/1/16 | 575 | 575 |
| Bristol-Myers Squibb Co. | 4.000% | 8/15/08 | 1,250 | 1,225 |
| Bristol-Myers Squibb Co. | 5.875% | 11/15/36 | 2,100 | 2,077 |
| Bristol-Myers Squibb Co. | 6.875% | 8/1/97 | 175 | 187 |
| Bunge Ltd. Finance Corp. | 4.375% | 12/15/08 | 125 | 123 |
| Bunge Ltd. Finance Corp. | 5.100% | 7/15/15 | 250 | 235 |
| C.R. Bard, Inc. | 6.700% | 12/1/26 | 750 | 798 |
| Campbell Soup Co. | 6.750% | 2/15/11 | 700 | 736 |
4 | Cardinal Health, Inc. | 5.800% | 10/15/16 | 650 | 647 |
| Cardinal Health, Inc. | 5.850% | 12/15/17 | 850 | 846 |
| Cia. Brasil de Bebidas AmBev | 10.500% | 12/15/11 | 765 | 928 |
| Cia. Brasil de Bebidas AmBev | 8.750% | 9/15/13 | 275 | 322 |
| Clorox Co. | 4.200% | 1/15/10 | 1,125 | 1,090 |
| Clorox Co. | 5.000% | 1/15/15 | 350 | 339 |
| Coca-Cola Enterprises Inc. | 5.750% | 11/1/08 | 225 | 227 |
| Coca-Cola Enterprises Inc. | 6.125% | 8/15/11 | 300 | 311 |
| Coca-Cola Enterprises Inc. | 8.500% | 2/1/22 | 500 | 630 |
| Coca-Cola Enterprises Inc. | 6.950% | 11/15/26 | 500 | 562 |
| ConAgra Foods, Inc. | 7.875% | 9/15/10 | 666 | 721 |
| ConAgra Foods, Inc. | 7.125% | 10/1/26 | 175 | 192 |
| ConAgra Foods, Inc. | 7.000% | 10/1/28 | 100 | 108 |
| ConAgra Foods, Inc. | 8.250% | 9/15/30 | 250 | 306 |
| Diageo Capital PLC | 3.375% | 3/20/08 | 650 | 636 |
| Diageo Finance BV | 5.300% | 10/28/15 | 125 | 123 |
| Eli Lilly & Co. | 6.000% | 3/15/12 | 1,225 | 1,275 |
| Fortune Brands Inc. | 5.125% | 1/15/11 | 1,750 | 1,720 |
| Fortune Brands Inc. | 5.375% | 1/15/16 | 1,450 | 1,375 |
| Fortune Brands Inc. | 5.875% | 1/15/36 | 225 | 206 |
| Genentech Inc. | 4.400% | 7/15/10 | 175 | 171 |
| Genentech Inc. | 4.750% | 7/15/15 | 350 | 335 |
| Genentech Inc. | 5.250% | 7/15/35 | 225 | 210 |
| General Mills, Inc. | 6.000% | 2/15/12 | 858 | 878 |
| GlaxoSmithKline Capital Inc. | 4.375% | 4/15/14 | 1,700 | 1,602 |
| Grand Metropolitan Investment Corp. | 9.000% | 8/15/11 | 1,725 | 1,972 |
| H.J. Heinz Co. | 6.625% | 7/15/11 | 750 | 781 |
| H.J. Heinz Co. | 6.750% | 3/15/32 | 575 | 582 |
| Health Management Associates Inc. | 6.125% | 4/15/16 | 350 | 332 |
| Hershey Foods Corp. | 5.300% | 9/1/11 | 300 | 301 |
| Hershey Foods Corp. | 5.450% | 9/1/16 | 150 | 151 |
| Hospira, Inc. | 4.950% | 6/15/09 | 250 | 246 |
| Hospira, Inc. | 5.900% | 6/15/14 | 125 | 121 |
| Johnson & Johnson | 3.800% | 5/15/13 | 400 | 373 |
| Johnson & Johnson | 6.950% | 9/1/29 | 75 | 90 |
| Johnson & Johnson | 4.950% | 5/15/33 | 425 | 399 |
| Kellogg Co. | 2.875% | 6/1/08 | 825 | 797 |
| Kellogg Co. | 6.600% | 4/1/11 | 1,125 | 1,179 |
| Kellogg Co. | 7.450% | 4/1/31 | 325 | 386 |
| Kimberly-Clark Corp. | 5.625% | 2/15/12 | 175 | 178 |
| Kimberly-Clark Corp. | 4.875% | 8/15/15 | 875 | 833 |
| Kraft Foods, Inc. | 4.125% | 11/12/09 | 1,975 | 1,916 |
| Kraft Foods, Inc. | 5.625% | 11/1/11 | 1,000 | 1,010 |
| Kraft Foods, Inc. | 6.250% | 6/1/12 | 600 | 623 |
32
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Kraft Foods, Inc. | 6.500% | 11/1/31 | 1,025 | 1,101 |
| Kroger Co. | 6.800% | 4/1/11 | 1,250 | 1,305 |
| Kroger Co. | 6.750% | 4/15/12 | 350 | 367 |
| Kroger Co. | 6.200% | 6/15/12 | 500 | 513 |
| Kroger Co. | 6.800% | 12/15/18 | 975 | 1,022 |
| Kroger Co. | 7.700% | 6/1/29 | 725 | 809 |
| Kroger Co. | 8.000% | 9/15/29 | 450 | 515 |
| Laboratory Corp. of America | 5.625% | 12/15/15 | 375 | 366 |
| Medtronic Inc. | 4.375% | 9/15/10 | 175 | 170 |
| Medtronic Inc. | 4.750% | 9/15/15 | 675 | 640 |
| Merck & Co. | 4.375% | 2/15/13 | 325 | 309 |
| Merck & Co. | 4.750% | 3/1/15 | 175 | 167 |
| Merck & Co. | 6.400% | 3/1/28 | 600 | 640 |
| Merck & Co. | 5.950% | 12/1/28 | 250 | 252 |
| Molson Coors Capital Finance | 4.850% | 9/22/10 | 350 | 343 |
| Newell Rubbermaid, Inc. | 4.000% | 5/1/10 | 275 | 263 |
| Pepsi Bottling Group, Inc. | 7.000% | 3/1/29 | 450 | 514 |
| PepsiAmericas Inc. | 5.000% | 5/15/17 | 600 | 570 |
| Pfizer, Inc. | 4.500% | 2/15/14 | 1,325 | 1,277 |
| Philip Morris Cos., Inc. | 7.750% | 1/15/27 | 425 | 515 |
| Procter & Gamble Co. | 6.875% | 9/15/09 | 2,325 | 2,426 |
| Procter & Gamble Co. | 4.950% | 8/15/14 | 50 | 49 |
| Procter & Gamble Co. | 6.450% | 1/15/26 | 400 | 437 |
| Procter & Gamble Co. | 5.500% | 2/1/34 | 25 | 25 |
| Procter & Gamble Co. | 5.800% | 8/15/34 | 475 | 488 |
2 | Procter & Gamble Co. ESOP | 9.360% | 1/1/21 | 1,058 | 1,332 |
| Quest Diagnostic, Inc. | 5.450% | 11/1/15 | 825 | 793 |
| Safeway, Inc. | 6.500% | 3/1/11 | 825 | 853 |
| Safeway, Inc. | 5.800% | 8/15/12 | 225 | 227 |
| Safeway, Inc. | 7.250% | 2/1/31 | 275 | 299 |
| Schering-Plough Corp. | 5.550% | 12/1/13 | 350 | 350 |
| Schering-Plough Corp. | 6.750% | 12/1/33 | 600 | 655 |
| Sysco Corp. | 5.375% | 9/21/35 | 575 | 545 |
| Teva Pharmaceutical Finance LLC | 5.550% | 2/1/16 | 775 | 760 |
| Teva Pharmaceutical Finance LLC | 6.150% | 2/1/36 | 550 | 535 |
| Unilever Capital Corp. | 7.125% | 11/1/10 | 1,000 | 1,062 |
| Unilever Capital Corp. | 5.900% | 11/15/32 | 650 | 657 |
| Universal Health Services, Inc. | 7.125% | 6/30/16 | 150 | 157 |
| Wm. Wrigley Jr. Co. | 4.300% | 7/15/10 | 1,025 | 994 |
| Wm. Wrigley Jr. Co. | 4.650% | 7/15/15 | 325 | 308 |
| Wyeth | 4.375% | 3/1/08 | 1,500 | 1,483 |
| Wyeth | 6.950% | 3/15/11 | 625 | 664 |
| Wyeth | 5.500% | 3/15/13 | 725 | 733 |
| Wyeth | 5.500% | 2/1/14 | 450 | 452 |
| Wyeth | 5.500% | 2/15/16 | 175 | 175 |
| Wyeth | 6.450% | 2/1/24 | 175 | 188 |
| Wyeth | 6.500% | 2/1/34 | 400 | 436 |
| Wyeth | 6.000% | 2/15/36 | 400 | 410 |
|
|
|
|
|
|
| Energy (0.9%) |
|
|
|
|
| Alberta Energy Co. Ltd. | 7.375% | 11/1/31 | 400 | 452 |
| Amerada Hess Corp. | 6.650% | 8/15/11 | 275 | 287 |
33
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Amerada Hess Corp. | 7.875% | 10/1/29 | 625 | 728 |
Amerada Hess Corp. | 7.125% | 3/15/33 | 1,350 | 1,475 |
Anadarko Finance Co. | 6.750% | 5/1/11 | 275 | 288 |
Anadarko Petroleum Corp. | 3.250% | 5/1/08 | 400 | 388 |
Anadarko Petroleum Corp. | 5.950% | 9/15/16 | 1,150 | 1,151 |
Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 1,550 | 1,568 |
Apache Corp. | 6.250% | 4/15/12 | 175 | 184 |
Apache Finance Canada | 7.750% | 12/15/29 | 125 | 152 |
Atlantic Richfield Co. | 5.900% | 4/15/09 | 525 | 534 |
Baker Hughes, Inc. | 6.875% | 1/15/29 | 175 | 193 |
Burlington Resources, Inc. | 6.680% | 2/15/11 | 775 | 814 |
Burlington Resources, Inc. | 6.500% | 12/1/11 | 525 | 550 |
Burlington Resources, Inc. | 7.200% | 8/15/31 | 100 | 117 |
Canadian Natural Resources | 5.450% | 10/1/12 | 325 | 323 |
Canadian Natural Resources | 4.900% | 12/1/14 | 750 | 707 |
Canadian Natural Resources | 6.000% | 8/15/16 | 650 | 656 |
Canadian Natural Resources | 7.200% | 1/15/32 | 625 | 686 |
Canadian Natural Resources | 6.450% | 6/30/33 | 800 | 796 |
Canadian Natural Resources | 6.500% | 2/15/37 | 725 | 726 |
ChevronTexaco Capital Co. | 3.375% | 2/15/08 | 1,300 | 1,274 |
Conoco Funding Co. | 6.350% | 10/15/11 | 2,275 | 2,378 |
Conoco Funding Co. | 7.250% | 10/15/31 | 175 | 206 |
ConocoPhillips Canada | 5.300% | 4/15/12 | 600 | 599 |
ConocoPhillips Canada | 5.625% | 10/15/16 | 1,300 | 1,308 |
ConocoPhillips Canada | 5.950% | 10/15/36 | 500 | 509 |
Devon Financing Corp. | 6.875% | 9/30/11 | 1,325 | 1,401 |
Devon Financing Corp. | 7.875% | 9/30/31 | 50 | 60 |
Diamond Offshore Drilling | 4.875% | 7/1/15 | 50 | 47 |
Encana Corp. | 4.750% | 10/15/13 | 75 | 71 |
Encana Corp. | 6.500% | 8/15/34 | 175 | 180 |
Encana Holdings Finance Corp. | 5.800% | 5/1/14 | 750 | 754 |
Halliburton Co. | 5.500% | 10/15/10 | 500 | 499 |
Husky Energy Inc. | 6.250% | 6/15/12 | 175 | 180 |
Kerr McGee Corp. | 6.875% | 9/15/11 | 850 | 896 |
Kerr McGee Corp. | 6.950% | 7/1/24 | 1,250 | 1,335 |
Kerr McGee Corp. | 7.875% | 9/15/31 | 200 | 241 |
Marathon Oil Corp. | 6.125% | 3/15/12 | 625 | 642 |
Marathon Oil Corp. | 6.800% | 3/15/32 | 325 | 358 |
Nexen, Inc. | 5.050% | 11/20/13 | 350 | 337 |
Nexen, Inc. | 7.875% | 3/15/32 | 200 | 238 |
Noble Energy Inc. | 8.000% | 4/1/27 | 550 | 646 |
Norsk Hydro | 6.360% | 1/15/09 | 275 | 281 |
Norsk Hydro | 7.250% | 9/23/27 | 575 | 671 |
Norsk Hydro | 7.150% | 1/15/29 | 275 | 319 |
Occidental Petroleum | 4.250% | 3/15/10 | 1,000 | 971 |
Occidental Petroleum | 6.750% | 1/15/12 | 350 | 372 |
Occidental Petroleum | 7.200% | 4/1/28 | 350 | 401 |
Ocean Energy, Inc. | 7.250% | 10/1/11 | 50 | 53 |
PanCanadian Energy Corp. | 7.200% | 11/1/31 | 225 | 248 |
Petro-Canada | 4.000% | 7/15/13 | 725 | 659 |
Petro-Canada | 7.875% | 6/15/26 | 325 | 381 |
Petro-Canada | 7.000% | 11/15/28 | 275 | 296 |
34
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Petro-Canada | 5.350% | 7/15/33 | 275 | 240 |
Petro-Canada | 5.950% | 5/15/35 | 350 | 334 |
Petro-Canada Financial Partnership | 5.000% | 11/15/14 | 250 | 239 |
Phillips Petroleum Co. | 8.750% | 5/25/10 | 575 | 636 |
Questar Market Resources | 6.050% | 9/1/16 | 375 | 383 |
Shell International Finance | 5.625% | 6/27/11 | 75 | 77 |
Suncor Energy, Inc. | 5.950% | 12/1/34 | 275 | 277 |
Sunoco, Inc. | 4.875% | 10/15/14 | 125 | 117 |
Sunoco, Inc. | 5.750% | 1/15/17 | 350 | 343 |
Talisman Energy, Inc. | 5.125% | 5/15/15 | 100 | 95 |
Talisman Energy, Inc. | 5.850% | 2/1/37 | 875 | 803 |
Tosco Corp. | 8.125% | 2/15/30 | 1,525 | 1,942 |
Transocean Sedco Forex, Inc. | 7.500% | 4/15/31 | 450 | 507 |
Valero Energy Corp. | 6.875% | 4/15/12 | 1,550 | 1,639 |
Valero Energy Corp. | 7.500% | 4/15/32 | 175 | 200 |
Weatherford International Inc. | 6.500% | 8/1/36 | 800 | 805 |
XTO Energy, Inc. | 6.250% | 4/15/13 | 500 | 516 |
XTO Energy, Inc. | 5.000% | 1/31/15 | 125 | 119 |
XTO Energy, Inc. | 5.300% | 6/30/15 | 250 | 242 |
|
|
|
|
|
Technology (0.4%) |
|
|
|
|
Cisco Systems Inc. | 5.250% | 2/22/11 | 1,450 | 1,454 |
Cisco Systems Inc. | 5.500% | 2/22/16 | 1,750 | 1,755 |
Computer Sciences Corp. | 3.500% | 4/15/08 | 175 | 171 |
Electronic Data Systems | 7.125% | 10/15/09 | 125 | 130 |
Electronic Data Systems | 6.500% | 8/1/13 | 275 | 278 |
Electronic Data Systems | 7.450% | 10/15/29 | 100 | 109 |
First Data Corp. | 3.375% | 8/1/08 | 685 | 665 |
First Data Corp. | 4.850% | 10/1/14 | 78 | 74 |
First Data Corp. | 4.950% | 6/15/15 | 225 | 214 |
Harris Corp. | 5.000% | 10/1/15 | 550 | 515 |
Hewlett-Packard Co. | 3.625% | 3/15/08 | 1,275 | 1,250 |
International Business Machines Corp. | 5.375% | 2/1/09 | 175 | 176 |
International Business Machines Corp. | 7.500% | 6/15/13 | 775 | 864 |
International Business Machines Corp. | 7.000% | 10/30/25 | 450 | 512 |
International Business Machines Corp. | 6.220% | 8/1/27 | 1,100 | 1,157 |
International Business Machines Corp. | 7.125% | 12/1/96 | 125 | 144 |
Motorola, Inc. | 7.625% | 11/15/10 | 401 | 432 |
Motorola, Inc. | 8.000% | 11/1/11 | 100 | 111 |
Motorola, Inc. | 7.500% | 5/15/25 | 350 | 406 |
Motorola, Inc. | 6.500% | 9/1/25 | 125 | 132 |
Motorola, Inc. | 6.500% | 11/15/28 | 725 | 768 |
Oracle Corp. | 5.000% | 1/15/11 | 1,475 | 1,460 |
Oracle Corp. | 5.250% | 1/15/16 | 1,000 | 978 |
Pitney Bowes Credit Corp. | 5.750% | 8/15/08 | 1,125 | 1,134 |
Pitney Bowes, Inc. | 4.875% | 8/15/14 | 75 | 72 |
Pitney Bowes, Inc. | 4.750% | 1/15/16 | 1,000 | 944 |
Science Applications International Corp. | 6.250% | 7/1/12 | 100 | 103 |
Science Applications International Corp. | 5.500% | 7/1/33 | 100 | 89 |
Xerox Corp. | 9.750% | 1/15/09 | 325 | 350 |
Xerox Corp. | 7.125% | 6/15/10 | 475 | 495 |
Xerox Corp. | 6.875% | 8/15/11 | 300 | 313 |
35
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Xerox Corp. | 7.625% | 6/15/13 | 300 | 314 |
| Xerox Corp. | 6.400% | 3/15/16 | 500 | 510 |
| Xerox Corp. | 6.750% | 2/1/17 | 450 | 467 |
|
|
|
|
|
|
| Transportation (0.4%) |
|
|
|
|
| American Airlines, Inc. | 7.024% | 10/15/09 | 1,175 | 1,221 |
| American Airlines, Inc. | 7.858% | 10/1/11 | 175 | 191 |
| Burlington Northern Santa Fe Corp. | 6.750% | 7/15/11 | 575 | 606 |
| Burlington Northern Santa Fe Corp. | 7.000% | 12/15/25 | 550 | 619 |
| Burlington Northern Santa Fe Corp. | 6.200% | 8/15/36 | 825 | 846 |
| Canadian National Railway Co. | 6.375% | 10/15/11 | 425 | 444 |
| Canadian National Railway Co. | 4.400% | 3/15/13 | 275 | 261 |
| Canadian National Railway Co. | 6.800% | 7/15/18 | 1,200 | 1,328 |
| Canadian National Railway Co. | 6.250% | 8/1/34 | 275 | 293 |
| Canadian National Railway Co. | 6.200% | 6/1/36 | 200 | 211 |
| Canadian Pacific Rail | 6.250% | 10/15/11 | 1,075 | 1,113 |
| Canadian Pacific Rail | 7.125% | 10/15/31 | 175 | 204 |
| CNF, Inc. | 6.700% | 5/1/34 | 275 | 263 |
2 | Continental Airlines, Inc. | 6.648% | 9/15/17 | 1,735 | 1,805 |
| CSX Corp. | 6.750% | 3/15/11 | 350 | 367 |
| CSX Corp. | 6.300% | 3/15/12 | 1,475 | 1,529 |
| CSX Corp. | 6.000% | 10/1/36 | 300 | 301 |
4 | ERAC USA Finance Co. | 7.350% | 6/15/08 | 525 | 537 |
| FedEx Corp. | 3.500% | 4/1/09 | 125 | 120 |
| FedEx Corp. | 5.500% | 8/15/09 | 525 | 528 |
| Mass Transit Railway Corp. | 7.500% | 11/8/10 | 275 | 296 |
| Norfolk Southern Corp. | 6.200% | 4/15/09 | 225 | 229 |
| Norfolk Southern Corp. | 6.750% | 2/15/11 | 1,150 | 1,209 |
| Norfolk Southern Corp. | 7.700% | 5/15/17 | 275 | 319 |
| Norfolk Southern Corp. | 9.750% | 6/15/20 | 633 | 854 |
| Norfolk Southern Corp. | 7.800% | 5/15/27 | 250 | 305 |
| Norfolk Southern Corp. | 7.050% | 5/1/37 | 1,050 | 1,211 |
| Norfolk Southern Corp. | 7.900% | 5/15/97 | 325 | 401 |
| Ryder System Inc. | 5.950% | 5/2/11 | 350 | 354 |
| Ryder System Inc. | 5.850% | 11/1/16 | 150 | 148 |
| Southwest Airlines Co. | 6.500% | 3/1/12 | 1,025 | 1,069 |
| Southwest Airlines Co. | 5.750% | 12/15/16 | 475 | 465 |
| Southwest Airlines Co. | 5.125% | 3/1/17 | 100 | 93 |
| Union Pacific Corp. | 7.250% | 11/1/08 | 525 | 541 |
| Union Pacific Corp. | 3.625% | 6/1/10 | 250 | 236 |
| Union Pacific Corp. | 6.125% | 1/15/12 | 100 | 103 |
| Union Pacific Corp. | 6.500% | 4/15/12 | 350 | 367 |
| Union Pacific Corp. | 6.625% | 2/1/29 | 175 | 191 |
|
|
|
|
|
|
| Other Industrials (0.0%) |
|
|
|
|
| Black & Decker Corp. | 7.125% | 6/1/11 | 500 | 526 |
| Black & Decker Corp. | 4.750% | 11/1/14 | 400 | 367 |
| Cooper Industries, Inc. | 5.250% | 11/15/12 | 550 | 544 |
| Dover Corp. | 4.875% | 10/15/15 | 175 | 168 |
| Rockwell International Corp. | 6.700% | 1/15/28 | 175 | 193 |
|
|
|
|
| 429,207 |
36
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
Utilities (1.7%) |
|
|
|
| |
| Electric (1.3%) |
|
|
|
|
| AEP Texas Central Co. | 6.650% | 2/15/33 | 325 | 345 |
| Alabama Power Co. | 5.500% | 10/15/17 | 125 | 125 |
| American Electric Power Co., Inc. | 5.375% | 3/15/10 | 475 | 475 |
| Arizona Public Service Co. | 4.650% | 5/15/15 | 350 | 321 |
4 | Baltimore Gas & Electric Co. | 5.900% | 10/1/16 | 500 | 503 |
| Boston Edison Co. | 4.875% | 4/15/14 | 175 | 170 |
| Carolina Power & Light Co. | 6.500% | 7/15/12 | 1,500 | 1,573 |
| CenterPoint Energy Houston | 5.700% | 3/15/13 | 1,025 | 1,032 |
| Cincinnati Gas & Electric Co. | 5.700% | 9/15/12 | 225 | 226 |
| Cleveland Electric Illumination Co. | 7.880% | 11/1/17 | 175 | 205 |
| Columbus Southern Power | 5.850% | 10/1/35 | 500 | 489 |
| Commonwealth Edison Co. | 6.150% | 3/15/12 | 375 | 383 |
| Connecticut Light & Power Co. | 6.350% | 6/1/36 | 825 | 880 |
| Consolidated Edison Co. of New York | 4.875% | 2/1/13 | 175 | 170 |
| Consolidated Edison Co. of New York | 5.375% | 12/15/15 | 275 | 273 |
| Consolidated Edison Co. of New York | 5.500% | 9/15/16 | 800 | 799 |
| Consolidated Edison Co. of New York | 5.850% | 3/15/36 | 350 | 349 |
| Consolidated Edison Co. of New York | 6.200% | 6/15/36 | 400 | 419 |
| Constellation Energy Group, Inc. | 6.125% | 9/1/09 | 300 | 306 |
| Constellation Energy Group, Inc. | 7.000% | 4/1/12 | 50 | 54 |
| Constellation Energy Group, Inc. | 4.550% | 6/15/15 | 2,000 | 1,859 |
| Constellation Energy Group, Inc. | 7.600% | 4/1/32 | 325 | 382 |
| Consumers Energy Co. | 4.250% | 4/15/08 | 525 | 517 |
| Consumers Energy Co. | 4.800% | 2/17/09 | 700 | 691 |
| Consumers Energy Co. | 5.000% | 2/15/12 | 350 | 341 |
| Consumers Energy Co. | 5.375% | 4/15/13 | 175 | 174 |
| Detroit Edison Co. | 6.125% | 10/1/10 | 275 | 281 |
| Detroit Edison Co. | 5.700% | 10/1/37 | 375 | 365 |
| Dominion Resources, Inc. | 6.250% | 6/30/12 | 350 | 364 |
| Dominion Resources, Inc. | 5.150% | 7/15/15 | 1,875 | 1,823 |
| Dominion Resources, Inc. | 6.300% | 3/15/33 | 75 | 77 |
| Dominion Resources, Inc. | 5.250% | 8/1/33 | 175 | 171 |
| Dominion Resources, Inc. | 5.950% | 6/15/35 | 1,175 | 1,163 |
2 | Dominion Resources, Inc. | 6.300% | 9/30/66 | 325 | 326 |
| DTE Energy Co. | 7.050% | 6/1/11 | 175 | 186 |
| Duke Capital Corp. | 7.500% | 10/1/09 | 250 | 263 |
| Duke Capital Corp. | 5.500% | 3/1/14 | 425 | 420 |
| Duke Capital Corp. | 6.750% | 2/15/32 | 175 | 187 |
| Duke Energy Corp. | 6.250% | 1/15/12 | 1,675 | 1,744 |
| El Paso Electric Co. | 6.000% | 5/15/35 | 125 | 121 |
| Energy East Corp. | 6.750% | 6/15/12 | 550 | 578 |
| Energy East Corp. | 6.750% | 7/15/36 | 750 | 796 |
| Entergy Gulf States, Inc. | 3.600% | 6/1/08 | 275 | 268 |
| Exelon Corp. | 4.900% | 6/15/15 | 575 | 542 |
| FirstEnergy Corp. | 6.450% | 11/15/11 | 2,125 | 2,227 |
| FirstEnergy Corp. | 7.375% | 11/15/31 | 700 | 801 |
| Florida Power & Light Co. | 5.625% | 4/1/34 | 775 | 758 |
| Florida Power & Light Co. | 4.950% | 6/1/35 | 575 | 509 |
| Florida Power & Light Co. | 5.400% | 9/1/35 | 550 | 521 |
| Florida Power & Light Co. | 6.200% | 6/1/36 | 700 | 741 |
| Florida Power & Light Co. | 5.650% | 2/1/37 | 350 | 343 |
37
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Florida Power Corp. | 4.500% | 6/1/10 | 425 | 414 |
Florida Power Corp. | 4.800% | 3/1/13 | 775 | 752 |
FPL Group Capital, Inc. | 5.625% | 9/1/11 | 250 | 253 |
FPL Group Capital, Inc. | 6.350% | 10/1/16 | 250 | 254 |
Indiana Michigan Power Co. | 6.050% | 3/15/37 | 175 | 172 |
Jersey Central Power & Light | 5.625% | 5/1/16 | 275 | 274 |
Kansas City Power & Light | 6.050% | 11/15/35 | 175 | 174 |
MidAmerican Energy Co. | 6.750% | 12/30/31 | 725 | 806 |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 275 | 269 |
MidAmerican Energy Holdings Co. | 5.875% | 10/1/12 | 900 | 918 |
MidAmerican Energy Holdings Co. | 5.000% | 2/15/14 | 175 | 169 |
MidAmerican Energy Holdings Co. | 6.125% | 4/1/36 | 3,325 | 3,371 |
National Rural Utilities Cooperative Finance Corp. | 3.875% | 2/15/08 | 600 | 591 |
National Rural Utilities Cooperative Finance Corp. | 7.250% | 3/1/12 | 1,650 | 1,793 |
National Rural Utilities Cooperative Finance Corp. | 8.000% | 3/1/32 | 225 | 288 |
Niagara Mohawk Power Corp. | 7.750% | 10/1/08 | 300 | 311 |
NiSource Finance Corp. | 7.875% | 11/15/10 | 550 | 593 |
NiSource Finance Corp. | 5.400% | 7/15/14 | 175 | 170 |
NiSource Finance Corp. | 5.250% | 9/15/17 | 550 | 517 |
NiSource Finance Corp. | 5.450% | 9/15/20 | 100 | 94 |
Northern States Power Co. | 6.250% | 6/1/36 | 200 | 214 |
Ohio Edison | 6.400% | 7/15/16 | 425 | 445 |
Ohio Power Co. | 6.000% | 6/1/16 | 350 | 360 |
Oncor Electric Delivery Co. | 6.375% | 5/1/12 | 675 | 694 |
Oncor Electric Delivery Co. | 6.375% | 1/15/15 | 700 | 719 |
Oncor Electric Delivery Co. | 7.250% | 1/15/33 | 125 | 141 |
Pacific Gas & Electric Co. | 3.600% | 3/1/09 | 225 | 217 |
Pacific Gas & Electric Co. | 4.200% | 3/1/11 | 225 | 215 |
Pacific Gas & Electric Co. | 4.800% | 3/1/14 | 625 | 601 |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 2,450 | 2,478 |
PacifiCorp | 6.900% | 11/15/11 | 500 | 533 |
PacifiCorp | 7.700% | 11/15/31 | 250 | 310 |
PacifiCorp | 5.250% | 6/15/35 | 175 | 161 |
Pepco Holdings, Inc. | 6.450% | 8/15/12 | 825 | 854 |
Pepco Holdings, Inc. | 7.450% | 8/15/32 | 175 | 202 |
PPL Energy Supply LLC | 6.400% | 11/1/11 | 1,325 | 1,374 |
PPL Energy Supply LLC | 6.200% | 5/15/16 | 550 | 567 |
PPL Energy Supply LLC | 6.000% | 12/15/36 | 325 | 311 |
Progress Energy, Inc. | 7.100% | 3/1/11 | 505 | 538 |
Progress Energy, Inc. | 7.750% | 3/1/31 | 350 | 423 |
Progress Energy, Inc. | 7.000% | 10/30/31 | 50 | 56 |
PSE&G Power LLC | 7.750% | 4/15/11 | 350 | 379 |
PSE&G Power LLC | 6.950% | 6/1/12 | 450 | 477 |
PSE&G Power LLC | 5.500% | 12/1/15 | 50 | 49 |
PSE&G Power LLC | 8.625% | 4/15/31 | 75 | 97 |
PSI Energy Inc. | 5.000% | 9/15/13 | 500 | 483 |
Public Service Co. of Colorado | 4.375% | 10/1/08 | 800 | 788 |
Public Service Co. of Colorado | 7.875% | 10/1/12 | 1,100 | 1,236 |
Public Service Co. of Colorado | 5.500% | 4/1/14 | 275 | 276 |
Puget Sound Energy Inc. | 5.483% | 6/1/35 | 100 | 91 |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 650 | 662 |
SCANA Corp. | 6.875% | 5/15/11 | 1,325 | 1,399 |
Southern California Edison Co. | 5.000% | 1/15/14 | 1,175 | 1,144 |
38
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Southern California Edison Co. | 5.000% | 1/15/16 | 575 | 557 |
Southern California Edison Co. | 6.650% | 4/1/29 | 250 | 268 |
Southern California Edison Co. | 6.000% | 1/15/34 | 175 | 178 |
Southern California Edison Co. | 5.750% | 4/1/35 | 225 | 222 |
Southern California Edison Co. | 5.350% | 7/15/35 | 125 | 116 |
Southern California Edison Co. | 5.625% | 2/1/36 | 125 | 121 |
Southern California Edison Co. | 5.550% | 1/15/37 | 1,400 | 1,340 |
Southern Power Co. | 6.250% | 7/15/12 | 175 | 181 |
Tampa Electric Co. | 6.550% | 5/15/36 | 400 | 424 |
Union Electric Co. | 5.400% | 2/1/16 | 300 | 293 |
Virginia Electric & Power Co. | 5.400% | 1/15/16 | 1,000 | 987 |
Virginia Electric & Power Co. | 6.000% | 1/15/36 | 350 | 349 |
Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 175 | 173 |
Xcel Energy, Inc. | 7.000% | 12/1/10 | 125 | 132 |
Xcel Energy, Inc. | 6.500% | 7/1/36 | 425 | 447 |
|
|
|
|
|
Natural Gas (0.4%) |
|
|
|
|
AGL Capital Corp. | 7.125% | 1/14/11 | 300 | 317 |
Atmos Energy Corp. | 4.000% | 10/15/09 | 400 | 385 |
Atmos Energy Corp. | 4.950% | 10/15/14 | 475 | 451 |
Boardwalk Pipelines LLC | 5.500% | 2/1/17 | 125 | 121 |
CenterPoint Energy Resources | 7.875% | 4/1/13 | 750 | 830 |
CenterPoint Energy Resources | 6.150% | 5/1/16 | 275 | 281 |
Consolidated Natural Gas | 6.250% | 11/1/11 | 950 | 983 |
Consolidated Natural Gas | 5.000% | 12/1/14 | 675 | 649 |
Duke Energy Field Services | 7.875% | 8/16/10 | 225 | 242 |
Duke Energy Field Services | 8.125% | 8/16/30 | 275 | 338 |
Energy Transfer Partners LP | 5.650% | 8/1/12 | 625 | 627 |
Energy Transfer Partners LP | 5.950% | 2/1/15 | 175 | 176 |
Energy Transfer Partners LP | 6.125% | 2/15/17 | 300 | 304 |
Energy Transfer Partners LP | 6.625% | 10/15/36 | 175 | 180 |
Enterprise Products Operating LP | 4.950% | 6/1/10 | 325 | 320 |
Enterprise Products Operating LP | 5.600% | 10/15/14 | 875 | 858 |
Enterprise Products Operating LP | 6.875% | 3/1/33 | 100 | 105 |
KeySpan Corp. | 7.625% | 11/15/10 | 100 | 108 |
KeySpan Corp. | 8.000% | 11/15/30 | 200 | 246 |
Kinder Morgan Energy Partners LP | 7.125% | 3/15/12 | 600 | 635 |
Kinder Morgan Energy Partners LP | 5.000% | 12/15/13 | 450 | 428 |
Kinder Morgan Energy Partners LP | 5.125% | 11/15/14 | 425 | 406 |
Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 450 | 487 |
Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 100 | 89 |
Kinder Morgan, Inc. | 6.500% | 9/1/12 | 1,375 | 1,383 |
Kinder Morgan, Inc. | 6.400% | 1/5/36 | 300 | 270 |
KN Energy, Inc. | 7.250% | 3/1/28 | 275 | 266 |
Magellan Midstream Partners, LP | 5.650% | 10/15/16 | 100 | 97 |
National Grid PLC | 6.300% | 8/1/16 | 1,050 | 1,090 |
ONEOK Inc. | 5.200% | 6/15/15 | 450 | 423 |
ONEOK Inc. | 6.000% | 6/15/35 | 225 | 205 |
ONEOK Partners, LP | 5.900% | 4/1/12 | 450 | 455 |
ONEOK Partners, LP | 6.150% | 10/1/16 | 725 | 735 |
ONEOK Partners, LP | 6.650% | 10/1/36 | 1,700 | 1,744 |
San Diego Gas & Electric | 5.300% | 11/15/15 | 225 | 222 |
San Diego Gas & Electric | 5.350% | 5/15/35 | 100 | 95 |
39
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Sempra Energy | 7.950% | 3/1/10 | 20 | 21 |
Southern California Gas Co. | 5.750% | 11/15/35 | 350 | 351 |
Texas Gas Transmission | 4.600% | 6/1/15 | 500 | 460 |
Trans-Canada Pipelines | 4.000% | 6/15/13 | 675 | 621 |
Trans-Canada Pipelines | 5.850% | 3/15/36 | 450 | 438 |
|
|
|
| 83,543 |
Total Corporate Bonds (Cost $1,325,193) |
|
| 1,324,357 | |
Sovereign Bonds (U.S. Dollar-Denominated) (2.6%) | ||||
African Development Bank | 3.250% | 8/1/08 | 850 | 828 |
Asian Development Bank | 4.125% | 9/15/10 | 200 | 195 |
Asian Development Bank | 5.593% | 7/16/18 | 1,700 | 1,754 |
Bayerische Landesbank | 2.875% | 10/15/08 | 450 | 432 |
Canadian Government | 5.250% | 11/5/08 | 275 | 277 |
China Development Bank | 4.750% | 10/8/14 | 575 | 552 |
China Development Bank | 5.000% | 10/15/15 | 175 | 170 |
Corp. Andina de Fomento | 5.200% | 5/21/13 | 375 | 369 |
Development Bank of Japan | 4.250% | 6/9/15 | 175 | 165 |
Eksportfinans | 4.750% | 12/15/08 | 1,300 | 1,291 |
Eksportfinans | 5.500% | 5/25/16 | 2,350 | 2,421 |
European Investment Bank | 3.500% | 3/14/08 | 1,300 | 1,278 |
European Investment Bank | 3.875% | 8/15/08 | 2,300 | 2,264 |
European Investment Bank | 4.500% | 2/17/09 | 125 | 124 |
European Investment Bank | 4.000% | 3/3/10 | 775 | 753 |
European Investment Bank | 4.125% | 9/15/10 | 1,500 | 1,456 |
European Investment Bank | 5.250% | 6/15/11 | 3,850 | 3,889 |
European Investment Bank | 4.625% | 5/15/14 | 3,025 | 2,948 |
Export-Import Bank of Korea | 4.500% | 8/12/09 | 175 | 171 |
Export-Import Bank of Korea | 4.625% | 3/16/10 | 175 | 171 |
Export-Import Bank of Korea | 5.125% | 3/16/15 | 400 | 388 |
Federation of Malaysia | 8.750% | 6/1/09 | 750 | 809 |
Federation of Malaysia | 7.500% | 7/15/11 | 1,425 | 1,548 |
Financement Quebec | 5.000% | 10/25/12 | 550 | 546 |
Hellenic Republic | 6.950% | 3/4/08 | 675 | 688 |
Instituto de Credito Oficial | 6.000% | 5/19/08 | 600 | 609 |
Inter-American Development Bank | 3.375% | 3/17/08 | 400 | 392 |
Inter-American Development Bank | 5.375% | 11/18/08 | 275 | 278 |
Inter-American Development Bank | 5.625% | 4/16/09 | 2,650 | 2,688 |
Inter-American Development Bank | 8.500% | 3/15/11 | 575 | 648 |
Inter-American Development Bank | 4.375% | 9/20/12 | 800 | 773 |
Inter-American Development Bank | 4.250% | 9/14/15 | 75 | 71 |
Inter-American Development Bank | 7.000% | 6/15/25 | 275 | 329 |
International Bank for |
|
|
|
|
Reconstruction & Development | 4.125% | 6/24/09 | 1,025 | 1,007 |
International Bank for |
|
|
|
|
Reconstruction & Development | 4.125% | 8/12/09 | 775 | 761 |
International Bank for |
|
|
|
|
Reconstruction & Development | 8.875% | 3/1/26 | 450 | 640 |
International Finance Corp. | 3.000% | 4/15/08 | 1,050 | 1,023 |
Japan Bank International | 4.750% | 5/25/11 | 225 | 222 |
Japan Finance Corp. | 5.875% | 3/14/11 | 1,000 | 1,029 |
Japan Finance Corp. | 4.625% | 4/21/15 | 600 | 585 |
KFW International Finance Inc. | 4.875% | 10/19/09 | 1,350 | 1,346 |
40
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Korea Development Bank | 3.875% | 3/2/09 | 550 | 535 |
Korea Development Bank | 4.750% | 7/20/09 | 450 | 445 |
Korea Development Bank | 4.625% | 9/16/10 | 625 | 610 |
Korea Development Bank | 5.750% | 9/10/13 | 1,175 | 1,197 |
Korea Electric Power | 7.750% | 4/1/13 | 775 | 872 |
Kreditanstalt fur Wiederaufbau | 3.750% | 1/24/08 | 900 | 888 |
Kreditanstalt fur Wiederaufbau | 4.625% | 11/17/08 | 1,400 | 1,391 |
Kreditanstalt fur Wiederaufbau | 5.250% | 5/19/09 | 1,525 | 1,533 |
Kreditanstalt fur Wiederaufbau | 4.250% | 6/15/10 | 4,200 | 4,102 |
Kreditanstalt fur Wiederaufbau | 4.625% | 1/20/11 | 500 | 493 |
Kreditanstalt fur Wiederaufbau | 4.125% | 10/15/14 | 275 | 259 |
Kreditanstalt fur Wiederaufbau | 5.125% | 3/14/16 | 650 | 655 |
Landeskreditbank |
|
|
|
|
Baden-Wuerttemberg-Foerderbank | 4.250% | 9/15/10 | 250 | 244 |
Landwirtschaftliche Rentenbank | 3.250% | 6/16/08 | 1,225 | 1,194 |
Landwirtschaftliche Rentenbank | 3.875% | 9/4/08 | 1,175 | 1,151 |
Landwirtschaftliche Rentenbank | 5.250% | 7/15/11 | 750 | 755 |
Landwirtschaftliche Rentenbank | 4.875% | 11/16/15 | 275 | 269 |
Nordic Investment Bank | 3.125% | 4/24/08 | 825 | 805 |
Oesterreichische Kontrollbank | 4.250% | 10/6/10 | 725 | 708 |
Oesterreichische Kontrollbank | 4.500% | 3/9/15 | 125 | 121 |
Ontario Hydro Electric | 6.100% | 1/30/08 | 350 | 354 |
Pemex Project Funding Master Trust | 8.500% | 2/15/08 | 675 | 697 |
Pemex Project Funding Master Trust | 6.125% | 8/15/08 | 525 | 530 |
Pemex Project Funding Master Trust | 7.875% | 2/1/09 | 1,350 | 1,413 |
Pemex Project Funding Master Trust | 9.125% | 10/13/10 | 525 | 590 |
Pemex Project Funding Master Trust | 8.000% | 11/15/11 | 700 | 773 |
Pemex Project Funding Master Trust | 7.375% | 12/15/14 | 60 | 66 |
Pemex Project Funding Master Trust | 5.750% | 12/15/15 | 1,735 | 1,729 |
Pemex Project Funding Master Trust | 8.625% | 2/1/22 | 500 | 618 |
Pemex Project Funding Master Trust | 6.625% | 6/15/35 | 1,450 | 1,485 |
People’s Republic of China | 7.300% | 12/15/08 | 175 | 182 |
People’s Republic of China | 4.750% | 10/29/13 | 375 | 368 |
Petrobras International Finance | 9.750% | 7/6/11 | 200 | 236 |
Province of British Columbia | 5.375% | 10/29/08 | 1,170 | 1,178 |
Province of Manitoba | 7.500% | 2/22/10 | 625 | 668 |
Province of Nova Scotia | 5.750% | 2/27/12 | 225 | 231 |
Province of Ontario | 5.500% | 10/1/08 | 2,875 | 2,895 |
Province of Ontario | 3.625% | 10/21/09 | 625 | 602 |
Province of Ontario | 5.000% | 10/18/11 | 525 | 523 |
Province of Ontario | 4.750% | 1/19/16 | 450 | 438 |
Province of Ontario | 5.450% | 4/27/16 | 1,575 | 1,613 |
Province of Quebec | 5.750% | 2/15/09 | 800 | 810 |
Province of Quebec | 5.000% | 7/17/09 | 1,375 | 1,370 |
Province of Quebec | 6.125% | 1/22/11 | 850 | 880 |
Province of Quebec | 4.600% | 5/26/15 | 275 | 263 |
Province of Quebec | 5.125% | 11/14/16 | 1,450 | 1,436 |
Province of Quebec | 7.500% | 9/15/29 | 1,075 | 1,358 |
Province of Saskatchewan | 7.375% | 7/15/13 | 200 | 225 |
Quebec Hydro Electric | 6.300% | 5/11/11 | 1,250 | 1,290 |
Quebec Hydro Electric | 7.500% | 4/1/16 | 1,200 | 1,382 |
Quebec Hydro Electric | 8.050% | 7/7/24 | 725 | 942 |
Region of Lombardy, Italy | 5.804% | 10/25/32 | 225 | 228 |
41
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Republic of Chile | 7.125% | 1/11/12 | 925 | 1,004 |
Republic of Chile | 5.500% | 1/15/13 | 175 | 178 |
Republic of Hungary | 4.750% | 2/3/15 | 1,100 | 1,043 |
Republic of Italy | 3.750% | 12/14/07 | 900 | 890 |
Republic of Italy | 4.000% | 6/16/08 | 100 | 99 |
Republic of Italy | 6.000% | 2/22/11 | 400 | 412 |
Republic of Italy | 5.625% | 6/15/12 | 6,550 | 6,684 |
Republic of Italy | 4.500% | 1/21/15 | 475 | 463 |
Republic of Italy | 4.750% | 1/25/16 | 225 | 218 |
Republic of Italy | 5.250% | 9/20/16 | 350 | 352 |
Republic of Italy | 6.875% | 9/27/23 | 2,100 | 2,438 |
Republic of Italy | 5.375% | 6/15/33 | 625 | 613 |
Republic of Korea | 8.875% | 4/15/08 | 725 | 755 |
Republic of Korea | 4.250% | 6/1/13 | 2,300 | 2,165 |
Republic of Korea | 5.625% | 11/3/25 | 250 | 250 |
Republic of Poland | 6.250% | 7/3/12 | 675 | 707 |
Republic of Poland | 5.250% | 1/15/14 | 500 | 503 |
Republic of South Africa | 7.375% | 4/25/12 | 1,100 | 1,187 |
Republic of South Africa | 6.500% | 6/2/14 | 325 | 341 |
Republic of South Africa | 8.500% | 6/23/17 | 500 | 606 |
State of Israel | 4.625% | 6/15/13 | 225 | 215 |
State of Israel | 5.500% | 11/9/16 | 950 | 949 |
Swedish Export Credit Corp. | 4.125% | 10/15/08 | 625 | 616 |
Swedish Export Credit Corp. | 4.000% | 6/15/10 | 450 | 435 |
United Mexican States | 10.375% | 2/17/09 | 265 | 292 |
United Mexican States | 9.875% | 2/1/10 | 975 | 1,104 |
United Mexican States | 8.375% | 1/14/11 | 4,650 | 5,178 |
United Mexican States | 7.500% | 1/14/12 | 203 | 223 |
United Mexican States | 6.375% | 1/16/13 | 266 | 280 |
United Mexican States | 6.625% | 3/3/15 | 47 | 51 |
United Mexican States | 11.375% | 9/15/16 | 100 | 144 |
United Mexican States | 5.625% | 1/15/17 | 3,425 | 3,432 |
United Mexican States | 8.125% | 12/30/19 | 1,100 | 1,345 |
United Mexican States | 8.300% | 8/15/31 | 2,350 | 3,024 |
United Mexican States | 7.500% | 4/8/33 | 275 | 325 |
United Mexican States | 6.750% | 9/27/34 | 1,925 | 2,089 |
Total Sovereign Bonds (Cost $124,116) |
|
|
| 124,098 |
Taxable Municipal Bonds (0.2%) |
|
|
|
|
Illinois (Taxable Pension) GO | 4.950% | 6/1/23 | 400 | 383 |
Illinois (Taxable Pension) GO | 5.100% | 6/1/33 | 4,700 | 4,499 |
Kansas Dev. Finance Auth. Rev. |
|
|
|
|
(Public Employee Retirement System) | 5.501% | 5/1/34 | 675 | 677 |
New Jersey Econ. Dev. Auth. State Pension Rev. | 7.425% | 2/15/29 | 500 | 617 |
New Jersey Turnpike Auth. Rev. | 4.252% | 1/1/16 | 10 | 9 |
New Jersey Turnpike Auth. Rev. | 4.252% | 1/1/16 | 290 | 274 |
Oregon (Taxable Pension) GO | 5.762% | 6/1/23 | 225 | 234 |
Oregon (Taxable Pension) GO | 5.892% | 6/1/27 | 450 | 471 |
Oregon School Board Assn. | 4.759% | 6/30/28 | 300 | 276 |
Oregon School Board Assn. | 5.528% | 6/30/28 | 100 | 100 |
Wisconsin Public Service Rev. | 4.800% | 5/1/13 | 275 | 270 |
Wisconsin Public Service Rev. | 5.700% | 5/1/26 | 275 | 285 |
Total Taxable Municipal Bonds (Cost $8,101) |
|
| 8,095 |
42
|
| Market |
|
| Value• |
| Shares | ($000) |
Temporary Cash Investment (0.2%) |
|
|
5 Vanguard Market Liquidity Fund, 5.294% | 11,589 | 11,589 |
Total Temporary Cash Investment (Cost $11,589) |
| 11,589 |
Total Investments (100.4%) (Cost $4,855,609) |
| 4,846,900 |
Other Assets and Liabilities (–0.4%) |
|
|
Other Assets |
| 105,203 |
Liabilities |
| (125,870) |
|
| (20,667) |
Net Assets (100%) |
|
|
Applicable to 95,914,198 outstanding $.001 |
|
|
par value shares of beneficial interest (unlimited authorization) |
| 4,826,233 |
Net Asset Value Per Share |
| $50.32 |
|
|
|
|
|
|
|
|
|
At December 31, 2006, net assets consisted of:6 |
|
|
|
|
|
| Amount | Per |
| ($000) | Share |
Paid-in Capital | 4,853,326 | $50.60 |
Overdistributed Net Investment Income | (2,335) | (.02) |
Accumulated Net Realized Losses | (15,981) | (.17) |
Unrealized Depreciation |
|
|
Investment Securities | (8,709) | (.09) |
Swap Contracts | (68) | — |
Net Assets | 4,826,233 | $50.32 |
• See Note A in Notes to Financial Statements.
