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, 2007 - June 30, 2007 |
Item 1: | Reports to Shareholders |
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Vanguard® Institutional Index Fund |
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> Semiannual Report |
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June 30, 2007 |
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> | During the fiscal half-year ended June 30, 2007, Vanguard Institutional Index Fund Institutional Shares and Institutional Plus Shares returned 6.9% and 7.0%, respectively, tracking the performance of the fund’s benchmark. |
> | Every sector contributed to the fund’s overall returns except for the financials group of stocks, which produced a slight loss. |
> | The benchmark Standard & Poor’s 500 Index climbed to its first new highs since 2000, pulling back below record levels by the end of the period. |
Contents |
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Your Fund’s Total Returns | 1 |
Chairman’s Letter | 2 |
Fund Profile | 5 |
Performance Summary | 6 |
Financial Statements | 7 |
About Your Fund’s Expenses | 21 |
Trustees Approve Advisory Arrangement | 23 |
Glossary | 24 |
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
Six Months Ended June 30, 2007 |
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| Ticker | Total |
| Symbol | Returns |
Vanguard Institutional Index Fund |
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Institutional Shares1 | VINIX | 6.9% |
Institutional Plus Shares2 | VIIIX | 7.0 |
S&P 500 Index |
| 7.0 |
Average Large-Cap Core Fund3 |
| 6.9 |
Your Fund’s Performance at a Glance | ||||
December 31, 2006–June 30, 2007 | ||||
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| Distributions Per Share | |
| Starting | Ending | Income | Capital |
| Share Price | Share Price | Dividends | Gains |
Vanguard Institutional Index Fund |
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Institutional Shares | $129.59 | $137.38 | $1.170 | $0.000 |
Institutional Plus Shares | 129.59 | 137.38 | 1.188 | 0.000 |
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,
For the six months ended June 30, 2007, Vanguard Institutional Index Fund delivered returns of 6.9% for Institutional Shares and 7.0% for Institutional Plus Shares. The fund met its goal of tracking the return of its benchmark during a period of generally steady stock market growth. The fund’s result also matched the average return of large-cap core funds.
The stock market’s ascent was driven by global liquidity
The broad U.S. stock market notched impressive gains in the year’s first half, when an abundance of cash drove record numbers of mergers and acquisitions around the globe. The gains came amid increased volatility. In February, markets worldwide fell sharply following a sell-off in China, only to recover quickly and continue upward. The six-month period closed with two dips in June, owing to fears of accelerating inflation and slowing economic growth.
The best performers in the U.S. market were the so-called mega-caps—broadly diversified companies that are well-positioned to thrive during periods of economic transition. International stocks, particularly those in emerging markets, outperformed U.S. equities. The dollar slid against the euro and the British pound, further enhancing gains for Americans investing abroad.
2
Bond investors were hobbled by a shift in sentiment
The relationship between yield and maturity returned to normal during the half-year, as yields of intermediate- and longer-term bonds moved higher than short-term yields. The accompanying drop in prices was steepest for long-term and intermediate-term bonds.
Earlier in the year, bond yields seemed to reflect an assumption that the Federal Reserve Board might cut interest rates in response to weaker economic growth. As the year progressed, inflationary pressures and economic growth looked more substantial, producing a change in market sentiment, which resulted in higher yields and lower prices.
The broad taxable bond market returned 1.0% for the period, while municipal bonds posted a return of 0.1%. The Citigroup 3-Month Treasury Bill Index—a proxy for money market yields—returned 2.5% for the half-year.
Most of the fund’s gain came during the second quarter
The Institutional Index Fund closely tracked the performance of its benchmark throughout the half-year, increasing modestly in the first quarter (by less than 1%) and robustly in the second quarter. The period included new highs for the S&P 500 Index, as it edged past its March 2000 peak.