1 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government. If needed, access to additional funding from the U.S. Treasury (beyond the issuer’s line of credit) would require congressional action.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3 Adjustable-rate note.
4 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2006, the aggregate value of these securities was $7,386,000, representing 0.2% of net asstes.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
6 See Note C in Notes to Financial Statements for the tax-basis components of net assets.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
43
Statement of Operations
| Year Ended |
| December 31, 2006 |
| ($000) |
Investment Income |
|
Income |
|
Interest1 | 196,600 |
Security Lending | 4 |
Total Income | 196,604 |
Expenses |
|
The Vanguard Group—Note B |
|
Management and Administrative | 1,916 |
Total Expenses | 1,916 |
Net Investment Income | 194,688 |
Realized Net Gain (Loss) |
|
Investment Securities Sold | (12,978) |
Swap Contracts | 3,125 |
Realized Net Gain (Loss) | (9,853) |
Change in Unrealized Appreciation (Depreciation) |
|
Investment Securities | (6,984) |
Swap Contracts | (637) |
Change in Unrealized Appreciation (Depreciation) | (7,621) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 177,214 |
1 Interest income from an affiliated company of the fund was $2,554,000.
44
Statement of Changes in Net Assets
| Year Ended December 31, | |
| 2006 | 2005 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net Investment Income | 194,688 | 61,023 |
Realized Net Gain (Loss) | (9,853) | (3,580) |
Change in Unrealized Appreciation (Depreciation) | (7,621) | (14,165) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 177,214 | 43,278 |
Distributions |
|
|
Net Investment Income | (198,594) | (60,622) |
Realized Capital Gain | — | — |
Total Distributions | (198,594) | (60,622) |
Capital Share Transactions—Note E |
|
|
Issued | 2,098,246 | 1,954,781 |
Issued in Lieu of Cash Distributions | 183,996 | 48,683 |
Redeemed | (295,286) | (295,136) |
Net Increase (Decrease) from Capital Share Transactions | 1,986,956 | 1,708,328 |
Total Increase (Decrease) | 1,965,576 | 1,690,984 |
Net Assets |
|
|
Beginning of Period | 2,860,657 | 1,169,673 |
End of Period1 | 4,826,233 | 2,860,657 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($2,335,000) and $0.
45
Financial Highlights
Institutional Total Bond Market Index Fund | ||||||
|
|
|
|
|
| |
|
|
| April 261 to | |||
| Year Ended December 31, | Dec. 31, | ||||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 | |
Net Asset Value, Beginning of Period | $50.79 | $51.79 | $51.80 | $51.89 | $50.00 | |
Investment Operations |
|
|
|
|
| |
Net Investment Income | 2.540 | 2.263 | 2.104 | 1.952 | 1.701 | |
Net Realized and Unrealized Gain (Loss) on Investments | (.429) | (1.007) | .106 | .133 | 1.891 | |
Total from Investment Operations | 2.111 | 1.256 | 2.210 | 2.085 | 3.592 | |
Distributions |
|
|
|
|
| |
Dividends from Net Investment Income | (2.581) | (2.256) | (2.193) | (1.997) | (1.690) | |
Distributions from Realized Capital Gains | — | — | (.027) | (.178) | (.012) | |
Total Distributions | (2.581) | (2.256) | (2.220) | (2.175) | (1.702) | |
Net Asset Value, End of Period | $50.32 | $50.79 | $51.79 | $51.80 | $51.89 | |
|
|
|
|
|
| |
Total Return | 4.30% | 2.47% | 4.36% | 4.08% | 7.30% | |
|
|
|
|
|
| |
Ratios/Supplemental Data |
|
|
|
|
| |
Net Assets, End of Period (Millions) | $4,826 | $2,861 | $1,170 | $1,185 | $1,005 | |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05%* | |
Ratio of Net Investment Income to |
|
|
|
|
| |
Average Net Assets | 5.08% | 4.47% | 4.08% | 3.81% | 4.57%* | |
Portfolio Turnover Rate2 | 63% | 68% | 88% | 91% | 68% | |
1 Inception.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
* Annualized.
See accompanying Notes, which are an integral part of the Financial Statements.
46
Notes to Financial Statements
Vanguard Institutional Total Bond Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund is offered to investors who meet certain administrative and servicing criteria and invest a minimum of $100 million. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries.
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: Bonds, and 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. 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.
2. Mortgage Dollar Rolls: The fund has entered into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities, and is compensated by interest earned on the proceeds of the initial sale and by a lower price on the securities to be repurchased. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Net Assets. The primary risk associated with mortgage dollar rolls is that a counterparty will default on its obligations to deliver purchased securities.
3. Swap Contracts: The fund has entered into swap transactions to earn the total return on a specified security or index of fixed income securities. Under the terms of the swaps, the fund receives the total return (either receiving the increase or paying the decrease) on a reference security or index, applied to a notional principal amount. In return, the fund agrees to pay the counterparty a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount. At the same time, the fund invests an amount equal to the notional amount of the swaps in high-quality floating-rate securities.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The primary risk associated with total return swaps is that a counterparty will default on its obligation to pay net amounts due to the fund.
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.
47
5. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
6. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral (cash or U.S. government and agency securities) at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, and/or fees received from borrowers, less expenses associated with the loan.
7. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
B. The Vanguard Group provides investment advisory, corporate management, administrative, marketing, and distribution services and pays for all other operating expenses, except for taxes, in return for a fee calculated at an annual percentage rate of the average net assets of the fund. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Capital gain distributions are determined on a tax basis and may differ from 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 gains or losses are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
Realized and unrealized gains (losses) on certain of the fund’s swap contracts are treated as ordinary income (loss) for tax purposes; the effect on the fund’s income dividends to shareholders is offset by a change in principal return. Realized gains on swap contracts of $1,571,000 have been reclassified from accumulated net realized losses to overdistributed net investment income. Taxable income on swap contracts is accumulated monthly and included in income dividends paid to shareholders in the following month. At December 31, 2006, the fund had $2,335,000 of net swap losses available to reduce ordinary income dividends to shareholders.
For tax purposes, at December 31, 2006, the fund had available realized losses of $15,969,000 to offset future net capital gains of $2,064,000 through December 13, 2013, $13,397,000 through December 31, 2014, and $508,000 through December 31, 2015.
At December 31, 2006, the cost of investment securities for tax purposes was $4,855,620,000. Net unrealized depreciation of investment securities for tax purposes was $8,720,000, consisting of unrealized gains of $15,937,000 on securities that had risen in value since their purchase and $24,657,000 in unrealized losses on securities that had fallen in value since their purchase.
48
At December 31, 2006, the fund had the following open swap contracts:
Total Return Swaps |
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| Unrealized |
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| Notional | Floating | Appreciation |
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| Amount | Interest Rate | (Depreciation) |
Reference Entity/Termination Date | Dealer1 | ($000) | Paid2 | ($000) |
Commercial Mortgage-Backed Securities Index | ||||
1/31/07 | BA | 16,000 | 5.272% | — |
1/31/07 | BA | 14,000 | 5.322 | — |
2/28/07 | BA | 11,000 | 5.242 | — |
2/28/07 | BA | 14,000 | 5.262 | — |
2/28/07 | LEH | 10,000 | 5.276 | — |
3/31/07 | BA | 25,000 | 5.270 | — |
3/31/07 | LEH | 10,000 | 5.343 | — |
4/30/07 | BA | 25,000 | 5.252 | — |
4/30/07 | LEH | 14,000 | 5.326 | — |
4/30/07 | LEH | 20,000 | 5.251 | — |
5/31/07 | BA | 11,000 | 5.242 | — |
5/31/07 | BA | 44,000 | 5.302 | — |
Federal National Mortgage Assn., 5.00% 15-Year |
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1/31/07 | UBS | 3,000 | 5.216 | (5) |
Federal National Mortgage Assn., 6.50% 30-Year |
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1/31/07 | UBS | 12,000 | 5.146 | (55) |
Federal Home Loan Mortgage Corp., 5.50% 30-Year |
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1/31/07 | UBS | 10,000 | 5.046 | 1 |
Federal Home Loan Mortgage Corp., 6.00% 30-Year |
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1/31/07 | UBS | 18,000 | 5.146 | 8 |
1/31/07 | UBS | 17,000 | 5.146 | (17) |
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| (68) |
1 BA—Bank of America.
LEH—Lehman Brothers Special Financing Inc.
UBS—UBS Warburg.
2 Based on one-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.
49
D. During the year ended December 31, 2006, the fund purchased $668,912,000 of investment securities and sold $293,125,000 of investment securities other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $3,302,020,000 and $1,957,943,000, respectively.
E. Capital shares issued and redeemed were:
| Year Ended December 31, | |
| 2006 | 2005 |
| Shares | Shares |
| (000) | (000) |
Issued | 41,822 | 38,513 |
Issued in Lieu of Cash Distributions | 3,674 | 952 |
Redeemed | (5,906) | (5,725) |
Net Increase (Decrease) in Shares Outstanding | 39,590 | 33,740 |
F. In June 2006, the Financial Accounting Standards Board issued Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes.” FIN 48 establishes the minimum threshold for recognizing, and a system for measuring, the benefits of tax-return positions in financial statements. FIN 48 will be effective for the fund’s fiscal year ending December 31, 2007. Management is in the process of analyzing the fund’s tax positions for purposes of implementing FIN 48; based on the analysis completed to date, management does not believe the adoption of FIN 48 will result in any material impact to the fund’s financial statements.
50
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Institutional Index Funds and the Shareholders of Vanguard Institutional Total Bond Market Index Fund:
In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Institutional Total Bond Market Index Fund (one of the funds constituting Vanguard Institutional Index Funds, hereafter referred to as the “Fund”) at December 31, 2006, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2006 by correspondence with the custodian and brokers and by agreement to the underlying ownership records for Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 9, 2007
51
About Your Fund’s 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:
• 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.”
• Based on hypothetical 5% yearly 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 yearly return of 5% before expenses, 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.
Six Months Ended December 31, 2006 |
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| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
Institutional Total Bond Market Index Fund | 6/30/2006 | 12/31/2006 | Period1 |
Based on Actual Fund Return | $1,000.00 | $1,051.62 | $0.26 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,024.95 | 0.26 |
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. 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 in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.
1 The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratio for that period is 0.05%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
52
Glossary
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Average Quality. An indicator of credit risk, this figure is the average of the ratings assigned to a fund’s fixed income holdings by credit-rating agencies. The agencies make their judgment after appraising an issuer’s ability to meet its obligations. Quality is graded on a scale, with Aaa or AAA indicating the most creditworthy bond issuers. U.S. Treasury securities are considered to have the highest credit quality.
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.
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.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
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.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield. A snapshot of a fund’s interest income. The yield, expressed as a percentage of the fund’s net asset value, is based on income earned over the past 30 days (7 days for money market funds) and is annualized, or projected forward for the coming year.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
53
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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’s 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 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.
Chairman of the Board, Chief Executive Officer, and Trustee | |
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John J. Brennan1 |
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Born 1954 | Principal Occupation(s) During the Past Five Years: Chairman of the Board, |
Trustee since May 1987; | Chief E xecutive Officer, and Director/Trustee of The Vanguard Group, Inc., |
Chairman of the Board and | and of each of the investment companies served by The Vanguard Group. |
Chief Executive Officer |
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145 Vanguard Funds Overseen |
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Independent Trustees |
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Charles D. Ellis |
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Born 1937 | Principal Occupation(s) During the Past Five Years: Applecore Partners |
Trustee since January 2001 | (pro bono ventures in education); Senior Advisor to Greenwich Associates |
145 Vanguard Funds Overseen | (international business strategy consulting); Successor Trustee of Yale |
| University; Overseer of the Stern School of Business at New York University; |
| Trustee of the Whitehead Institute for Biomedical Research. |
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Rajiv L. Gupta |
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Born 1945 | Principal Occupation(s) During the Past Five Years: Chairman and Chief |
Trustee since December 20012 | Executive Officer of Rohm and Haas Co. (chemicals); Board Member of the |
145 Vanguard Funds Overseen | American Chemistry Council; Director of Tyco International, Ltd. (diversified |
| manufacturing and services) since 2005; Trustee of Drexel University and of the |
| Chemical Heritage Foundation. |
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Amy Gutmann |
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Born 1949 | Principal Occupation(s) During the Past Five Years: President of the University of |
Trustee since June 2006 | Pennsylvania since 2004; Professor in the School of Arts and Sciences, |
145 Vanguard Funds Overseen | Annenberg School for Communication, and Graduate School of Education of the |
| University of Pennsylvania since 2004; Provost (2001–2004) and Laurance S. |
| Rockefeller Professor of Politics and the University Center for Human Values |
| (1990–2004), Princeton University; Director of Carnegie Corporation of New York |
| since 2005 and of Schuylkill River Development Corporation and Greater |
| Philadelphia Chamber of Commerce since 2004. |
JoAnn Heffernan Heisen |
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Born 1950 | Principal Occupation(s) During the Past Five Years: Corporate Vice President and |
Trustee since July 1998 | Chief Global Diversity Officer since 2006, Vice President and Chief Information |
145 Vanguard Funds Overseen | Officer(1997–2005), and Member of the Executive Committee of Johnson & |
| Johnson(pharmaceuticals/consumer products); Director of the University Medical |
| Center at Princeton and Women’s Research and Education Institute. |
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André F. Perold |
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Born 1952 | Principal Occupation(s) During the Past Five Years: George Gund Professor of |
Trustee since December 2004 | Finance and Banking, Harvard Business School; Senior Associate Dean, Director |
145 Vanguard Funds Overseen | of Faculty Recruiting, and Chair of Finance Faculty, Harvard Business School; |
| Director and Chairman of UNX, Inc. (equities trading firm) since 2003; Chair of the |
| Investment Committee of HighVista Strategies LLC (private investment firm) since |
| 2005; Director of registered investment companies advised by Merrill Lynch |
| Investment Managers and affiliates(1985–2004), Genbel Securities Limited (South |
| African financial services firm) (1999–2003), Gensec Bank (1999–2003), Sanlam, |
| Ltd. (South African insurance company) (2001–2003), and Stockback, Inc. |
| (credit card firm) (2000–2002). |
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Alfred M. Rankin, Jr. |
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Born 1941 | Principal Occupation(s) During the Past Five Years: Chairman, President, |
Trustee since January 1993 | Chief Executive Officer, and Director of NACCO Industries, Inc. (forklift trucks/ |
145 Vanguard Funds Overseen | housewares/lignite); Director of Goodrich Corporation (industrial products/aircraft |
| systems and services). |
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J. Lawrence Wilson |
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Born 1936 | Principal Occupation(s) During the Past Five Years: Retired Chairman and Chief |
Trustee since April 1985 | Executive Officer of Rohm and Haas Co. (chemicals); Director of Cummins Inc. |
145 Vanguard Funds Overseen | (diesel engines), MeadWestvaco Corp. (packaging products), and |
| AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt |
| University and of Culver Educational Foundation. |
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Executive Officers1 |
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Heidi Stam |
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Born 1956 | Principal Occupation(s) During the Past Five Years: Managing Director of The |
Secretary since July 2005 | Vanguard Group, Inc., since 2006; General Counsel of The Vanguard Group since |
145 Vanguard Funds Overseen | 2005; Secretary of The Vanguard Group, and of each of the investment companies |
| served by The Vanguard Group, since 2005; Principal of The Vanguard Group |
| (1997–2006). |
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Thomas J. Higgins |
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Born 1957 | Principal Occupation(s) During the Past Five Years: Principal of The Vanguard |
Treasurer since July 1998 | Group, Inc.; Treasurer of each of the investment companies served by The |
145 Vanguard Funds Overseen | Vanguard Group. |
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Vanguard Senior Management Team |
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R. Gregory Barton | Kathleen C. Gubanich | Michael S. Miller |
Mortimer J. Buckley | Paul A. Heller | Ralph K. Packard |
James H. Gately | F. William McNabb, III | George U. Sauter |
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Founder |
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John C. Bogle |
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Chairman and Chief Executive Officer, 1974–1996 |
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1 Officers of the funds are “interested persons” as defined in the Investment Company Act of 1940.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group.
P.O. Box 2600
Valley Forge, PA 19482-2600
Connect with Vanguard® > www.vanguard.com
Fund Information > 800-662-7447 | Vanguard, Connect with Vanguard, and the ship logo are |
| trademarks of The Vanguard Group, Inc. |
Direct Investor Account Services > 800-662-2739 | |
| All other marks are the exclusive property of their |
| respective owners. |
Institutional Investor Services >800-523-1036 | |
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Text Telephone for the |
|
Hearing Impaired > 800-952-3335 | All comparative mutual fund data are from Lipper Inc. |
| or Morningstar, Inc., unless otherwise noted. |
|
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| 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 |
This material may be used in conjunction | Vanguard at 800-662-2739. They are also available from |
with the offering of shares of any Vanguard |
|
fund only if preceded or accompanied by |
|
the fund’s current prospectus. |
|
| the SEC’s website, www.sec.gov. In addition, you may |
| obtain a free report on how your 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. |
|
|
| You can review and copy information about your fund |
| at the SEC’s Public Reference Room in Washington, D.C. |
| To find out more about this public service, call the SEC |
| at 202-551-8090. Information about your fund is also |
| available on the SEC’s website, and you can receive |
| copies of this information, for a fee, by sending a |
| request in either of two ways: via e-mail addressed to |
| publicinfo@sec.gov or via regular mail addressed to the |
| Public Reference Section, Securities and Exchange |
| Commission, Washington, DC 20549-0102. |
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| © 2007 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
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| Q3370 022007 |
Vanguard® Institutional | |
Total Stock Market Index Fund |
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> Annual Report |
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December 31, 2006 |
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> During 2006, Vanguard Institutional Total Stock Market Index Fund closely tracked its target index. The fund’s Institutional Shares returned 15.7%, and the Institutional Plus Shares returned 15.8%.
> Value stocks outdistanced growth stocks during the period. The financials and energy sectors did particularly well, while gains in the health care and information technology sectors were more modest.
> With its low costs and broad diversification, the fund demonstrated the advantages of indexing across the entire stock market.
Contents |
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Your Fund’s Total Returns | 1 |
Chairman’s Letter | 2 |
Fund Profile | 6 |
Performance Summary | 7 |
Financial Statements | 9 |
About Your Fund’s Expenses | 53 |
Glossary | 55 |
Institutional Total Stock Market Index Fund |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the cover of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2006 |
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| Total |
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Vanguard Institutional Total Stock Market Index Fund |
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Institutional Shares1 | 15.7% |
Institutional Plus Shares2 | 15.8 |
MSCI® US Broad Market Index | 15.7 |
Average Multi-Cap Core Fund3 | 13.3 |
Your Fund’s Performance at a Glance | ||||
December 31, 2005–December 31, 2006 | ||||
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| Distributions Per Share | |
| Starting | Ending | Income | Capital |
| Share Price | Share Price | Dividends | Gains |
Vanguard Institutional |
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Total Stock Market Index Fund |
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Institutional Shares | $27.00 | $30.71 | $0.501 | $0.000 |
Institutional Plus Shares | 27.00 | 30.71 | 0.506 | 0.000 |
1 This class of shares carries low expenses and is available for a minimum investment of $100 million.
2 This class of shares also carries low expenses and is available for a minimum investment of $200 million.
3 Derived from data provided by Lipper Inc.
1
Chairman’s Letter
Dear Shareholder,
Spurred by strong fourth-quarter gains, the U.S. stock market finished 2006 with a flourish. The Morgan Stanley Capital International® (MSCI®) US Broad Market Index returned a robust 15.7% for the year.
Vanguard Institutional Total Stock Market Index Fund fulfilled its objective of closely tracking its target index. During the period, the fund outperformed the average return of its peer group by more than 2 percentage points.
Strong second half pushed stocks to new high
Beginning in mid-July, stocks climbed steadily through the remainder of the year, with the Dow Jones Industrial Average setting a record high on December 27. Despite a soft housing sector and ongoing troubles within the U.S. auto industry, the economy continued to grow and corporate profits remained strong.
For the year, small-capitalization stocks beat out large-cap issues, and value stocks outperformed their growth-oriented counterparts. International stocks continued to best domestic equities, particularly in emerging markets and Europe. A declining dollar further enhanced returns abroad for U.S.-based investors.
2
Bond returns remained modest as the Fed paused its rate hikes
The Federal Reserve Board extended its money-tightening campaign during the first half of the year, raising its target for the federal funds rate four times. The Fed then paused, leaving the target rate unchanged at 5.25% for the rest of the year, and inflation fears eased. Bond yields declined in the second half of the year, and short-term yields were higher than longer-term yields.
Fixed income returns for 2006 were modest, with the broad taxable bond market returning 4.3%, and municipal bonds providing 4.8%.
The fund performed well in 2006
A robust fourth quarter brought the 2006 stock market to a close with healthy gains. Throughout the year, Vanguard Institutional
Total Stock Market Index Fund closely tracked the performance of its target index. The one-year return of 15.7% for the fund’s Institutional Shares reflected the fund’s exposure to the entire market, including the strong relative performance of mid- and small-cap stocks. For the 12 months, the fund’s strategy of investing across the broad market proved to be advantageous.
Among the fund’s holdings, the rallying financials and energy sectors made the most significant contributions to the fund’s performance. Within financials, investment banks showed strong gains, while oil and natural gas producers benefited from increased demand and higher prices, boosting the energy sector.
Market Barometer |
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| Average Annual Total Returns | |
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| One Year | Three Years | Five Years |
Stocks |
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Russell 1000 Index (Large-caps) | 15.5% | 11.0% | 6.8% |
Russell 2000 Index (Small-caps) | 18.4 | 13.6 | 11.4 |
Dow Jones Wilshire 5000 Index (Entire market) | 15.9 | 11.5 | 7.6 |
MSCI All Country World Index ex USA (International) | 27.2 | 21.8 | 16.9 |
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Bonds |
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Lehman Aggregate Bond Index (Broad taxable market) | 4.3% | 3.7% | 5.1% |
Lehman Municipal Bond Index | 4.8 | 4.3 | 5.5 |
Citigroup 3-Month Treasury Bill Index | 4.8 | 3.0 | 2.3 |
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CPI |
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Consumer Price Index | 2.5% | 3.1% | 2.7% |
3
Another double-digit performer was the consumer discretionary sector, where retailers, cable television suppliers, and entertainment companies all advanced. Telecommunication services, one of the portfolio’s smallest sectors, posted the highest gain (37%) for the year.
All ten industry sectors in the portfolio turned in positive returns, although gains for the health care and information technology groups were comparatively modest—health care stocks gained 7%, while the information technology sector returned 9% for the year. Within tech, a number of semiconductor manufacturers and Internet companies had tough years, among them Intel, Yahoo!, and eBay. Within health care, providers and services firms had a weak year.
Long-term returns show the value of indexing
Indexing is meant to be a long-term approach, and as you can see in the accompanying table on page 5, the fund’s market-matching strategy has proven its value over the longer term. From 2001 through year-end 2006, both share classes of the portfolio have produced average annual returns exceeding those of the average multi-cap core fund—an imperfect benchmark for institutional portfolios, but a standard that helps illustrate the power of broad market indexing.
For instance, for the Institutional Plus Shares, the fund’s seemingly modest outperformance in return would have translated into a difference of about $14.6 million in the ending value of a hypothetical $200,000,000 investment made on May 31, 2001.
This result is consistent with our long-term goals for indexing—namely, to offer shareholders diversification, low trading and operating costs, and the advantage of being fully invested in stocks. Much of the credit for your fund’s track record goes to the fund’s manager, Vanguard Quantitative Equity Group, which uses proprietary portfolio-construction and trading strategies that have kept the fund’s returns in lockstep with the index. This is no simple feat when you consider that the fund has operating and transaction costs, while the index has none.
Indexing is a proven strategy
Although indexing’s benefits become especially clear over time, its virtues are often evident in the short run, too. The 2006 performance of Vanguard Institutional Total Stock Market Index Fund was particularly gratifying.
4
Still, it’s important to recognize that there will occasionally be years when your fund’s actively managed competitors outperform. In these missives, we routinely stress to investors that neither under- nor outperformance in the short term is all that meaningful. On the contrary, we always encourage our shareholders to evaluate their investments from a long-term perspective.
For our institutional clients, we believe the Institutional Total Stock Market Index Fund is one of the most practical ways to capitalize on the broad market’s long-term potential. As a core component in a portfolio that may also include actively managed strategies, the Institutional Total Stock Market Index Fund serves you well as a low-cost, long-term holding.
Thank you for investing with Vanguard.
Sincerely,
John J. Brennan
Chairman and Chief Executive Officer
January 15, 2007
Total Returns |
|
|
| August 31, 20011, through December 31, 2006 | |
|
| Final Value of a |
| Average | $100,000,000 |
| Annual Return | Initial Investment |
Institutional Total Stock Market Index Fund Institutional Shares | 7.6% | $147,769,124 |
Spliced Institutional Total Stock Market Index2 | 7.5 | 147,418,630 |
Average Multi-Cap Core Fund3 | 6.4 | 139,004,235 |
|
| |
| May 31, 20011, through December 31, 2006 | |
|
| Final Value of a |
| Average | $200,000,000 |
| Annual Return | Initial Investment |
Institutional Total Stock Market Index Fund Institutional Plus Shares | 5.5% | $269,111,428 |
Spliced Institutional Total Stock Market Index2 | 5.4 | 267,855,454 |
Average Multi-Cap Core Fund3 | 4.4 | 254,559,516 |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, 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.
1 Share-class inception.
2 Dow Jones Wilshire 5000 Index through April 8, 2005; MSCI US Broad Market Index thereafter.
3 Derived from data provided by Lipper Inc.
5
Fund Profile
As of December 31, 2006
Portfolio Characteristics |
|
|
|
| Target |
| Fund | Index1 |
Number of Stocks | 3,355 | 3,968 |
Median Market Cap | $31.2B | $31.2B |
Price/Earnings Ratio | 18.0x | 18.0x |
Price/Book Ratio | 2.8x | 2.8x |
Yield |
| 1.7% |
Institutional Shares | 1.6% |
|
Institutional Plus Shares | 1.6% |
|
Return on Equity | 17.8% | 17.9% |
Earnings Growth Rate | 18.4% | 18.5% |
Foreign Holdings | 0.1% | 0.1% |
Turnover Rate | 8% | — |
Expense Ratio |
| — |
Institutional Shares | 0.045% |
|
Institutional Plus Shares | 0.025% |
|
Short-Term Reserves | 0% | — |
Sector Diversification (% of portfolio) |
| |
|
| Target |
| Fund | Index1 |
Consumer Discretionary | 12% | 12% |
Consumer Staples | 8 | 8 |
Energy | 9 | 9 |
Financials | 23 | 23 |
Health Care | 12 | 12 |
Industrials | 11 | 11 |
Information Technology | 15 | 15 |
Materials | 3 | 3 |
Telecommunication Services | 3 | 3 |
Utilities | 4 | 4 |
Volatility Measures2 |
|
| Fund Versus |
| Spliced Index3 |
R-Squared | 1.00 |
Beta | 1.00 |
Ten Largest Holdings4 (% of total net assets) | ||
|
|
|
ExxonMobil Corp. | integrated oil |
|
| and gas | 2.8% |
General Electric Co. | industrial |
|
| conglomerates | 2.4 |
Citigroup, Inc. | diversified financial |
|
| services | 1.7 |
Microsoft Corp. | systems software | 1.7 |
Bank of America Corp. | diversified financial |
|
| services | 1.5 |
The Procter & Gamble Co. | household products | 1.3 |
Johnson & Johnson | pharmaceuticals | 1.2 |
Pfizer Inc. | pharmaceuticals | 1.2 |
Altria Group, Inc. | tobacco | 1.1 |
JPMorgan Chase & Co. | diversified financial |
|
| services | 1.0 |
Top Ten |
| 15.9% |
Investment Focus
1 MSCI US Broad Market Index.
2 For an explanation of R-squared, beta, and other terms used here, see the Glossary on page 55.
3 Dow Jones Wilshire 5000 Index through April 8, 2005; MSCI US Broad Market Index thereafter.
4 “Ten Largest Holdings” excludes any temporary cash investments and equity index products.
6
Performance Summary
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. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, 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.
Cumulative Performance: August 31, 2001–December 31, 2006
Initial Investment of $100,000,000
| Average Annual Total Returns |
| ||
| Periods Ended December 31, 2006 | Final Value of a | ||
| One | Five | Since | $100,000,000 |
| Year | Years | Inception1 | Investment |
Institutional Total Stock Market Index Fund Institutional Shares | 15.74% | 7.63% | 7.59% | $147,769,124 |
Spliced Institutional Total Stock Market Index2 | 15.72 | 7.59 | 7.55 | 147,418,630 |
Average Multi-Cap Core Fund3 | 13.31 | 6.39 | 6.37 | 139,004,235 |
|
|
|
|
|
|
|
|
| Final Value of a |
| One | Five | Since | $200,000,000 |
| Year | Years | Inception1 | Investment |
Institutional Total Stock Market Index |
|
|
|
|
Fund Institutional Plus Shares | 15.76% | 7.66% | 5.46% | $269,111,428 |
Spliced Institutional Total Stock Market Index2 | 15.72 | 7.59 | 5.37 | 267,855,454 |
1 Inception dates are: for Institutional Shares, August 31, 2001; for Institutional Plus Shares, May 31, 2001.
2 Dow Jones Wilshire 5000 through April 8, 2005; MSCI US Broad Market Index thereafter.
3 Derived from data provided by Lipper Inc.
7
Fiscal-Year Total Returns (%): August 31, 2001–December 31, 2006
1 Dow Jones Wilshire 5000 Index through April 8, 2005; MSCI US Broad Market Index thereafter.
Note: See Financial Highlights tables on pages 47 and 48 for dividend and capital gains information.
8
Financial Statements
Statement of Net Assets
As of December 31, 2006
The fund provides a complete list of its holdings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at www.sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
Common Stocks (99.5%)1 |
|
| |
Consumer Discretionary (11.6%) |
|
| |
| Time Warner, Inc. | 1,377,285 | 29,997 |
| Home Depot, Inc. | 716,373 | 28,771 |
* | Comcast Corp. Class A | 672,353 | 28,461 |
| The Walt Disney Co. | 688,167 | 23,583 |
| McDonald’s Corp. | 418,810 | 18,566 |
| News Corp., Class A | 827,476 | 17,774 |
| Target Corp. | 282,463 | 16,115 |
| Lowe’s Cos., Inc. | 506,398 | 15,774 |
* | Starbucks Corp. | 262,071 | 9,283 |
* | Viacom Inc. Class B | 216,680 | 8,890 |
| The McGraw-Hill Cos., Inc. | 122,008 | 8,299 |
| Carnival Corp. | 152,042 | 7,458 |
| CBS Corp. | 236,312 | 7,368 |
| Federated Department |
|
|
| Stores, Inc. | 190,838 | 7,277 |
* | Kohl’s Corp. | 106,263 | 7,272 |
| Best Buy Co., Inc. | 142,619 | 7,015 |
| Staples, Inc. | 251,810 | 6,723 |
| Harley-Davidson, Inc. | 90,891 | 6,405 |
| NIKE, Inc. Class B | 63,102 | 6,249 |
| Omnicom Group Inc. | 59,584 | 6,229 |
| J.C. Penney Co., Inc. |
|
|
| (Holding Co.) | 77,380 | 5,986 |
| Johnson Controls, Inc. | 67,777 | 5,823 |
| Clear Channel |
|
|
| Communications, Inc. | 163,427 | 5,808 |
* | DIRECTV Group, Inc. | 232,878 | 5,808 |
| Marriott International, Inc. |
|
|
| Class A | 119,090 | 5,683 |
| Yum! Brands, Inc. | 93,882 | 5,520 |
* | Coach, Inc. | 126,837 | 5,449 |
| International Game |
|
|
| Technology | 117,642 | 5,435 |
* | Sears Holdings Corp. | 30,314 | 5,091 |
| Harrah’s Entertainment, Inc. | 61,199 | 5,062 |
* | Liberty Media-Interactive A | 232,420 | 5,013 |
| Gannett Co., Inc. | 81,973 | 4,956 |
| General Motors Corp. | 156,834 | 4,818 |
| Starwood Hotels & Resorts |
|
|
| Worldwide, Inc. | 75,488 | 4,718 |
| Ford Motor Co. | 627,332 | 4,711 |
* | Liberty Media Capital A | 46,668 | 4,573 |
| Fortune Brands, Inc. | 52,328 | 4,468 |
| TJX Cos., Inc. | 155,831 | 4,444 |
| Hilton Hotels Corp. | 127,027 | 4,433 |
* | Amazon.com, Inc. | 108,890 | 4,297 |
| The Gap, Inc. | 202,241 | 3,944 |
* | Office Depot, Inc. | 98,181 | 3,748 |
* | Bed Bath & Beyond, Inc. | 97,876 | 3,729 |
| Limited Brands, Inc. | 123,248 | 3,567 |
| Nordstrom, Inc. | 71,186 | 3,512 |
* | Las Vegas Sands Corp. | 37,000 | 3,311 |
| Mattel, Inc. | 131,022 | 2,969 |
| Genuine Parts Co. | 59,570 | 2,825 |
| Newell Rubbermaid, Inc. | 95,992 | 2,779 |
* | EchoStar Communications |
|
|
| Corp. Class A | 71,605 | 2,723 |
* | Univision |
|
|
| Communications Inc. | 74,832 | 2,651 |
* | IAC/InterActiveCorp | 70,971 | 2,637 |
| D. R. Horton, Inc. | 97,715 | 2,588 |
| Eastman Kodak Co. | 99,565 | 2,569 |
| Sherwin-Williams Co. | 40,148 | 2,553 |
* | MGM Mirage, Inc. | 44,214 | 2,536 |
| VF Corp. | 30,849 | 2,532 |
| Pulte Homes, Inc. | 75,477 | 2,500 |
| H & R Block, Inc. | 107,134 | 2,468 |
| NTL Inc. | 95,828 | 2,419 |
| Centex Corp. | 41,199 | 2,318 |
| Lennar Corp. Class A | 43,979 | 2,307 |
| ^Garmin Ltd. | 41,412 | 2,305 |
| Whirlpool Corp. | 27,259 | 2,263 |
* | AutoZone Inc. | 19,349 | 2,236 |
* | Wyndham Worldwide Corp. | 69,453 | 2,224 |
| Harman International |
|
|
| Industries, Inc. | 22,107 | 2,209 |
| American Eagle Outfitters, Inc. | 69,721 | 2,176 |
| Abercrombie & Fitch Co. | 30,575 | 2,129 |
9
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Cablevision Systems NY |
|
|
| Group Class A | 74,483 | 2,121 |
| Black & Decker Corp. | 25,795 | 2,063 |
* | Liberty Global, Inc. Class A | 68,265 | 1,990 |
* | Apollo Group, Inc. Class A | 50,960 | 1,986 |
* | CarMax, Inc. | 36,950 | 1,982 |
| Tim Hortons, Inc. | 67,225 | 1,947 |
| Darden Restaurants Inc. | 48,141 | 1,934 |
| Tiffany & Co. | 48,788 | 1,914 |
* | Interpublic Group of |
|
|
| Cos., Inc. | 153,594 | 1,880 |
* | Lamar Advertising Co. |
|
|
| Class A | 28,522 | 1,865 |
* | Liberty Global, Inc. Series C | 64,848 | 1,816 |
| Royal Caribbean Cruises, Ltd. | 43,416 | 1,797 |
* | Expedia, Inc. | 84,666 | 1,776 |
| Tribune Co. | 55,443 | 1,707 |
| Polo Ralph Lauren Corp. | 21,455 | 1,666 |
| Dollar General Corp. | 103,190 | 1,657 |
| Wynn Resorts Ltd. | 17,551 | 1,647 |
| Liz Claiborne, Inc. | 36,036 | 1,566 |
* | ^Sirius Satellite Radio, Inc. | 440,278 | 1,559 |
| E.W. Scripps Co. Class A | 30,949 | 1,546 |
* | R.H. Donnelley Corp. | 24,488 | 1,536 |
| Leggett & Platt, Inc. | 62,735 | 1,499 |
| Family Dollar Stores, Inc. | 49,932 | 1,465 |
| Ross Stores, Inc. | 49,606 | 1,453 |
* | Idearc Inc. | 50,613 | 1,450 |
| Washington Post Co. Class B | 1,930 | 1,439 |
| Station Casinos, Inc. | 17,589 | 1,436 |
* | Discovery Holding Co. |
|
|
| Class A | 88,661 | 1,427 |
* | Mohawk Industries, Inc. | 18,786 | 1,406 |
| PetSmart, Inc. | 48,646 | 1,404 |
| Hasbro, Inc. | 51,263 | 1,397 |
| KB Home | 27,094 | 1,389 |
* | XM Satellite Radio |
|
|
| Holdings, Inc. | 93,498 | 1,351 |
| ServiceMaster Co. | 101,421 | 1,330 |
| Jones Apparel Group, Inc. | 39,204 | 1,311 |
| Advance Auto Parts, Inc. | 36,663 | 1,304 |
* | Toll Brothers, Inc. | 40,267 | 1,298 |
| OfficeMax, Inc. | 25,873 | 1,285 |
| Brinker International, Inc. | 42,537 | 1,283 |
| The Stanley Works | 25,437 | 1,279 |
* | Chico’s FAS, Inc. | 61,280 | 1,268 |
| Foot Locker, Inc. | 54,347 | 1,192 |
| BorgWarner, Inc. | 20,011 | 1,181 |
* | The Goodyear Tire |
|
|
| & Rubber Co. | 55,767 | 1,171 |
| ^New York Times Co. |
|
|
| Class A | 47,317 | 1,152 |
| Circuit City Stores, Inc. | 60,451 | 1,147 |
* | AutoNation, Inc. | 51,868 | 1,106 |
| Wendy’s International, Inc. | 33,193 | 1,098 |
* | Comcast Corp. Special |
|
|
| Class A | 26,044 | 1,091 |
* | O’Reilly Automotive, Inc. | 33,790 | 1,083 |
* | Penn National Gaming, Inc. | 25,623 | 1,066 |
| Williams-Sonoma, Inc. | 33,601 | 1,056 |
| Service Corp. International | 102,264 | 1,048 |
* | NVR, Inc. | 1,609 | 1,038 |
* | Dollar Tree Stores, Inc. | 34,432 | 1,036 |
| Brunswick Corp. | 32,420 | 1,034 |
| Claire’s Stores, Inc. | 30,869 | 1,023 |
* | ITT Educational Services, Inc. | 14,834 | 985 |
| Phillips-Van Heusen Corp. | 19,248 | 966 |
* | GameStop Corp. Class B | 17,269 | 946 |
| Snap-On Inc. | 19,363 | 922 |
| OSI Restaurant Partners, Inc. | 23,427 | 918 |
* | Big Lots Inc. | 39,871 | 914 |
| Weight Watchers |
|
|
| International, Inc. | 17,095 | 898 |
| Boyd Gaming Corp. | 19,670 | 891 |
| The McClatchy Co. Class A | 19,357 | 838 |
| Ryland Group, Inc. | 15,324 | 837 |
* | AnnTaylor Stores Corp. | 25,466 | 836 |
* | Laureate Education Inc. | 17,070 | 830 |
* | Career Education Corp. | 33,190 | 822 |
* | Urban Outfitters, Inc. | 34,546 | 796 |
* | Hanesbrands Inc. | 33,311 | 787 |
| Dillard’s Inc. | 22,406 | 784 |
| Barnes & Noble, Inc. | 19,549 | 776 |
* | Payless ShoeSource, Inc. | 23,642 | 776 |
| RadioShack Corp. | 45,207 | 759 |
* | Getty Images, Inc. | 17,690 | 757 |
| Gentex Corp. | 48,486 | 754 |
* | Jarden Corp. | 21,213 | 738 |
* | Gaylord Entertainment Co. | 14,279 | 727 |
* | Scientific Games Corp. | 23,875 | 722 |
* | Rent-A-Center, Inc. | 24,428 | 721 |
| Saks Inc. | 40,402 | 720 |
| Meredith Corp. | 12,756 | 719 |
| Dow Jones & Co., Inc. | 18,871 | 717 |
| SCP Pool Corp. | 18,039 | 707 |
| Orient-Express Hotel Ltd. | 14,800 | 700 |
| Lear Corp. | 23,556 | 696 |
* | Aztar Corp. | 12,659 | 689 |
* | NutriSystem Inc. | 10,700 | 678 |
| MDC Holdings, Inc. | 11,850 | 676 |
* | Quiksilver, Inc. | 42,785 | 674 |
| ^Polaris Industries, Inc. | 14,098 | 660 |
* | The Cheesecake Factory Inc. | 26,429 | 650 |
* | Jack in the Box Inc. | 10,610 | 648 |
| Men’s Wearhouse, Inc. | 16,856 | 645 |
| Beazer Homes USA, Inc. | 13,663 | 642 |
* | Dick’s Sporting Goods, Inc. | 13,066 | 640 |
| Applebee’s International, Inc. | 25,911 | 639 |
| Regis Corp. | 15,788 | 624 |
| Standard Pacific Corp. | 22,379 | 600 |
| DeVry, Inc. | 21,175 | 593 |
10
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Marvel Entertainment, Inc. | 21,997 | 592 |
| Sotheby’s | 18,820 | 584 |
* | Panera Bread Co. | 10,434 | 583 |
* | Sonic Corp. | 24,226 | 580 |
* | Charming Shoppes, Inc. | 42,737 | 578 |
* | Aeropostale, Inc. | 18,380 | 567 |
* | Timberland Co. | 17,939 | 567 |
| Ruby Tuesday, Inc. | 20,553 | 564 |
| Thor Industries, Inc. | 12,806 | 563 |
| Belo Corp. Class A | 30,301 | 557 |
* | Pinnacle Entertainment, Inc. | 16,677 | 553 |
| International Speedway Corp. | 10,784 | 550 |
* | Under Armour, Inc. | 10,822 | 546 |
| Choice Hotel |
|
|
| International, Inc. | 12,823 | 540 |
* | priceline.com, Inc. | 12,137 | 529 |
| Wolverine World Wide, Inc. | 18,557 | 529 |
* | Tractor Supply Co. | 11,806 | 528 |
| Reader’s Digest |
|
|
| Association, Inc. | 31,466 | 525 |
* | The Children’s Place |
|
|
| Retail Stores, Inc. | 8,143 | 517 |
| John Wiley & Sons Class A | 13,206 | 508 |
| Strayer Education, Inc. | 4,735 | 502 |
| Harte-Hanks, Inc. | 17,905 | 496 |
* | Life Time Fitness, Inc. | 10,159 | 493 |
* | Pacific Sunwear of |
|
|
| California, Inc. | 24,976 | 489 |
| Borders Group, Inc. | 21,680 | 485 |
| CBRL Group, Inc. | 10,813 | 484 |
* | Coldwater Creek Inc. | 19,717 | 483 |
| Bob Evans Farms, Inc. | 14,017 | 480 |
* | Zale Corp. | 16,900 | 477 |
| The Yankee Candle Co., Inc. | 13,849 | 475 |
* | CEC Entertainment Inc. | 11,785 | 474 |
* | Guitar Center, Inc. | 10,339 | 470 |
* | Netflix.com, Inc. | 17,791 | 460 |
* | Tween Brands, Inc. | 11,406 | 455 |
| Brown Shoe Co., Inc. | 9,493 | 453 |
| Arbitron Inc. | 10,266 | 446 |
* | Charter |
|
|
| Communications, Inc. | 145,096 | 444 |
| Group 1 Automotive, Inc. | 8,562 | 443 |
* | The Gymboree Corp. | 11,592 | 442 |
| American Greetings Corp. |
|
|
| Class A | 18,463 | 441 |
| Matthews International Corp. | 11,196 | 441 |
* | Live Nation | 19,503 | 437 |
| Catalina Marketing Corp. | 15,653 | 430 |
* | Blockbuster Inc. Class A | 81,346 | 430 |
* | DreamWorks Animation |
|
|
| SKG, Inc. | 14,576 | 430 |
* | Corinthian Colleges, Inc. | 30,912 | 421 |
| Lee Enterprises, Inc. | 13,505 | 419 |
* | Bally Technologies Inc. | 22,388 | 418 |
* | Hibbett Sporting Goods, Inc. | 13,543 | 413 |
* | Hovnanian Enterprises Inc. |
|
|
| Class A | 12,156 | 412 |
| Triarc Cos., Inc. Class B | 20,328 | 407 |
| Ethan Allen Interiors, Inc. | 11,211 | 405 |
| Jackson Hewitt Tax |
|
|
| Service Inc. | 11,900 | 404 |
* | The Warnaco Group, Inc. | 15,886 | 403 |
| Tupperware Corp. | 17,669 | 399 |
* | Carter’s, Inc. | 15,196 | 387 |
| ADVO, Inc. | 11,570 | 377 |
| Callaway Golf Co. | 25,968 | 374 |
| Winnebago Industries, Inc. | 11,180 | 368 |
* | Bright Horizons Family |
|
|
| Solutions, Inc. | 9,476 | 366 |
* | Rare Hospitality |
|
|
| International Inc. | 11,046 | 364 |
* | Meritage Corp. | 7,514 | 359 |
* | The Dress Barn, Inc. | 15,314 | 357 |
| Entercom |
|
|
| Communications Corp. | 12,670 | 357 |
* | Tenneco Automotive, Inc. | 14,329 | 354 |
* | Deckers Outdoor Corp. | 5,900 | 354 |
* | Visteon Corp. | 41,447 | 351 |
* | Fossil, Inc. | 15,250 | 344 |
| IHOP Corp. | 6,441 | 338 |
* | LKQ Corp. | 14,596 | 336 |
| ArvinMeritor, Inc. | 18,356 | 335 |
| CKE Restaurants Inc. | 18,089 | 333 |
* | Scholastic Corp. | 9,260 | 332 |
| American Axle & |
|
|
| Manufacturing Holdings, Inc. | 17,468 | 332 |
* | P.F. Chang’s China Bistro, Inc. | 8,358 | 321 |
* | Iconix Brand Group Inc. | 16,486 | 320 |
* | Cabela’s Inc. | 13,200 | 319 |
* | RC2 Corp. | 7,182 | 316 |
| Warner Music Group Corp. | 13,553 | 311 |
* | Shuffle Master, Inc. | 11,807 | 309 |
* | Steiner Leisure Ltd. | 6,798 | 309 |
* | CSK Auto Corp. | 18,006 | 309 |
* | Charlotte Russe Holding Inc. | 10,005 | 308 |
* | Select Comfort Corp. | 17,600 | 306 |
* | California Pizza Kitchen, Inc. | 9,179 | 306 |
| The Stride Rite Corp. | 20,057 | 302 |
| Aaron Rents, Inc. | 10,400 | 299 |
* | Vail Resorts Inc. | 6,572 | 295 |
| Landry’s Restaurants, Inc. | 9,758 | 294 |
* | Guess ?, Inc. | 4,599 | 292 |
| Asbury Automotive |
|
|
| Group, Inc. | 12,324 | 290 |
| Regal Entertainment Group |
|
|
| Class A | 13,563 | 289 |
* | Tempur-Pedic |
|
|
| International Inc. | 13,978 | 286 |
| Ameristar Casinos, Inc. | 9,300 | 286 |
| The Buckle, Inc. | 5,563 | 283 |
11
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Gemstar-TV Guide |
|
|
| International, Inc. | 70,528 | 283 |
| Kellwood Co. | 8,600 | 280 |
* | TRW Automotive |
|
|
| Holdings Corp. | 10,773 | 279 |
| Domino’s Pizza, Inc. | 9,930 | 278 |
* | RCN Corp. | 9,221 | 278 |
* | Buffalo Wild Wings Inc. | 5,200 | 277 |
* | GameStop Corp. Class A | 4,972 | 274 |
* | Helen of Troy Ltd. | 11,272 | 273 |
| Modine Manufacturing Co. | 10,857 | 272 |
| Cooper Tire & Rubber Co. | 18,948 | 271 |
* | ^Build-A-Bear-Workshop, Inc. | 9,559 | 268 |
* | J. Crew Group, Inc. | 6,900 | 266 |
* | Aftermarket |
|
|
| Technology Corp. | 12,449 | 265 |
| Ambassadors |
|
|
| International, Inc. | 5,709 | 260 |
* | LodgeNet |
|
|
| Entertainment Corp. | 10,400 | 260 |
| Cato Corp. Class A | 11,358 | 260 |
| Building Materials |
|
|
| Holding Corp. | 10,512 | 260 |
* | Mediacom |
|
|
| Communications Corp. | 31,881 | 256 |
| K-Swiss, Inc. | 8,288 | 255 |
* | Perry Ellis International Corp. | 6,119 | 251 |
* | 99 Cents Only Stores | 20,558 | 250 |
| United Auto Group, Inc. | 10,400 | 245 |
* | Isle of Capri Casinos, Inc. | 9,200 | 245 |
* | Genesco, Inc. | 6,500 | 242 |
| Churchill Downs, Inc. | 5,651 | 242 |
* | AFC Enterprises, Inc. | 13,665 | 241 |
| Sonic Automotive, Inc. | 8,313 | 241 |
* | Coinstar, Inc. | 7,713 | 236 |
* | Interface, Inc. | 16,580 | 236 |
| Furniture Brands |
|
|
| International Inc. | 14,484 | 235 |
* | Cache, Inc. | 9,300 | 235 |
* | A.C. Moore Arts & Crafts, Inc. | 10,814 | 234 |
* | Champion Enterprises, Inc. | 25,032 | 234 |
| Citadel Broadcasting Corp. | 23,500 | 234 |
| Columbia Sportswear Co. | 4,170 | 232 |
* | O’Charley’s Inc. | 10,700 | 228 |
* | VistaPrint Ltd. | 6,834 | 226 |
| ^La-Z-Boy Inc. | 19,039 | 226 |
| Oxford Industries, Inc. | 4,540 | 225 |
| Bandag, Inc. | 4,469 | 225 |
| Christopher & Banks Corp. | 11,988 | 224 |
| Oakley, Inc. | 11,019 | 221 |
| Cherokee Inc. | 5,148 | 221 |
* | Cox Radio, Inc. | 13,522 | 220 |
| Steven Madden, Ltd. | 6,257 | 220 |
* | Applica Inc. | 27,344 | 218 |
* | Retail Ventures, Inc. | 11,469 | 217 |
| Books-a-Million Inc. | 9,500 | 215 |
* | WMS Industries, Inc. | 6,155 | 215 |
* | ^Avatar Holding, Inc. | 2,634 | 213 |
* | Valassis |
|
|
| Communications, Inc. | 14,686 | 213 |
| Talbots Inc. | 8,652 | 209 |
* | Crocs, Inc. | 4,800 | 207 |
* | Harris Interactive Inc. | 41,100 | 207 |
| Sally Beauty Co. Inc. | 26,525 | 207 |
* | Casual Male Retail |
|
|
| Group, Inc. | 15,777 | 206 |
* | Drew Industries, Inc. | 7,900 | 205 |
| Interactive Data Corp. | 8,506 | 204 |
| Media General, Inc. Class A | 5,486 | 204 |
| The Pep Boys (Manny, |
|
|
| Moe & Jack) | 13,631 | 203 |
* | Benihana Inc. Class A | 6,493 | 199 |
| Stage Stores, Inc. | 6,547 | 199 |
* | Skechers U.S.A., Inc. | 5,908 | 197 |
* | Bluegreen Corp. | 15,294 | 196 |
| Hearst-Argyle Television Inc. | 7,688 | 196 |
* | Hayes Lemmerz |
|
|
| International, Inc. | 50,012 | 196 |
* | Luby’s, Inc. | 17,916 | 195 |
| Cadmus |
|
|
| Communications Corp. | 7,944 | 194 |
* | Keystone Automotive |
|
|
| Industries, Inc. | 5,700 | 194 |
* | GSI Commerce, Inc. | 10,269 | 193 |
| Blyth, Inc. | 9,227 | 191 |
* | Cumulus Media Inc. | 18,409 | 191 |
| CPI Corp. | 4,090 | 190 |
| Martha Stewart Living |
|
|
| Omnimedia, Inc. | 8,659 | 190 |
* | Texas Roadhouse, Inc. | 14,294 | 190 |
* | Leapfrog Enterprises, Inc. | 19,754 | 187 |
* | Vertrue Inc. | 4,863 | 187 |
* | Papa John’s International, Inc. | 6,394 | 185 |
* | dELiA*S, Inc. | 17,626 | 185 |
| Gray Television, Inc. | 25,141 | 184 |
| Pier 1 Imports Inc. | 30,883 | 184 |
| ^Brookfield Homes Corp. | 4,893 | 184 |
| Movado Group, Inc. | 6,268 | 182 |
| The Marcus Corp. | 6,916 | 177 |
| ^Carmike Cinemas, Inc. | 8,600 | 175 |
* | Systemax Inc. | 10,048 | 175 |
| Journal Communications, Inc. | 13,898 | 175 |
* | WCI Communities, Inc. | 9,066 | 174 |
* | Audiovox Corp. | 12,322 | 174 |
* | Chipotle Mexican Grill, Inc. | 3,039 | 173 |
| Lithia Motors, Inc. | 6,000 | 173 |
| Speedway Motorsports, Inc. | 4,468 | 172 |
* | MarineMax, Inc. | 6,500 | 169 |
* | Midas Inc. | 7,206 | 166 |
| Kenneth Cole |
|
|
| Productions, Inc. | 6,772 | 162 |
12
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Bassett Furniture |
|
|
| Industries, Inc. | 9,935 | 162 |
| UniFirst Corp. | 4,226 | 162 |
* | Krispy Kreme |
|
|
| Doughnuts, Inc. | 14,513 | 161 |
* | Denny’s Corp. | 34,200 | 161 |
* | ^Pre-Paid Legal Services, Inc. | 4,108 | 161 |
| Arctic Cat, Inc. | 9,138 | 161 |
* | Hartmarx Corp. | 22,764 | 161 |
* | Alloy, Inc. | 13,808 | 159 |
* | Entravision |
|
|
| Communications Corp. | 19,282 | 158 |
* | Fisher Communications, Inc. | 3,547 | 157 |
| CSS Industries, Inc. | 4,413 | 156 |
* | BJ’s Restaurants Inc. | 7,700 | 156 |
| Fred’s, Inc. | 12,900 | 155 |
* | Blue Nile Inc. | 4,200 | 155 |
| Nautilus Inc. | 10,962 | 153 |
| Kimball International, Inc. |
|
|
| Class B | 6,305 | 153 |
* | 4Kids Entertainment Inc. | 8,400 | 153 |
| Stewart Enterprises, Inc. |
|
|
| Class A | 24,341 | 152 |
* | K2 Inc. | 11,391 | 150 |
| Dover Downs Gaming |
|
|
| & Entertainment, Inc. | 11,131 | 149 |
* | Conn’s, Inc. | 6,395 | 149 |
| Ambassadors Group, Inc. | 4,900 | 149 |
* | JAKKS Pacific, Inc. | 6,724 | 147 |
| Big 5 Sporting Goods Corp. | 6,000 | 147 |
| Finish Line, Inc. | 10,200 | 146 |
| bebe stores, inc. | 7,294 | 144 |
| Westwood One, Inc. | 20,301 | 143 |
* | Cost Plus, Inc. | 13,800 | 142 |
* | Hot Topic, Inc. | 10,602 | 141 |
* | Carriage Services, Inc. | 27,484 | 140 |
* | Jo-Ann Stores, Inc. | 5,650 | 139 |
* | ^Sharper Image Corp. | 15,000 | 139 |
* | MTR Gaming Group Inc. | 11,313 | 138 |
| Superior Industries |
|
|
| International, Inc. | 7,137 | 138 |
* | Cavco Industries, Inc. | 3,896 | 137 |
* | ^Syntax-Brillian Corp. | 15,566 | 134 |
* | Red Robin Gourmet |
|
|
| Burgers, Inc. | 3,700 | 133 |
* | Burger King Holdings Inc. | 6,184 | 130 |
| Sun-Times Media Group, Inc. | 26,574 | 130 |
| M/I Homes, Inc. | 3,400 | 130 |
* | Radio One, Inc. Class D | 19,060 | 128 |
* | Fleetwood Enterprises, Inc. | 15,942 | 126 |
* | Exide Technologies | 28,974 | 126 |
| Journal Register Co. | 17,104 | 125 |
| Monaco Coach Corp. | 8,800 | 125 |
* | Universal Technical |
|
|
| Institute Inc. | 5,572 | 124 |
| Courier Corp. | 3,106 | 121 |
| Tuesday Morning Corp. | 7,777 | 121 |
| Deb Shops, Inc. | 4,560 | 120 |
| Haverty Furniture Cos., Inc. | 8,000 | 118 |
* | ^Gander Mountain Co. | 13,119 | 118 |
* | drugstore.com, Inc. | 32,150 | 118 |
* | 1-800-FLOWERS.COM, Inc. | 19,092 | 118 |
* | Trump Entertainment |
|
|
| Resorts, Inc. | 6,387 | 116 |
| California Coastal |
|
|
| Communities, Inc. | 5,420 | 116 |
* | Empire Resorts Inc. | 13,369 | 116 |
* | Six Flags, Inc. | 21,621 | 113 |
* | ^Bally Total Fitness |
|
|
| Holding Corp. | 46,209 | 113 |
| Beasley Broadcast |
|
|
| Group, Inc. | 11,815 | 113 |
| Bandag, Inc. Class A | 2,200 | 110 |
| Sinclair Broadcast Group, Inc. | 10,267 | 108 |
* | Steak n Shake Co. | 6,100 | 107 |
* | Fuel Systems Solutions, Inc. | 4,861 | 107 |
* | ValueVision Media, Inc. | 8,121 | 107 |
* | Interstate Hotels |
|
|
| & Resorts, Inc. | 14,062 | 105 |
* | Multimedia Games Inc. | 10,800 | 104 |
* | Jos. A. Bank Clothiers, Inc. | 3,531 | 104 |
* | Monarch Casino |
|
|
| & Resort, Inc. | 4,327 | 103 |
| Handleman Co. | 15,178 | 103 |
| Standard Motor Products, Inc. | 6,792 | 102 |
* | TiVo Inc. | 19,655 | 101 |
| Cutter & Buck Inc. | 9,268 | 100 |
* | Source Interlink Cos., Inc. | 12,172 | 99 |
* | Stamps.com Inc. | 6,279 | 99 |
* | Audible, Inc. | 12,354 | 98 |
| Sealy Corp. | 6,600 | 97 |
| Sauer-Danfoss, Inc. | 3,000 | 97 |
| Monro Muffler Brake, Inc. | 2,700 | 95 |
| Charles & Colvard Ltd. | 11,775 | 94 |
* | Citi Trends Inc. | 2,347 | 93 |
| Libbey, Inc. | 7,404 | 91 |
| Marine Products Corp. | 7,699 | 90 |
* | Playboy Enterprises, Inc. |
|
|
| Class B | 7,863 | 90 |
* | Volcom, Inc. | 3,047 | 90 |
* | INVESTools Inc. | 6,500 | 90 |
| Salem Communications Corp. | 7,500 | 90 |
* | Acme Communications, Inc. | 17,819 | 89 |
* | Finlay Enterprises, Inc. | 10,997 | 88 |
* | Unifi, Inc. | 35,765 | 88 |
| Stein Mart, Inc. | 6,497 | 86 |
* | Kirkland’s, Inc. | 17,131 | 86 |
| Noble International, Ltd. | 4,209 | 84 |
* | Fairchild Corp. | 38,409 | 84 |
* | Strattec Security Corp. | 1,805 | 84 |
13
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | The Wet Seal, Inc. Class A | 12,597 | 84 |
* | ^Caribou Coffee Company | 9,777 | 83 |
* | 1-800 Contacts, Inc. | 5,100 | 83 |
* | Lin TV Corp. | 8,100 | 81 |
* | Lazare Kaplan |
|
|
| International, Inc. | 8,094 | 81 |
* | ProQuest Co. | 7,651 | 80 |
* | ^Escala Group, Inc. | 10,118 | 78 |
* | DSW Inc. Class A | 2,000 | 77 |
* | Universal Electronics, Inc. | 3,648 | 77 |
| National Presto Industries, Inc. | 1,274 | 76 |
| World Wrestling |
|
|
| Entertainment, Inc. | 4,665 | 76 |
* | New York & Co., Inc. | 5,765 | 75 |
| Coachmen Industries, Inc. | 6,587 | 72 |
| Skyline Corp. | 1,800 | 72 |
* | Friendly Ice Cream Corp. | 5,882 | 72 |
* | ^America’s Car-Mart, Inc. | 6,000 | 71 |
| Emmis Communications, Inc. | 8,216 | 68 |
* | Shoe Carnival, Inc. | 2,140 | 68 |
| Stanley Furniture Co., Inc. | 3,152 | 68 |
* | Mothers Work, Inc. | 1,700 | 67 |
* | CKX, Inc. | 5,507 | 65 |
* | Spanish Broadcasting |
|
|
| System, Inc. | 15,683 | 64 |
* | Buca, Inc. | 13,376 | 64 |
* | PetMed Express, Inc. | 4,688 | 63 |
* | McCormick & Schmick’s |
|
|
| Seafood Restaurants, Inc. | 2,500 | 60 |
* | Morningstar, Inc. | 1,324 | 60 |
* | The Dixie Group, Inc. | 4,600 | 58 |
* | Hancock Fabrics, Inc. | 16,787 | 58 |
* | ^Overstock.com, Inc. | 3,600 | 57 |
* | Progressive Gaming |
|
|
| International Corp. | 6,200 | 56 |
* | Zumiez Inc. | 1,700 | 50 |
* | Lenox Group, Inc. | 7,693 | 49 |
| Technical Olympic USA, Inc. | 4,807 | 49 |
* | Reading International Inc. |
|
|
| Class A | 5,700 | 47 |
* | The Princeton Review, Inc. | 8,800 | 46 |
* | Syms Corp. | 2,325 | 46 |
* | Russ Berrie and Co., Inc. | 2,941 | 45 |
| Levitt Corp. Class A | 3,675 | 45 |
* | West Marine, Inc. | 2,600 | 45 |
| Orleans Homebuilders, Inc. | 2,381 | 45 |
* | Trans World Entertainment |
|
|
| Corp. | 6,768 | 45 |
* | Regent Communications, Inc. | 15,607 | 44 |
| Triarc Cos., Inc. Class A | 1,994 | 43 |
| Escalade, Inc. | 4,000 | 43 |
* | PRIMEDIA Inc. | 24,661 | 42 |
* | GenTek, Inc. | 1,200 | 42 |
* | Gaiam, Inc. | 2,800 | 38 |
| Tarragon Corp. | 3,069 | 37 |
* | Quantum Fuel Systems |
|
|
| Technologies Worldwide, Inc. | 22,421 | 36 |
| Traffix, Inc. | 6,267 | 34 |
* | Proliance International Inc. | 7,419 | 34 |
* | Cosi, Inc. | 6,700 | 34 |
* | Knology, Inc. | 3,200 | 34 |
* | Saga Communications, Inc. | 3,300 | 32 |
* | Champps Entertainment Inc. | 4,450 | 31 |
* | Dorman Products, Inc. | 2,833 | 31 |
* | Palm Harbor Homes, Inc. | 2,145 | 30 |
| Blair Corp. | 908 | 30 |
* | Stoneridge, Inc. | 3,618 | 30 |
* | Movie Gallery, Inc. | 8,300 | 29 |
* | National R. V. Holdings, Inc. | 7,890 | 29 |
* | Emerson Radio Corp. | 8,900 | 28 |
* | Youbet.com, Inc. | 7,426 | 27 |
* | Navarre Corp. | 6,714 | 27 |
* | Morgans Hotel Group | 1,500 | 25 |
* | Rentrak Corp. | 1,600 | 25 |
* | Concord Camera Corp. | 4,848 | 22 |
* | Great Wolf Resorts, Inc. | 1,510 | 21 |
* | Maidenform Brands, Inc. | 1,100 | 20 |
| Craftmade International, Inc. | 1,100 | 20 |
| Spartan Motors, Inc. | 1,291 | 20 |
* | Lodgian, Inc. | 1,400 | 19 |
* | Ruth’s Chris Steak House | 1,000 | 18 |
* | DG FastChannel Inc. | 1,274 | 17 |
| S&K Famous Brands Inc. | 1,344 | 17 |
* | Smith & Wesson Holding Corp. | 1,500 | 16 |
* | Red Lion Hotels Corp. | 1,212 | 15 |
* | Magna Entertainment Corp. |
|
|
| Class A | 3,400 | 15 |
| Superior Uniform Group, Inc. | 1,093 | 14 |
* | Nexstar Broadcasting |
|
|
| Group, Inc. | 2,936 | 14 |
* | Tweeter Home |
|
|
| Entertainment Group, Inc. | 6,300 | 13 |
* | Golf Galaxy, Inc. | 700 | 13 |
| Dover Motorsports, Inc. | 2,454 | 13 |
| Weyco Group, Inc. | 480 | 12 |
* | Radio One, Inc. | 1,680 | 11 |
* | Young Broadcasting Inc. | 3,877 | 11 |
* | Daily Journal Corp. | 260 | 11 |
* | Blockbuster Inc. Class B | 2,111 | 10 |
* | Directed Electronics Inc. | 700 | 8 |
* | Triple Crown Media, Inc. | 954 | 7 |
| Flexsteel Industries, Inc. | 300 | 4 |
* | Virco Manufacturing Corp. | 440 | 3 |
| Lifetime Brands, Inc. | 200 | 3 |
* | Pomeroy IT Solutions, Inc. | 400 | 3 |
* | Pegasus Communications Corp. | 1,056 | 2 |
| News Corp., Class B | 100 | 2 |
* | ION Media Networks, Inc. | 2,800 | 1 |
* | Fedders Corp. | 1,286 | 1 |
* | Gadzooks, Inc. | 3,843 | — |
|
|
| 641,276 |
14
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
Consumer Staples (8.0%) |
|
| |
| The Procter & Gamble Co. | 1,101,024 | 70,763 |
| Altria Group, Inc. | 725,494 | 62,262 |
| Wal-Mart Stores, Inc. | 866,926 | 40,035 |
| PepsiCo, Inc. | 571,383 | 35,740 |
| The Coca-Cola Co. | 730,653 | 35,254 |
| Walgreen Co. | 349,353 | 16,032 |
| Anheuser-Busch Cos., Inc. | 266,438 | 13,109 |
| Colgate-Palmolive Co. | 179,051 | 11,681 |
| Kimberly-Clark Corp. | 158,858 | 10,794 |
| CVS Corp. | 284,666 | 8,799 |
| Costco Wholesale Corp. | 162,206 | 8,576 |
| Sysco Corp. | 214,371 | 7,880 |
| General Mills, Inc. | 115,492 | 6,652 |
| Archer-Daniels-Midland Co. | 204,157 | 6,525 |
| The Kroger Co. | 237,878 | 5,488 |
| Safeway, Inc. | 154,167 | 5,328 |
| H.J. Heinz Co. | 114,903 | 5,172 |
| Avon Products, Inc. | 155,226 | 5,129 |
| ConAgra Foods, Inc. | 176,906 | 4,776 |
| Sara Lee Corp. | 263,490 | 4,487 |
| Kellogg Co. | 89,421 | 4,476 |
| Reynolds American Inc. | 61,523 | 4,028 |
| The Clorox Co. | 52,412 | 3,362 |
| UST, Inc. | 55,763 | 3,245 |
| Campbell Soup Co. | 78,520 | 3,054 |
| Bunge Ltd. | 41,593 | 3,016 |
| Wm. Wrigley Jr. Co. | 56,914 | 2,944 |
| The Hershey Co. | 57,117 | 2,844 |
| Kraft Foods Inc. | 73,577 | 2,627 |
| SuperValu Inc. | 73,360 | 2,623 |
| Carolina Group | 37,549 | 2,430 |
| Whole Foods Market, Inc. | 48,972 | 2,298 |
* | Constellation Brands, Inc. |
|
|
| Class A | 69,585 | 2,019 |
* | Dean Foods Co. | 46,456 | 1,964 |
| Molson Coors Brewing Co. |
|
|
| Class B | 24,637 | 1,883 |
| Coca-Cola Enterprises, Inc. | 91,049 | 1,859 |
| The Estee Lauder Cos. Inc. |
|
|
| Class A | 41,806 | 1,707 |
| McCormick & Co., Inc. | 41,088 | 1,584 |
| The Pepsi Bottling Group, Inc. | 49,070 | 1,517 |
| Tyson Foods, Inc. | 88,129 | 1,450 |
* | Energizer Holdings, Inc. | 18,912 | 1,343 |
| Brown-Forman Corp. Class B | 16,070 | 1,064 |
* | Rite Aid Corp. | 185,207 | 1,008 |
| Hormel Foods Corp. | 26,295 | 982 |
| Church & Dwight, Inc. | 22,706 | 968 |
| J.M. Smucker Co. | 19,103 | 926 |
* | Smithfield Foods, Inc. | 34,715 | 891 |
| Corn Products |
|
|
| International, Inc. | 25,743 | 889 |
* | NBTY, Inc. | 19,932 | 829 |
| Del Monte Foods Co. | 69,887 | 771 |
* | Hansen Natural Corp. | 22,104 | 744 |
* | BJ’s Wholesale Club, Inc. | 23,383 | 727 |
* | Alberto-Culver Co. | 27,525 | 590 |
* | Herbalife Ltd. | 13,700 | 550 |
| Wm. Wrigley Jr. Co. Class B | 10,178 | 523 |
| Flowers Foods, Inc. | 19,340 | 522 |
| Delta & Pine Land Co. | 12,891 | 521 |
* | United Natural Foods, Inc. | 14,052 | 505 |
| PepsiAmericas, Inc. | 22,779 | 478 |
* | Hain Celestial Group, Inc. | 15,224 | 475 |
* | Ralcorp Holdings, Inc. | 9,319 | 474 |
| Pilgrim’s Pride Corp. | 15,179 | 447 |
| Universal Corp. (VA) | 9,041 | 443 |
| Longs Drug Stores, Inc. | 9,957 | 422 |
| Lancaster Colony Corp. | 9,491 | 421 |
* | Chattem, Inc. | 7,903 | 396 |
* | Performance Food Group Co. | 13,909 | 384 |
| Casey’s General Stores, Inc. | 14,730 | 347 |
| Nu Skin Enterprises, Inc. | 19,015 | 347 |
* | The Pantry, Inc. | 7,102 | 333 |
* | Central European |
|
|
| Distribution Corp. | 10,687 | 317 |
| Ruddick Corp. | 11,415 | 317 |
* | Central Garden and Pet Co. | 6,500 | 315 |
| Chiquita Brands |
|
|
| International, Inc. | 19,063 | 304 |
* | TreeHouse Foods Inc. | 8,332 | 260 |
* | Darling International, Inc. | 44,756 | 247 |
| J & J Snack Foods Corp. | 5,710 | 236 |
| WD-40 Co. | 6,699 | 234 |
* | Alliance One |
|
|
| International, Inc. | 32,581 | 230 |
| Tootsie Roll Industries, Inc. | 7,003 | 229 |
* | Prestige Brands Holdings Inc. | 17,222 | 224 |
| Ingles Markets, Inc. | 6,711 | 200 |
* | Playtex Products, Inc. | 12,394 | 178 |
* | Pathmark Stores, Inc. | 15,860 | 177 |
* | Boston Beer Co., Inc. Class A | 4,886 | 176 |
| Coca-Cola Bottling Co. | 2,474 | 169 |
* | Elizabeth Arden, Inc. | 8,759 | 167 |
| The Great Atlantic & Pacific |
|
|
| Tea Co., Inc. | 6,123 | 158 |
| Arden Group Inc. Class A | 1,261 | 156 |
* | Spectrum Brands Inc. | 12,848 | 140 |
| Seaboard Corp. | 79 | 139 |
* | Green Mountain Coffee |
|
|
| Roasters, Inc. | 2,750 | 135 |
* | USANA Health Sciences, Inc. | 2,600 | 134 |
| Weis Markets, Inc. | 3,335 | 134 |
| The Andersons, Inc. | 3,100 | 131 |
| Vector Group Ltd. | 7,254 | 129 |
| Alico, Inc. | 2,492 | 126 |
| Sanderson Farms, Inc. | 4,106 | 124 |
| Nash-Finch Co. | 4,399 | 120 |
| The Topps Co., Inc. | 13,059 | 116 |
| Inter Parfums, Inc. | 6,000 | 115 |
* | ^Lifeway Foods, Inc. | 11,608 | 109 |
15
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Smart & Final Inc. | 5,700 | 108 |
| Lance, Inc. | 5,349 | 107 |