The half-year ended, however, on a down note. The index and the fund declined in June as investors grew concerned about
Market Barometer |
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| Total Returns |
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| Periods Ended June 30, 2007 | |
| Six Months | One Year | Five Years1 |
Stocks |
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Russell 1000 Index (Large-caps) | 7.2% | 20.4% | 11.3% |
Russell 2000 Index (Small-caps) | 6.4 | 16.4 | 13.9 |
Dow Jones Wilshire 5000 Index (Entire market) | 7.6 | 20.4 | 12.0 |
MSCI All Country World Index ex USA (International) | 12.6 | 30.1 | 19.9 |
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Bonds |
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Lehman U.S. Aggregate Bond Index (Broad taxable market) | 1.0% | 6.1% | 4.5% |
Lehman Municipal Bond Index | 0.1 | 4.7 | 4.6 |
Citigroup 3-Month Treasury Bill Index | 2.5 | 5.1 | 2.7 |
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CPI |
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Consumer Price Index | 3.2% | 2.7% | 3.0% |
1 Annualized.
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signs of global inflationary pressures and the broader impact of the U.S. housing industry’s downturn. Almost all of the economic sectors represented in the fund—with the exception being financials—contributed to the overall return for the period. The biggest boosts came from the energy, information technology, and industrials sectors, which together represent more than one-third of the index capitalization.
Reflecting growing demand and higher prices for oil, the energy sector returned 17%. Big oil firms, such as ExxonMobil and Chevron, and oil-field service company Schlumberger were standout performers. The IT sector outpaced the broad market with a 9% return, which, combined with its large weighting (15% of assets on average), made it the second-largest contributor to the fund’s performance. Computer maker Apple and semiconductor manufacturer Intel were bright spots among the sector’s stocks.
Financials, the index’s largest sector, fell –1%, holding back returns for the period. The largest declines were posted by diversified commercial banks, such as Citigroup and Bank of America. Rising interest rates created a headwind for companies in this industry as the yield on the benchmark 10-year U.S. Treasury bond increased from 4.7% to slightly over 5%. Investors continued to be concerned about how the troubles in the subprime mortgage market and among some hedge funds might affect the market in general and the financial sector in particular.
Basic principles, expertly applied, characterize this fund
The Institutional Index Fund is a workhorse. Since its inception in 1990, it has dependably and relentlessly done what it’s supposed to do—in any kind of market environment it has captured the return of large-capitalization stocks and, because of extraordinarily low costs, has passed along nearly all of that return to shareholders. The fund is particularly efficient in carrying out its mandate because of superior trading and portfolio-construction methodologies.
During the half year, the fund’s return essentially matched the 7.0% gain of the S&P 500 Index; for the 12 months ended June 30, the index and the fund returned a bit more than 20%. Whether these handsome recent returns will persist in the near term is anyone’s guess, but we can be sure that they will not last indefinitely.
Indeed, market change is inevitable (and the reasons for it not always predictable). Whatever the market direction, a workhorse fund like the Institutional Index Fund brings consistent expertise and efficiency to the task of seeking to deliver the returns provided by the 500 diverse stocks that lead the U.S. market.
Thank you, as always, for investing with Vanguard.
John J. Brennan
Chairman and Chief Executive Officer
July 17, 2007
4
Fund Profile
As of June 30, 2007
Portfolio Characteristics |
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| Target |
| Fund | Index1 |
Number of Stocks | 506 | 500 |
Median Market Cap | $59.9B | $59.9B |
Price/Earnings Ratio | 17.1x | 17.1x |
Price/Book Ratio | 2.9x | 2.9x |
Yield |
| 1.8% |
Institutional Shares | 1.8% |
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Institutional Plus Shares | 1.8% |
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Return on Equity | 19.4% | 19.4% |
Earnings Growth Rate | 20.9% | 20.9% |
Foreign Holdings | 0.0% | 0.0% |
Turnover Rate | 6%2 | — |
Expense Ratio |
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Institutional Shares | 0.05%2 |
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Institutional Plus Shares | 0.025%2 |
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Short-Term Reserves | 0% | — |
Sector Diversification (% of portfolio) |
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| Fund | Index1 |
Consumer Discretionary | 10% | 10% |
Consumer Staples | 9 | 9 |
Energy | 11 | 11 |
Financials | 21 | 21 |
Health Care | 12 | 12 |
Industrials | 11 | 11 |
Information Technology | 15 | 15 |
Materials | 3 | 3 |
Telecommunication Services | 4 | 4 |
Utilities | 4 | 4 |
Volatility Measures3 |
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| Fund Versus |
| Target Index1 |
R-Squared | 1.00 |
Beta | 1.00 |
Ten Largest Holdings4 (% of total net assets) | ||
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ExxonMobil Corp. | integrated oil and gas | 3.5% |
General Electric Co. | industrial conglomerates | 2.9 |
AT&T Inc. | integrated telecommunications services | 1.9 |
Citigroup, Inc. | diversified financial services | 1.9 |
Microsoft Corp. | systems software | 1.9 |
Bank of America Corp. | diversified financial services | 1.6 |
The Procter & Gamble Co. | household products | 1.4 |
American International Group, Inc. | multi-line insurance | 1.4 |
Chevron Corp. | integrated oil and gas | 1.4 |
Pfizer Inc. | pharmaceuticals | 1.3 |
Top Ten |
| 19.2% |
Investment Focus
1 S&P 500 Index.
2 Annualized.
3 For an explanation of R-squared, beta, and other terms used here, see the Glossary on page 24.
4 “Ten Largest Holdings” excludes any temporary cash investments and equity index products.