* | Peet’s Coffee & Tea Inc. | 4,000 | 105 |
| Premium Standard Farms Inc. | 5,600 | 104 |
* | Zapata Corp. | 14,400 | 101 |
* | PriceSmart, Inc. | 5,530 | 99 |
| Mannatech, Inc. | 6,700 | 99 |
* | Wild Oats Markets Inc. | 6,600 | 95 |
* | Omega Protein Corp. | 11,000 | 85 |
* | John B. Sanfilippo & Son, Inc. | 6,400 | 78 |
| Spartan Stores, Inc. | 3,600 | 75 |
* | Star Scientific, Inc. | 20,086 | 65 |
| Cal-Maine Foods, Inc. | 7,573 | 65 |
* | Griffin Land & Nurseries, Inc. | 1,926 | 62 |
| Reddy Ice Holdings, Inc. | 2,400 | 62 |
* | Jones Soda Co. | 4,400 | 54 |
| Oil-Dri Corp. of America | 2,518 | 43 |
* | ^Parlux Fragrances, Inc. | 7,000 | 39 |
* | Revlon, Inc. Class A | 25,268 | 32 |
* | Maui Land & |
|
|
| Pineapple Co., Inc. | 300 | 10 |
* | Revlon, Inc. Rights |
|
|
| exp. 1/19/07 | 25,269 | 1 |
|
|
| 442,167 |
Energy (9.3%) |
|
| |
| ExxonMobil Corp. | 2,060,249 | 157,877 |
| Chevron Corp. | 761,759 | 56,013 |
| ConocoPhillips Co. | 542,495 | 39,033 |
| Schlumberger Ltd. | 410,412 | 25,922 |
| Occidental Petroleum Corp. | 292,988 | 14,307 |
| Marathon Oil Corp. | 124,177 | 11,486 |
| Halliburton Co. | 357,356 | 11,096 |
| Valero Energy Corp. | 212,410 | 10,867 |
| Devon Energy Corp. | 145,210 | 9,741 |
* | Transocean Inc. | 109,281 | 8,840 |
| Baker Hughes, Inc. | 114,058 | 8,516 |
| Apache Corp. | 114,106 | 7,589 |
| Anadarko Petroleum Corp. | 151,307 | 6,585 |
| XTO Energy, Inc. | 120,413 | 5,665 |
| Williams Cos., Inc. | 206,567 | 5,396 |
| EOG Resources, Inc. | 84,093 | 5,252 |
* | Weatherford |
|
|
| International Ltd. | 119,930 | 5,012 |
| GlobalSantaFe Corp. | 82,636 | 4,857 |
| Chesapeake Energy Corp. | 153,896 | 4,471 |
| Hess Corp. | 87,531 | 4,339 |
| Kinder Morgan, Inc. | 37,196 | 3,933 |
* | National Oilwell Varco Inc. | 60,872 | 3,724 |
| Peabody Energy Corp. | 91,652 | 3,704 |
| El Paso Corp. | 241,237 | 3,686 |
| Noble Corp. | 47,460 | 3,614 |
* | Nabors Industries, Inc. | 103,729 | 3,089 |
| BJ Services Co. | 103,736 | 3,042 |
| Noble Energy, Inc. | 61,388 | 3,012 |
| Murphy Oil Corp. | 58,323 | 2,966 |
| Smith International, Inc. | 69,862 | 2,869 |
| Sunoco, Inc. | 45,299 | 2,825 |
| ENSCO International, Inc. | 53,204 | 2,663 |
* | Ultra Petroleum Corp. | 53,276 | 2,544 |
* | Newfield Exploration Co. | 45,468 | 2,089 |
* | Cameron International Corp. | 38,706 | 2,053 |
| CONSOL Energy, Inc. | 63,822 | 2,051 |
* | Southwestern Energy Co. | 58,494 | 2,050 |
* | Grant Prideco, Inc. | 45,383 | 1,805 |
| Diamond Offshore |
|
|
| Drilling, Inc. | 22,572 | 1,804 |
| Pioneer Natural |
|
|
| Resources Co. | 43,417 | 1,723 |
* | Pride International, Inc. | 56,815 | 1,704 |
| Tesoro Petroleum Corp. | 23,754 | 1,562 |
| Arch Coal, Inc. | 50,002 | 1,502 |
* | FMC Technologies Inc. | 23,888 | 1,472 |
| Patterson-UTI Energy, Inc. | 57,796 | 1,343 |
* | Plains Exploration |
|
|
| & Production Co. | 26,766 | 1,272 |
| Rowan Cos., Inc. | 38,305 | 1,272 |
| Range Resources Corp. | 45,512 | 1,250 |
* | Denbury Resources, Inc. | 41,640 | 1,157 |
* | Veritas DGC Inc. | 12,458 | 1,067 |
| Frontier Oil Corp. | 37,096 | 1,066 |
| Cimarex Energy Co. | 28,870 | 1,054 |
| Cabot Oil & Gas Corp. | 16,793 | 1,018 |
| Pogo Producing Co. | 20,293 | 983 |
* | Superior Energy Services, Inc. | 29,696 | 970 |
* | Helix Energy Solutions |
|
|
| Group, Inc. | 30,180 | 947 |
| Tidewater Inc. | 18,777 | 908 |
| Helmerich & Payne, Inc. | 36,787 | 900 |
| Holly Corp. | 17,174 | 883 |
* | Kinder Morgan |
|
|
| Management, LLC | 17,117 | 782 |
* | Oceaneering International, Inc. | 18,992 | 754 |
* | Unit Corp. | 15,370 | 745 |
* | Todco Class A | 21,499 | 735 |
* | Core Laboratories NV | 8,800 | 713 |
| St. Mary Land |
|
|
| & Exploration Co. | 19,024 | 701 |
* | Universal Compression |
|
|
| Holdings, Inc. | 10,708 | 665 |
| Massey Energy Co. | 28,240 | 656 |
* | Dresser Rand Group, Inc. | 26,682 | 653 |
* | Forest Oil Corp. | 19,914 | 651 |
* | TETRA Technologies, Inc. | 25,104 | 642 |
* | Petrohawk Energy Corp. | 52,651 | 605 |
* | SEACOR Holdings Inc. | 6,043 | 599 |
* | Whiting Petroleum Corp. | 12,823 | 598 |
| Overseas Shipholding |
|
|
| Group Inc. | 10,399 | 585 |
* | Hanover Compressor Co. | 30,635 | 579 |
* | Quicksilver Resources, Inc. | 14,857 | 544 |
* | Hydrill Co. | 7,162 | 539 |
* | Oil States International, Inc. | 16,437 | 530 |
* | Cheniere Energy, Inc. | 18,211 | 526 |
16
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | W-H Energy Services, Inc. | 10,647 | 518 |
| Foundation Coal Holdings, Inc. | 15,856 | 504 |
* | EXCO Resources, Inc. | 29,100 | 492 |
| OMI Corp. | 23,219 | 492 |
* | Atwood Oceanics, Inc. | 9,872 | 483 |
* | Lone Star Technologies, Inc. | 9,891 | 479 |
* | Comstock Resources, Inc. | 15,044 | 467 |
* | Giant Industries, Inc. | 6,210 | 465 |
| Penn Virginia Corp. | 6,638 | 465 |
* | Swift Energy Co. | 10,371 | 465 |
* | Grey Wolf, Inc. | 67,243 | 461 |
* | Input/Output, Inc. | 32,605 | 444 |
| World Fuel Services Corp. | 9,922 | 441 |
* | Houston Exploration Co. | 8,283 | 429 |
| Berry Petroleum Class A | 13,266 | 411 |
* | USEC Inc. | 31,810 | 405 |
* | Delta Petroleum Corp. | 17,312 | 401 |
* | Atlas America, Inc. | 7,840 | 400 |
* | ^Evergreen Energy, Inc. | 40,170 | 397 |
* | Global Industries Ltd. | 30,106 | 393 |
* | Bristow Group, Inc. | 10,228 | 369 |
* | Alpha Natural Resources, Inc. | 25,692 | 366 |
* | Encore Acquisition Co. | 14,412 | 354 |
* | Carrizo Oil & Gas, Inc. | 11,472 | 333 |
* | Stone Energy Corp. | 9,391 | 332 |
* | Energy Partners, Ltd. | 12,781 | 312 |
* | Gulfmark Offshore, Inc. | 8,319 | 311 |
* | ATP Oil & Gas Corp. | 7,731 | 306 |
* | Enbridge Energy |
|
|
| Management LLC | 6,185 | 300 |
* | Hornbeck Offshore |
|
|
| Services, Inc. | 8,179 | 292 |
* | Arena Resources, Inc. | 6,800 | 290 |
* | Goodrich Petroleum Corp. | 8,000 | 289 |
* | Pioneer Drilling Co. | 21,533 | 286 |
| Gulf Island Fabrication, Inc. | 7,446 | 275 |
* | Dril-Quip, Inc. | 6,856 | 268 |
* | Mariner Energy Inc. | 13,479 | 264 |
| Crosstex Energy, Inc. | 8,300 | 263 |
* | Petroleum Development Corp. | 6,100 | 263 |
| RPC Inc. | 15,381 | 260 |
* | Parker Drilling Co. | 31,023 | 253 |
* | Newpark Resources, Inc. | 34,383 | 248 |
* | Bill Barrett Corp. | 8,692 | 237 |
* | Hercules Offshore, Inc. | 8,107 | 234 |
| Lufkin Industries, Inc. | 3,900 | 227 |
* | Vaalco Energy, Inc. | 33,400 | 225 |
| W&T Offshore, Inc. | 7,129 | 219 |
* | The Exploration Co. of |
|
|
| Delaware, Inc. | 16,083 | 215 |
* | Brigham Exploration Co. | 29,000 | 212 |
| General Maritime Corp. | 5,980 | 210 |
* | Matrix Service Co. | 12,900 | 208 |
* | Parallel Petroleum Corp. | 11,346 | 199 |
* | NATCO Group Inc. | 6,200 | 198 |
* | Edge Petroleum Corp. | 10,800 | 197 |
| CARBO Ceramics Inc. | 5,193 | 194 |
* | Callon Petroleum Co. | 12,809 | 193 |
* | Harvest Natural |
|
|
| Resources, Inc. | 17,401 | 185 |
* | PetroQuest Energy, Inc. | 14,300 | 182 |
* | Rosetta Resources, Inc. | 9,588 | 179 |
| Western Refining, Inc. | 6,700 | 171 |
* | International Coal Group, Inc. | 30,983 | 169 |
* | Dawson Geophysical | 4,631 | 169 |
* | Double Eagle Petroleum Co. | 6,801 | 167 |
* | CNX Gas Corp. | 6,397 | 163 |
* | FX Energy, Inc. | 26,238 | 162 |
* | Basic Energy Services Inc. | 6,559 | 162 |
* | Clayton Williams Energy, Inc. | 4,347 | 158 |
* | Rentech, Inc. | 40,400 | 152 |
* | Pacific Ethanol, Inc. | 9,500 | 146 |
* | ^Willbros Group, Inc. | 7,700 | 146 |
* | Warren Resources Inc. | 11,722 | 137 |
* | Endeavor International Corp. | 57,358 | 131 |
* | Complete Production |
|
|
| Services, Inc. | 5,678 | 120 |
* | Union Drilling, Inc. | 8,500 | 120 |
* | CanArgo Energy Corp | 71,600 | 116 |
* | PHI Inc. Non-Voting | 3,485 | 114 |
* | ^GMX Resources Inc. | 3,200 | 114 |
* | Harken Energy Corp. | 217,487 | 109 |
* | The Meridian Resource Corp. | 34,649 | 107 |
* | McMoRan Exploration Co. | 7,211 | 103 |
| MarkWest Hydrocarbon, Inc. | 2,100 | 102 |
* | Toreador Resources Corp. | 3,900 | 101 |
| Alon USA Energy, Inc. | 3,785 | 100 |
* | Syntroleum Corp. | 26,873 | 93 |
* | Aventine Renewable |
|
|
| Energy Holdings, Inc. | 3,800 | 90 |
* | Trico Marine Services, Inc. | 2,166 | 83 |
* | Infinity, Inc. | 21,194 | 72 |
* | Bois d’Arc Energy, Inc. | 4,100 | 60 |
* | Abraxas Petroleum Corp. | 19,000 | 59 |
* | Horizon Offshore, Inc. | 3,000 | 49 |
* | Gasco Energy Inc. | 19,900 | 49 |
* | Westmoreland Coal Co. | 1,745 | 34 |
* | Superior Well Services, Inc. | 1,200 | 31 |
* | Transmeridian Exploration Inc. | 7,200 | 25 |
* | ^James River Coal Co. | 2,549 | 24 |
* | Allis-Chalmers Energy Inc. | 100 | 2 |
* | Penn Octane Corp. | 3,564 | 2 |
|
|
| 515,914 |
Financials (22.3%) |
|
| |
| Citigroup, Inc. | 1,713,383 | 95,436 |
| Bank of America Corp. | 1,568,438 | 83,739 |
| JPMorgan Chase & Co. | 1,203,016 | 58,105 |
| American International |
|
|
| Group, Inc. | 765,538 | 54,858 |
| Wells Fargo & Co. | 1,106,246 | 39,338 |
| Wachovia Corp. | 663,499 | 37,786 |
| Morgan Stanley | 334,401 | 27,230 |
| Merrill Lynch & Co., Inc. | 290,975 | 27,090 |
17
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| The Goldman Sachs |
|
|
| Group, Inc. | 134,642 | 26,841 |
| American Express Co. | 378,907 | 22,988 |
| U.S. Bancorp | 615,967 | 22,292 |
| Fannie Mae | 336,216 | 19,968 |
| Freddie Mac | 239,813 | 16,283 |
| MetLife, Inc. | 263,235 | 15,533 |
| Washington Mutual, Inc. | 331,905 | 15,098 |
| Prudential Financial, Inc. | 168,078 | 14,431 |
* | Berkshire Hathaway Inc. |
|
|
| Class B | 3,766 | 13,806 |
| The Allstate Corp. | 207,287 | 13,496 |
| The St. Paul Travelers, |
|
|
| Cos. Inc. | 239,527 | 12,860 |
| Lehman Brothers |
|
|
| Holdings, Inc. | 158,305 | 12,367 |
| Capital One Financial Corp. | 141,691 | 10,885 |
| The Bank of New York |
|
|
| Co., Inc. | 264,489 | 10,413 |
| SunTrust Banks, Inc. | 120,151 | 10,147 |
| The Hartford Financial |
|
|
| Services Group Inc. | 105,490 | 9,843 |
| Regions Financial Corp. | 252,231 | 9,433 |
| Countrywide Financial Corp. | 212,106 | 9,004 |
| BB&T Corp. | 186,156 | 8,178 |
| AFLAC Inc. | 172,059 | 7,915 |
| Simon Property Group, Inc. |
|
|
| REIT | 76,664 | 7,765 |
| State Street Corp. | 114,786 | 7,741 |
| National City Corp. | 208,009 | 7,605 |
| PNC Financial Services |
|
|
| Group | 102,129 | 7,562 |
| The Chubb Corp. | 142,430 | 7,536 |
| Charles Schwab Corp. | 376,068 | 7,273 |
| Fifth Third Bancorp | 174,095 | 7,126 |
| SLM Corp. | 142,171 | 6,934 |
| ACE Ltd. | 112,865 | 6,836 |
| Franklin Resources Corp. | 61,294 | 6,753 |
| Lincoln National Corp. | 97,385 | 6,466 |
| Bear Stearns Co., Inc. | 39,639 | 6,452 |
| Progressive Corp. of Ohio | 254,256 | 6,158 |
| The Chicago Mercantile |
|
|
| Exchange | 12,054 | 6,145 |
| Mellon Financial Corp. | 142,666 | 6,013 |
| Equity Office Properties |
|
|
| Trust REIT | 121,341 | 5,845 |
| Vornado Realty Trust REIT | 47,338 | 5,752 |
| Moody’s Corp. | 83,052 | 5,736 |
| Marsh & McLennan |
|
|
| Cos., Inc. | 181,262 | 5,557 |
| Loews Corp. | 133,671 | 5,543 |
| The Principal Financial |
|
|
| Group, Inc. | 93,399 | 5,483 |
| Genworth Financial Inc. | 157,711 | 5,395 |
| KeyCorp | 139,801 | 5,317 |
| ProLogis REIT | 85,013 | 5,166 |
| Equity Residential REIT | 100,865 | 5,119 |
| XL Capital Ltd. Class A | 62,617 | 4,510 |
| Archstone-Smith Trust REIT | 74,303 | 4,325 |
| Public Storage, Inc. REIT | 43,713 | 4,262 |
| Boston Properties, Inc. REIT | 37,711 | 4,219 |
| Host Hotels & Resorts, Inc. |
|
|
| REIT | 171,367 | 4,207 |
| Ameriprise Financial, Inc. | 76,117 | 4,148 |
| Legg Mason Inc. | 43,237 | 4,110 |
| General Growth Properties |
|
|
| Inc. REIT | 75,275 | 3,932 |
| Northern Trust Corp. | 64,288 | 3,902 |
| CIT Group Inc. | 68,954 | 3,846 |
| Marshall & Ilsley Corp. | 79,689 | 3,834 |
| T. Rowe Price Group Inc. | 86,262 | 3,776 |
| Kimco Realty Corp. REIT | 77,982 | 3,505 |
| Aon Corp. | 98,125 | 3,468 |
| MBIA, Inc. | 46,754 | 3,416 |
| Avalonbay Communities, |
|
|
| Inc. REIT | 25,888 | 3,367 |
| Sovereign Bancorp, Inc. | 131,714 | 3,344 |
* | E*TRADE Financial Corp. | 148,097 | 3,320 |
| Comerica, Inc. | 56,295 | 3,303 |
| Ambac Financial Group, Inc. | 36,903 | 3,287 |
| Zions Bancorp | 35,143 | 2,897 |
| M & T Bank Corp. | 23,134 | 2,826 |
| Synovus Financial Corp. | 89,942 | 2,773 |
| Hudson City Bancorp, Inc. | 187,812 | 2,607 |
| Cincinnati Financial Corp. | 57,283 | 2,595 |
| Compass Bancshares Inc. | 42,762 | 2,551 |
| Safeco Corp. | 40,444 | 2,530 |
| Plum Creek Timber Co. Inc. |
|
|
| REIT | 62,296 | 2,482 |
| Health Care Properties |
|
|
| Investors REIT | 67,333 | 2,479 |
| UnumProvident Corp. | 118,777 | 2,468 |
| Developers Diversified |
|
|
| Realty Corp. REIT | 38,205 | 2,405 |
| American Capital |
|
|
| Strategies, Ltd. | 49,343 | 2,283 |
| SL Green Realty Corp. REIT | 17,164 | 2,279 |
* | Realogy Corp. | 74,892 | 2,271 |
| Everest Re Group, Ltd. | 22,655 | 2,223 |
| Torchmark Corp. | 34,476 | 2,198 |
* | CB Richard Ellis Group, Inc. | 65,914 | 2,188 |
| Commerce Bancorp, Inc. | 61,597 | 2,173 |
| The Macerich Co. REIT | 25,017 | 2,166 |
| iStar Financial Inc. REIT | 43,367 | 2,074 |
| Assurant, Inc. | 37,195 | 2,055 |
| Mercantile Bankshares Corp. | 43,528 | 2,037 |
* | Berkshire Hathaway Inc. |
|
|
| Class A | 18 | 1,980 |
| W.R. Berkley Corp. | 56,427 | 1,947 |
| Duke Realty Corp. REIT | 46,871 | 1,917 |
| Apartment Investment |
|
|
| & Management Co. |
|
|
| Class A REIT | 33,837 | 1,896 |
18
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Regency Centers Corp. REIT | 23,971 | 1,874 |
| Huntington Bancshares Inc. | 78,698 | 1,869 |
* | ^NYSE Group Inc. | 19,100 | 1,857 |
| MGIC Investment Corp. | 29,427 | 1,840 |
| AMB Property Corp. REIT | 30,743 | 1,802 |
| Old Republic International |
|
|
| Corp. | 75,856 | 1,766 |
| Fidelity National Financial, |
|
|
| Inc. Class A | 72,429 | 1,730 |
| First Horizon National Corp. | 41,100 | 1,717 |
| TD Ameritrade Holding Corp. | 106,117 | 1,717 |
| A.G. Edwards & Sons, Inc. | 26,618 | 1,685 |
| ^Allied Capital Corp. | 50,766 | 1,659 |
| Popular, Inc. | 92,292 | 1,657 |
| Federal Realty Investment |
|
|
| Trust REIT | 19,252 | 1,636 |
| Leucadia National Corp. | 56,408 | 1,591 |
| Axis Capital Holdings Ltd. | 47,511 | 1,585 |
| Janus Capital Group Inc. | 72,060 | 1,556 |
| Radian Group, Inc. | 28,492 | 1,536 |
| ^Liberty Property Trust REIT | 31,232 | 1,535 |
* | Markel Corp. | 3,188 | 1,531 |
| White Mountains Insurance |
|
|
| Group Inc. | 2,627 | 1,522 |
| United Dominion Realty |
|
|
| Trust REIT | 47,051 | 1,496 |
| New York Community |
|
|
| Bancorp, Inc. | 92,649 | 1,492 |
| Camden Property Trust REIT | 19,722 | 1,456 |
| Associated Banc-Corp. | 41,358 | 1,442 |
| Hospitality Properties |
|
|
| Trust REIT | 30,072 | 1,429 |
| RenaissanceRe Holdings Ltd. | 23,782 | 1,427 |
| Nuveen Investments, Inc. |
|
|
| Class A | 27,381 | 1,421 |
| The PMI Group Inc. | 30,108 | 1,420 |
| PartnerRe Ltd. | 19,689 | 1,399 |
| Eaton Vance Corp. | 42,350 | 1,398 |
| Ventas, Inc. REIT | 32,715 | 1,384 |
* | IntercontinentalExchange Inc. | 12,800 | 1,381 |
| SEI Investments Co. | 22,266 | 1,326 |
| Reckson Associates Realty |
|
|
| Corp. REIT | 29,010 | 1,323 |
| The St. Joe Co. | 24,600 | 1,318 |
| Forest City Enterprise Class A | 22,466 | 1,312 |
| Weingarten Realty |
|
|
| Investors REIT | 28,117 | 1,296 |
| TD Banknorth, Inc. | 39,611 | 1,279 |
| Colonial BancGroup, Inc. | 48,471 | 1,248 |
| HCC Insurance Holdings, Inc. | 38,783 | 1,244 |
| UnionBanCal Corp. | 19,760 | 1,210 |
| Jones Lang LaSalle Inc. | 12,690 | 1,170 |
| BRE Properties Inc. |
|
|
| Class A REIT | 17,978 | 1,169 |
| First American Corp. | 28,709 | 1,168 |
| Brown & Brown, Inc. | 41,256 | 1,164 |
* | AmeriCredit Corp. | 45,331 | 1,141 |
| TCF Financial Corp. | 40,928 | 1,122 |
* | CBOT Holdings, Inc. Class A | 7,407 | 1,122 |
* | Affiliated Managers |
|
|
| Group, Inc. | 10,662 | 1,121 |
| Mack-Cali Realty Corp. REIT | 21,669 | 1,105 |
| Protective Life Corp. | 23,201 | 1,102 |
| Rayonier Inc. REIT | 26,801 | 1,100 |
| CapitalSource Inc. REIT | 39,737 | 1,085 |
| IndyMac Bancorp, Inc. | 24,022 | 1,085 |
* | Conseco, Inc. | 52,886 | 1,057 |
| Health Care Inc. REIT | 24,488 | 1,053 |
| Cullen/Frost Bankers, Inc. | 18,760 | 1,047 |
* | Arch Capital Group Ltd. | 15,477 | 1,046 |
| Brandywine Realty Trust REIT | 31,369 | 1,043 |
| Sky Financial Group, Inc. | 36,508 | 1,042 |
| Valley National Bancorp | 38,709 | 1,025 |
| Alexandria Real Estate |
|
|
| Equities, Inc. REIT | 10,163 | 1,020 |
| City National Corp. | 14,313 | 1,019 |
| Nationwide Financial |
|
|
| Services, Inc. | 18,739 | 1,016 |
* | Nasdaq Stock Market Inc. | 32,975 | 1,015 |
| Fulton Financial Corp. | 60,437 | 1,009 |
| New Plan Excel Realty |
|
|
| Trust REIT | 36,556 | 1,005 |
| Arthur J. Gallagher & Co. | 33,920 | 1,002 |
| Commerce Bancshares, Inc. | 20,595 | 997 |
| ^Thornburg Mortgage, |
|
|
| Inc. REIT | 39,469 | 992 |
| Federated Investors, Inc. | 29,339 | 991 |
| Essex Property Trust, |
|
|
| Inc. REIT | 7,655 | 989 |
| Raymond James |
|
|
| Financial, Inc. | 32,464 | 984 |
| Investors Financial |
|
|
| Services Corp. | 22,970 | 980 |
| Annaly Mortgage |
|
|
| Management Inc. REIT | 69,173 | 962 |
| Erie Indemnity Co. Class A | 16,574 | 961 |
| Realty Income Corp. REIT | 34,661 | 960 |
| Webster Financial Corp. | 19,679 | 959 |
| Wilmington Trust Corp. | 22,723 | 958 |
| Astoria Financial Corp. | 31,700 | 956 |
| Bank of Hawaii Corp. | 17,672 | 953 |
| Jefferies Group, Inc. | 35,086 | 941 |
| Taubman Co. REIT | 18,467 | 939 |
| CBL & Associates Properties, |
|
|
| Inc. REIT | 21,564 | 935 |
* | Philadelphia Consolidated |
|
|
| Holding Corp. | 20,918 | 932 |
| HRPT Properties Trust REIT | 73,271 | 905 |
| The First Marblehead Corp. | 16,408 | 897 |
| Kilroy Realty Corp. REIT | 11,325 | 883 |
| People’s Bank | 19,707 | 879 |
| The Hanover Insurance |
|
|
| Group Inc. | 17,932 | 875 |
| StanCorp Financial Group, Inc. | 19,094 | 860 |
19
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Nationwide Health Properties, |
|
|
| Inc. REIT | 28,051 | 848 |
| Unitrin, Inc. | 16,630 | 833 |
| American Financial Group, Inc. | 22,483 | 807 |
| Waddell & Reed Financial, Inc. | 29,476 | 806 |
| KKR Financial Corp. REIT | 28,188 | 755 |
| First Industrial Realty Trust |
|
|
| REIT | 15,678 | 735 |
| Washington Federal Inc. | 30,658 | 721 |
| Colonial Properties Trust REIT | 15,285 | 717 |
| Endurance Specialty |
|
|
| Holdings Ltd. | 19,557 | 715 |
| Whitney Holdings Corp. | 21,731 | 709 |
| Corporate Office Properties |
|
|
| Trust, Inc. REIT | 14,037 | 708 |
| Post Properties, Inc. REIT | 15,115 | 691 |
| Home Properties, Inc. REIT | 11,588 | 687 |
| East West Bancorp, Inc. | 19,159 | 679 |
| Crescent Real Estate, Inc. |
|
|
| REIT | 34,276 | 677 |
| FirstMerit Corp. | 27,953 | 675 |
| Montpelier Re Holdings Ltd. | 36,218 | 674 |
* | Knight Capital Group, Inc. |
|
|
| Class A | 34,982 | 671 |
| First Midwest Bancorp, Inc. | 17,327 | 670 |
| The South Financial |
|
|
| Group, Inc. | 25,112 | 668 |
| BancorpSouth, Inc. | 24,775 | 664 |
| Healthcare Realty Trust Inc. |
|
|
| REIT | 16,673 | 659 |
* | Alleghany Corp. | 1,813 | 659 |
| Highwood Properties, Inc. |
|
|
| REIT | 16,146 | 658 |
| Senior Housing Properties |
|
|
| Trust REIT | 26,786 | 656 |
* | Investment Technology |
|
|
| Group, Inc. | 15,205 | 652 |
| BioMed Realty Trust, Inc. |
|
|
| REIT | 22,652 | 648 |
| Platinum Underwriters |
|
|
| Holdings, Ltd. | 20,720 | 641 |
| LaSalle Hotel Properties REIT | 13,955 | 640 |
| Apollo Investment Corp. | 28,528 | 639 |
| Ohio Casualty Corp. | 21,336 | 636 |
| Washington REIT | 15,721 | 629 |
| UCBH Holdings, Inc. | 34,894 | 613 |
| Delphi Financial Group, Inc. | 15,103 | 611 |
| International Securities |
|
|
| Exchange, Inc. | 12,808 | 599 |
| The Phoenix Cos., Inc. | 37,650 | 598 |
| Potlatch Corp. REIT | 13,650 | 598 |
| Reinsurance Group of |
|
|
| America, Inc. | 10,699 | 596 |
| American Home Mortgage |
|
|
| Investment Corp. REIT | 16,805 | 590 |
| NewAlliance Bancshares, Inc. | 35,860 | 588 |
| Selective Insurance Group | 10,177 | 583 |
| Digital Realty Trust, Inc. REIT | 17,000 | 582 |
| Aspen Insurance Holdings Ltd. | 21,846 | 575 |
| Strategic Hotels and |
|
|
| Resorts, Inc. REIT | 26,167 | 570 |
| Transatlantic Holdings, Inc. | 9,155 | 569 |
* | SVB Financial Group | 12,063 | 562 |
| Umpqua Holdings Corp. | 19,093 | 562 |
| Westamerica Bancorporation | 10,990 | 556 |
| Cathay General Bancorp | 16,108 | 556 |
| IPC Holdings Ltd. | 17,663 | 556 |
| First Niagara Financial |
|
|
| Group, Inc. | 36,953 | 549 |
| Zenith National Insurance |
|
|
| Corp. | 11,644 | 546 |
| Sunstone Hotel Investors, |
|
|
| Inc. REIT | 20,434 | 546 |
| Entertainment Properties |
|
|
| Trust REIT | 9,338 | 546 |
| Trustmark Corp. | 16,236 | 531 |
| Pacific Capital Bancorp | 15,780 | 530 |
| Downey Financial Corp. | 7,270 | 528 |
* | ProAssurance Corp. | 10,547 | 527 |
| National Financial Partners |
|
|
| Corp. | 11,974 | 526 |
| New Century Financial |
|
|
| Corp. REIT | 16,665 | 526 |
| R.L.I. Corp. | 9,283 | 524 |
| Commerce Group, Inc. | 17,604 | 524 |
| Maguire Properties, Inc. REIT | 13,024 | 521 |
| Lexington Corporate Properties |
|
|
| Trust REIT | 23,077 | 518 |
| American Financial Realty |
|
|
| Trust REIT | 45,119 | 516 |
| Mercury General Corp. | 9,647 | 509 |
| Newcastle Investment Corp. |
|
|
| REIT | 15,955 | 500 |
| Redwood Trust, Inc. REIT | 8,541 | 496 |
* | Argonaut Group, Inc. | 14,219 | 496 |
| Cash America |
|
|
| International Inc. | 10,388 | 487 |
| Central Pacific Financial Co. | 12,548 | 486 |
| Pennsylvania REIT | 12,307 | 485 |
| International Bancshares Corp. | 15,493 | 479 |
| Assured Guaranty Ltd. | 17,950 | 477 |
| United Bankshares, Inc. | 12,341 | 477 |
| Hilb, Rogal and Hamilton Co. | 11,307 | 476 |
| Alabama National |
|
|
| BanCorporation | 6,900 | 474 |
| F.N.B. Corp. | 25,816 | 472 |
| Greater Bay Bancorp | 17,902 | 471 |
| Cousins Properties, Inc. REIT | 13,356 | 471 |
* | Piper Jaffray Cos., Inc. | 7,218 | 470 |
| Sterling Financial Corp. | 13,907 | 470 |
| Citizens Banking Corp. | 17,686 | 469 |
| Spirit Finance Corp. REIT | 37,568 | 468 |
20
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Chittenden Corp. | 15,228 | 467 |
| First Community Bancorp | 8,901 | 465 |
| UMB Financial Corp. | 12,653 | 462 |
| Mid-America Apartment |
|
|
| Communities, Inc. REIT | 8,000 | 458 |
| Longview Fibre Co. REIT | 20,791 | 456 |
| BOK Financial Corp. | 8,268 | 455 |
| Ares Capital Corp. | 23,706 | 453 |
| DiamondRock Hospitality |
|
|
| Co. REIT | 25,119 | 452 |
| National Retail Properties |
|
|
| REIT | 19,579 | 449 |
| Hancock Holding Co. | 8,484 | 448 |
| Friedman, Billings, Ramsey |
|
|
| Group, Inc. REIT | 56,026 | 448 |
| FelCor Lodging Trust, Inc. |
|
|
| REIT | 20,424 | 446 |
| EastGroup Properties, Inc. |
|
|
| REIT | 8,275 | 443 |
| Susquehanna Bancshares, Inc. | 16,393 | 441 |
| MAF Bancorp, Inc. | 9,777 | 437 |
| First Republic Bank | 11,093 | 434 |
| Boston Private Financial |
|
|
| Holdings, Inc. | 15,346 | 433 |
| Equity Lifestyle Properties, |
|
|
| Inc. REIT | 7,887 | 429 |
| Franklin Street Properties |
|
|
| Corp. REIT | 20,385 | 429 |
| PS Business Parks, Inc. REIT | 6,049 | 428 |
| Provident Bankshares Corp. | 12,010 | 428 |
| Frontier Financial Corp. | 14,600 | 427 |
| Glacier Bancorp, Inc. | 17,359 | 424 |
| BankUnited Financial Corp. | 15,162 | 424 |
| First Commonwealth Financial |
|
|
| Corp. | 31,462 | 423 |
| Inland Real Estate Corp. REIT | 22,428 | 420 |
| MCG Capital Corp. | 20,650 | 420 |
| Hanmi Financial Corp. | 18,608 | 419 |
| Horace Mann Educators Corp. | 20,741 | 419 |
| Tanger Factory Outlet |
|
|
| Centers, Inc. REIT | 10,584 | 414 |
| Equity One, Inc. REIT | 15,286 | 408 |
| Republic Bancorp, Inc. | 30,014 | 404 |
| Ashford Hospitality Trust REIT | 32,275 | 402 |
| CVB Financial Corp. | 27,626 | 399 |
* | World Acceptance Corp. | 8,353 | 392 |
| Prosperity Bancshares, Inc. | 11,340 | 391 |
| Mills Corp. REIT | 19,038 | 381 |
| NBT Bancorp, Inc. | 14,879 | 380 |
* | Signature Bank | 12,227 | 379 |
| Old National Bancorp | 19,921 | 377 |
| First Charter Corp. | 15,296 | 376 |
| Amcore Financial, Inc. | 11,437 | 374 |
| PrivateBancorp, Inc. | 8,800 | 366 |
| Chemical Financial Corp. | 11,000 | 366 |
| Sterling Bancshares, Inc. | 27,999 | 365 |
| Park National Corp. | 3,669 | 363 |
| Wintrust Financial Corp. | 7,554 | 363 |
| Fremont General Corp. | 22,341 | 362 |
| Mid-State Bancshares | 9,950 | 362 |
| LandAmerica Financial |
|
|
| Group, Inc. | 5,716 | 361 |
| National Penn Bancshares Inc. | 17,703 | 358 |
| Equity Inns, Inc. REIT | 22,280 | 356 |
| Anthracite Capital Inc. REIT | 27,916 | 355 |
| Provident Financial |
|
|
| Services Inc. | 19,576 | 355 |
| City Holding Co. | 8,593 | 351 |
| First Financial Bankshares, Inc. | 8,293 | 347 |
| BankAtlantic Bancorp, Inc. |
|
|
| Class A | 25,044 | 346 |
| United Community Banks, Inc. | 10,700 | 346 |
| Cascade Bancorp | 11,078 | 344 |
| Corus Bankshares Inc. | 14,814 | 342 |
| Brookline Bancorp, Inc. | 25,944 | 342 |
| American Campus |
|
|
| Communities, Inc. REIT | 11,800 | 336 |
| Bank Mutual Corp. | 27,616 | 334 |
| First BanCorp Puerto Rico | 34,995 | 334 |
| Capitol Bancorp Ltd. | 7,192 | 332 |
| American Equity Investment |
|
|
| Life Holding Co. | 25,500 | 332 |
| Calamos Asset |
|
|
| Management, Inc. | 12,314 | 330 |
| Community Bank System, Inc. | 14,296 | 329 |
| First Citizens BancShares |
|
|
| Class A | 1,609 | 326 |
| Acadia Realty Trust REIT | 12,900 | 323 |
* | First Federal Financial Corp. | 4,815 | 322 |
* | GFI Group Inc. | 5,110 | 318 |
| Saul Centers, Inc. REIT | 5,700 | 315 |
| SWS Group, Inc. | 8,800 | 314 |
| Capital Trust Class A REIT | 6,270 | 313 |
| S & T Bancorp, Inc. | 9,028 | 313 |
* | Centennial Bank Holdings Inc. | 32,941 | 312 |
| Sovran Self Storage, Inc. REIT | 5,430 | 311 |
| Columbia Banking System, Inc. | 8,776 | 308 |
| Community Trust Bancorp Inc. | 7,365 | 306 |
| Anchor Bancorp |
|
|
| Wisconsin Inc. | 10,508 | 303 |
| Community Banks, Inc. | 10,873 | 302 |
* | United America |
|
|
| Indemnity, Ltd. | 11,900 | 301 |
| Advance America, Cash |
|
|
| Advance Centers, Inc. | 20,568 | 301 |
* | LaBranche & Co. Inc. | 30,605 | 301 |
| MB Financial, Inc. | 7,967 | 300 |
| Arbor Realty Trust, Inc. REIT | 9,892 | 298 |
| Infinity Property & |
|
|
| Casualty Corp. | 6,100 | 295 |
* | EZCORP, Inc. | 17,793 | 289 |
21
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Cedar Shopping Centers, |
|
|
| Inc. REIT | 18,000 | 286 |
| Max Re Capital Ltd. | 11,500 | 285 |
| TrustCo Bank NY | 25,240 | 281 |
| LTC Properties, Inc. REIT | 10,270 | 280 |
* | American Physicians |
|
|
| Capital, Inc. | 6,900 | 276 |
| Banner Corp. | 6,221 | 276 |
| National Health Investors REIT | 8,302 | 274 |
| Extra Space Storage Inc. REIT | 14,748 | 269 |
| Direct General Corp. | 12,963 | 268 |
| Trustreet Properties, Inc. REIT | 15,814 | 266 |
| Anworth Mortgage Asset |
|
|
| Corp. REIT | 27,924 | 266 |
| Resource America, Inc. | 10,051 | 265 |
| First Merchants Corp. | 9,697 | 264 |
| Harleysville Group, Inc. | 7,571 | 264 |
| Provident New York |
|
|
| Bancorp, Inc. | 17,474 | 262 |
| City Bank Lynnwood (WA) | 7,275 | 260 |
| Omega Healthcare Investors, |
|
|
| Inc. REIT | 14,692 | 260 |
| Global Signal, Inc. REIT | 4,918 | 259 |
| Greenhill & Co., Inc. | 3,500 | 258 |
| Capital City Bank Group, Inc. | 7,262 | 256 |
| Glimcher Realty Trust REIT | 9,527 | 254 |
| BankFinancial Corp. | 14,255 | 254 |
* | Tejon Ranch Co. | 4,527 | 253 |
* | The Enstar Group, Inc. | 2,600 | 249 |
| Odyssey Re Holdings Corp. | 6,660 | 248 |
| First Community |
|
|
| Bancshares, Inc. | 6,235 | 247 |
| Cohen & Steers, Inc. | 6,100 | 245 |
| BancFirst Corp. | 4,500 | 243 |
| PFF Bancorp, Inc. | 7,008 | 242 |
| U-Store-It Trust REIT | 11,737 | 241 |
| Fidelity Bankshares, Inc. | 6,068 | 241 |
* | Stifel Financial Corp. | 6,109 | 240 |
| Alesco Financial, Inc. REIT | 22,179 | 237 |
| optionsXpress Holdings Inc. | 10,307 | 234 |
| Northwest Bancorp, Inc. | 8,516 | 234 |
| CoBiz Inc. | 10,503 | 231 |
| First Indiana Corp. | 9,021 | 229 |
| Advanta Corp. Class B | 5,200 | 227 |
| FBL Financial Group, Inc. |
|
|
| Class A | 5,797 | 227 |
* | Move, Inc. | 40,953 | 226 |
| NorthStar Realty Finance |
|
|
| Corp. REIT | 13,400 | 222 |
| First Busey Corp. | 9,623 | 222 |
| Ameris Bancorp | 7,852 | 221 |
| RAIT Financial Trust REIT | 6,400 | 221 |
| Capital Southwest Corp. | 1,747 | 221 |
| Student Loan Corp. | 1,059 | 220 |
* | USI Holdings Corp. | 14,200 | 218 |
| Capitol Federal Financial | 5,672 | 218 |
* | Nexcen Brands, Inc. | 30,101 | 218 |
* | Tradestation Group Inc. | 15,806 | 217 |
| Bristol West Holdings, Inc. | 13,713 | 217 |
| Coastal Financial Corp. | 12,909 | 216 |
* | First Cash Financial |
|
|
| Services, Inc. | 8,300 | 215 |
| GMH Communities Trust REIT | 21,101 | 214 |
| ASTA Funding, Inc. | 6,995 | 213 |
| Center Financial Corp. | 8,849 | 212 |
* | Investors Bancorp, Inc. | 13,373 | 210 |
| Capital Lease Funding, |
|
|
| Inc. REIT | 18,120 | 210 |
| Agree Realty Corp. REIT | 6,100 | 210 |
| Dime Community Bancshares | 14,890 | 209 |
* | Ocwen Financial Corp. | 13,143 | 208 |
* | Community Bancorp | 6,795 | 205 |
* | CompuCredit Corp. | 5,132 | 204 |
| BNP Residential Properties, |
|
|
| Inc. REIT | 8,256 | 199 |
* | Dollar Financial Corp. | 7,100 | 198 |
| First Potomac REIT | 6,769 | 197 |
| ^Novastar Financial, Inc. REIT | 7,380 | 197 |
| Alfa Corp. | 10,446 | 196 |
| Capital Corp. of the West | 6,071 | 195 |
| Westbanco Inc. | 5,774 | 194 |
| Financial Federal Corp. | 6,564 | 193 |
| Highland Hospitality Corp. |
|
|
| REIT | 13,300 | 190 |
| Berkshire Hills Bancorp, Inc. | 5,649 | 189 |
* | Accredited Home Lenders |
|
|
| Holding Co. | 6,921 | 189 |
* | Citizens, Inc. | 28,353 | 187 |
| ^Gladstone Capital Corp. | 7,837 | 187 |
| AmericanWest Bancorporation | 7,672 | 186 |
| First Defiance Financial Corp. | 6,100 | 185 |
| Associated Estates Realty |
|
|
| Corp. REIT | 13,413 | 184 |
| Parkway Properties Inc. REIT | 3,600 | 184 |
* | Asset Acceptance Capital |
|
|
| Corp. | 10,900 | 183 |
* | Portfolio Recovery |
|
|
| Associates, Inc. | 3,900 | 182 |
| Gamco Investors Inc. Class A | 4,708 | 181 |
| Independent Bank Corp. (MA) | 5,009 | 180 |
| Federal Agricultural Mortgage |
|
|
| Corp. Class C | 6,637 | 180 |
| MFA Mortgage Investments, |
|
|
| Inc. REIT | 23,400 | 180 |
| Stewart Information |
|
|
| Services Corp. | 4,100 | 178 |
| Baldwin & Lyons, Inc. Class B | 6,928 | 177 |
| Impac Mortgage Holdings, |
|
|
| Inc. REIT | 20,098 | 177 |
* | Pinnacle Financial |
|
|
| Partners, Inc. | 5,297 | 176 |
| Bank of Granite Corp. | 9,227 | 175 |
22
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Kite Realty Group Trust REIT | 9,400 | 175 |
| American Land Lease, |
|
|
| Inc. REIT | 6,599 | 175 |
| Harleysville National Corp. | 8,989 | 174 |
| Presidential Life Corp. | 7,877 | 173 |
| W Holding Co., Inc. | 28,977 | 173 |
| Safety Insurance Group, Inc. | 3,396 | 172 |
* | Franklin Bank Corp. | 8,383 | 172 |
| KNBT Bancorp Inc. | 10,237 | 171 |
| EMC Insurance Group, Inc. | 5,000 | 171 |
| Independent Bank Corp. (MI) | 6,707 | 170 |
| CFS Bancorp, Inc. | 11,548 | 169 |
| Donegal Group Inc. | 8,629 | 169 |
| Cardinal Financial Corp. | 16,306 | 167 |
| Clifton Savings Bancorp, Inc. | 13,490 | 164 |
* | Universal American |
|
|
| Financial Corp. | 8,800 | 164 |
| United Fire & Casualty Co. | 4,613 | 163 |
| Ames National Corp. | 7,718 | 162 |
| Winston Hotels, Inc. REIT | 12,195 | 162 |
| Arrow Financial Corp. | 6,502 | 161 |
* | Ameriserv Financial Inc. | 32,533 | 160 |
| Ramco-Gershenson Properties |
|
|
| Trust REIT | 4,191 | 160 |
* | FPIC Insurance Group, Inc. | 4,100 | 160 |
| First Financial Holdings, Inc. | 4,062 | 159 |
| BancTrust Financial Group, Inc. | 6,224 | 159 |
* | Triad Guaranty, Inc. | 2,894 | 159 |
* | Nelnet, Inc. | 5,800 | 159 |
| American Mortgage |
|
|
| Acceptance Co. REIT | 9,400 | 159 |
| Abington Community |
|
|
| Bankcorp, Inc. | 8,166 | 157 |
* | Capital Crossing Bank | 5,254 | 156 |
| Gramercy Capital Corp. REIT | 5,005 | 155 |
| MortgageIT Holdings Inc. |
|
|
| REIT | 10,466 | 154 |
| Innkeepers USA Trust REIT | 9,921 | 154 |
| Charter Financial Corp. | 2,963 | 153 |
| Partners Trust Financial |
|
|
| Group, Inc. | 13,103 | 153 |
| Getty Realty Holding |
|
|
| Corp. REIT | 4,925 | 152 |
| Midland Co. | 3,600 | 151 |
| Bryn Mawr Bank Corp. | 6,379 | 151 |
| Columbia Bancorp (OR) | 5,700 | 151 |
| JER Investors Trust Inc. REIT | 7,293 | 151 |
| Deerfield Triarc Capital |
|
|
| Corp. REIT | 8,878 | 150 |
| ^Center Bancorp, Inc. | 9,434 | 149 |
| Luminent Mortgage Capital, |
|
|
| Inc. REIT | 15,321 | 149 |
| Crawford & Co. Class B | 20,285 | 148 |
* | PICO Holdings, Inc. | 4,206 | 146 |
* | United Capital Corp. | 4,946 | 146 |
| Leesport Financial Corp. | 6,106 | 146 |
| Irwin Financial Corp. | 6,448 | 146 |
| Mercantile Bank Corp. | 3,820 | 144 |
| Bancorp Rhode Island Inc. | 3,295 | 143 |
| Eastern Virginia |
|
|
| Bankshares, Inc. | 6,287 | 142 |
| First Financial Bancorp | 8,516 | 141 |
| First State Bancorporation | 5,708 | 141 |
| HomeBanc Corp. REIT | 33,388 | 141 |
| Lakeland Bancorp, Inc. | 9,472 | 141 |
| Flagstar Bancorp, Inc. | 9,418 | 140 |
| Capital Bank Corp. | 8,071 | 139 |
* | Western Alliance Bancorp | 3,983 | 138 |
| Consolidated-Tomoka Land Co. | 1,900 | 138 |
| Midwest Banc Holdings, Inc. | 5,751 | 137 |
| Universal Health Realty |
|
|
| Income REIT | 3,494 | 136 |
| Sanders Morris Harris |
|
|
| Group Inc. | 10,654 | 136 |
| ^Capstead Mortgage |
|
|
| Corp. REIT | 16,386 | 136 |
| Atlantic Coast Federal Corp. | 7,436 | 136 |
| ^W.P. Stewart & Co., Ltd. | 8,500 | 135 |
* | Navigators Group, Inc. | 2,792 | 135 |
| Clark, Inc. | 8,060 | 134 |
| West Coast Bancorp | 3,837 | 133 |
| Citizens 1st Bancorp, Inc. | 4,188 | 129 |
| Ameriana Bancorp | 9,841 | 129 |
| IBERIABANK Corp. | 2,175 | 128 |
| National Western Life |
|
|
| Insurance Co. Class A | 551 | 127 |
| Sterling Financial Corp. (PA) | 5,357 | 127 |
| TierOne Corp. | 4,000 | 126 |
| Sun Communities, Inc. REIT | 3,906 | 126 |
| Sandy Spring Bancorp, Inc. | 3,245 | 124 |
| Nara Bancorp, Inc. | 5,787 | 121 |
| State Auto Financial Corp. | 3,477 | 121 |
* | CNA Surety Corp. | 5,607 | 121 |
| Suffolk Bancorp | 3,146 | 120 |
| American National |
|
|
| Bankshares Inc. | 5,128 | 120 |
* | First Mariner Bancorp, Inc. | 6,444 | 120 |
| Integra Bank Corp. | 4,276 | 118 |
| Commercial Bankshares, Inc. | 3,097 | 118 |
| NYMAGIC, Inc. | 3,198 | 117 |
| First of Long Island Corp. | 2,620 | 116 |
| Renasant Corp. | 3,795 | 116 |
* | First Regional Bancorp | 3,390 | 116 |
* | Pennsylvania Commerce |
|
|
| Bancorp, Inc. | 4,361 | 115 |
| First Bancorp (NC) | 5,244 | 115 |
| First Source Corp. | 3,452 | 111 |
| Medical Properties Trust |
|
|
| Inc. REIT | 7,212 | 110 |
| CentraCore Properties Trust | 3,372 | 109 |
| Old Second Bancorp, Inc. | 3,686 | 108 |
| Doral Financial Corp. | 37,446 | 107 |
23
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| WSFS Financial Corp. | 1,587 | 106 |
| Interchange Financial |
|
|
| Services Corp. | 4,537 | 104 |
| Century Bancorp, Inc. Class A | 3,755 | 103 |
| Advanta Corp. Class A | 2,570 | 102 |
| Southwest Bancorp, Inc. | 3,662 | 102 |
| Simmons First National Corp. | 3,210 | 101 |
| Oriental Financial Group Inc. | 7,815 | 101 |
| 21st Century Insurance Group | 5,655 | 100 |
* | Affordable Residential |
|
|
| Communities REIT | 8,567 | 100 |
* | Great Lakes Bancorp, Inc. | 7,035 | 99 |
| Investors Real Estate |
|
|
| Trust REIT | 9,600 | 98 |
* | Encore Capital Group, Inc. | 7,800 | 98 |
* | Ladenburg Thalmann Financial |
|
|
| Services, Inc. | 80,200 | 98 |
| Union Bankshares Corp. | 3,150 | 96 |
| Camco Financial Corp. | 7,439 | 95 |
| Fieldstone Investment |
|
|
| Corp. REIT | 21,582 | 95 |
| Bank of the Ozarks, Inc. | 2,856 | 94 |
| Sierra Bancorp | 3,200 | 94 |
| U.S.B. Holding Co., Inc. | 3,892 | 94 |
| Seacoast Banking Corp. |
|
|
| of Florida | 3,755 | 93 |
| Macatawa Bank Corp. | 4,338 | 92 |
| First Financial Corp. (IN) | 2,574 | 91 |
| Tower Group, Inc. | 2,900 | 90 |
| First Place Financial Corp. | 3,814 | 90 |
| Omega Financial Corp. | 2,792 | 89 |
| Univest Corp. of Pennsylvania | 2,888 | 88 |
| S.Y. Bancorp, Inc. | 3,110 | 87 |
| ITLA Capital Corp. | 1,500 | 87 |
| Yardville National Bancorp | 2,263 | 85 |
| Washington Trust Bancorp, Inc. | 3,058 | 85 |
| Heritage Commerce Corp. | 3,195 | 85 |
| Merchants Bancshares, Inc. | 3,652 | 84 |
| Team Financial, Inc. | 5,158 | 83 |
| LSB Corp. | 4,999 | 82 |
* | The Bancorp Inc. | 2,757 | 82 |
* | PMA Capital Corp. Class A | 8,763 | 81 |
* | U.S. Global Investors, Inc. |
|
|
| Class A | 1,200 | 81 |
| Sterling Bancorp | 4,095 | 81 |
| United Community Financial |
|
|
| Corp. | 6,500 | 80 |
| Peoples Bancorp, Inc. | 2,678 | 80 |
| Urstadt Biddle Properties |
|
|
| Class A REIT | 4,098 | 78 |
| Medallion Financial Corp. | 6,279 | 78 |
| Flushing Financial Corp. | 4,542 | 78 |
| German American Bancorp | 5,334 | 77 |
* | Wellsford Real Properties Inc. | 10,126 | 76 |
| Comm Bancorp, Inc. | 1,739 | 75 |
| TriCo Bancshares | 2,716 | 74 |
* | Sun Bancorp, Inc. (NJ) | 3,504 | 74 |
| Wilshire Bancorp Inc. | 3,876 | 74 |
| Horizon Financial Corp. | 3,048 | 73 |
* | PXRE Group Ltd. | 15,866 | 73 |
| ^First South Bancorp, Inc. | 2,257 | 72 |
| Great Southern Bancorp, Inc. | 2,371 | 70 |
| Southside Bancshares, Inc. | 2,705 | 70 |
| Greater Delaware Valley |
|
|
| Savings Bank | 3,068 | 69 |
* | Virginia Commerce |
|
|
| Bancorp, Inc. | 3,460 | 69 |
| Education Realty Trust, |
|
|
| Inc. REIT | 4,600 | 68 |
| Republic Bancorp, Inc. Class A | 2,676 | 67 |
| Heartland Financial USA, Inc. | 2,299 | 66 |
| NetBank, Inc. | 14,280 | 66 |
* | Consumer Portfolio |
|
|
| Services, Inc. | 10,078 | 66 |
| Government Properties |
|
|
| Trust, Inc. REIT | 6,158 | 65 |
| R & G Financial Corp. Class B | 8,500 | 65 |
| Financial Institutions, Inc. | 2,780 | 64 |
* | Quanta Capital Holdings Ltd. | 29,581 | 64 |
| Shore Bancshares, Inc. | 2,089 | 63 |
* | Texas Capital Bancshares, Inc. | 3,157 | 63 |
| Tompkins Trustco, Inc. | 1,342 | 61 |
| OceanFirst Financial Corp. | 2,657 | 61 |
| Farmers Capital Bank Corp. | 1,770 | 60 |
* | Rewards Network Inc. | 8,399 | 58 |
| Municipal Mortgage & |
|
|
| Equity, L.L.C. | 1,811 | 58 |
| Smithtown Bancorp, Inc. | 2,148 | 58 |
| North Valley Bancorp | 3,149 | 58 |
* | Ampal-American Israel Corp. | 12,048 | 58 |
| Willow Grove Bancorp, Inc. | 3,844 | 57 |
* | American Independence Corp. | 5,279 | 57 |
* | United PanAm Financial Corp. | 4,141 | 57 |
| Scottish Re Group Ltd. | 10,400 | 56 |
* | Superior Bancorp | 4,846 | 55 |
| West Bancorporation | 3,045 | 54 |
| Hersha Hospitality Trust REIT | 4,745 | 54 |
| LSB Bancshares, Inc. | 3,164 | 53 |
| Security Bank Corp. | 2,341 | 53 |
* | Pacific Mercantile Bancorp | 3,238 | 53 |
* | Stratus Properties Inc. | 1,599 | 51 |
| Opteum Inc. REIT | 6,500 | 49 |
| Vineyard National Bancorp Co. | 2,133 | 49 |
| FNB Corp. (VA) | 1,171 | 49 |
| Pennfed Financial Services, Inc. | 2,468 | 48 |
| First M&F Corp. | 2,450 | 48 |
| Mission West Properties |
|
|
| Inc. REIT | 3,600 | 47 |
| Brooke Corp. | 4,100 | 47 |
| State National |
|
|
| Bancshares, Inc. | 1,200 | 46 |
| Provident Financial |
|
|
| Holdings, Inc. | 1,509 | 46 |
24
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Columbia Equity Trust |
|
|
| Inc. REIT | 2,400 | 46 |
| HMN Financial, Inc. | 1,311 | 45 |
| BRT Realty Trust REIT | 1,600 | 44 |
| Winthrop Realty Trust |
|
|
| Inc. REIT | 6,338 | 43 |
* | Marlin Business Services Inc. | 1,795 | 43 |
| Greater Community Bancorp | 2,238 | 40 |
| Heritage Financial Corp. | 1,610 | 39 |
| First Federal Bancshares of |
|
|
| Arkansas, Inc. | 1,606 | 39 |
| ProCentury Corp. | 2,100 | 39 |
| FNB Financial Services Corp. | 2,621 | 39 |
| Placer Sierra Bancshares | 1,632 | 39 |
| Monmouth Real Estate |
|
|
| Investment Corp. REIT | 4,356 | 37 |
| Westfield Financial, Inc. | 1,055 | 37 |
| Royal Bancshares of |
|
|
| Pennsylvania, Inc. | 1,378 | 36 |
| Peapack Gladstone |
|
|
| Financial Corp. | 1,263 | 35 |
| Investors Title Co. | 648 | 34 |
| Oak Hill Financial, Inc. | 1,210 | 34 |
| Massbank Corp. | 1,013 | 33 |
| ESB Financial Corp. | 2,941 | 32 |
| Meta Financial Group, Inc. | 1,049 | 31 |
| Citizens South Banking Corp. | 2,409 | 31 |
| Preferred Bank, Los Angeles | 500 | 30 |
| BCSB Bankcorp, Inc. | 1,993 | 30 |
| Rome Bancorp, Inc. | 2,312 | 29 |
| Pulaski Financial Corp. | 1,691 | 27 |
| First United Corp. | 1,200 | 26 |
| Enterprise Financial |
|
|
| Services Corp. | 800 | 26 |
| UMH Properties, Inc. REIT | 1,670 | 26 |
| FNB Corp. (NC) | 1,296 | 24 |
| Codorus Valley Bancorp, Inc. | 1,075 | 22 |
| Rainier Pacific Financial |
|
|
| Group Inc. | 975 | 19 |
| Federal Agricultural Mortgage |
|
|
| Corp. Class A | 1,021 | 19 |
| TF Financial Corp. | 616 | 19 |
* | First Acceptance Corp. | 1,700 | 18 |
* | MarketAxess Holdings, Inc. | 1,300 | 18 |
| Unity Bancorp, Inc. | 1,189 | 17 |
| Wainwright Bank & Trust Co. | 1,537 | 17 |
* | First Keystone Financial, Inc. | 863 | 17 |
| HopFed Bancorp, Inc. | 1,005 | 16 |
| Habersham Bancorp | 610 | 15 |
| AmeriVest Properties, |
|
|
| Inc. REIT | 34,500 | 14 |
| PremierWest Bancorp | 854 | 14 |
| Resource Capital Corp. REIT | 800 | 14 |
| One Liberty Properties, Inc. |
|
|
| REIT | 534 | 13 |
| First Financial Service Corp. | 399 | 12 |
| Colony Bankcorp, Inc. | 681 | 12 |
| Northern States Financial Corp. | 599 | 12 |
| MutualFirst Financial Inc. | 500 | 11 |
* | Republic First Bancorp, Inc. | 803 | 10 |
| Wayne Savings Bancshares, Inc. | 673 | 10 |
| Kearny Financial Corp. | 600 | 10 |
| Jefferson Bancshares, Inc. | 600 | 8 |
* | Affordable Residential |
|
|
| Communities Rights |
|
|
| Exp. 1/23/07 | 8,567 | 8 |
| TIB Financial Corp. | 376 | 7 |
| HF Financial Corp. | 347 | 6 |
| National Health Realty Inc. REIT | 200 | 5 |
| Princeton National Bancorp, Inc. | 100 | 3 |
| Home Federal Bancorp | 100 | 3 |
| United Financial Corp. | 93 | 2 |
| Firstbank Corp. | 105 | 2 |
* | Brooklyn Federal Bancorp | 44 | 1 |
* | Horizon Group Properties, |
|
|
| Inc. REIT | 64 | — |
* | Vesta Insurance Group, Inc. | 11,252 | — |
|
|
| 1,239,553 |
Health Care (11.9%) |
|
| |
| Johnson & Johnson | 1,013,703 | 66,925 |
| Pfizer Inc. | 2,526,865 | 65,447 |
| Merck & Co., Inc. | 754,193 | 32,883 |
* | Amgen, Inc. | 405,737 | 27,716 |
| Abbott Laboratories | 529,515 | 25,793 |
| UnitedHealth Group Inc. | 466,879 | 25,085 |
| Wyeth | 466,335 | 23,746 |
| Medtronic, Inc. | 399,991 | 21,404 |
| Eli Lilly & Co. | 352,576 | 18,369 |
| Bristol-Myers Squibb Co. | 681,512 | 17,937 |
* | WellPoint Inc. | 214,813 | 16,904 |
* | Genentech, Inc. | 164,303 | 13,330 |
| Schering-Plough Corp. | 513,425 | 12,137 |
| Baxter International, Inc. | 226,170 | 10,492 |
* | Gilead Sciences, Inc. | 158,370 | 10,283 |
| Cardinal Health, Inc. | 140,589 | 9,058 |
| Caremark Rx, Inc. | 147,981 | 8,451 |
| Aetna Inc. | 189,892 | 8,200 |
* | Boston Scientific Corp. | 433,816 | 7,453 |
* | Celgene Corp. | 129,126 | 7,429 |
* | Zimmer Holdings, Inc. | 84,196 | 6,599 |
* | Thermo Fisher Scientific, Inc. | 141,430 | 6,405 |
| Allergan, Inc. | 52,430 | 6,278 |
| Becton, Dickinson & Co. | 84,799 | 5,949 |
* | Biogen Idec Inc. | 119,163 | 5,862 |
* | Genzyme Corp. | 90,639 | 5,582 |
* | Forest Laboratories, Inc. | 110,259 | 5,579 |
* | Medco Health Solutions, Inc. | 101,889 | 5,445 |
| Stryker Corp. | 98,671 | 5,438 |
| CIGNA Corp. | 38,475 | 5,062 |
| McKesson Corp. | 98,602 | 4,999 |
* | St. Jude Medical, Inc. | 122,303 | 4,471 |
| Biomet, Inc. | 80,753 | 3,333 |
25
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Laboratory Corp. of |
|
|
| America Holdings | 43,499 | 3,196 |
* | Humana Inc. | 57,274 | 3,168 |
| AmerisourceBergen Corp. | 69,904 | 3,143 |
| Quest Diagnostics, Inc. | 58,163 | 3,083 |
| C.R. Bard, Inc. | 36,051 | 2,991 |
* | Express Scripts Inc. | 40,696 | 2,914 |
* | Coventry Health Care Inc. | 55,091 | 2,757 |
* | MedImmune Inc. | 83,056 | 2,689 |
* | Sepracor Inc. | 37,873 | 2,332 |
| Applera Corp.-Applied |
|
|
| Biosystems Group | 63,276 | 2,322 |
* | Varian Medical Systems, Inc. | 45,187 | 2,150 |
* | DaVita, Inc. | 35,990 | 2,047 |
* | Health Net Inc. | 40,390 | 1,965 |
| IMS Health, Inc. | 69,880 | 1,920 |
| Health Management |
|
|
| Associates Class A | 83,537 | 1,763 |
* | Barr Pharmaceuticals Inc. | 35,095 | 1,759 |
* | Waters Corp. | 35,702 | 1,748 |
* | Hospira, Inc. | 51,846 | 1,741 |
| Omnicare, Inc. | 42,346 | 1,636 |
* | Vertex Pharmaceuticals, Inc. | 41,651 | 1,559 |
* | Amylin Pharmaceuticals, Inc. | 43,191 | 1,558 |
| DENTSPLY International Inc. | 50,710 | 1,514 |
* | Henry Schein, Inc. | 30,582 | 1,498 |
* | Cephalon, Inc. | 21,107 | 1,486 |
| Mylan Laboratories, Inc. | 73,322 | 1,464 |
* | Patterson Cos. | 38,794 | 1,378 |
* | King Pharmaceuticals, Inc. | 84,311 | 1,342 |
* | Covance, Inc. | 22,251 | 1,311 |
* | Lincare Holdings, Inc. | 32,523 | 1,296 |
| Beckman Coulter, Inc. | 21,655 | 1,295 |
* | ResMed Inc. | 26,150 | 1,287 |
* | Triad Hospitals, Inc. | 30,526 | 1,277 |
* | Millipore Corp. | 18,632 | 1,241 |
* | Endo Pharmaceuticals |
|
|
| Holdings, Inc. | 43,903 | 1,211 |
* | Community Health |
|
|
| Systems, Inc. | 32,997 | 1,205 |
* | Millennium |
|
|
| Pharmaceuticals, Inc. | 110,078 | 1,200 |
| Manor Care, Inc. | 25,560 | 1,199 |
| Pharmaceutical Product |
|
|
| Development, Inc. | 36,778 | 1,185 |
* | Intuitive Surgical, Inc. | 12,212 | 1,171 |
* | Tenet Healthcare Corp. | 164,683 | 1,148 |
* | Cytyc Corp. | 39,138 | 1,108 |
| Hillenbrand Industries, Inc. | 19,310 | 1,099 |
| Dade Behring Holdings Inc. | 26,941 | 1,073 |
* | Invitrogen Corp. | 18,677 | 1,057 |
| Universal Health Services |
|
|
| Class B | 18,537 | 1,028 |
* | Charles River |
|
|
| Laboratories, Inc. | 23,686 | 1,024 |
* | Cerner Corp. | 21,726 | 989 |
| PerkinElmer, Inc. | 43,937 | 977 |
| Bausch & Lomb, Inc. | 18,641 | 970 |
* | Edwards Lifesciences Corp. | 20,495 | 964 |
* | Respironics, Inc. | 25,320 | 956 |
* | Gen-Probe Inc. | 18,020 | 944 |
* | VCA Antech, Inc. | 29,112 | 937 |
* | Watson Pharmaceuticals, Inc. | 33,735 | 878 |
* | IDEXX Laboratories Corp. | 10,817 | 858 |
* | Pediatrix Medical Group, Inc. | 17,004 | 831 |
* | Hologic, Inc. | 16,666 | 788 |
* | WellCare Health Plans Inc. | 11,283 | 777 |
* | PDL BioPharma Inc. | 38,101 | 767 |
* | ICOS Corp. | 21,675 | 732 |
* | Advanced Medical Optics, Inc. | 20,748 | 730 |
* | Techne Corp. | 13,051 | 724 |
* | OSI Pharmaceuticals, Inc. | 20,050 | 701 |
* | Kinetic Concepts, Inc. | 17,564 | 695 |
* | Immucor Inc. | 23,602 | 690 |
* | Emdeon Corp. | 54,485 | 675 |
| Medicis Pharmaceutical Corp. | 19,019 | 668 |
| Cooper Cos., Inc. | 14,918 | 664 |
* | Psychiatric Solutions, Inc. | 17,616 | 661 |
* | AMERIGROUP Corp. | 18,045 | 648 |
| Mentor Corp. | 13,248 | 647 |
* | Sierra Health Services, Inc. | 17,705 | 638 |
* | ImClone Systems, Inc. | 23,496 | 629 |
* | LifePoint Hospitals, Inc. | 18,077 | 609 |
* | Medarex, Inc. | 40,836 | 604 |
| Brookdale Senior Living Inc. | 12,323 | 592 |
| West Pharmaceutical |
|
|
| Services, Inc. | 11,270 | 577 |
| STERIS Corp. | 22,490 | 566 |
* | Illumina, Inc. | 14,376 | 565 |
* | Magellan Health Services, Inc. | 13,001 | 562 |
| Valeant Pharmaceuticals |
|
|
| International | 32,325 | 557 |
* | Healthways, Inc. | 11,462 | 547 |
* | Affymetrix, Inc. | 23,494 | 542 |
* | The Medicines Co. | 16,959 | 538 |
* | Bio-Rad Laboratories, Inc. |
|
|
| Class A | 6,374 | 526 |
* | Human Genome |
|
|
| Sciences, Inc. | 41,572 | 517 |
* | MGI Pharma, Inc. | 27,465 | 506 |
* | Apria Healthcare Group Inc. | 18,961 | 505 |
* | Ventana Medical Systems, Inc. | 11,687 | 503 |
* | Sunrise Senior Living, Inc. | 15,971 | 491 |
* | Alexion Pharmaceuticals, Inc. | 12,139 | 490 |
* | BioMarin Pharmaceutical Inc. | 29,835 | 489 |
* | Myriad Genetics, Inc. | 15,600 | 488 |
* | Varian, Inc. | 10,838 | 485 |
* | Nektar Therapeutics | 31,562 | 480 |
| Perrigo Co. | 27,410 | 474 |
* | Applera Corp.–Celera |
|
|
| Genomics Group | 33,821 | 473 |
* | Alkermes, Inc. | 35,084 | 469 |
26
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | PSS World Medical, Inc. | 23,707 | 463 |
* | ArthroCare Corp. | 11,413 | 456 |
* | American Medical Systems |
|
|
| Holdings, Inc. | 24,405 | 452 |
* | Theravance, Inc. | 14,499 | 448 |
* | Allscripts Healthcare |
|
|
| Solutions, Inc. | 16,546 | 447 |
| Owens & Minor, Inc. |
|
|
| Holding Co. | 14,281 | 447 |
* | United Surgical Partners |
|
|
| International, Inc. | 15,649 | 444 |
* | Conor Medsystems, Inc. | 14,122 | 442 |
* | Cubist Pharmaceuticals, Inc. | 24,402 | 442 |
* | Digene Corp. | 8,894 | 426 |
* | Centene Corp. | 17,334 | 426 |
* | AMN Healthcare Services, Inc. | 15,450 | 425 |
* | Kyphon Inc. | 10,484 | 424 |
* | Haemonetics Corp. | 9,277 | 418 |
* | United Therapeutics Corp. | 7,595 | 413 |
| Alpharma, Inc. Class A | 16,925 | 408 |
* | Align Technology, Inc. | 28,092 | 392 |
* | K-V Pharmaceutical Co. |
|
|
| Class A | 16,499 | 392 |
* | Regeneron |
|
|
| Pharmaceuticals, Inc. | 19,451 | 390 |
* | Biosite Inc. | 7,870 | 384 |
* | CV Therapeutics, Inc. | 27,484 | 384 |
| Analogic Corp. | 6,819 | 383 |
* | Isis Pharmaceuticals, Inc. | 34,325 | 382 |
* | ^InterMune Inc. | 12,125 | 373 |
* | Amedisys Inc. | 11,200 | 368 |
* | Adams Respiratory |
|
|
| Therapeutics, Inc. | 8,996 | 367 |
* | Per-Se Technologies, Inc. | 13,059 | 363 |
* | Eclipsys Corp. | 17,431 | 358 |
* | Dionex Corp. | 6,259 | 355 |
* | AmSurg Corp. | 15,358 | 353 |
* | Martek Biosciences Corp. | 15,020 | 351 |
| Chemed Corp. | 9,309 | 344 |
* | CONMED Corp. | 14,872 | 344 |
* | Kindred Healthcare, Inc. | 13,592 | 343 |
* | Conceptus, Inc. | 15,597 | 332 |
* | Advanced Magnetics, Inc. | 5,273 | 315 |
* | Geron Corp. | 35,717 | 314 |
* | DJ Orthopedics Inc. | 7,300 | 313 |
* | Greatbatch, Inc. | 11,367 | 306 |
* | Arena Pharmaceuticals, Inc. | 23,026 | 297 |
* | Inverness Medical |
|
|
| Innovations, Inc. | 7,607 | 294 |
* | Alnylam Pharmaceuticals Inc. | 13,700 | 293 |
* | Par Pharmaceutical Cos. Inc. | 13,008 | 291 |
* | Sciele Pharma, Inc. | 11,938 | 287 |
| PolyMedica Corp. | 7,012 | 283 | |
* | CorVel Corp. | 5,891 | 280 | |
* | Thoratec Corp. | 15,785 | 278 | |
| Cambrex Corp. | 12,189 | 277 | |
* | Array BioPharma Inc. | 21,400 | 276 |
|
* | ViroPharma Inc. | 18,401 | 269 |
|
* | inVentiv Health, Inc. | 7,499 | 265 |
|
| Datascope Corp. | 7,214 | 263 |
|
* | New River Pharmaceuticals Inc. | 4,800 | 263 |
|
* | Zymogenetics, Inc. | 16,676 | 260 |
|
* | Dendrite International, Inc. | 23,481 | 251 |
|
* | Cyberonics, Inc. | 11,954 | 247 |
|
* | Genesis Healthcare Corp. | 5,159 | 244 |
|
| Arrow International, Inc. | 6,842 | 242 |
|
* | Gentiva Health Services, Inc. | 12,650 | 241 |
|
* | Bradley Pharmaceuticals, Inc. | 11,600 | 239 |
|
* | Palomar Medical |
|
|
|
| Technologies, Inc. | 4,700 | 238 |
|
* | ARIAD Pharmaceuticals, Inc. | 45,665 | 235 |
|
* | Abaxis, Inc. | 12,068 | 232 |
|
* | Exelixis, Inc. | 25,733 | 232 |
|
* | ABIOMED, Inc. | 16,275 | 229 |
|
| Sirona Dental Systems Inc. | 5,928 | 228 |
|
| Invacare Corp. | 9,105 | 224 |
|
* | Air Methods Corp. | 7,920 | 221 |
|
* | Bioveris Corp. | 16,114 | 221 |
|
* | Candela Corp. | 17,668 | 219 |
|
* | The TriZetto Group, Inc. | 11,853 | 218 |
|
* | Natus Medical Inc. | 13,105 | 218 |
|
| Computer Programs and |
|
|
|
| Systems, Inc. | 6,400 | 218 |
|
* | Angiodynamics Inc. | 10,100 | 217 |
|
* | ^BioLase Technology, Inc. | 24,782 | 217 |
|
* | ^AtheroGenics, Inc. | 21,263 | 211 |
|
* | LifeCell Corp. | 8,500 | 205 |
|
* | Progenics Pharmaceuticals, Inc. | 7,970 | 205 |
|
* | Noven Pharmaceuticals, Inc. | 8,023 | 204 |
|
* | Viasys Healthcare Inc. | 7,325 | 204 |
|
| Landauer, Inc. | 3,875 | 203 |
|
* | BioCryst Pharmaceuticals, Inc. | 17,559 | 203 |
|
* | HMS Holdings Corp. | 13,270 | 201 |
|
* | Cholestech Corp. | 10,904 | 201 |
|
* | Bio-Reference |
|
|
|
| Laboratories, Inc. | 8,728 | 196 |
|
* | Keryx |
|
|
|
| Biopharmaceuticals, Inc. | 14,505 | 193 |
|
* | American Dental Partners, Inc. | 10,210 | 193 |
|
* | Momenta |
|
|
|
| Pharmaceuticals, Inc. | 12,200 | 192 |
|
* | Healthspring, Inc. | 9,300 | 189 |
|
* | CryoLife Inc. | 24,626 | 188 |
|
* | Integra LifeSciences Holdings | 4,400 | 187 |
|
* | Aspect Medical Systems, Inc. | 9,783 | 184 |
|
| LCA-Vision Inc. | 5,336 | 183 |
* | ArQule, Inc. | 30,767 | 182 |
* | Cepheid, Inc. | 21,400 | 182 |
* | Tanox, Inc. | 9,094 | 181 |
* | Bruker BioSciences Corp. | 24,041 | 181 |
* | Adolor Corp. | 23,946 | 180 |
* | Acadia Pharmaceuticals Inc. | 20,400 | 179 |
27
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Caraco Pharmaceutical |
|
|
| Laboratories, Ltd. | 12,800 | 179 |
* | CuraGen Corp. | 38,848 | 179 |
* | Alliance Imaging, Inc. | 26,751 | 178 |
* | Onyx Pharmaceuticals, Inc. | 16,800 | 178 |
* | America Service Group Inc. | 11,100 | 177 |
* | Pharmion Corp. | 6,800 | 175 |
* | Wright Medical Group, Inc. | 7,518 | 175 |
* | PAREXEL International Corp. | 6,038 | 175 |
* | Barrier Therapeutics Inc. | 23,117 | 174 |
* | Cross Country Healthcare, Inc. | 7,943 | 173 |
* | Cantel Medical Corp. | 10,541 | 171 |
* | Allied Healthcare |
|
|
| International Inc. | 57,826 | 169 |
* | Foxhollow Technologies Inc. | 7,800 | 168 |
* | Albany Molecular |
|
|
| Research, Inc. | 15,757 | 166 |
* | HealthExtras, Inc. | 6,800 | 164 |
* | ^Idenix Pharmaceuticals Inc. | 18,505 | 161 |
* | Salix Pharmaceuticals, Ltd. | 13,126 | 160 |
* | SurModics, Inc. | 5,111 | 159 |
* | Anika Resh Inc. | 11,858 | 157 |
* | Ligand Pharmaceuticals Inc. |
|
|
| Class B | 14,172 | 155 |
* | Nuvasive, Inc. | 6,700 | 155 |
* | Cutera, Inc. | 5,700 | 154 |
* | Matria Healthcare, Inc. | 5,356 | 154 |
* | SonoSite, Inc. | 4,962 | 153 |
* | ^Aastrom Biosciences, Inc. | 124,699 | 153 |
* | Avigen, Inc. | 28,047 | 148 |
* | Cardiac Science Corp. | 18,005 | 145 |
* | Accelrys Inc. | 23,671 | 142 |
* | Abraxis Bioscience, Inc. | 5,134 | 140 |
* | Orthofix International NV | 2,792 | 140 |
* | Columbia Laboratories Inc. | 27,189 | 139 |
* | ICU Medical, Inc. | 3,400 | 138 |
* | ^AVI BioPharma, Inc. | 43,482 | 138 |
* | Bentley Pharmaceuticals, Inc. | 13,500 | 137 |
* | ev3 Inc. | 7,931 | 137 |
* | Pozen Inc. | 7,801 | 133 |
* | Dendreon Corp. | 31,783 | 133 |
* | Proxymed Pharmacy, Inc. | 28,600 | 132 |
* | MannKind Corp. | 8,000 | 132 |
* | Collagenex |
|
|
| Pharmaceuticals, Inc. | 9,400 | 131 |
* | Molina Healthcare Inc. | 3,900 | 127 |
* | Amicas, Inc. | 43,090 | 127 |
* | Anadys Pharmaceuticals Inc. | 25,607 | 126 |
* | Odyssey Healthcare, Inc. | 9,500 | 126 |
* | ^Cell Therapeutics, Inc. | 71,851 | 126 |
| Vital Signs, Inc. | 2,510 | 125 |
* | Neurocrine Biosciences, Inc. | 11,870 | 124 |
* | Savient Pharmaceuticals Inc. | 10,986 | 123 |
* | Lifecore Biomedical Inc. | 6,783 | 121 |
* | Antigenics, Inc. | 65,318 | 120 |
* | Caliper Life Sciences, Inc. | 20,709 | 118 |
* | BioScrip Inc. | 34,113 | 118 |
* | Quidel Corp. | 8,595 | 117 |
| Meridian Bioscience Inc. | 4,698 | 115 |
* | Zoll Medical Corp. | 1,941 | 113 |
* | Diversa Corp. | 10,126 | 110 |
* | AVANT |
|
|
| Immunotherapeutics, Inc. | 82,134 | 110 |
* | ATS Medical, Inc. | 53,039 | 110 |
* | Merit Medical Systems, Inc. | 6,931 | 110 |
* | Radiation Therapy |
|
|
| Services, Inc. | 3,460 | 109 |
* | Kensey Nash Corp. | 3,328 | 106 |
* | Nastech |
|
|
| Pharmaceutical Co., Inc. | 6,985 | 106 |
* | Luminex Corp. | 8,224 | 104 |
* | Spectranetics Corp. | 9,214 | 104 |
* | Nabi Biopharmaceuticals | 15,341 | 104 |
* | Continucare Corp. | 35,281 | 98 |
* | Penwest Pharmaceuticals Co. | 5,880 | 98 |
* | Embrex, Inc. | 5,641 | 95 |
* | MedCath Corp. | 3,386 | 93 |
* | Enzo Biochem, Inc. | 6,468 | 92 |
* | Bioenvision, Inc. | 19,842 | 92 |
* | Cerus Corp. | 15,701 | 92 |
* | Incyte Corp. | 15,748 | 92 |
* | Pharmanet Development |
|
|
| Group, Inc. | 4,150 | 92 |
* | BioSphere Medical Inc. | 13,700 | 92 |
* | OraSure Technologies, Inc. | 11,032 | 91 |
* | Symbion, Inc. | 4,800 | 89 |
* | PRA International | 3,488 | 88 |
* | Res-Care, Inc. | 4,800 | 87 |
* | Indevus Pharmaceuticals, Inc. | 12,184 | 87 |
* | Inspire Pharmaceuticals, Inc. | 13,527 | 86 |
* | Molecular Devices Corp. | 4,064 | 86 |
* | Capital Senior Living Corp. | 7,840 | 83 |
* | HealthTronics Surgical |
|
|
| Services, Inc. | 12,463 | 83 |
* | IntraLase Corp. | 3,700 | 83 |
* | eResearch Technology, Inc. | 12,175 | 82 |
* | deCODE genetics, Inc. | 17,814 | 81 |
* | Enzon Pharmaceuticals, Inc. | 9,441 | 80 |
* | ^Immunomedics Inc. | 22,052 | 80 |
* | Epix Pharmaceuticals Inc. | 11,528 | 80 |
* | Possis Medical Inc. | 5,800 | 78 |
* | Pain Therapeutics, Inc. | 8,756 | 78 |
* | Kendle International Inc. | 2,475 | 78 |
* | I-Flow Corp. | 5,200 | 78 |
* | Medical Action Industries Inc. | 2,400 | 77 |
* | Vital Images, Inc. | 2,200 | 77 |
* | Microtek Medical |
|
|
| Holdings, Inc. | 16,454 | 76 |
* | Emisphere Technologies, Inc. | 14,280 | 76 |
| Option Care, Inc. | 5,300 | 76 |
* | Telik, Inc. | 16,500 | 73 |
* | Horizon Health Corp. | 3,700 | 72 |
28
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Symmetry Medical Inc. | 5,200 | 72 |
| National Healthcare Corp. | 1,300 | 72 |
* | Sirna Therapeutics, Inc. | 5,500 | 72 |
* | Rochester Medical Corp. | 5,932 | 71 |
* | Durect Corp. | 15,822 | 70 |
* | Five Star Quality Care, Inc. | 6,231 | 69 |
* | Exactech, Inc. | 4,836 | 69 |
* | Acusphere, Inc. | 27,900 | 68 |
* | SuperGen, Inc. | 13,105 | 67 |
* | ^Accentia |
|
|
| Biopharmaceuticals Inc. | 19,000 | 67 |
* | ImmunoGen, Inc. | 12,823 | 65 |
* | Rigel Pharmaceuticals, Inc. | 5,400 | 64 |
* | Maxygen Inc. | 5,941 | 64 |
* | Neogen Corp. | 2,880 | 64 |
* | Encysive Pharmaceuticals, Inc. | 15,114 | 64 |
* | Cell Genesys, Inc. | 18,648 | 63 |
* | Auxilium Pharmaceuticals, Inc. | 4,300 | 63 |
* | Hooper Holmes, Inc. | 18,839 | 62 |
* | Senomyx, Inc. | 4,700 | 61 |
* | PDI, Inc. | 5,891 | 60 |
* | Cypress Bioscience, Inc. | 7,579 | 59 |
* | Lexicon Genetics Inc. | 15,779 | 57 |
* | Santarus Inc. | 7,196 | 56 |
* | ADVENTRX |
|
|
| Pharmaceuticals, Inc. | 18,800 | 55 |
* | RehabCare Group, Inc. | 3,700 | 55 |
* | CardioDynamics |
|
|
| International Corp. | 52,643 | 55 |
* | DepoMed, Inc. | 15,800 | 55 |
* | Nuvelo, Inc. | 13,508 | 54 |
* | Omnicell, Inc. | 2,900 | 54 |
* | Harvard Bioscience, Inc. | 10,410 | 53 |
* | Providence Service Corp. | 2,108 | 53 |