5
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/performance.) 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.
Fiscal Year Total Returns (%): December 31, 1996–June 30, 2007
Average Annual Total Returns: Periods Ended June 30, 2007 | ||||
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| Inception Date | One Year | Five Years | Ten Years |
Institutional Shares | 7/31/1990 | 20.55% | 10.72% | 7.17% |
Institutional Plus Shares | 7/7/1997 | 20.57 | 10.75 | 6.892 |
1 Six months ended June 30, 2007.
2 Return since inception.
Note: See Financial Highlights tables on pages 16 and 17 for dividend and capital gains information.
6
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2007
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 (99.9%)1 |
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Consumer Discretionary (10.2%) |
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* | Comcast Corp. Class A | 16,543,302 | 465,198 |
| Time Warner, Inc. | 20,217,872 | 425,384 |
| Home Depot, Inc. | 10,543,648 | 414,893 |
| The Walt Disney Co. | 10,583,606 | 361,324 |
| McDonald's Corp. | 6,376,301 | 323,661 |
| Target Corp. | 4,547,647 | 289,230 |
| News Corp., Class A | 12,435,419 | 263,755 |
| Lowe's Cos., Inc. | 8,038,120 | 246,690 |
* | Viacom Inc. Class B | 3,662,427 | 152,467 |
| CBS Corp. | 3,894,340 | 129,759 |
| The McGraw-Hill Cos., Inc. | 1,832,903 | 124,784 |
* | Kohl's Corp. | 1,723,006 | 122,385 |
| Johnson Controls, Inc. | 1,053,654 | 121,982 |
| NIKE, Inc. Class B | 2,024,788 | 118,025 |
| Carnival Corp. | 2,362,689 | 115,228 |
| General Motors Corp. | 3,021,393 | 114,209 |
* | Amazon.com, Inc. | 1,660,958 | 113,626 |
* | Starbucks Corp. | 3,956,126 | 103,809 |
| Best Buy Co., Inc. | 2,161,979 | 100,900 |
| Clear Channel |
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| Communications, Inc. | 2,650,907 | 100,257 |
| Macy's Inc. | 2,454,643 | 97,646 |
* | DIRECTV Group, Inc. | 4,117,492 | 95,155 |
| Ford Motor Co. | 10,041,057 | 94,587 |
* | Coach, Inc. | 1,982,076 | 93,931 |
| Omnicom Group Inc. | 1,766,652 | 93,491 |
| Yum! Brands, Inc. | 2,797,397 | 91,531 |
| Staples, Inc. | 3,819,621 | 90,640 |
| J.C. Penney Co., Inc. |
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| (Holding Co.) | 1,201,510 | 86,965 |
| Harrah's Entertainment, Inc. | 997,025 | 85,006 |
| Harley-Davidson, Inc. | 1,375,418 | 81,989 |
| Starwood Hotels & Resorts Worldwide, Inc. | 1,148,641 | 77,039 |
| Marriott International, Inc. |
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| Class A | 1,753,785 | 75,834 |
* | Sears Holdings Corp. | 439,632 | 74,518 |
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| International Game |
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| Technology | 1,775,398 | 70,483 |
| Hilton Hotels Corp. | 2,081,466 | 69,667 |
| Gannett Co., Inc. | 1,253,194 | 68,863 |
| Fortune Brands, Inc. | 815,799 | 67,197 |
| TJX Cos., Inc. | 2,429,246 | 66,804 |
| Nordstrom, Inc. | 1,198,707 | 61,278 |
| The Gap, Inc. | 2,831,289 | 54,078 |
| Mattel, Inc. | 2,100,518 | 53,122 |
* | Bed Bath & Beyond, Inc. | 1,462,609 | 52,639 |
| Limited Brands, Inc. | 1,827,546 | 50,166 |
| Whirlpool Corp. | 421,312 | 46,850 |
| Genuine Parts Co. | 909,763 | 45,124 |
* | Office Depot, Inc. | 1,476,416 | 44,735 |