* | Monogram Biosciences, Inc. | 29,112 | 52 |
* | Kosan Biosciences, Inc. | 9,200 | 51 |
* | Allos Therapeutics Inc. | 8,700 | 51 |
* | US Physical Therapy, Inc. | 4,072 | 50 |
* | Merge Technologies, Inc. | 7,500 | 49 |
* | Oxigene, Inc. | 10,215 | 49 |
* | XOMA Ltd. | 22,254 | 49 |
* | Trimeris, Inc. | 3,826 | 49 |
* | SRI/Surgical Express, Inc. | 8,777 | 48 |
* | Vascular Solutions, Inc. | 5,486 | 48 |
* | Vivus, Inc. | 13,195 | 48 |
* | Discovery Laboratories, Inc. | 20,100 | 47 |
* | Xenoport Inc. | 1,900 | 47 |
* | NPS Pharmaceuticals Inc. | 10,241 | 46 |
* | GTx, Inc. | 2,600 | 46 |
* | SONUS Pharmaceuticals, Inc. | 7,483 | 46 |
* | Peregrine |
|
|
| Pharmaceuticals, Inc. | 38,828 | 45 |
* | ^CYTOGEN Corp. | 19,279 | 45 |
* | Cytokinetics, Inc. | 5,971 | 45 |
* | Regeneration Technologies, Inc. | 7,530 | 44 |
* | VistaCare, Inc. | 4,300 | 44 |
* | Vical, Inc. | 6,769 | 44 |
* | StemCells, Inc. | 15,597 | 41 |
* | National Dentex Corp. | 2,344 | 41 |
* | Third Wave Technologies | 8,441 | 41 |
* | Medical Staffing Network |
|
|
| Holdings, Inc. | 6,908 | 41 |
* | ThermoGenesis Corp. | 9,400 | 41 |
* | Seattle Genetics, Inc. | 7,600 | 41 |
* | Curis, Inc. | 31,911 | 40 |
* | Nutraceutical |
|
|
| International Corp. | 2,605 | 40 |
* | Biopure Corp. Class A | 83,016 | 40 |
* | Critical Therapeutics, Inc. | 19,327 | 39 |
* | Rural/Metro Corp. | 4,800 | 39 |
* | Advancis Pharmaceutical Corp. | 10,000 | 39 |
* | Osteotech, Inc. | 6,701 | 38 |
* | SciClone Pharmaceuticals, Inc. | 11,521 | 37 |
* | STAAR Surgical Co. | 5,276 | 37 |
* | Gene Logic Inc. | 24,011 | 37 |
* | Theragenics Corp. | 11,893 | 37 |
* | Phase Forward Inc. | 2,400 | 36 |
* | Neurogen Corp. | 5,387 | 32 |
* | EntreMed, Inc. | 20,177 | 32 |
* | Novavax, Inc. | 7,447 | 31 |
* | Genomic Health, Inc. | 1,600 | 30 |
* | Somanetics Corp. | 1,300 | 30 |
* | Corcept Therapeutics Inc. | 23,558 | 29 |
* | ^Avanir Pharmaceuticals |
|
|
| Class A | 12,250 | 28 |
* | TorreyPines Therapeutics Inc. | 3,825 | 28 |
* | Genta Inc. | 63,104 | 28 |
| Psychemedics Corp. | 1,405 | 27 |
* | Halozyme Therapeutics Inc | 3,300 | 27 |
* | NMT Medical, Inc. | 1,956 | 26 |
* | IRIS International, Inc. | 1,900 | 24 |
* | GenVec, Inc. | 9,745 | 23 |
* | Hollis-Eden |
|
|
| Pharmaceuticals, Inc. | 4,384 | 23 |
* | Vion Pharmaceuticals, Inc. | 16,589 | 22 |
* | Ista Pharmaceuticals Inc. | 3,098 | 22 |
* | Hi-Tech Pharmacal Co., Inc. | 1,800 | 22 |
* | Pharmacyclics, Inc. | 4,319 | 22 |
* | ^Northfield Laboratories, Inc. | 5,200 | 21 |
* | Sequenom, Inc. | 4,519 | 21 |
* | Dexcom Inc. | 2,000 | 20 |
* | Sangamo BioSciences, Inc. | 2,740 | 18 |
* | Sonic Innovations, Inc. | 3,406 | 18 |
* | Micrus Endovascular Corp | 927 | 18 |
* | Orchid Cellmark, Inc. | 5,504 | 17 |
* | Renovis, Inc. | 5,371 | 17 |
* | Genitope Corp. | 4,800 | 17 |
* | Nanogen, Inc. | 8,742 | 16 |
* | NitroMed, Inc. | 6,287 | 15 |
* | Nighthawk Radiology |
|
|
| Holdings, Inc. | 600 | 15 |
* | IVAX Diagnostics, Inc. | 10,266 | 15 |
29
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Tercica, Inc. | 2,800 | 14 |
* | Dyax Corp. | 4,479 | 14 |
* | Titan Pharmaceuticals, Inc. | 3,895 | 13 |
* | Immtech Pharmaceuticals Inc. | 1,700 | 13 |
* | Panacos Pharmaceuticals Inc. | 3,200 | 13 |
* | Alteon, Inc. | 84,013 | 13 |
* | Rita Medical Systems, Inc. | 2,711 | 12 |
* | Oscient Pharmaceuticals Corp. | 2,454 | 12 |
* | Orthologic Corp. | 8,628 | 12 |
* | Volcano Corp. | 700 | 11 |
* | Cotherix, Inc. | 800 | 11 |
* | NeoPharm, Inc. | 6,245 | 10 |
* | Ciphergen Biosystems, Inc. | 10,606 | 9 |
* | Synovis Life Technologies, Inc. | 800 | 8 |
* | GTC Biotherapeutics, Inc. | 7,000 | 8 |
* | Repligen Corp. | 2,700 | 8 |
* | La Jolla Pharmaceutical Co. | 2,249 | 7 |
* | PRAECIS Pharmaceuticals, Inc. | 1,340 | 7 |
* | Pharmacopeia Drug |
|
|
| Discovery Inc. | 1,398 | 6 |
* | PhotoMedex, Inc. | 5,274 | 6 |
* | Strategic Diagnostics Inc. | 1,531 | 6 |
* | Epicept Corp. | 3,977 | 6 |
* | Stratagene Holding Corp. | 594 | 4 |
* | Insmed Inc. | 4,780 | 4 |
* | Neurobiological |
|
|
| Technologies, Inc. | 1,972 | 4 |
* | Lipid Sciences, Inc. | 2,862 | 4 |
* | Threshold Pharmaceuticals, Inc. | 800 | 3 |
* | ^Targeted Genetics Corp. | 542 | 3 |
* | Matritech Inc. | 3,400 | 2 |
* | Novoste Corp. | 766 | 2 |
* | Bioject Medical |
|
|
| Technologies Inc. | 1,700 | 2 |
* | Transgenomic, Inc. | 2,841 | 1 |
* | ^Aphton Corp. | 109,560 | — |
|
|
| 659,526 |
Industrials (11.0%) |
|
| |
| General Electric Co. | 3,577,579 | 133,122 |
| The Boeing Co. | 261,775 | 23,256 |
| Tyco International Ltd. | 698,245 | 21,227 |
| United Technologies Corp. | 333,056 | 20,823 |
| 3M Co. | 247,995 | 19,326 |
| United Parcel Service, Inc. | 229,364 | 17,198 |
| Caterpillar, Inc. | 227,284 | 13,939 |
| Emerson Electric Co. | 282,656 | 12,462 |
| Honeywell International Inc. | 269,697 | 12,201 |
| Lockheed Martin Corp. | 124,871 | 11,497 |
| FedEx Corp. | 100,965 | 10,967 |
| Burlington Northern |
|
|
| Santa Fe Corp. | 125,476 | 9,261 |
| General Dynamics Corp. | 118,884 | 8,839 |
| Raytheon Co. | 155,553 | 8,213 |
| Union Pacific Corp. | 88,764 | 8,168 |
| Illinois Tool Works, Inc. | 167,334 | 7,729 |
| Northrop Grumman Corp. | 113,434 | 7,679 |
| Deere & Co. | 80,203 | 7,625 |
| Norfolk Southern Corp. | 143,433 | 7,213 |
| Waste Management, Inc. | 187,399 | 6,891 |
| Danaher Corp. | 85,290 | 6,178 |
| PACCAR, Inc. | 82,390 | 5,347 |
| CSX Corp. | 153,654 | 5,290 |
| Ingersoll-Rand Co. | 111,517 | 4,364 |
| Southwest Airlines Co. | 272,443 | 4,174 |
| Masco Corp. | 137,981 | 4,121 |
| Rockwell Collins, Inc. | 59,448 | 3,762 |
| Eaton Corp. | 49,438 | 3,715 |
| Textron, Inc. | 39,517 | 3,706 |
| Precision Castparts Corp. | 46,998 | 3,679 |
| Pitney Bowes, Inc. | 76,777 | 3,546 |
| Rockwell Automation, Inc. | 57,993 | 3,542 |
| Dover Corp. | 70,593 | 3,460 |
| ITT Industries, Inc. | 60,881 | 3,459 |
| L-3 Communications |
|
|
| Holdings, Inc. | 40,645 | 3,324 |
| Parker Hannifin Corp. | 41,775 | 3,212 |
| Expeditors International of |
|
|
| Washington, Inc. | 73,978 | 2,996 |
| American Standard Cos., Inc. | 62,722 | 2,876 |
| Cooper Industries, Inc. |
|
|
| Class A | 31,729 | 2,869 |
| R.R. Donnelley & Sons Co. | 74,986 | 2,665 |
| Fluor Corp. | 30,453 | 2,486 |
| C.H. Robinson Worldwide Inc. | 55,802 | 2,282 |
* | Terex Corp. | 35,268 | 2,278 |
| Manpower Inc. | 30,071 | 2,253 |
* | AMR Corp. | 74,170 | 2,242 |
| Avery Dennison Corp. | 32,345 | 2,197 |
| Cummins Inc. | 18,244 | 2,156 |
| Robert Half International, Inc. | 56,672 | 2,104 |
| Joy Global Inc. | 43,028 | 2,080 |
* | Monster Worldwide Inc. | 40,855 | 1,905 |
| Cintas Corp. | 47,627 | 1,891 |
| Goodrich Corp. | 41,342 | 1,883 |
| Republic Services, Inc. |
|
|
| Class A | 45,946 | 1,869 |
| W.W. Grainger, Inc. | 26,221 | 1,834 |
| American Power |
|
|
| Conversion Corp. | 59,614 | 1,824 |
* | The Dun & Bradstreet Corp. | 21,944 | 1,817 |
| Equifax, Inc. | 44,079 | 1,790 |
* | McDermott International, Inc. | 34,428 | 1,751 |
* | Jacobs Engineering Group Inc. | 20,560 | 1,676 |
* | UAL Corp. | 36,401 | 1,602 |
| Fastenal Co. | 44,472 | 1,596 |
| Roper Industries Inc. | 30,309 | 1,523 |
| Pall Corp. | 43,449 | 1,501 |
| Aramark Corp. Class B | 42,983 | 1,438 |
* | Foster Wheeler Ltd. | 23,705 | 1,307 |
* | USG Corp. | 23,536 | 1,290 |
* | Continental Airlines, Inc. |
|
|
| Class B | 31,118 | 1,284 |
30
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| The Manitowoc Co., Inc. | 21,492 | 1,277 |
* | Allied Waste Industries, Inc. | 102,397 | 1,258 |
| Oshkosh Truck Corp. | 25,639 | 1,241 |
| The Corporate Executive |
|
|
| Board Co. | 14,093 | 1,236 |
| SPX Corp. | 20,162 | 1,233 |
| Ametek, Inc. | 36,805 | 1,172 |
* | ChoicePoint Inc. | 29,581 | 1,165 |
| Harsco Corp. | 14,646 | 1,115 |
| Ryder System, Inc. | 21,520 | 1,099 |
* | Stericycle, Inc. | 14,547 | 1,098 |
| Pentair, Inc. | 33,565 | 1,054 |
| The Brink’s Co. | 16,470 | 1,053 |
* | Wesco International, Inc. | 17,117 | 1,007 |
* | Flowserve Corp. | 19,697 | 994 |
* | Thomas & Betts Corp. | 20,933 | 990 |
* | AGCO Corp. | 31,654 | 978 |
| Trinity Industries, Inc. | 27,649 | 973 |
* | Corrections Corp. of America | 21,115 | 955 |
* | Alliant Techsystems, Inc. | 12,184 | 953 |
* | Shaw Group, Inc. | 28,104 | 941 |
| Graco, Inc. | 23,662 | 937 |
| Donaldson Co., Inc. | 26,957 | 936 |
* | Covanta Holding Corp. | 41,121 | 906 |
| IDEX Corp. | 18,770 | 890 |
* | US Airways Group Inc. | 16,486 | 888 |
| Adesa, Inc. | 31,425 | 872 |
| Laidlaw International Inc. | 28,459 | 866 |
| Carlisle Co., Inc. | 10,697 | 840 |
| Herman Miller, Inc. | 22,806 | 829 |
| Hubbell Inc. Class B | 18,288 | 827 |
| Teleflex Inc. | 12,607 | 814 |
| J.B. Hunt Transport |
|
|
| Services, Inc. | 38,372 | 797 |
| Kennametal, Inc. | 13,525 | 796 |
| Acuity Brands, Inc. | 15,267 | 794 |
* | General Cable Corp. | 18,087 | 791 |
* | Navistar International Corp. | 23,502 | 786 |
* | URS Corp. | 18,037 | 773 |
| Landstar System, Inc. | 20,239 | 773 |
| The Timken Co. | 26,449 | 772 |
| GATX Corp. | 17,797 | 771 |
| Lincoln Electric Holdings, Inc. | 12,598 | 761 |
* | Copart, Inc. | 25,316 | 759 |
| Avis Budget Group, Inc. | 34,986 | 759 |
* | YRC Worldwide, Inc. | 20,008 | 755 |
| IKON Office Solutions, Inc. | 45,527 | 745 |
| DRS Technologies, Inc. | 14,015 | 738 |
| Con-way, Inc. | 16,748 | 738 |
* | JetBlue Airways Corp. | 51,865 | 736 |
* | Quanta Services, Inc. | 36,922 | 726 |
* | BE Aerospace, Inc. | 27,351 | 702 |
* | American Commercial |
|
|
| Lines Inc. | 10,703 | 701 |
| HNI Corp. | 15,736 | 699 |
* | Genlyte Group, Inc. | 8,806 | 688 |
* | Gardner Denver Inc. | 18,304 | 683 |
| Florida East Coast Industries, |
|
|
| Inc. Class A | 11,178 | 667 |
| MSC Industrial Direct Co., |
|
|
| Inc. Class A | 16,915 | 662 |
* | Waste Connections, Inc. | 15,858 | 659 |
* | Kansas City Southern | 22,670 | 657 |
| The Toro Co. | 13,969 | 651 |
* | Armor Holdings, Inc. | 11,697 | 642 |
* | United Rentals, Inc. | 25,211 | 641 |
| Lennox International Inc. | 20,883 | 639 |
| Alexander & Baldwin, Inc. | 14,211 | 630 |
| Crane Co. | 17,148 | 628 |
* | EMCOR Group, Inc. | 11,000 | 625 |
| CLARCOR Inc. | 18,269 | 618 |
| Brady Corp. Class A | 16,470 | 614 |
* | Washington Group |
|
|
| International, Inc. | 10,147 | 607 |
| UTI Worldwide, Inc. | 20,132 | 602 |
| Belden CDT Inc. | 15,207 | 594 |
| Granite Construction Co. | 11,780 | 593 |
* | Hertz Global Holdings Inc. | 33,400 | 581 |
| Bucyrus International, Inc. | 11,025 | 571 |
* | Hexcel Corp. | 32,561 | 567 |
* | IHS Inc.-Class A | 14,034 | 554 |
* | Alaska Air Group, Inc. | 13,917 | 550 |
| Skywest, Inc. | 21,421 | 546 |
| Watson Wyatt & Co. Holdings | 12,000 | 542 |
* | Kirby Corp. | 15,700 | 536 |
| Regal-Beloit Corp. | 10,181 | 535 |
* | PHH Corp. | 18,479 | 533 |
| Curtiss-Wright Corp. | 13,724 | 509 |
* | Ceradyne, Inc. | 8,991 | 508 |
* | Resources Connection, Inc. | 15,916 | 507 |
* | United Stationers, Inc. | 10,733 | 501 |
| Nordson Corp. | 10,037 | 500 |
| Wabtec Corp. | 16,432 | 499 |
| Briggs & Stratton Corp. | 18,002 | 485 |
* | Moog Inc. | 12,625 | 482 |
* | Acco Brands Corp. | 17,769 | 470 |
* | Energy Conversion |
|
|
| Devices, Inc. | 13,657 | 464 |
* | Teledyne Technologies, Inc. | 11,542 | 463 |
| John H. Harland Co. | 9,186 | 461 |
| Actuant Corp. | 9,653 | 460 |
| Administaff, Inc. | 10,704 | 458 |
| Deluxe Corp. | 18,003 | 454 |
| UAP Holding Corp. | 17,963 | 452 |
| Applied Industrial |
|
|
| Technology, Inc. | 17,040 | 448 |
* | Mueller Water Products, Inc. | 29,961 | 446 |
| Watts Water Technologies, Inc. | 10,838 | 446 |
| ^Simpson Manufacturing Co. | 13,945 | 441 |
* | AAR Corp. | 15,006 | 438 |
* | The Advisory Board Co. | 7,954 | 426 |
* | FTI Consulting, Inc. | 15,003 | 418 |
31
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Walter Industries, Inc. | 15,431 | 417 |
* | Swift Transportation Co., Inc. | 15,741 | 414 |
| Albany International Corp. | 12,448 | 410 |
| Mueller Industries Inc. | 12,851 | 407 |
| ABM Industries Inc. | 17,772 | 404 |
| Baldor Electric Co. | 11,955 | 400 |
* | ESCO Technologies Inc. | 8,720 | 396 |
| Watsco, Inc. | 8,365 | 394 |
* | Esterline Technologies Corp. | 9,547 | 384 |
| Woodward Governor Co. | 9,600 | 381 |
* | NCI Building Systems, Inc. | 7,270 | 376 |
| Kaydon Corp. | 9,250 | 368 |
* | Dollar Thrifty Automotive |
|
|
| Group, Inc. | 8,042 | 367 |
* | Cenveo Inc. | 17,225 | 365 |
* | Hub Group, Inc. | 13,200 | 364 |
| Pacer International, Inc. | 12,200 | 363 |
| Macquarie Infrastructure |
|
|
| Company Trust | 10,055 | 357 |
| Arkansas Best Corp. | 9,900 | 356 |
* | Teletech Holdings Inc. | 14,835 | 354 |
| Werner Enterprises, Inc. | 19,916 | 348 |
* | AirTran Holdings, Inc. | 29,366 | 345 |
| Barnes Group, Inc. | 15,818 | 344 |
| Mine Safety Appliances Co. | 9,248 | 339 |
* | Heidrick & Struggles |
|
|
| International, Inc. | 7,854 | 333 |
* | Clean Harbors Inc. | 6,870 | 333 |
| G & K Services, Inc. Class A | 8,533 | 332 |
| Ameron International Corp. | 4,340 | 331 |
* | Orbital Sciences Corp. | 17,851 | 329 |
* | CoStar Group, Inc. | 6,145 | 329 |
| Valmont Industries, Inc. | 5,900 | 327 |
* | EGL, Inc. | 10,964 | 327 |
* | Mobile Mini, Inc. | 11,846 | 319 |
| NACCO Industries, Inc. |
|
|
| Class A | 2,324 | 317 |
* | Navigant Consulting, Inc. | 15,820 | 313 |
* | Labor Ready, Inc. | 16,928 | 310 |
| Horizon Lines Inc. | 11,500 | 310 |
* | Consolidated Graphics, Inc. | 5,221 | 308 |
* | Genesee & Wyoming Inc. |
|
|
| Class A | 11,500 | 302 |
| Forward Air Corp. | 10,304 | 298 |
* | ^American Science |
|
|
| & Engineering, Inc. | 5,005 | 298 |
| Banta Corp. | 8,169 | 297 |
| Heartland Express, Inc. | 19,706 | 296 |
| Apogee Enterprises, Inc. | 15,179 | 293 |
* | School Specialty, Inc. | 7,728 | 290 |
* | Beacon Roofing Supply, Inc. | 15,378 | 289 |
| Comfort Systems USA, Inc. | 22,545 | 285 |
| Bowne & Co., Inc. | 17,607 | 281 |
| Universal Forest Products, Inc. | 6,000 | 280 |
| Franklin Electric, Inc. | 5,438 | 279 |
* | Jacuzzi Brands, Inc. | 22,346 | 278 |
| Knight Transportation, Inc. | 16,280 | 278 |
| CIRCOR International, Inc. | 7,399 | 272 |
* | Astec Industries, Inc. | 7,621 | 267 |
| A.O. Smith Corp. | 7,000 | 263 |
* | The Middleby Corp. | 2,500 | 262 |
* | Insituform Technologies Inc. |
|
|
| Class A | 10,050 | 260 |
| Steelcase Inc. | 14,297 | 260 |
* | Korn/Ferry International | 11,294 | 259 |
| Cascade Corp. | 4,700 | 249 |
| EDO Corp. | 10,440 | 248 |
* | American Reprographics Co. | 7,400 | 246 |
* | CBIZ Inc. | 35,249 | 246 |
* | AZZ Inc. | 4,765 | 244 |
* | Tetra Tech, Inc. | 13,450 | 243 |
* | Hudson Highland Group, Inc. | 14,418 | 240 |
* | Old Dominion Freight Line, Inc. | 9,856 | 237 |
| Federal Signal Corp. | 14,758 | 237 |
| Triumph Group, Inc. | 4,500 | 236 |
* | Infrasource Services Inc. | 10,780 | 235 |
| Cubic Corp. | 10,699 | 232 |
| ElkCorp | 5,610 | 231 |
* | Global Cash Access, Inc. | 14,061 | 228 |
| HEICO Corp. Class A | 6,996 | 228 |
| CDI Corp. | 9,111 | 227 |
* | Interline Brands, Inc. | 10,065 | 226 |
* | M&F Worldwide Corp. | 8,722 | 220 |
| Badger Meter, Inc. | 7,800 | 216 |
| Bluelinx Holdings Inc. | 20,767 | 216 |
| Angelica Corp. | 8,343 | 215 |
* | Amerco, Inc. | 2,422 | 211 |
* | GenCorp, Inc. | 14,989 | 210 |
* | ^American |
|
|
| Superconductor Corp. | 21,301 | 209 |
| Kaman Corp. Class A | 9,300 | 208 |
* | ^A.S.V., Inc. | 12,727 | 207 |
| Viad Corp. | 5,076 | 206 |
| Healthcare Services |
|
|
| Group, Inc. | 7,100 | 206 |
* | Celadon Group Inc. | 12,225 | 205 |
* | COMSYS IT Partners Inc. | 10,125 | 205 |
* | Republic Airways Holdings Inc. | 12,100 | 203 |
* | Casella Waste Systems, Inc. | 16,392 | 200 |
* | On Assignment, Inc. | 17,013 | 200 |
* | Marten Transport, Ltd. | 10,891 | 200 |
* | Sequa Corp. Class A | 1,715 | 197 |
| AAON, Inc. | 7,340 | 193 |
* | CRA International Inc. | 3,624 | 190 |
* | Griffon Corp. | 7,421 | 189 |
* | Blount International, Inc. | 14,011 | 189 |
* | First Consulting Group, Inc. | 13,569 | 187 |
| Tredegar Corp. | 8,144 | 184 |
| Knoll, Inc. | 8,347 | 184 |
* | Magnatek, Inc. | 32,390 | 183 |
| Kelly Services, Inc. Class A | 6,303 | 182 |
| Ampco-Pittsburgh Corp. | 5,429 | 182 |
32
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| McGrath RentCorp | 5,916 | 181 |
* | Pinnacle Airlines Corp. | 10,600 | 179 |
* | GrafTech International Ltd. | 25,628 | 177 |
* | Axsys Technologies, Inc. | 10,062 | 177 |
* | ABX Air, Inc. | 25,303 | 175 |
| Alamo Group, Inc. | 7,359 | 173 |
* | RailAmerica, Inc. | 10,671 | 172 |
* | II-VI, Inc. | 6,100 | 170 |
| Diamond Management and |
|
|
| Technology | 13,678 | 170 |
| Ennis, Inc. | 6,900 | 169 |
* | Flanders Corp. | 17,009 | 168 |
* | Cornell Companies, Inc. | 9,173 | 167 |
| Rollins, Inc. | 7,502 | 166 |
| Central Parking Corp. | 9,202 | 166 |
* | APAC Teleservices, Inc. | 44,019 | 165 |
* | EnPro Industries, Inc. | 4,950 | 164 |
| Eagle Bulk Shipping Inc. | 9,400 | 163 |
* | FuelCell Energy, Inc. | 24,186 | 156 |
| Aceto Corp. | 18,025 | 156 |
* | Perini Corp. | 5,000 | 154 |
| Standex International Corp. | 5,100 | 154 |
| American Woodmark Corp. | 3,662 | 153 |
* | Kforce Inc. | 12,431 | 151 |
| United Industrial Corp. | 2,959 | 150 |
* | Lydall, Inc. | 13,863 | 150 |
* | Active Power, Inc. | 57,118 | 150 |
* | Spherion Corp. | 19,418 | 144 |
* | K&F Industries Holdings | 6,347 | 144 |
| LSI Industries Inc. | 7,257 | 144 |
* | Geo Group Inc. | 3,810 | 143 |
| Applied Signal Technology, Inc. | 9,783 | 138 |
| Freightcar America Inc. | 2,455 | 136 |
* | ExpressJet Holdings, Inc. | 16,700 | 135 |
* | ^TurboChef Technologies, Inc. | 7,857 | 134 |
* | Covenant Transport, Inc. | 11,700 | 133 |
* | Superior Essex Inc. | 3,984 | 132 |
* | Electro Rent Corp. | 7,904 | 132 |
| Quixote Corp. | 6,625 | 130 |
* | ^Ionatron Inc. | 31,100 | 128 |
* | The Allied Defense Group, Inc. | 6,000 | 128 |
| ^C & D Technologies, Inc. | 26,832 | 127 |
| Wabash National Corp. | 8,247 | 125 |
* | Commercial Vehicle Group Inc. | 5,575 | 122 |
* | Atlas Air Worldwide |
|
|
| Holdings, Inc. | 2,722 | 121 |
* | Saia, Inc. | 5,183 | 120 |
* | Baker (Michael) Corp. | 5,300 | 120 |
| Robbins & Myers, Inc. | 2,600 | 119 |
* | Essex Corp. | 4,899 | 117 |
* | Rush Enterprises, Inc. Class A | 6,900 | 117 |
| Gorman-Rupp Co. | 3,128 | 116 |
* | Huron Consulting Group Inc. | 2,500 | 113 |
* | Frontier Airlines Holdings, Inc. | 15,000 | 111 |
| Raven Industries, Inc. | 4,100 | 110 |
* | Taser International Inc. | 14,435 | 110 |
* | Dynamex Inc. | 4,700 | 110 |
| Lindsay Manufacturing Co. | 3,313 | 108 |
* | Huttig Building Products, Inc. | 20,165 | 107 |
* | Ducommun, Inc. | 4,635 | 106 |
* | International Shipholding Corp. | 7,839 | 106 |
* | NuCo2, Inc. | 4,300 | 106 |
* | Encore Wire Corp. | 4,801 | 106 |
* | ^Advanced Environmental |
|
|
| Recycling Technologies, Inc | 51,705 | 104 |
* | Power-One, Inc. | 14,341 | 104 |
* | Builders FirstSource, Inc. | 5,780 | 103 |
* | ^Evergreen Solar, Inc. | 13,608 | 103 |
* | ^Medis Technology Ltd. | 5,900 | 103 |
* | MAIR Holdings, Inc. | 14,200 | 102 |
* | Williams Scotsman |
|
|
| International Inc. | 5,106 | 100 |
* | Exponent, Inc. | 5,208 | 97 |
* | ICT Group, Inc. | 3,075 | 97 |
* | Layne Christensen Co. | 2,956 | 97 |
| The Greenbrier Cos., Inc. | 3,200 | 96 |
* | Columbus McKinnon Corp. | 4,562 | 96 |
* | RBC Bearings Inc. | 3,256 | 93 |
* | Argon ST, Inc. | 4,190 | 90 |
* | Lamson & Sessions Co. | 3,700 | 90 |
* | Plug Power, Inc. | 22,736 | 88 |
* | Xanser Corp. | 18,129 | 88 |
* | Trex Co., Inc. | 3,841 | 88 |
* | Miller Industries, Inc. | 3,464 | 83 |
| Lawson Products, Inc. | 1,798 | 83 |
* | Volt Information Sciences Inc. | 1,636 | 82 |
* | Park-Ohio Holdings Corp. | 5,041 | 81 |
* | Kenexa Corp. | 2,400 | 80 |
* | Intersections Inc. | 7,506 | 79 |
* | GP Strategies Corp. | 9,300 | 77 |
* | Quality Distribution Inc. | 5,725 | 76 |
* | Herley Industries Inc. | 4,702 | 76 |
* | MTC Technologies, Inc. | 3,202 | 75 |
* | Flow International Corp. | 6,800 | 75 |
| Titan International, Inc. | 3,587 | 72 |
* | Ladish Co., Inc. | 1,900 | 70 |
* | Mesa Air Group Inc. | 8,147 | 70 |
* | Kadant Inc. | 2,772 | 68 |
* | SITEL Corp. | 15,505 | 65 |
| Met-Pro Corp. | 4,357 | 65 |
| Tennant Co. | 2,200 | 64 |
| HEICO Corp. | 1,623 | 63 |
* | Milacron Inc. | 78,313 | 63 |
* | ^Capstone Turbine Corp. | 49,814 | 61 |
* | LECG Corp. | 3,234 | 60 |
| L.S. Starrett Co. Class A | 3,636 | 59 |
| TAL International Group, Inc. | 2,200 | 59 |
* | Learning Tree International, Inc. | 6,531 | 58 |
| American Ecology Corp. | 3,100 | 57 |
* | WCA Waste Corp. | 6,966 | 56 |
| Frozen Food Express |
|
|
| Industries, Inc. | 6,486 | 56 |
33
|
|
| Market | |
|
|
| Value• | |
|
| Shares | ($000) | |
* | Waste Services, Inc. | 5,497 | 54 | |
| Vicor Corp. | 4,786 | 53 | |
* | Team, Inc. | 1,465 | 51 | |
* | Tecumseh Products Co. |
|
| |
| Class A | 3,012 | 51 | |
* | DynCorp International Inc. |
|
| |
| Cl. A | 3,200 | 51 | |
* | Distributed Energy Systems |
|
| |
| Corp. | 13,750 | 50 | |
* | Fuel-Tech N.V. | 1,900 | 47 | |
| The Standard Register Co. | 3,900 | 47 | |
| Mueller Water Products, Inc. |
|
| |
| Class A | 3,100 | 46 | |
| CompX International Inc. | 2,235 | 45 | |
| Dynamic Materials Corp. | 1,600 | 45 | |
| ^PW Eagle, Inc. | 1,300 | 45 | |
* | H&E Equipment Services, Inc. | 1,800 | 45 | |
* | PeopleSupport Inc. | 2,100 | 44 | |
| Sun Hydraulics Corp. | 2,132 | 44 | |
* | EnerSys | 2,700 | 43 | |
* | ^3D Systems Corp. | 2,699 | 43 | |
* | Goodman Global, Inc. | 2,470 | 42 | |
* | ^Arotech Corp. | 13,878 | 42 | |
| Schawk, Inc. | 2,100 | 41 | |
* | Sirva Inc. | 11,670 | 41 | |
* | Innotrac Corp. | 15,175 | 38 | |
| Waste Industries USA, Inc. | 1,200 | 37 | |
* | Catalytica Energy |
|
| |
| Systems, Inc. | 17,275 | 36 | |
* | ^Valence Technology Inc. | 21,538 | 36 | |
| Barrett Business Services, Inc. | 1,500 | 35 | |
* | TRC Cos., Inc. | 3,972 | 34 | |
* | Pike Electric Corp. | 2,000 | 33 | |
* | Powell Industries, Inc. | 1,000 | 32 | |
* | Gehl Co. | 1,100 | 30 | |
| Multi-Color Corp. | 900 | 30 | |
* | Paragon Technologies, Inc. | 5,170 | 29 | |
| American Railcar |
|
| |
| Industries, Inc. | 800 | 27 | |
* | Microvision, Inc. | 8,200 | 26 | |
| Insteel Industries, Inc. | 1,400 | 25 | |
* | Sterling Construction Co., Inc. | 1,100 | 24 | |
* | La Barge, Inc. | 1,700 | 23 | |
* | Willis Lease Finance Corp. | 2,195 | 23 | |
| Todd Shipyards Corp. | 1,330 | 22 | |
* | Document Security |
|
| |
| Systems, Inc. | 1,700 | 19 | |
* | Ultralife Batteries, Inc. | 1,480 | 16 | |
| Synagro Technologies Inc. | 3,106 | 14 | |
* | TransDigm Group, Inc. | 500 | 13 | |
* | Channell Commercial Corp. | 4,460 | 13 | |
* | UQM Technologies, Inc. | 4,600 | 13 | |
| Genco Shipping and |
|
| |
| Trading Ltd. | 400 | 11 | |
* | Strategic Distribution, Inc. | 1,081 | 11 | |
* | Nashua Corp. | 1,299 | 11 | |
| Twin Disc, Inc. | 300 | 11 |
|
* | Spherix Inc. | 4,519 | 10 |
|
* | Wolverine Tube, Inc. | 6,618 | 8 |
|
* | PRG-Schultz International, Inc. | 568 | 5 |
|
* | TRM Corp. | 1,200 | 3 |
|
* | A.T. Cross Co. Class A | 300 | 2 |
|
| Protection One, Inc. | 188 | 2 |
|
| Omega Flex Inc. | 100 | 2 |
|
* | BMC Industries, Inc. | 4,603 | — |
|
* | DT Industries, Inc. | 1,000 | — |
|
|
|
| 612,008 |
|
Information Technology (15.2%) |
|
|
| |
| Microsoft Corp. | 3,071,933 | 91,728 |
|
* | Cisco Systems, Inc. | 2,115,564 | 57,818 |
|
| International Business |
|
|
|
| Machines Corp. | 527,418 | 51,239 |
|
| Intel Corp. | 1,998,926 | 40,478 |
|
| Hewlett-Packard Co. | 966,715 | 39,819 |
|
* | Google Inc. | 75,966 | 34,981 |
|
* | Apple Computer, Inc. | 295,626 | 25,081 |
|
* | Oracle Corp. | 1,453,857 | 24,919 |
|
| QUALCOMM Inc. | 572,470 | 21,634 |
|
* | Dell Inc. | 708,574 | 17,778 |
|
| Motorola, Inc. | 849,132 | 17,458 |
|
| Texas Instruments, Inc. | 531,199 | 15,299 |
|
* | eBay Inc. | 367,947 | 11,063 |
|
* | Yahoo! Inc. | 430,835 | 11,004 |
|
* | EMC Corp. | 796,624 | 10,515 |
|
* | Corning, Inc. | 540,622 | 10,115 |
|
| Automatic Data |
|
|
|
| Processing, Inc. | 192,556 | 9,483 |
|
| Applied Materials, Inc. | 481,366 | 8,881 |
|
* | Adobe Systems, Inc. | 200,805 | 8,257 |
|
| Accenture Ltd. | 202,692 | 7,485 |
|
* | Symantec Corp. | 342,895 | 7,149 |
|
| First Data Corp. | 265,234 | 6,769 |
|
* | Sun Microsystems, Inc. | 1,212,188 | 6,570 |
|
| Western Union Co. | 265,334 | 5,949 |
|
* | Electronic Arts Inc. | 106,286 | 5,353 |
|
* | Xerox Corp. | 313,100 | 5,307 |
|
* | Broadcom Corp. | 162,526 | 5,251 |
|
* | Agilent Technologies, Inc. | 147,649 | 5,146 |
|
* | Network Appliance, Inc. | 128,837 | 5,061 |
|
| Electronic Data |
|
|
|
| Systems Corp. | 179,444 | 4,944 |
|
| Seagate Technology | 184,022 | 4,877 |
|
| Paychex, Inc. | 118,683 | 4,693 |
|
* | NVIDIA Corp. | 116,138 | 4,298 |
|
| Analog Devices, Inc. | 122,332 | 4,021 |
|
* | Advanced Micro |
|
|
| Devices, Inc. | 188,403 | 3,834 |
* | Cognizant Technology |
|
|
| Solutions Corp. | 48,873 | 3,771 |
* | Micron Technology, Inc. | 252,966 | 3,531 |
* | Intuit, Inc. | 114,706 | 3,500 |
| KLA-Tencor Corp. | 69,167 | 3,441 |
34
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Maxim Integrated |
|
|
| Products, Inc. | 111,322 | 3,409 |
* | SanDisk Corp. | 78,335 | 3,371 |
* | Juniper Networks, Inc. | 176,620 | 3,345 |
| CA, Inc. | 147,204 | 3,334 |
* | Autodesk, Inc. | 79,830 | 3,230 |
| Linear Technology Corp. | 105,233 | 3,191 |
* | Computer Sciences Corp. | 59,516 | 3,176 |
* | Fiserv, Inc. | 60,413 | 3,167 |
* | Marvell Technology |
|
|
| Group Ltd. | 162,230 | 3,113 |
| Xilinx, Inc. | 117,864 | 2,806 |
* | NCR Corp. | 62,615 | 2,677 |
| Fidelity National Information |
|
|
| Services, Inc. | 66,046 | 2,648 |
| National Semiconductor Corp. | 112,352 | 2,550 |
* | Lexmark International, Inc. | 34,790 | 2,547 |
* | LAM Research Corp. | 49,264 | 2,494 |
* | Altera Corp. | 124,784 | 2,456 |
| Microchip Technology, Inc. | 74,775 | 2,445 |
* | Akamai Technologies, Inc. | 45,976 | 2,442 |
* | MEMC Electronic |
|
|
| Materials, Inc. | 61,697 | 2,415 |
| MasterCard, Inc. Class A | 23,600 | 2,324 |
* | Flextronics International Ltd. | 201,459 | 2,313 |
* | BMC Software, Inc. | 71,316 | 2,296 |
| Harris Corp. | 46,708 | 2,142 |
* | VeriSign, Inc. | 84,313 | 2,028 |
* | Avaya Inc. | 143,314 | 2,004 |
| Amphenol Corp. | 31,062 | 1,928 |
* | Affiliated Computer |
|
|
| Services, Inc. Class A | 39,002 | 1,905 |
* | Cadence Design Systems, Inc. | 97,372 | 1,744 |
* | Citrix Systems, Inc. | 63,742 | 1,724 |
* | Activision, Inc. | 97,334 | 1,678 |
* | BEA Systems, Inc. | 129,644 | 1,631 |
* | Western Digital Corp. | 76,915 | 1,574 |
* | McAfee Inc. | 55,335 | 1,570 |
| Jabil Circuit, Inc. | 62,846 | 1,543 |
| CDW Corp. | 21,651 | 1,522 |
* | Iron Mountain, Inc. | 36,739 | 1,519 |
* | Tellabs, Inc. | 147,724 | 1,516 |
* | Comverse Technology, Inc. | 70,351 | 1,485 |
* | Novellus Systems, Inc. | 43,001 | 1,480 |
* | Alliance Data Systems Corp. | 23,641 | 1,477 |
| Sabre Holdings Corp. | 46,044 | 1,468 |
* | Red Hat, Inc. | 62,795 | 1,444 |
* | Ceridian Corp. | 48,384 | 1,354 |
* | Arrow Electronics, Inc. | 42,406 | 1,338 |
| Symbol Technologies, Inc. | 88,352 | 1,321 |
* | Synopsys, Inc. | 48,723 | 1,302 |
| Global Payments Inc. | 27,844 | 1,289 |
* | LSI Logic Corp. | 139,404 | 1,255 |
* | JDS Uniphase Corp. | 73,555 | 1,225 |
* | QLogic Corp. | 55,509 | 1,217 |
* | DST Systems, Inc. | 19,289 | 1,208 |
* | Avnet, Inc. | 45,909 | 1,172 |
| Intersil Corp. | 48,971 | 1,171 |
* | Convergys Corp. | 48,327 | 1,149 |
* | Agere Systems Inc. | 58,975 | 1,131 |
* | Mettler-Toledo |
|
|
| International Inc. | 14,107 | 1,112 |
* | CheckFree Corp. | 26,982 | 1,084 |
* | Integrated Device |
|
|
| Technology Inc. | 69,721 | 1,079 |
* | Compuware Corp. | 129,315 | 1,077 |
| Diebold, Inc. | 22,949 | 1,069 |
| Molex, Inc. Class A | 38,067 | 1,054 |
* | F5 Networks, Inc. | 14,103 | 1,047 |
* | Teradyne, Inc. | 68,516 | 1,025 |
* | NAVTEQ Corp. | 29,194 | 1,021 |
* | Solectron Corp. | 314,889 | 1,014 |
* | salesforce.com, Inc. | 27,476 | 1,002 |
* | Ingram Micro, Inc. Class A | 48,842 | 997 |
* | Trimble Navigation Ltd. | 19,283 | 977 |
* | International Rectifier Corp. | 24,885 | 959 |
* | Polycom, Inc. | 30,578 | 945 |
* | Unisys Corp. | 119,663 | 938 |
* | Atmel Corp. | 152,988 | 926 |
| MoneyGram International, Inc. | 29,475 | 924 |
| Fair Isaac, Inc. | 22,073 | 897 |
* | Varian Semiconductor |
|
|
| Equipment Associates, Inc. | 19,110 | 870 |
| Tektronix, Inc. | 29,004 | 846 |
* | Cypress Semiconductor Corp. | 49,460 | 834 |
* | Zebra Technologies Corp. |
|
|
| Class A | 23,460 | 816 |
* | Ciena Corp. | 29,328 | 813 |
* | Vishay Intertechnology, Inc. | 59,606 | 807 |
* | ValueClick, Inc. | 33,633 | 795 |
* | Brocade Communications |
|
|
| Systems, Inc. | 94,740 | 778 |
* | Digital River, Inc. | 13,910 | 776 |
* | Sybase, Inc. | 31,115 | 769 |
| Acxiom Corp. | 29,088 | 746 |
* | Novell, Inc. | 118,588 | 735 |
* | THQ Inc. | 22,541 | 733 |
* | Tech Data Corp. | 19,317 | 732 |
* | FLIR Systems, Inc. | 22,826 | 727 |
* | Hyperion Solutions Corp. | 20,165 | 725 |
* | Foundry Networks, Inc. | 48,073 | 720 |
* | Fairchild Semiconductor |
|
|
| International, Inc. | 42,471 | 714 |
* | MICROS Systems, Inc. | 13,499 | 711 |
* | Parametric Technology Corp. | 38,840 | 700 |
* | Tessera Technologies, Inc. | 16,186 | 653 |
* | Sanmina-SCI Corp. | 186,911 | 645 |
* | CommScope, Inc. | 20,828 | 635 |
* | Anixter International Inc. | 11,680 | 634 |
| FactSet Research |
|
|
| Systems Inc. | 11,146 | 630 |
* | TIBCO Software Inc. | 65,957 | 623 |
35
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | VeriFone Holdings, Inc. | 17,133 | 607 |
* | Interdigital |
|
|
| Communications Corp. | 18,044 | 605 |
* | Equinix, Inc. | 8,002 | 605 |
* | CACI International, Inc. | 10,676 | 603 |
* | ADC Telecommunications, Inc. | 41,322 | 600 |
* | Cymer, Inc. | 13,634 | 599 |
| Jack Henry & Associates Inc. | 27,661 | 592 |
* | Hewitt Associates, Inc. | 22,822 | 588 |
* | Rambus Inc. | 30,559 | 578 |
* | Emulex Corp. | 29,639 | 578 |
* | Silicon Laboratories Inc. | 16,656 | 577 |
* | Andrew Corp. | 56,187 | 575 |
| Imation Corp. | 12,322 | 572 |
* | FormFactor Inc. | 15,264 | 569 |
* | aQuantive, Inc. | 22,995 | 567 |
* | 3Com Corp. | 137,732 | 566 |
* | ANSYS, Inc. | 12,952 | 563 |
* | Digitas Inc. | 41,738 | 560 |
* | Sonus Networks, Inc. | 84,438 | 556 |
* | Benchmark Electronics, Inc. | 22,665 | 552 |
* | BISYS Group, Inc. | 42,420 | 548 |
* | Avocent Corp. | 15,967 | 540 |
* | Nuance Communications, Inc. | 47,051 | 539 |
| National Instruments Corp. | 19,578 | 533 |
* | Avid Technology, Inc. | 14,120 | 526 |
* | Electronics for Imaging, Inc. | 19,693 | 523 |
* | Macrovision Corp. | 18,434 | 521 |
| ADTRAN Inc. | 22,941 | 521 |
* | MPS Group, Inc. | 36,417 | 516 |
* | ON Semiconductor Corp. | 68,110 | 516 |
* | Perot Systems Corp. | 31,414 | 515 |
* | Mentor Graphics Corp. | 28,300 | 510 |
* | Redback Networks Inc. | 20,440 | 510 |
* | BearingPoint, Inc. | 63,440 | 499 |
* | ATMI, Inc. | 16,320 | 498 |
* | PMC Sierra Inc. | 72,859 | 489 |
* | Gartner, Inc. Class A | 24,291 | 481 |
* | Applied Micro Circuits Corp. | 134,543 | 479 |
* | Arris Group Inc. | 37,655 | 471 |
* | WebEx Communications, Inc. | 13,429 | 469 |
* | Cree, Inc. | 26,975 | 467 |
* | Microsemi Corp. | 23,521 | 462 |
* | Itron, Inc. | 8,857 | 459 |
* | Palm, Inc. | 32,524 | 458 |
* | RF Micro Devices, Inc. | 66,808 | 454 |
* | Digital Insight Corp. | 11,765 | 453 |
* | CNET Networks, Inc. | 49,758 | 452 |
* | eFunds Corp. | 16,299 | 448 |
* | Take-Two Interactive |
|
|
| Software, Inc. | 25,199 | 448 |
* | j2 Global Communications, Inc. | 16,392 | 447 |
* | Wright Express Corp. | 14,327 | 447 |
| Cognex Corp. | 18,725 | 446 |
* | Entegris Inc. | 41,050 | 444 |
* | SiRF Technology Holdings, Inc. | 17,334 | 442 |
* | EarthLink, Inc. | 61,833 | 439 |
| Daktronics, Inc. | 11,900 | 439 |
* | Spansion Inc. Class A | 29,325 | 436 |
* | CSG Systems |
|
|
| International, Inc. | 16,145 | 432 |
* | RealNetworks, Inc. | 39,406 | 431 |
* | Kronos, Inc. | 11,617 | 427 |
* | Intermec, Inc. | 17,465 | 424 |
* | Transaction Systems |
|
|
| Architects, Inc. | 12,972 | 422 |
* | Aeroflex, Inc. | 35,917 | 421 |
* | Brooks Automation, Inc. | 28,552 | 411 |
* | Komag, Inc. | 10,824 | 410 |
* | MicroStrategy Inc. | 3,500 | 399 |
* | Comtech |
|
|
| Telecommunications Corp. | 10,350 | 394 |
* | Amkor Technology, Inc. | 42,132 | 394 |
* | Global Imaging Systems, Inc. | 17,800 | 391 |
* | Websense, Inc. | 16,916 | 386 |
* | Progress Software Corp. | 13,763 | 384 |
* | Finisar Corp. | 117,838 | 381 |
* | Advent Software, Inc. | 10,634 | 375 |
* | Rogers Corp. | 6,155 | 364 |
| Black Box Corp. | 8,648 | 363 |
* | Plexus Corp. | 15,000 | 358 |
* | Cabot Microelectronics Corp. | 10,521 | 357 |
* | SRA International, Inc. | 12,873 | 344 |
* | Openwave Systems Inc. | 37,268 | 344 |
* | Coherent, Inc. | 10,843 | 342 |
* | Rackable Systems Inc. | 11,000 | 341 |
* | Conexant Systems, Inc. | 165,228 | 337 |
* | Advanced Energy |
|
|
| Industries, Inc. | 17,840 | 337 |
| Molex, Inc. | 10,593 | 335 |
* | Paxar Corp. | 14,500 | 334 |
* | Atheros Communications, Inc. | 15,618 | 333 |
* | Altiris, Inc. | 12,998 | 330 |
* | Skyworks Solutions, Inc. | 46,464 | 329 |
* | Internap Network |
|
|
| Services Corp. | 16,509 | 328 |
* | Informatica Corp. | 26,831 | 328 |
* | Checkpoint Systems, Inc. | 16,010 | 323 |
* | Lawson Software, Inc. | 43,700 | 323 |
* | Axcelis Technologies, Inc. | 54,378 | 317 |
* | Ariba, Inc. | 40,726 | 315 |
| Technitrol, Inc. | 13,143 | 314 |
| Blackbaud, Inc. | 11,900 | 309 |
* | Manhattan Associates, Inc. | 10,284 | 309 |
| Plantronics, Inc. | 14,561 | 309 |
* | CMGI Inc. | 228,902 | 307 |
* | Euronet Worldwide, Inc. | 10,300 | 306 |
* | C-COR Inc. | 27,045 | 301 |
* | Quest Software, Inc. | 20,480 | 300 |
* | Semtech Corp. | 22,763 | 298 |
| Agilysys, Inc. | 17,556 | 294 |
* | Littelfuse, Inc. | 9,082 | 290 |
36
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Dolby Laboratories Inc. | 9,329 | 289 |
* | Trident Microsystems, Inc. | 15,900 | 289 |
| CTS Corp. | 18,408 | 289 |
* | DealerTrack Holdings Inc. | 9,805 | 288 |
| Gevity HR, Inc. | 12,134 | 287 |
* | FEI Co. | 10,770 | 284 |
* | Brightpoint, Inc. | 21,044 | 283 |
* | Insight Enterprises, Inc. | 14,991 | 283 |
* | DSP Group Inc. | 12,953 | 281 |
* | Opsware, Inc. | 31,862 | 281 |
* | AMIS Holdings Inc. | 26,400 | 279 |
| MTS Systems Corp. | 7,200 | 278 |
* | UTStarcom, Inc. | 31,587 | 276 |
* | NETGEAR, Inc. | 10,500 | 276 |
* | Actel Corp. | 15,100 | 274 |
* | Covansys Corp. | 11,808 | 271 |
| Cohu, Inc. | 13,104 | 264 |
* | DTS Inc. | 10,800 | 261 |
* | Concur Technologies, Inc. | 16,267 | 261 |
* | Ansoft Corp. | 9,378 | 261 |
* | ANADIGICS, Inc. | 29,406 | 261 |
* | Rofin-Sinar Technologies Inc. | 4,300 | 260 |
* | Blackboard Inc. | 8,624 | 259 |
* | Interwoven Inc. | 17,402 | 255 |
* | McDATA Corp. Class A | 45,748 | 254 |
* | Silicon Image, Inc. | 19,755 | 251 |
* | Cirrus Logic, Inc. | 36,205 | 249 |
* | Asyst Technologies, Inc. | 33,938 | 248 |
| Total System Services, Inc. | 9,370 | 247 |
* | Dycom Industries, Inc. | 11,639 | 246 |
* | Aspen Technologies, Inc. | 22,101 | 244 |
* | Actuate Software Corp. | 40,965 | 243 |
* | Diodes Inc. | 6,750 | 239 |
* | Electro Scientific |
|
|
| Industries, Inc. | 11,759 | 237 |
* | Acacia Research - Acacia |
|
|
| Technologies | 17,500 | 234 |
* | Agile Software Corp. | 37,834 | 233 |
* | Extreme Networks, Inc. | 55,424 | 233 |
* | Epicor Software Corp. | 17,097 | 231 |
| Talx Corp. | 8,407 | 231 |
| United Online, Inc. | 17,241 | 229 |
* | Credence Systems Corp. | 43,865 | 228 |
* | Newport Corp. | 10,856 | 227 |
* | OmniVision Technologies, Inc. | 16,484 | 225 |
* | L-1 Identity Solutions Inc. | 14,860 | 225 |
* | Synaptics Inc. | 7,540 | 224 |
* | Wind River Systems Inc. | 21,807 | 224 |
* | Anaren, Inc. | 12,514 | 222 |
* | Zoran Corp. | 14,930 | 218 |
* | ManTech International Corp. | 5,900 | 217 |
* | Micrel, Inc. | 19,935 | 215 |
* | SafeNet, Inc. | 8,923 | 214 |
* | Tekelec | 14,000 | 208 |
* | Color Kinetics Inc. | 9,675 | 207 |
* | Keane, Inc. | 17,054 | 203 |
| AVX Corp. | 13,705 | 203 |
* | Borland Software Corp. | 37,221 | 202 |
* | Lattice Semiconductor Corp. | 31,245 | 202 |
* | ^Avanex Corp. | 104,331 | 197 |
* | ScanSource, Inc. | 6,400 | 195 |
* | InfoSpace, Inc. | 9,389 | 193 |
* | Adaptec, Inc. | 41,164 | 192 |
* | ActivIdentity Corp. | 37,480 | 190 |
* | Photronics Inc. | 11,591 | 189 |
* | NetRatings, Inc. | 10,671 | 187 |
* | Sycamore Networks, Inc. | 49,628 | 187 |
* | ^Bankrate, Inc. | 4,869 | 185 |
* | Powerwave Technologies, Inc. | 28,607 | 185 |
* | Harmonic, Inc. | 25,233 | 183 |
* | MKS Instruments, Inc. | 8,081 | 182 |
* | Art Technology Group, Inc. | 77,523 | 181 |
| Inter-Tel, Inc. | 8,114 | 180 |
* | Quantum Corp. | 76,500 | 177 |
* | KEMET Corp. | 23,999 | 175 |
* | Ciber, Inc. | 25,826 | 175 |
* | Internet Capital Group Inc. | 17,066 | 175 |
* | NIC Inc. | 34,731 | 173 |
* | Bell Microproducts Inc. | 24,268 | 171 |
* | Verint Systems Inc. | 4,975 | 171 |
* | Autobytel Inc. | 48,641 | 170 |
* | ViaSat, Inc. | 5,700 | 170 |
* | Tyler Technologies, Inc. | 11,966 | 168 |
* | Cogent Inc. | 15,204 | 167 |
* | Answerthink Consulting |
|
|
| Group, Inc. | 53,521 | 165 |
* | ^Applied Digital Solutions, Inc. | 89,988 | 163 |
* | FSI International, Inc. | 30,777 | 162 |
* | Entrust, Inc. | 37,557 | 160 |
* | ^American Technology Corp. | 40,660 | 159 |
* | SonicWALL, Inc. | 18,895 | 159 |
* | Chordiant Software, Inc. | 47,651 | 158 |
* | Sigma Designs, Inc. | 6,185 | 157 |
* | JDA Software Group, Inc. | 11,360 | 156 |
* | Hutchinson Technology, Inc. | 6,616 | 156 |
* | Forrester Research, Inc. | 5,738 | 156 |
| infoUSA Inc. | 13,016 | 155 |
| Park Electrochemical Corp. | 6,000 | 154 |
* | Digimarc Corp. | 17,400 | 153 |
* | eCollege.com Inc. | 9,794 | 153 |
* | EMCORE Corp. | 27,713 | 153 |
* | Open Solutions Inc. | 4,068 | 153 |
* | SI International Inc. | 4,700 | 152 |
* | Airspan Networks Inc. | 41,100 | 152 |
* | Carreker Corp. | 19,900 | 152 |
* | Advanced Analogic |
|
|
| Technologies, Inc. | 28,200 | 152 |
* | Callidus Software Inc. | 24,035 | 151 |
* | Gateway, Inc. | 74,779 | 150 |
* | Cray, Inc. | 12,650 | 150 |
* | eSPEED, Inc. Class A | 17,156 | 150 |
| Quality Systems, Inc. | 4,004 | 149 |
37
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Echelon Corp. | 18,651 | 149 |
* | CyberSource Corp. | 13,474 | 148 |
* | Ceva, Inc. | 22,807 | 147 |
* | Stratasys, Inc. | 4,650 | 146 |
* | Computer Horizons Corp. | 32,119 | 145 |
| MAXIMUS, Inc. | 4,698 | 145 |
* | Corillian Corp. | 38,091 | 144 |
* | Witness Systems, Inc. | 8,106 | 142 |
* | California Micro Devices Corp. | 31,900 | 140 |
* | Interactive Intelligence Inc. | 6,107 | 137 |
* | ^Bookham, Inc. | 33,500 | 136 |
* | Mercury Computer |
|
|
| Systems, Inc. | 10,168 | 136 |
* | Carrier Access Corp. | 20,554 | 135 |
* | Gerber Scientific, Inc. | 10,721 | 135 |
* | Leadis Technology Inc. | 28,700 | 135 |
* | Multi-Fineline Electronix, Inc. | 6,600 | 134 |
* | OSI Systems Inc. | 6,300 | 132 |
* | TriQuint Semiconductor, Inc. | 29,226 | 132 |
* | Catapult |
|
|
| Communications Corp. | 14,384 | 129 |
* | Kulicke & Soffa Industries, Inc. | 15,295 | 128 |
* | Exar Corp. | 9,877 | 128 |
* | Veeco Instruments, Inc. | 6,854 | 128 |
* | Dot Hill Systems Corp. | 32,414 | 127 |
* | Standard Microsystem Corp. | 4,536 | 127 |
* | MIPS Technologies, Inc. | 15,283 | 127 |
* | Captaris Inc. | 16,230 | 126 |
* | Computer Task Group, Inc. | 26,312 | 125 |
* | Calamp Corp. | 14,769 | 125 |
* | Aware, Inc. | 23,273 | 124 |
* | Blue Coat Systems, Inc. | 5,178 | 124 |
* | Nu Horizons Electronics Corp. | 11,954 | 123 |
* | PLX Technology, Inc. | 9,400 | 123 |
* | Kopin Corp. | 34,126 | 122 |
* | Sirenza Microdevices, Inc. | 15,446 | 121 |
* | Infocrossing, Inc. | 7,400 | 121 |
* | Genesis Microchip Inc. | 11,866 | 120 |
* | 24/7 Real Media, Inc. | 12,987 | 118 |
* | MRV Communications Inc. | 33,046 | 117 |
| TheStreet.com, Inc. | 13,142 | 117 |
* | Lionbridge Technologies, Inc. | 18,069 | 116 |
* | Sykes Enterprises, Inc. | 6,596 | 116 |
* | SYNNEX Corp. | 5,300 | 116 |
* | Packeteer, Inc. | 8,467 | 115 |
* | Perficient, Inc. | 7,000 | 115 |
| Syntel, Inc. | 4,247 | 114 |
| Integral Systems, Inc. | 4,899 | 114 |
* | Rudolph Technologies, Inc. | 7,128 | 113 |
* | ^Atari, Inc. | 198,987 | 113 |
| Bel Fuse, Inc. Class B | 3,253 | 113 |
* | SPSS, Inc. | 3,731 | 112 |
* | Novatel Wireless, Inc. | 11,601 | 112 |
* | Integrated Silicon Solution, Inc. | 19,091 | 110 |
* | Kanbay International Inc. | 3,799 | 109 |
* | Oplink Communications, Inc. | 5,298 | 109 |
* | Centillium |
|
|
| Communications, Inc. | 50,648 | 108 |
* | SunPower Corp. Class A | 2,900 | 108 |
* | Jupitermedia Corp. | 13,606 | 108 |
* | Hifn, Inc. | 20,100 | 107 |
* | Online Resources Corp. | 10,489 | 107 |
* | TTM Technologies, Inc. | 9,359 | 106 |
* | Safeguard Scientifics, Inc. | 43,755 | 106 |
* | Silicon Storage |
|
|
| Technology, Inc. | 23,390 | 105 |
* | AuthentiDate Holding Corp. | 65,876 | 105 |
* | Vignette Corp. | 6,116 | 104 |
* | webMethods, Inc. | 14,032 | 103 |
* | Stratex Networks, Inc. | 21,362 | 103 |
* | Concurrent Computer Corp. | 56,054 | 101 |
| Methode Electronics, Inc. |
|
|
| Class A | 9,308 | 101 |
* | FalconStor Software, Inc. | 11,541 | 100 |
* | Mastec Inc. | 8,611 | 99 |
* | EMS Technologies, Inc. | 4,931 | 99 |
* | Indus International, Inc. | 26,000 | 99 |
* | EPIQ Systems, Inc. | 5,800 | 98 |
* | Sapient Corp. | 17,787 | 98 |
* | Marchex, Inc. | 7,260 | 97 |
* | SAVVIS, Inc. | 2,676 | 96 |
* | MapInfo Corp. | 7,294 | 95 |
* | Bottomline Technologies, Inc. | 8,300 | 95 |
* | CyberOptics Corp. | 7,500 | 95 |
* | iGATE Corp. | 13,780 | 95 |
* | Mindspeed Technologies, Inc. | 49,466 | 94 |
* | Universal Display Corp. | 6,255 | 94 |
* | KVH Industries, Inc. | 8,836 | 94 |
* | TNS Inc. | 4,800 | 92 |
* | Neoware Systems, Inc. | 6,870 | 91 |
* | Immersion Corp. | 12,500 | 91 |
* | Mattson Technology, Inc. | 9,600 | 89 |
* | Measurement Specialties, Inc. | 4,099 | 89 |
* | The Ultimate Software |
|
|
| Group, Inc. | 3,800 | 88 |
* | Digi International, Inc. | 6,339 | 87 |
* | Zygo Corp. | 5,286 | 87 |
* | Avici Systems Inc. | 11,176 | 87 |
* | LTX Corp. | 15,344 | 86 |
* | Symmetricom Inc. | 9,619 | 86 |
* | Sonic Solutions, Inc. | 5,200 | 85 |
* | Intevac, Inc. | 3,200 | 83 |
* | SupportSoft, Inc. | 15,101 | 83 |
* | Secure Computing Corp. | 12,490 | 82 |
* | Web.com, Inc. | 19,553 | 82 |
* | Ditech Networks Inc. | 11,829 | 82 |
* | Ixia | 8,267 | 79 |
* | Supertex, Inc. | 2,000 | 79 |
* | ^Convera Corp. | 17,071 | 78 |
* | LookSmart, Ltd. | 17,432 | 78 |
* | ESS Technology, Inc. | 74,175 | 76 |
* | Comtech Group Inc. | 4,200 | 76 |
38
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | LoJack Corp. | 4,400 | 75 |
* | Glenayre Technologies, Inc. | 29,165 | 74 |
* | Pericom Semiconductor Corp. | 6,480 | 74 |
* | IXYS Corp. | 8,258 | 73 |
* | RadiSys Corp. | 4,356 | 73 |
* | Hypercom Corp. | 11,400 | 72 |
* | Embarcadero |
|
|
| Technologies, Inc. | 11,811 | 72 |
* | Iomega Corp. | 20,176 | 71 |
* | PDF Solutions, Inc. | 4,852 | 70 |
* | PortalPlayer Inc. | 5,200 | 70 |
* | Loral Space and |
|
|
| Communications Ltd. | 1,700 | 69 |
| Heartland Payment |
|
|
| Systems, Inc. | 2,443 | 69 |
* | FARO Technologies, Inc. | 2,868 | 69 |
* | Presstek, Inc. | 10,773 | 69 |
* | InterVoice, Inc. | 8,855 | 68 |
* | Magma Design |
|
|
| Automation, Inc. | 7,400 | 66 |
* | SeaChange International, Inc. | 6,365 | 65 |
* | Excel Technology, Inc. | 2,500 | 64 |
* | S1 Corp. | 11,607 | 64 |
* | Analysts International Corp. | 32,921 | 62 |
* | Hittite Microwave Corp. | 1,882 | 61 |
* | Saba Software, Inc. | 9,585 | 60 |
| X-Rite Inc. | 4,835 | 59 |
* | iPass Inc. | 9,900 | 58 |
* | PC-Tel, Inc. | 6,138 | 57 |
* | Ultratech, Inc. | 4,548 | 57 |
* | Netlogic Microsystems Inc. | 2,557 | 55 |
* | VA Software Corp. | 10,639 | 54 |
| Keithley Instruments Inc. | 4,065 | 53 |
* | Planar Systems, Inc. | 5,523 | 53 |
* | Endwave Corp. | 4,912 | 53 |
* | COMARCO, Inc. | 6,117 | 53 |
* | The Knot, Inc. | 2,000 | 52 |
* | Radiant Systems, Inc. | 5,007 | 52 |
| Startek, Inc. | 3,746 | 51 |
* | Merix Corp. | 5,310 | 49 |
* | OPNET Technologies, Inc. | 3,412 | 49 |
* | ^ParkerVision, Inc. | 4,402 | 49 |
* | Keynote Systems Inc. | 4,525 | 48 |
* | Transmeta Corp. | 42,916 | 48 |
* | Lightbridge, Inc. | 3,500 | 47 |
* | TranSwitch Corp. | 33,277 | 47 |
| Renaissance Learning, Inc. | 2,613 | 46 |
* | Monolithic Power Systems | 4,100 | 46 |
* | Lasercard Corp. | 4,247 | 45 |
* | Photon Dynamics, Inc. | 3,813 | 45 |
| Bel Fuse, Inc. Class A | 1,477 | 45 |
* | Digital Angel Corp. | 17,400 | 44 |
* | Ulticom, Inc. | 4,597 | 44 |
* | Cherokee International Corp. | 11,002 | 44 |
| Pegasystems Inc. | 4,288 | 42 |
* | Napster, Inc. | 11,188 | 41 |
* | Lantronix, Inc. | 23,175 | 38 |
* | TechTeam Global, Inc. | 3,342 | 38 |
* | Interlink Electronics Inc. | 11,331 | 35 |
* | MTI Technology Corp. | 46,309 | 35 |
* | Pemstar Inc. | 8,910 | 34 |
* | Tollgrade Communications, Inc. | 3,209 | 34 |
| QAD Inc. | 3,999 | 34 |
* | SigmaTel Inc. | 7,656 | 34 |
* | InFocus Corp. | 12,451 | 33 |
* | MoSys, Inc. | 3,564 | 33 |
* | Zhone Technologies | 24,375 | 32 |
* | Applied Innovation Inc. | 9,918 | 32 |
* | SpectraLink Corp. | 3,700 | 32 |
* | Dynamics Research Corp. | 3,261 | 32 |
* | Virage Logic Corp. | 3,199 | 30 |
* | On2 Technologies, Inc. | 24,693 | 30 |
* | PLATO Learning, Inc. | 5,472 | 30 |
* | Omniture, Inc. | 2,100 | 30 |
* | QuickLogic Corp. | 9,638 | 29 |
* | Tumbleweed |
|
|
| Communications Corp. | 10,736 | 28 |
* | NMS Communications Corp. | 13,721 | 28 |
* | Phoenix Technologies Ltd. | 6,170 | 28 |
* | RAE Systems, Inc. | 8,627 | 28 |
* | Network Equipment |
|
|
| Technologies, Inc. | 4,707 | 27 |
* | Westell Technologies, Inc. | 10,801 | 27 |
* | PAR Technology Corp. | 2,900 | 26 |
* | Edgewater Technology, Inc. | 4,077 | 25 |
* | Pixelworks, Inc. | 10,182 | 23 |
* | Miva Inc. | 6,761 | 23 |
* | Mechanical Technology Inc. | 11,586 | 22 |
* | Network Engines, Inc. | 7,961 | 21 |
* | Nanometrics Inc. | 2,500 | 20 |
* | Docucorp International, Inc. | 1,847 | 19 |
* | DDi Corp. | 2,496 | 18 |
* | Volterra Semiconductor Corp. | 1,100 | 17 |
* | White Electronic Designs Corp. | 3,020 | 16 |
* | SM&A Corp. | 2,694 | 16 |
* | Smith Micro Software, Inc. | 1,100 | 16 |
* | Intraware, Inc. | 2,275 | 15 |
* | Mobius Management |
|
|
| Systems, Inc. | 2,203 | 15 |
* | Selectica, Inc. | 8,094 | 14 |
* | Sumtotal Systems Inc. | 2,241 | 14 |
* | SCM Microsystems, Inc. | 4,207 | 13 |
* | Ness Technologies Inc. | 900 | 13 |
* | Rainmaker Systems, Inc. | 1,698 | 13 |
* | BSQUARE Corp. | 4,449 | 13 |
* | OpenTV Corp. | 5,200 | 12 |
* | Ramtron International Corp. | 3,117 | 12 |
* | Superconductor |
|
|
| Technologies Inc. | 6,294 | 11 |
* | Optical Communication |
|
|
| Products, Inc. | 6,429 | 11 |
* | Research Frontiers, Inc. | 1,800 | 10 |
39
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Vitria Technology, Inc. | 3,573 | 10 |
* | Quovadx, Inc. | 3,315 | 9 |
* | Telular Corp. | 2,339 | 8 |
* | WJ Communications, Inc. | 5,246 | 8 |
* | PC Connection, Inc. | 550 | 8 |
* | ePlus Inc. | 683 | 7 |
* | NetScout Systems, Inc. | 769 | 6 |
* | Zix Corp. | 4,904 | 6 |
* | Wave Systems Corp. Class A | 2,169 | 6 |
* | Sunrise Telecom Inc. | 2,405 | 5 |
* | Allen Organ Co. escrow shares | 283 | 5 |
* | Management Network |
|
|
| Group Inc. | 2,896 | 4 |
* | Viewpoint Corp. | 6,086 | 4 |
* | Therma-Wave Inc. | 3,032 | 4 |
* | Inforte Corp. | 907 | 3 |
* | Wireless Telecom Group, Inc. | 1,279 | 3 |
* | Technology Solutions Co. | 391 | 3 |
* | GSE Systems, Inc. | 384 | 3 |
* | Tut Systems, Inc. | 2,266 | 3 |
* | ^SpatiaLight, Inc. | 1,845 | 2 |
* | Verso Technologies, Inc. | 1,918 | 2 |
* | Cosine Communications, Inc. | 623 | 2 |
* | The SCO Group, Inc. | 1,605 | 2 |
* | SAFLINK Corp. | 9,224 | 1 |
* | Media 100 Inc. | 1,614 | — |
|
|
| 843,086 |
Materials (3.3%) |
|
| |
| E.I. du Pont de Nemours |
|
|
| & Co. | 319,457 | 15,561 |
| Dow Chemical Co. | 332,465 | 13,279 |
| Monsanto Co. | 187,592 | 9,854 |
| Alcoa Inc. | 300,478 | 9,017 |
| Phelps Dodge Corp. | 70,777 | 8,473 |
| Newmont Mining Corp. |
|
|
| (Holding Co.) | 155,875 | 7,038 |
| Praxair, Inc. | 111,715 | 6,628 |
| Weyerhaeuser Co. | 85,371 | 6,031 |
| Nucor Corp. | 106,870 | 5,842 |
| Air Products & |
|
|
| Chemicals, Inc. | 76,431 | 5,372 |
| International Paper Co. | 149,685 | 5,104 |
| PPG Industries, Inc. | 57,320 | 3,681 |
| Freeport-McMoRan Copper & |
|
|
| Gold, Inc. Class B | 65,027 | 3,624 |
| United States Steel Corp. | 42,767 | 3,128 |
| Vulcan Materials Co. | 33,589 | 3,019 |
| Ecolab, Inc. | 65,505 | 2,961 |
| Allegheny Technologies Inc. | 29,713 | 2,694 |
| Rohm & Haas Co. | 49,880 | 2,550 |
| Lyondell Chemical Co. | 77,459 | 1,981 |
| MeadWestvaco Corp. | 62,830 | 1,889 |
| Sealed Air Corp. | 28,147 | 1,827 |
| Sigma-Aldrich Corp. | 23,185 | 1,802 |
| Temple-Inland Inc. | 37,900 | 1,745 |
* | Pactiv Corp. | 47,911 | 1,710 |
| Eastman Chemical Co. | 28,510 | 1,691 |
| Martin Marietta Materials, Inc. | 15,769 | 1,639 |
| Ashland, Inc. | 22,233 | 1,538 |
| Ball Corp. | 34,409 | 1,501 |
| International Flavors & |
|
|
| Fragrances, Inc. | 26,755 | 1,315 |
| Sonoco Products Co. | 32,879 | 1,251 |
| Bemis Co., Inc. | 36,598 | 1,244 |
* | Crown Holdings, Inc. | 58,558 | 1,225 |
| Celanese Corp. Series A | 46,784 | 1,211 |
| Lubrizol Corp. | 23,845 | 1,195 |
* | The Mosaic Co. | 53,188 | 1,136 |
| Steel Dynamics, Inc. | 31,856 | 1,034 |
| Commercial Metals Co. | 39,610 | 1,022 |
| Albemarle Corp. | 14,052 | 1,009 |
| FMC Corp. | 13,020 | 997 |
| Airgas, Inc. | 24,456 | 991 |
* | Owens-Illinois, Inc. | 53,224 | 982 |
| Valspar Corp. | 33,746 | 933 |
* | Smurfit-Stone Container Corp. | 88,290 | 932 |
* | Titanium Metals Corp. | 30,952 | 913 |
| Cabot Corp. | 20,926 | 912 |
| Carpenter Technology Corp. | 8,475 | 869 |
| RPM International, Inc. | 41,481 | 867 |
* | Nalco Holding Co. | 42,335 | 866 |
| Scotts Miracle-Gro Co. | 16,346 | 844 |
| Reliance Steel & |
|
|
| Aluminum Co. | 21,150 | 833 |
| Chemtura Corp. | 84,424 | 813 |
| Louisiana-Pacific Corp. | 36,836 | 793 |
| Cytec Industries, Inc. | 13,931 | 787 |
* | Oregon Steel Mills, Inc. | 12,488 | 779 |
| Eagle Materials, Inc. | 17,456 | 755 |
| Florida Rock Industries, Inc. | 17,135 | 738 |
* | Hercules, Inc. | 37,880 | 730 |
| AptarGroup Inc. | 12,237 | 722 |
| Chaparral Steel Co. | 16,068 | 711 |
| Cleveland-Cliffs Inc. | 14,579 | 706 |
* | Huntsman Corp. | 34,933 | 663 |
* | AK Steel Corp. | 38,490 | 650 |
| Packaging Corp. of America | 29,367 | 649 |
* | RTI International Metals, Inc. | 8,100 | 634 |
| Texas Industries, Inc. | 8,403 | 540 |
| H.B. Fuller Co. | 20,526 | 530 |
* | Coeur d’Alene Mines Corp. | 96,973 | 480 |
| Greif Inc. Class A | 4,019 | 476 |
* | OM Group, Inc. | 10,279 | 465 |
* | W.R. Grace & Co. | 22,762 | 451 |
| Quanex Corp. | 12,870 | 445 |
| Worthington Industries, Inc. | 25,118 | 445 |
* | Century Aluminum Co. | 9,848 | 440 |
| Bowater Inc. | 19,521 | 439 |
| Olin Corp. | 25,025 | 413 |
| Minerals Technologies, Inc. | 6,885 | 405 |
* | Hecla Mining Co. | 45,786 | 351 |
| NewMarket Corp. | 5,829 | 344 |
40
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Brush Engineered |
|
|
| Materials Inc. | 10,122 | 342 |
* | Terra Industries, Inc. | 28,469 | 341 |
| CF Industries Holdings, Inc. | 13,167 | 338 |
| Silgan Holdings, Inc. | 7,572 | 333 |
| Arch Chemicals, Inc. | 9,888 | 329 |
* | Headwaters Inc. | 13,591 | 326 |
| Ferro Corp. | 15,407 | 319 |
| AMCOL International Corp. | 10,908 | 303 |
| Spartech Corp. | 11,058 | 290 |
| Sensient Technologies Corp. | 10,912 | 268 |
| Metal Management, Inc. | 6,900 | 261 |
* | Buckeye Technology, Inc. | 21,699 | 260 |
| Compass Minerals |
|
|
| International | 8,100 | 256 |
* | Graphic Packaging Corp. | 58,563 | 254 |
| MacDermid, Inc. | 7,344 | 250 |
* | Apex Silver Mines Ltd. | 15,700 | 249 |
| Glatfelter | 15,930 | 247 |
| Innospec, Inc. | 5,184 | 241 |
| Royal Gold, Inc. | 6,400 | 230 |
| Schnitzer Steel Industries, Inc. |
|
|
| Class A | 5,775 | 229 |
| Rock-Tenn Co. | 8,200 | 222 |
| ^American Vanguard Corp. | 13,966 | 222 |
| Ryerson Tull, Inc. | 8,830 | 222 |
| Wausau Paper Corp. | 14,290 | 214 |
* | ^Calgon Carbon Corp. | 34,097 | 211 |
| Neenah Paper Inc. | 5,800 | 205 |
| Deltic Timber Corp. | 3,600 | 201 |
| Chesapeake Corp. of Virginia | 11,387 | 194 |
* | Symyx Technologies, Inc. | 8,968 | 194 |
| Georgia Gulf Corp. | 9,238 | 178 |
* | PolyOne Corp. | 22,968 | 172 |
| A.M. Castle & Co. | 6,495 | 165 |
* | Pioneer Cos., Inc. | 5,523 | 158 |
* | Wheeling-Pittsburgh Corp. | 8,168 | 153 |
| Quaker Chemical Corp. | 6,924 | 153 |
* | Stillwater Mining Co. | 12,066 | 151 |
| Gibraltar Industries Inc. | 6,350 | 149 |
| NL Industries, Inc. | 14,008 | 145 |
* | Zoltek Cos., Inc. | 7,296 | 144 |
* | ^U.S. Energy Corp. | 28,071 | 142 |
* | ^Altair Nanotechnology | 53,600 | 141 |
| Balchem Corp. | 5,300 | 136 |
| A. Schulman Inc. | 5,983 | 133 |
| Myers Industries, Inc. | 8,464 | 133 |
* | Rockwood Holdings, Inc. | 4,959 | 125 |
* | ^Nonophase Technologies |
|
|
| Corp. | 20,860 | 125 |
| Schweitzer-Mauduit |
|
|
| International, Inc. | 4,764 | 124 |
| Tronox Inc. Class B | 6,975 | 110 |
* | U.S. Concrete, Inc. | 15,100 | 108 |
* | Material Sciences Corp. | 8,073 | 104 |
| Westlake Chemical Corp. | 3,199 | 100 |
* | Caraustar Industries, Inc. | 11,752 | 95 |
| Stepan Co. | 2,780 | 88 |
* | Omnova Solutions Inc. | 19,003 | 87 |
| Steel Technologies, Inc. | 4,500 | 79 |
| Hawkins, Inc. | 5,500 | 79 |
| NN, Inc. | 6,000 | 75 |
| Wellman, Inc. | 21,663 | 69 |
* | Northwest Pipe Co. | 1,551 | 52 |
* | ADA-ES Inc | 2,400 | 39 |
| Penford Corp. | 1,936 | 33 |
* | Lesco, Inc. | 2,600 | 22 |
* | Maxxam Inc. | 490 | 14 |
| Olympic Steel, Inc. | 400 | 9 |
* | Webco Industries, Inc. | 40 | 4 |
|
|
| 181,459 |
Telecommunication Services (3.2%) |
|
| |
| AT&T Inc. | 1,346,127 | 48,124 |
| Verizon |
|
|
| Communications Inc. | 1,004,566 | 37,410 |
| BellSouth Corp. | 629,347 | 29,649 |
| Sprint Nextel Corp. | 994,635 | 18,789 |
| Alltel Corp. | 134,592 | 8,140 |
* | American Tower Corp. |
|
|
| Class A | 147,372 | 5,494 |
* | Qwest Communications |
|
|
| International Inc. | 561,277 | 4,698 |
* | NII Holdings Inc. | 48,274 | 3,111 |
| Embarq Corp. | 51,771 | 2,721 |
| Windstream Corp. | 164,655 | 2,342 |
* | Crown Castle |
|
|
| International Corp. | 69,967 | 2,260 |
* | Level 3 |
|
|
| Communications, Inc. | 345,519 | 1,935 |
| Telephone & Data |
|
|
| Systems, Inc. | 31,816 | 1,729 |
| CenturyTel, Inc. | 38,350 | 1,674 |
| Citizens Communications Co. | 111,578 | 1,603 |
* | Leap Wireless |
|
|
| International, Inc. | 17,465 | 1,039 |
* | SBA Communications Corp. | 30,660 | 843 |
* | Time Warner Telecom Inc. | 40,454 | 805 |
* | NeuStar, Inc. Class A | 23,039 | 747 |
* | Dobson |
|
|
| Communications Corp. | 53,209 | 463 |
* | Broadwing Corp. | 28,275 | 442 |
* | Cincinnati Bell Inc. | 92,378 | 422 |
| Alaska Communications |
|
|
| Systems Holdings, Inc. | 22,118 | 336 |
* | Cogent Communications |
|
|
| Group, Inc. | 19,190 | 311 |
| Commonwealth Telephone |
|
|
| Enterprises, Inc. | 6,902 | 289 |
* | U.S. Cellular Corp. | 4,066 | 283 |
* | Cbeyond Inc. | 8,300 | 254 |
* | IDT Corp. Class B | 18,058 | 236 |
| USA Mobility, Inc. | 10,400 | 233 |
41
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | General Communication, Inc. | 14,100 | 222 |
* | @ Road, Inc. | 29,200 | 213 |
| Telephone & Data Systems, |
|
|
| Inc.–Special |
|
|
| Common Shares | 4,164 | 207 |
| Surewest Communications | 7,400 | 204 |
| North Pittsburgh Systems, Inc. | 7,724 | 186 |
| Atlantic Tele-Network, Inc. | 6,359 | 186 |
* | Premiere Global Services, Inc. | 19,168 | 181 |
| D&E Communications, Inc. | 12,729 | 161 |
* | Vonage Holdings Corp. | 22,300 | 155 |
* | ^InPhonic, Inc. | 13,000 | 144 |
| Iowa Telecommunications |
|
|
| Services Inc. | 7,300 | 144 |
| Consolidated Communications |
|
|
| Holdings, Inc. | 6,871 | 144 |
| CT Communications, Inc. | 5,500 | 126 |
| FairPoint Communications, Inc. | 6,200 | 117 |
* | LCC International, Inc. |
|
|
| Class A | 26,663 | 113 |
| Shenandoah |
|
|
| Telecommunications Co. | 2,310 | 109 |
| Centennial Communications |
|
|
| Corp. Class A | 14,970 | 108 |
* | ^Fibertower Corp. | 15,455 | 91 |
* | Covad Communications |
|
|
| Group, Inc. | 52,296 | 72 |
* | Arbinet Holdings, Inc. | 12,274 | 67 |
* | Global Crossing Ltd. | 2,200 | 54 |
* | Wireless Facilities, Inc. | 17,426 | 50 |
* | iPCS, Inc. | 755 | 42 |
* | Syniverse Holdings Inc. | 2,581 | 39 |
| Hickory Tech Corp. | 4,782 | 34 |
* | IDT Corp. | 1,658 | 22 |
* | ^Primus Telecommunications |
|
|
| Group, Inc. | 44,570 | 19 |
* | Covista Communications, Inc. | 3,805 | 4 |
* | Pac-West Telecom, Inc. | 47,084 | 3 |
* | Metro One |
|
|
| Telecommunications, Inc. | 975 | 3 |
* | Trinsic Inc. | 39 | — |
|
|
| 179,602 |
Utilities (3.7%) |
|
| |
| Duke Energy Corp. | 434,239 | 14,421 |
| Exelon Corp. | 232,094 | 14,364 |
| Dominion Resources, Inc. | 122,358 | 10,258 |
| Southern Co. | 257,297 | 9,484 |
| TXU Corp. | 151,942 | 8,237 |
| FPL Group, Inc. | 133,160 | 7,247 |
| FirstEnergy Corp. | 114,327 | 6,894 |
| Entergy Corp. | 72,271 | 6,672 |
| American Electric Power |
|
|
| Co., Inc. | 136,551 | 5,814 |
| PG&E Corp. | 122,756 | 5,810 |
| Public Service Enterprise |
|
|
| Group, Inc. | 87,245 | 5,791 |
* | AES Corp. | 229,282 | 5,053 |
| Edison International | 107,360 | 4,883 |
| PPL Corp. | 132,097 | 4,734 |
| Sempra Energy | 81,545 | 4,570 |
| Constellation Energy |
|
|
| Group, Inc. | 62,360 | 4,295 |
| Consolidated Edison Inc. | 88,875 | 4,272 |
| Progress Energy, Inc. | 83,531 | 4,100 |
| Ameren Corp. | 71,357 | 3,834 |
| Xcel Energy, Inc. | 140,879 | 3,249 |
| DTE Energy Co. | 61,752 | 2,989 |
* | Mirant Corp. | 89,217 | 2,817 |
* | Allegheny Energy, Inc. | 57,240 | 2,628 |
* | NRG Energy, Inc. | 45,142 | 2,528 |
| KeySpan Corp. | 60,918 | 2,509 |
| Questar Corp. | 29,727 | 2,469 |
| NiSource, Inc. | 94,994 | 2,289 |
| Wisconsin Energy Corp. | 40,720 | 1,933 |
| Pinnacle West Capital Corp. | 34,673 | 1,757 |
| Pepco Holdings, Inc. | 66,289 | 1,724 |
| CenterPoint Energy Inc. | 102,690 | 1,703 |
| ONEOK, Inc. | 38,820 | 1,674 |
| Equitable Resources, Inc. | 39,871 | 1,665 |