| Newell Rubbermaid, Inc. | 1,489,292 | 43,830 |
* | Apollo Group, Inc. Class A | 748,294 | 43,723 |
| VF Corp. | 475,794 | 43,573 |
| Eastman Kodak Co. | 1,536,270 | 42,754 |
| Harman International |
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| Industries, Inc. | 348,314 | 40,683 |
* | IAC/InterActiveCorp | 1,166,805 | 40,383 |
| H & R Block, Inc. | 1,724,469 | 40,301 |
| Sherwin-Williams Co. | 584,502 | 38,852 |
| Tiffany & Co. | 731,159 | 38,795 |
* | The Goodyear |
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| Tire & Rubber Co. | 1,103,105 | 38,344 |
| Dollar General Corp. | 1,683,903 | 36,911 |
* | Wyndham Worldwide Corp. | 974,947 | 35,352 |
* | AutoZone Inc. | 255,371 | 34,889 |
| Abercrombie & Fitch Co. | 471,870 | 34,437 |
| Darden Restaurants Inc. | 756,110 | 33,261 |
| Polo Ralph Lauren Corp. | 327,596 | 32,141 |
| Black & Decker Corp. | 352,734 | 31,150 |
| D. R. Horton, Inc. | 1,461,554 | 29,129 |
* | Interpublic Group of |
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| Cos., Inc. | 2,507,209 | 28,582 |
| Family Dollar Stores, Inc. | 806,453 | 27,677 |
| Lennar Corp. Class A | 744,631 | 27,224 |
| The Stanley Works | 445,824 | 27,062 |
| Hasbro, Inc. | 851,862 | 26,757 |
| Centex Corp. | 638,795 | 25,616 |
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| Value• |
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| Pulte Homes, Inc. | 1,136,176 | 25,507 |
| RadioShack Corp. | 724,500 | 24,010 |
| Leggett & Platt, Inc. | 946,717 | 20,875 |
| Liz Claiborne, Inc. | 558,661 | 20,838 |
| E.W. Scripps Co. Class A | 445,466 | 20,353 |
| Dow Jones & Co., Inc. | 349,443 | 20,076 |
^ | New York Times Co. |
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| Class A | 769,153 | 19,536 |
* | AutoNation, Inc. | 807,376 | 18,118 |
* | Big Lots Inc. | 584,980 | 17,210 |
| Wendy's International, Inc. | 466,274 | 17,136 |
| Jones Apparel Group, Inc. | 581,946 | 16,440 |
| KB Home | 410,449 | 16,159 |
| OfficeMax, Inc. | 402,494 | 15,818 |
| Brunswick Corp. | 482,910 | 15,757 |
| Snap-On Inc. | 309,729 | 15,644 |
| Tribune Co. | 451,624 | 13,278 |
| Meredith Corp. | 208,023 | 12,814 |
| Dillard's Inc. | 325,346 | 11,690 |
| Circuit City Stores, Inc. | 738,903 | 11,143 |
* | Comcast Corp. Special |
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| Class A | 77,829 | 2,176 |
* | Viacom Inc. Class A | 18,015 | 749 |
| CBS Corp. Class A | 18,015 | 600 |
| News Corp., Class B | 4,500 | 103 |
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Consumer Staples (9.3%) |
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| The Procter & Gamble Co. | 16,818,250 | 1,029,109 |
| Altria Group, Inc. | 11,233,299 | 787,904 |
| Wal-Mart Stores, Inc. | 12,947,305 | 622,895 |
| PepsiCo, Inc. | 8,699,887 | 564,188 |
| The Coca-Cola Co. | 10,733,048 | 561,446 |
| Kraft Foods Inc. | 8,567,313 | 301,998 |
| CVS/Caremark Corp. | 8,243,550 | 300,477 |
| Walgreen Co. | 5,345,206 | 232,730 |
| Anheuser-Busch Cos., Inc. | 4,057,933 | 211,662 |
| Colgate-Palmolive Co. | 2,731,669 | 177,149 |
| Kimberly-Clark Corp. | 2,436,072 | 162,949 |
| Costco Wholesale Corp. | 2,385,286 | 139,587 |
| Archer-Daniels-Midland Co. | 3,485,946 | 115,350 |
| Sysco Corp. | 3,300,246 | 108,875 |
| General Mills, Inc. | 1,849,673 | 108,058 |