| SCANA Corp. | 38,247 | 1,554 |
| Alliant Energy Corp. | 40,812 | 1,541 |
* | Reliant Energy, Inc. | 107,349 | 1,525 |
| Northeast Utilities | 53,551 | 1,508 |
| MDU Resources Group, Inc. | 56,539 | 1,450 |
* | CMS Energy Corp. | 77,250 | 1,290 |
* | Sierra Pacific Resources | 76,572 | 1,289 |
| NSTAR | 37,216 | 1,279 |
| Energy East Corp. | 51,528 | 1,278 |
| OGE Energy Corp. | 31,532 | 1,261 |
| TECO Energy, Inc. | 72,942 | 1,257 |
| Energen Corp. | 24,034 | 1,128 |
| DPL Inc. | 39,927 | 1,109 |
| National Fuel Gas Co. | 27,607 | 1,064 |
| AGL Resources Inc. | 27,253 | 1,060 |
| Aqua America, Inc. | 46,154 | 1,051 |
| Puget Energy, Inc. | 40,451 | 1,026 |
* | Dynegy, Inc. | 139,522 | 1,010 |
| UGI Corp. Holding Co. | 36,547 | 997 |
| Atmos Energy Corp. | 30,256 | 965 |
| Southern Union Co. | 33,109 | 925 |
| Great Plains Energy, Inc. | 27,960 | 889 |
| PNM Resources Inc. | 26,321 | 819 |
| WPS Resources Corp. | 15,096 | 816 |
| Westar Energy, Inc. | 30,551 | 793 |
| Hawaiian Electric |
|
|
| Industries Inc. | 28,502 | 774 |
| Vectren Corp. | 26,702 | 755 |
| Nicor Inc. | 15,610 | 732 |
| Piedmont Natural Gas, Inc. | 26,113 | 699 |
* | Aquila, Inc. | 131,519 | 618 |
| Peoples Energy Corp. | 13,594 | 606 |
| IDACORP, Inc. | 15,053 | 582 |
42
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| WGL Holdings Inc. | 17,213 | 561 |
| Southwest Gas Corp. | 14,316 | 549 |
| Duquesne Light |
|
|
| Holdings, Inc. | 27,314 | 542 |
| Cleco Corp. | 20,048 | 506 |
| ALLETE, Inc. | 10,795 | 502 |
| New Jersey Resources Corp. | 9,944 | 483 |
| Avista Corp. | 18,145 | 459 |
| UniSource Energy Corp. | 12,380 | 452 |
| NorthWestern Corp. | 12,511 | 443 |
| Black Hills Corp. | 11,641 | 430 |
* | El Paso Electric Co. | 16,952 | 413 |
| Northwest Natural Gas Co. | 9,173 | 389 |
| Otter Tail Corp. | 11,375 | 354 |
| American States Water Co. | 8,558 | 331 |
| SJW Corp. | 7,798 | 301 |
| South Jersey Industries, Inc. | 8,400 | 281 |
| The Laclede Group, Inc. | 7,800 | 273 |
| ITC Holdings Corp. | 6,800 | 271 |
| UIL Holdings Corp. | 6,265 | 264 |
| CH Energy Group, Inc. | 4,806 | 254 |
| Empire District Electric Co. | 10,104 | 249 |
| Southwest Water Co. | 16,209 | 223 |
| MGE Energy, Inc. | 6,080 | 222 |
| Cascade Natural Gas Corp. | 8,200 | 213 |
| California Water |
|
|
| Service Group | 4,600 | 186 |
| Connecticut Water |
|
|
| Services, Inc. | 8,139 | 185 |
| Ormat Technologies Inc. | 4,600 | 169 |
| Portland General Electric Co. | 5,600 | 153 |
| Central Vermont Public |
|
|
| Service Corp. | 5,984 | 141 |
| Green Mountain Power Corp. | 3,747 | 127 |
| Chesapeake Utilities Corp. | 2,420 | 74 |
| Middlesex Water Co. | 3,483 | 65 |
| EnergySouth, Inc. | 1,562 | 63 |
* | Cadiz Inc. | 1,000 | 23 |
* | Maine & Maritimes Corp. | 1,424 | 22 |
| Consolidated Water Co., Ltd. | 500 | 12 |
|
|
| 206,502 |
Total Common Stocks |
|
| |
(Cost $4,734,008) |
| 5,521,093 | |
Temporary Cash Investments (1.2%)1 |
|
| |
Money Market Fund (1.2%) |
|
| |
2 Vanguard Market |
|
| |
Liquidity Fund, 5.294% | 49,982,797 | 49,983 | |
2 Vanguard Market |
|
| |
Liquidity Fund, |
|
| |
5.294%—Note E | 17,139,100 | 17,139 | |
|
| 67,122 |
|
|
|
| Face |
|
| Amount |
|
| ($000) |
|
U.S. Agency Obligation (0.0%) |
|
|
3 Federal National |
|
|
Mortgage Assn. |
|
|
4 5.215%, 4/9/07 | 2,000 | 1,973 |
Total Temporary Cash Investments |
|
|
(Cost $69,094) |
| 69,095 |
Total Investments (100.7%) |
|
|
(Cost $4,803,102) |
| 5,590,188 |
Other Assets and Liabilities (–0.7%) |
|
|
Other Assets |
| 48,975 |
Liabilities—Note E |
| (85,790) |
|
| (36,815) |
Net Assets (100%) |
| 5,553,373 |
43
At December 31, 2006, net assets consisted of:5 | |
| Amount |
| ($000) |
Paid-in Capital | 4,917,079 |
Undistributed Net Investment Income | 768 |
Accumulated Net Realized Losses | (151,765) |
Unrealized Appreciation |
|
Investment Securities | 787,086 |
Futures Contracts | 205 |
Net Assets | 5,553,373 |
|
|
|
|
Institutional Shares—Net Assets |
|
Applicable to 30,561,293 outstanding $.001 | |
par value shares of beneficial interest |
|
(unlimited authorization) | 938,577 |
Net Asset Value Per Share— |
|
Institutional Shares | $30.71 |
|
|
|
|
Institutional Plus Shares—Net Assets |
|
Applicable to 150,253,277 outstanding $.001 | |
par value shares of beneficial interest |
|
(unlimited authorization) | 4,614,796 |
Net Asset Value Per Share— |
|
Institutional Plus Shares | $30.71 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
| ^ | Part of security position is on loan to broker-dealers. See Note E in Notes to Financial Statements. |
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 100.1% and 0.6%, respectively, of net assets. See Note C in Notes to Financial Statements.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government. If needed, access to additional funding from the U.S. Treasury (beyond the issuer's line of credit) would require congressional action.
4 Securities with a value of $1,973,000 have been segregated as initial margin for open futures contracts.
5 See Note C in Notes to Financial Statements for the tax-basis components of net assets.
REIT—Real Estate Investment Trust.
44
Statement of Operations
| Year Ended |
| December 31, 2006 |
| ($000) |
Investment Income |
|
Income |
|
Dividends | 82,463 |
Interest1 | 1,130 |
Security Lending | 752 |
Total Income | 84,345 |
Expenses |
|
The Vanguard Group—Note B |
|
Management and Administrative |
|
Institutional Shares | 228 |
Institutional Plus Shares | 1,007 |
Total Expenses | 1,235 |
Net Investment Income | 83,110 |
Realized Net Gain (Loss) |
|
Investment Securities Sold | 9,646 |
Futures Contracts | 1,986 |
Realized Net Gain (Loss) | 11,632 |
Change in Unrealized Appreciation (Depreciation) |
|
Investment Securities | 591,959 |
Futures Contracts | 538 |
Change in Unrealized Appreciation (Depreciation) | 592,497 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 687,239 |
1 Interest income from an affiliated company of the fund was $1,022,000.
45
Statement of Changes in Net Assets
| Year Ended December 31, | |
| 2006 | 2005 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net Investment Income | 83,110 | 25,719 |
Realized Net Gain (Loss) | 11,632 | 25,035 |
Change in Unrealized Appreciation (Depreciation) | 592,497 | 30,234 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 687,239 | 80,988 |
Distributions |
|
|
Net Investment Income |
|
|
Institutional Shares | (10,683) | (7,973) |
Institutional Plus Shares | (72,348) | (17,181) |
Realized Capital Gain |
|
|
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
Total Distributions | (83,031) | (25,154) |
Capital Share Transactions—Note F |
|
|
Institutional Shares | 732,764 | (667,087) |
Institutional Plus Shares | 500,125 | 3,087,627 |
Net Increase (Decrease) from Capital Share Transactions | 1,232,889 | 2,420,540 |
Total Increase (Decrease) | 1,837,097 | 2,476,374 |
Net Assets |
|
|
Beginning of Period | 3,716,276 | 1,239,902 |
End of Period1 | 5,553,373 | 3,716,276 |
1 Net Assets—End of Period includes undistributed net investment income of $768,000 and $689,000.
46
Financial Highlights
Institutional Shares |
|
|
|
|
|
|
|
| Year Ended December 31, | ||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $27.00 | $25.83 | $23.33 | $18.00 | $23.10 |
Investment Operations |
|
|
|
|
|
Net Investment Income | .501 | .398 | .4251 | .33 | .32 |
Net Realized and Unrealized Gain |
|
|
|
|
|
(Loss) on Investments | 3.710 | 1.169 | 2.498 | 5.33 | (5.10) |
Total from Investment Operations | 4.211 | 1.567 | 2.923 | 5.66 | (4.78) |
Distributions |
|
|
|
|
|
Dividends from Net Investment Income | (.501) | (.397) | (.423) | (.33) | (.32) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.501) | (.397) | (.423) | (.33) | (.32) |
Net Asset Value, End of Period | $30.71 | $27.00 | $25.83 | $23.33 | $18.00 |
|
|
|
|
|
|
Total Return | 15.74% | 6.14% | 12.65% | 31.70% | –20.77% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) | $939 | $129 | $789 | $563 | $245 |
Ratio of Total Expenses to |
|
|
|
|
|
Average Net Assets | 0.045% | 0.05% | 0.06% | 0.06% | 0.06% |
Ratio of Net Investment Income to |
|
|
|
|
|
Average Net Assets | 1.81% | 1.77% | 1.83%1 | 1.62% | 1.45% |
Portfolio Turnover Rate2 | 8% | 21%3 | 22% | 11% | 9% |
1 Net investment income per share and the ratio of net investment income to average net assets include $0.058 and 0.27%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
2 Excludes the value of securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
3 Includes activity related to a change in the fund’s target index.
47
Institutional Plus Shares |
|
|
|
|
|
|
|
| Year Ended December 31, | ||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $27.00 | $25.83 | $23.33 | $18.00 | $23.10 |
Investment Operations |
|
|
|
|
|
Net Investment Income | .506 | .404 | .4341 | .337 | .327 |
Net Realized and Unrealized Gain |
|
|
|
|
|
(Loss) on Investments | 3.710 | 1.169 | 2.498 | 5.330 | (5.100) |
Total from Investment Operations | 4.216 | 1.573 | 2.932 | 5.667 | (4.773) |
Distributions |
|
|
|
|
|
Dividends from Net Investment Income | (.506) | (.403) | (.432) | (.337) | (.327) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.506) | (.403) | (.432) | (.337) | (.327) |
Net Asset Value, End of Period | $30.71 | $27.00 | $25.83 | $23.33 | $18.00 |
|
|
|
|
|
|
Total Return | 15.76% | 6.17% | 12.69% | 31.74% | –20.74% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) | $4,615 | $3,587 | $451 | $479 | $680 |
Ratio of Total Expenses to |
|
|
|
|
|
Average Net Assets | 0.025% | 0.025% | 0.025% | 0.025% | 0.025% |
Ratio of Net Investment Income to |
|
|
|
|
|
Average Net Assets | 1.83% | 1.80% | 1.87%1 | 1.64% | 1.48% |
Portfolio Turnover Rate2 | 8% | 21%3 | 22% | 11% | 9% |
1 Net investment income per share and the ratio of net investment income to average net assets include $0.058 and 0.27%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
2 Excludes the value of securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
3 Includes activity related to a change in the fund’s target index.
See accompanying Notes, which are an integral part of the Financial Statements.
48
Notes to Financial Statements
Vanguard Institutional Total Stock Market 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, Institutional Shares and Institutional Plus Shares, to investors who invest minimum amounts of $100 million and $200 million, respectively.
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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset 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 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 Statement of Net Assets. 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. 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.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.
49
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. 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. Class-specific shareholder servicing fees are charged to each class at the contractual rate. Income, expenses not attributable to a specific class, 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 provides investment advisory, corporate management, administrative, marketing, and distribution services and pays for all other operating expenses, except for taxes, in return for a fee calculated at an annual percentage rate of the average net assets of the fund or, for shareholder services, each class of shares. 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.
For tax purposes, at December 31, 2006, the fund had $571,000 of ordinary income available for distribution. The fund had available realized losses of $146,173,000 to offset future net capital gains of $87,200,000 through December 31, 2010, $44,357,000 through December 31, 2011, $5,005,000 through December 31, 2012, and $9,611,000 through December 31, 2013.
At December 31, 2006, the cost of investment securities for tax purposes was $4,808,292,000. Net unrealized appreciation of investment securities for tax purposes was $781,896,000, consisting of unrealized gains of $876,284,000 on securities that had risen in value since their purchase and $94,388,000 in unrealized losses on securities that had fallen in value since their purchase.
At December 31, 2006, the aggregate settlement value of open futures contracts expiring in March 2007 and the related unrealized appreciation (depreciation) were:
|
|
| ($000) |
|
| Aggregate | Unrealized |
| Number of | Settlement | Appreciation |
Futures Contracts | Long Contracts | Value | (Depreciation) |
S&P 500 Index | 73 | 26,068 | 221 |
E-mini S&P 500 Index | 81 | 5,785 | (9) |
Russell 2000 Index | 5 | 1,987 | (10) |
E-mini Russell 2000 Index | 20 | 1,590 | 16 |
S&P MidCap 400 Index | 2 | 811 | (13) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
50
D. During the year ended December 31, 2006, the fund purchased $1,595,965,000 of investment securities and sold $364,442,000 of investment securities, other than temporary cash investments.
E. The market value of securities on loan to broker-dealers at December 31, 2006, was $15,917,000, for which the fund received cash collateral of $17,139,000.
F. Capital share transactions for each class of shares were:
|
|
| Year Ended December 31, | ||
|
| 2006 |
|
| 2005 |
| Amount | Shares |
| Amount | Shares |
| ($000) | (000) |
| ($000) | (000) |
Institutional Shares |
|
|
|
|
|
Issued | 757,739 | 26,640 |
| 29,069 | 1,127 |
Issued in Lieu of Cash Distributions | 10,683 | 369 |
| 7,999 | 312 |
Redeemed | (35,658) | (1,244) |
| (704,155) | (27,171) |
Net Increase (Decrease)—Institutional |
|
|
|
|
|
Shares | 732,764 | 25,765 |
| (667,087) | (25,732) |
Institutional Plus Shares |
|
|
|
|
|
Issued | 846,921 | 29,527 |
| 3,221,916 | 120,466 |
Issued in Lieu of Cash Distributions | 65,408 | 2,278 |
| 11,107 | 409 |
Redeemed | (412,204) | (14,380) |
| (145,396) | (5,516) |
Net Increase (Decrease)—Institutional |
|
|
|
|
|
Plus Shares | 500,125 | 17,425 |
| 3,087,627 | 115,359 |
G. In June 2006, the Financial Accounting Standards Board issued Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes.” FIN 48 establishes the minimum threshold for recognizing, and a system for measuring, the benefits of tax-return positions in financial statements. FIN 48 will be effective for the fund's fiscal year ending December 31, 2007. Management is in the process of analyzing the fund’s tax positions for purposes of implementing FIN 48; based on the analysis completed to date, management does not believe the adoption of FIN 48 will result in any material impact to the fund's financial statements.
51
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Institutional Index Fund and
Shareholders of Vanguard Institutional Total Stock Market Index Fund:
In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Institutional Total Stock Market Index Fund (one of the funds constituting Vanguard Institutional Index Fund, hereafter referred to as the “Fund”) at December 31, 2006, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2006 by correspondence with the custodian and brokers and by agreement to the underlying ownership records for Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 9, 2007
Special 2006 tax information (unaudited) for Vanguard Institutional Total Stock Market Index Fund
This information for the fiscal year ended December 31, 2006, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $76,696,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 91.7% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
52
About Your Fund’s 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:
• 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.”
• Based on hypothetical 5% yearly 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 yearly return of 5% before expenses, 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.
Six Months Ended December 31, 2006 |
|
|
|
| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
Institutional Total Stock Market Index Fund | 6/30/2006 | 12/31/2006 | Period1 |
Based on Actual Fund Return |
|
|
|
Institutional Shares | $1,000.00 | $1,119.66 | $0.24 |
Institutional Plus Shares | 1,000.00 | 1,119.73 | 0.13 |
Based on Hypothetical 5% Yearly Return |
|
|
|
Institutional Shares | $1,000.00 | $1,024.98 | $0.23 |
Institutional Plus Shares | 1,000.00 | 1,025.08 | 0.13 |
1 The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.045% for Institutional Shares and 0.025% for Institutional Plus Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
53
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. 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, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the fund prospectus.
54
Glossary
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 represented by stocks or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
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). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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.
55
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’s 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 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.
Chairman of the Board, Chief Executive Officer, and Trustee | |
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John J. Brennan1 |
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Born 1954 | Principal Occupation(s) During the Past Five Years: Chairman of the |
Trustee since May 1987; | Board,Chief Executive Officer, and Director/Trustee of The Vanguard |
Chairman of the Board and | Group, Inc.,and of each of the investment companies served by The |
Chief Executive Officer | Vanguard Group. |
145 Vanguard Funds Overseen |
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Independent Trustees |
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Charles D. Ellis |
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Born 1937 | Principal Occupation(s) During the Past Five Years: Applecore |
Trustee since January 2001 | Partners (pro bono ventures in education); Senior Advisor to Greenwich |
145 Vanguard Funds Overseen | Associates (international business strategy consulting); Successor |
| Trustee of Yale University; Overseer of the Stern School of Business |
| at New York University; Trustee of the Whitehead Institute for |
| Biomedical Research. |
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Rajiv L. Gupta |
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Born 1945 | Principal Occupation(s) During the Past Five Years: Chairman and |
Trustee since December 20012 | Chief Executive Officer of Rohm and Haas Co. (chemicals); Board |
145 Vanguard Funds Overseen | Member of the American Chemistry Council;Director of Tyco |
| International, Ltd. (diversified manufacturing and services) since 2005; |
| Trustee of Drexel University and of the Chemical Heritage Foundation. |
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Amy Gutmann |
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Born 1949 | Principal Occupation(s) During the Past Five Years: President of the |
Trustee since June 2006 | University of Pennsylvania since 2004; Professor in the School of Arts |
145 Vanguard Funds Overseen | and Sciences, Annenberg School for Communication, and Graduate |
| School of Education of the University of Pennsylvania since 2004; |
| Provost (2001–2004) and Laurance S. Rockefeller Professor of Politics |
| and the University Center for Human Values (1990–2004), Princeton |
| University; Director of Carnegie Corporation of New York since 2005 |
| and of Schuylkill River Development Corporation and Greater |
| Philadelphia Chamber of Commerce since 2004. |
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JoAnn Heffernan Heisen |
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Born 1950 | Principal Occupation(s) During the Past Five Years: Corporate Vice |
Trustee since July 1998 | President and Chief Global Diversity Officer since 2006, Vice President |
145 Vanguard Funds Overseen | and Chief Information Officer (1997–2005), and Member of the |
| Executive Committee of Johnson & Johnson (pharmaceuticals/ |
| consumer products); Director of the University Medical Center at |
| Princeton and Women’s Research and Education Institute. |
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André F. Perold |
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Born 1952 | Principal Occupation(s) During the Past Five Years: George Gund |
Trustee since December 2004 | Professor of Finance and Banking, Harvard Business School; Senior |
145 Vanguard Funds Overseen | Associate Dean, Director of Faculty Recruiting, and Chair of Finance |
| Faculty, Harvard Business School; Director and Chairman of UNX, Inc. |
| (equities trading firm) since 2003; Chair of the Investment Committee |
| of HighVista Strategies LLC (private investment firm) since2005; |
| Director of registered investment companies advised by Merrill Lynch |
| Investment Managers and affiliates(1985–2004), Genbel Securities |
| Limited (South African financial services firm) (1999–2003), Gensec |
| Bank (1999–2003), Sanlam, Ltd. (South African insurance company) |
| (2001–2003), and Stockback, Inc. (credit card firm) (2000–2002). |
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Alfred M. Rankin, Jr. |
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Born 1941 | Principal Occupation(s) During the Past Five Years: Chairman, |
Trustee since January 1993 | President, Chief Executive Officer, and Director of NACCO Industries, |
145 Vanguard Funds Overseen | Inc. (forklift trucks/housewares/lignite); Director of Goodrich |
| Corporation (industrial products/aircraft systems and services). |
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J. Lawrence Wilson |
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Born 1936 | Principal Occupation(s) During the Past Five Years: Retired Chairman |
Trustee since April 1985 | and Chief Executive Officer of Rohm and Haas Co. (chemicals); |
145 Vanguard Funds Overseen | Director of Cummins Inc. (diesel engines), MeadWestvaco Corp |
| . (packaging products), and AmerisourceBergen Corp. (pharmaceutical |
| distribution); Trustee of Vanderbilt University and of Culver |
| Educational Foundation. |
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Executive Officers1 |
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Heidi Stam |
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Born 1956 | Principal Occupation(s) During the Past Five Years: Managing Director |
Secretary since July 2005 | of The Vanguard Group, Inc., since 2006; General Counsel of The |
145 Vanguard Funds Overseen | Vanguard Group since 2005; Secretary of The Vanguard Group, and |
| of each of the investment companies served by The Vanguard |
| Group, since 2005; Principal of The Vanguard Group (1997–2006). |
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Thomas J. Higgins |
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Born 1957 | Principal Occupation(s) During the Past Five Years: Principal of The |
Treasurer since July 1998 | Vanguard Group, Inc.; Treasurer of each of the investment |
145 Vanguard Funds Overseen | companies served by The Vanguard Group. |
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Vanguard Senior Management Team |
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R. Gregory Barton | Kathleen C. Gubanich | Michael S. Miller |
Mortimer J. Buckley | Paul A. Heller | Ralph K. Packard |
James H. Gately | F. William McNabb, III | George U. Sauter |
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Founder |
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John C. Bogle |
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Chairman and Chief Executive Officer, 1974–1996 |
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1 Officers of the funds are “interested persons” as defined in the Investment Company Act of 1940.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group.
P.O. Box 2600
Valley Forge, PA 19482-2600
Connect with Vanguard® > www.vanguard.com
Fund Information > 800-662-7447 | Vanguard, Connect with Vanguard, and the ship logo are |
| trademarks of The Vanguard Group, Inc. |
Direct Investor Account Services > 800-662-2739 |
|
| All other marks are the exclusive property of their |
Institutional Investor Services > 800-523-1036 | respective owners. |
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Text Telephone for the | All comparative mutual fund data are from Lipper Inc. |
Hearing Impaired > 800-952-3335 | or Morningstar, Inc., unless otherwise noted. |
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This material may be used in conjunction | You can obtain a free copy of Vanguard’s proxy voting |
with the offering of shares of any Vanguard | guidelines by visiting our website, www.vanguard.com, |
fund only if preceded or accompanied by | and searching for “proxy voting guidelines,” or by calling |
the fund’s current prospectus. | Vanguard at 800-662-2739. They are also available from |
| the SEC’s website, www.sec.gov. In addition, you may |
| obtain a free report on how your fund voted the proxies for |
The funds or securities referred to herein | securities it owned during the 12 months ended June 30. |
are not sponsored, endorsed, or promoted | To get the report, visit either www.vanguard.com |
by MSCI, and MSCI bears no liability with | or www.sec.gov. |
respect to any such funds or securities. |
|
For any such funds or securities, the | You can review and copy information about your fund |
prospectus or the Statement of Additional | at the SEC’s Public Reference Room in Washington, D.C. |
Information contains a more detailed | To find out more about this public service, call the SEC |
description of the limited relationship MSCI | at 202-551-8090. Information about your fund is also |
has with The Vanguard Group and any | available on the SEC’s website, and you can receive |
related funds. | copies of this information, for a fee, by sending a |
| request in either of two ways: via e-mail addressed to |
| publicinfo@sec.gov or via regular mail addressed to the |
| Public Reference Section, Securities and Exchange |
| Commission, Washington, DC 20549-0102. |
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| © 2007 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
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| Q8710 022007 |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. The following members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts serving on its Audit Committee, and to be independent: Charles D. Ellis, Rajiv L. Gupta, JoAnn Heffernan Heisen, André F. Perold, Alfred M. Rankin, Jr., and J. Lawrence Wilson.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended December 31, 2006: $67,000
Fiscal Year Ended December 31, 2005: $63,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended December 31, 2006: $2,347,620
Fiscal Year Ended December 31, 2005: $2,152,740
(b) Audit-Related Fees.
Fiscal Year Ended December 31, 2006: $530,000
Fiscal Year Ended December 31, 2005: $382,200
Includes fees billed in connection with assurance and related services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(c) Tax Fees.
Fiscal Year Ended December 31, 2006: $101,300
Fiscal Year Ended December 31, 2005: $98,400
Includes fees billed in connection with tax compliance, planning and advice services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group and related to income and excise taxes.
(d) All Other Fees.
Fiscal Year Ended December 31, 2006: $0
Fiscal Year Ended December 31, 2005: $0
Includes fees billed for services related to risk management and privacy matters. Services were provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; and (4) other registered investment companies in the Vanguard Group. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; or (4) other registered investment companies in the Vanguard Group.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended December 31, 2006: $101,300
Fiscal Year Ended December 31, 2005: $98,400
Includes fees billed for non-audit services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Not Applicable.
Item 6: Not Applicable.
Item 7: Not Applicable.
Item 8: Not Applicable.
Item 9: Not Applicable.
Item 10: Not Applicable.
Item 11: 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 Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
| (a) | Code of Ethics. |
| (b) | 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 INSTITUTIONAL INDEX FUNDS
BY: | (signature) |
| (HEIDI STAM) |
| JOHN J. BRENNAN* |
| CHIEF EXECUTIVE OFFICER |
Date: February 14, 2007
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 INSTITUTIONAL INDEX FUNDS
BY: | (signature) |
| (HEIDI STAM) |
| JOHN J. BRENNAN* |
| CHIEF EXECUTIVE OFFICER |
Date: February 14, 2007
VANGUARD INSTITUTIONAL INDEX FUNDS
BY: | (signature) |
| (HEIDI STAM) |
| THOMAS J. HIGGINS* |
| TREASURER |
Date: February 14, 2007
*By Power of Attorney. See File Number 002-65955-99, filed on July 27, 2006. Incorporated by Reference.