| The Kroger Co. | 3,780,904 | 106,357 |
| Avon Products, Inc. | 2,343,681 | 86,130 |
| H.J. Heinz Co. | 1,734,813 | 82,352 |
| Safeway, Inc. | 2,358,288 | 80,253 |
| ConAgra Foods, Inc. | 2,659,965 | 71,447 |
| Kellogg Co. | 1,337,686 | 69,279 |
| Sara Lee Corp. | 3,922,928 | 68,259 |
| Reynolds American Inc. | 913,713 | 59,574 |
| SuperValu Inc. | 1,109,654 | 51,399 |
| Wm. Wrigley Jr. Co. | 926,496 | 51,244 |
| The Clorox Co. | 810,482 | 50,331 |
| The Hershey Co. | 916,543 | 46,395 |
| UST, Inc. | 855,308 | 45,939 |
| Campbell Soup Co. | 1,160,023 | 45,020 |
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| Market |
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| Value• |
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| Shares | ($000) |
| Coca-Cola Enterprises, Inc. | 1,491,736 | 35,802 |
| Tyson Foods, Inc. | 1,352,116 | 31,153 |
| Brown-Forman Corp. |
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| Class B | 421,397 | 30,796 |
^ | Whole Foods Market, Inc. | 755,809 | 28,947 |
| The Estee Lauder Cos. Inc. |
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| Class A | 630,893 | 28,712 |
| McCormick & Co., Inc. | 696,224 | 26,582 |
* | Constellation Brands, Inc. |
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| Class A | 1,033,269 | 25,088 |
| The Pepsi Bottling |
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| Group, Inc. | 703,582 | 23,697 |
| Molson Coors Brewing Co. |
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| Class B | 253,181 | 23,409 |
| Dean Foods Co. | 694,729 | 22,141 |
| Wm. Wrigley Jr. Co. |
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| Class B | 224,830 | 12,366 |
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| 6,627,049 |
Energy (10.8%) |
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| ExxonMobil Corp. | 30,087,237 | 2,523,717 |
| Chevron Corp. | 11,478,990 | 966,990 |
| ConocoPhillips Co. | 8,729,217 | 685,244 |
| Schlumberger Ltd. | 6,294,584 | 534,662 |
| Occidental Petroleum Corp. | 4,453,248 | 257,754 |
| Marathon Oil Corp. | 3,663,475 | 219,662 |
| Valero Energy Corp. | 2,931,979 | 216,556 |
| Devon Energy Corp. | 2,375,577 | 185,984 |
| Halliburton Co. | 4,881,622 | 168,416 |
* | Transocean Inc. | 1,538,935 | 163,096 |
| Apache Corp. | 1,768,588 | 144,299 |
| Baker Hughes, Inc. | 1,710,854 | 143,934 |
| Anadarko Petroleum Corp. | 2,477,619 | 128,812 |
| XTO Energy, Inc. | 2,047,311 | 123,043 |
| Williams Cos., Inc. | 3,198,247 | 101,129 |
* | Weatherford |
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| International Ltd. | 1,801,313 | 99,505 |
* | National Oilwell Varco Inc. | 948,496 | 98,871 |
| EOG Resources, Inc. | 1,306,247 | 95,434 |
| Spectra Energy Corp. | 3,374,246 | 87,595 |
| Hess Corp. | 1,457,139 | 85,913 |
| Chesapeake Energy Corp. | 2,186,676 | 75,659 |
| Noble Corp. | 715,711 | 69,796 |
| Peabody Energy Corp. | 1,414,970 | 68,456 |
| El Paso Corp. | 3,739,498 | 64,432 |
| Smith International, Inc. | 1,070,602 | 62,780 |
| Murphy Oil Corp. | 1,004,631 | 59,715 |
| Sunoco, Inc. | 648,565 | 51,678 |
* | Nabors Industries, Inc. | 1,503,315 | 50,181 |
| ENSCO International, Inc. | 796,021 | 48,565 |
| CONSOL Energy, Inc. | 972,287 | 44,832 |
| BJ Services Co. | 1,566,378 | 44,548 |
| Rowan Cos., Inc. | 591,598 | 24,244 |
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| 7,695,502 |
8
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| Market |
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| Value• |
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| Shares | ($000) |
Financials (20.8%) |
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| Citigroup, Inc. | 26,418,693 | 1,355,015 |
| Bank of America Corp. | 23,701,958 | 1,158,789 |
| American International |
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| Group, Inc. | 13,855,652 | 970,311 |
| JPMorgan Chase & Co. | 18,245,358 | 883,988 |
| Wells Fargo & Co. | 17,837,350 | 627,340 |
| Wachovia Corp. | 10,219,029 | 523,725 |
| The Goldman Sachs |
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| Group, Inc. | 2,181,590 | 472,860 |
| Morgan Stanley | 5,628,922 | 472,154 |
| Merrill Lynch & Co., Inc. | 4,650,805 | 388,714 |
| American Express Co. | 6,348,225 | 388,385 |
| Fannie Mae | 5,196,882 | 339,512 |
| U.S. Bancorp | 9,286,311 | 305,984 |
| MetLife, Inc. | 3,960,762 | 255,390 |
| Prudential Financial, Inc. | 2,497,352 | 242,818 |
| Freddie Mac | 3,533,194 | 214,465 |
| Lehman Brothers |
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| Holdings, Inc. | 2,844,537 | 211,975 |
| Washington Mutual, Inc. | 4,748,094 | 202,459 |
| The Allstate Corp. | 3,244,028 | 199,540 |
| The Travelers Cos., Inc. | 3,546,275 | 189,726 |
| Capital One Financial Corp. | 2,206,931 | 173,112 |
| The Bank of New York |
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| Co., Inc. | 4,037,299 | 167,306 |
| The Hartford Financial |
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| Services Group Inc. | 1,691,168 | 166,597 |
| SunTrust Banks, Inc. | 1,904,669 | 163,306 |
| AFLAC Inc. | 2,612,328 | 134,274 |
| PNC Financial Services |
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| Group | 1,842,017 | 131,852 |
| State Street Corp. | 1,913,175 | 130,861 |
| SLM Corp. | 2,197,187 | 126,514 |
| Regions Financial Corp. | 3,763,535 | 124,573 |
| Loews Corp. | 2,380,465 | 121,356 |
| BB&T Corp. | 2,897,586 | 117,874 |
| Fifth Third Bancorp | 2,937,704 | 116,832 |
| Franklin Resources Corp. | 879,885 | 116,558 |
| The Chubb Corp. | 2,144,151 | 116,084 |
| Countrywide |
|
|
| Financial Corp. | 3,169,085 | 115,196 |
| Simon Property Group, |
|
|
| Inc. REIT | 1,192,975 | 110,994 |
| Charles Schwab Corp. | 5,403,758 | 110,885 |
| ACE Ltd. | 1,738,680 | 108,702 |
| Lincoln National Corp. | 1,446,023 | 102,595 |
| National City Corp. | 3,074,875 | 102,455 |
| The Chicago Mercantile |
|
|
| Exchange | 189,626 | 101,329 |
| Mellon Financial Corp. | 2,223,419 | 97,830 |
| Progressive Corp. of Ohio | 3,931,859 | 94,089 |
| Marsh & McLennan |
|
|
| Cos., Inc. | 2,966,297 | 91,599 |
| Bear Stearns Co., Inc. | 635,681 | 88,995 |
| XL Capital Ltd. Class A | 993,070 | 83,706 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| The Principal Financial |
|
|
| Group, Inc. | 1,430,060 | 83,358 |
| Ameriprise Financial, Inc. | 1,256,269 | 79,861 |
| ProLogis REIT | 1,370,344 | 77,973 |
| Genworth Financial Inc. | 2,234,047 | 76,851 |
| Vornado Realty Trust REIT | 697,479 | 76,611 |
| Moody's Corp. | 1,228,224 | 76,396 |
| T. Rowe Price Group Inc. | 1,418,499 | 73,606 |
| KeyCorp | 2,095,013 | 71,922 |
| Equity Residential REIT | 1,552,734 | 70,851 |
| Archstone-Smith Trust REIT | 1,190,477 | 70,369 |
| Legg Mason Inc. | 702,283 | 69,091 |
| Aon Corp. | 1,567,955 | 66,811 |
| Marshall & Ilsley Corp. | 1,383,719 | 65,907 |
| Boston Properties, Inc. REIT | 635,539 | 64,908 |
| Northern Trust Corp. | 1,007,700 | 64,735 |
| Host Hotels & Resorts |
|
|
| Inc. REIT | 2,787,949 | 64,457 |
| CIT Group Inc. | 1,024,137 | 56,153 |
| Synovus Financial Corp. | 1,746,097 | 53,605 |
| Avalonbay Communities, |
|
|
| Inc. REIT | 425,266 | 50,556 |
| Public Storage, Inc. REIT | 655,490 | 50,355 |
* | E*TRADE Financial Corp. | 2,279,504 | 50,354 |
| Comerica, Inc. | 832,803 | 49,527 |
| Compass Bancshares Inc. | 703,333 | 48,516 |
| Unum Group | 1,830,519 | 47,795 |
| Ambac Financial Group, Inc. | 544,239 | 47,452 |
| Kimco Realty Corp. REIT | 1,211,147 | 46,108 |
| Zions Bancorp | 587,307 | 45,170 |
| Huntington Bancshares Inc. | 1,953,243 | 44,417 |
| MBIA, Inc. | 698,496 | 43,460 |
| M & T Bank Corp. | 404,493 | 43,240 |
| Sovereign Bancorp, Inc. | 1,928,324 | 40,765 |
| Cincinnati Financial Corp. | 916,714 | 39,785 |
| Plum Creek Timber Co. |
|
|
| Inc. REIT | 943,843 | 39,320 |
| Commerce Bancorp, Inc. | 1,023,498 | 37,859 |
* | CB Richard Ellis Group, Inc. | 1,002,678 | 36,598 |
| General Growth Properties |
|
|
| Inc. REIT | 688,107 | 36,435 |
| Safeco Corp. | 567,816 | 35,352 |
| Developers Diversified |
|
|
| Realty Corp. REIT | 668,224 | 35,222 |
| Torchmark Corp. | 510,795 | 34,223 |
| Hudson City Bancorp, Inc. | 2,591,399 | 31,667 |
| Assurant, Inc. | 530,417 | 31,252 |
| Janus Capital Group Inc. | 991,649 | 27,608 |
| First Horizon National Corp. | 672,539 | 26,229 |
| Apartment Investment & |
|
|
| Management Co. |
|
|
| Class A REIT | 519,590 | 26,198 |
| MGIC Investment Corp. | 444,148 | 25,254 |
| Federated Investors, Inc. | 473,347 | 18,143 |
|
|
| 14,870,949 |
9
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
Health Care (11.7%) |
|
| |
| Pfizer Inc. | 37,484,227 | 958,472 |
| Johnson & Johnson | 15,470,343 | 953,283 |
| Merck & Co., Inc. | 11,575,130 | 576,442 |
| Abbott Laboratories | 8,226,892 | 440,550 |
| Wyeth | 7,184,287 | 411,947 |
| UnitedHealth Group Inc. | 7,157,006 | 366,009 |
* | Amgen, Inc. | 6,193,568 | 342,442 |
| Bristol-Myers Squibb Co. | 10,511,220 | 331,734 |
| Medtronic, Inc. | 6,150,293 | 318,954 |
| Eli Lilly & Co. | 5,269,313 | 294,449 |
* | WellPoint Inc. | 3,277,339 | 261,630 |
| Schering-Plough Corp. | 7,954,485 | 242,135 |
| Baxter International, Inc. | 3,479,513 | 196,036 |
* | Gilead Sciences, Inc. | 4,987,389 | 193,361 |
| Cardinal Health, Inc. | 2,054,201 | 145,109 |
| Aetna Inc. | 2,757,910 | 136,241 |
* | Medco Health |
|
|
| Solutions, Inc. | 1,496,051 | 116,677 |
* | Thermo Fisher |
|
|
| Scientific, Inc. | 2,253,338 | 116,543 |
* | Celgene Corp. | 2,028,842 | 116,314 |
* | Zimmer Holdings, Inc. | 1,264,465 | 107,340 |
| Stryker Corp. | 1,594,807 | 100,616 |
* | Biogen Idec Inc. | 1,855,727 | 99,281 |
| Becton, Dickinson & Co. | 1,308,310 | 97,469 |
* | Boston Scientific Corp. | 6,336,821 | 97,207 |
| Allergan, Inc. | 1,642,224 | 94,658 |
| McKesson Corp. | 1,577,558 | 94,086 |
* | Genzyme Corp. | 1,403,744 | 90,401 |
| CIGNA Corp. | 1,537,018 | 80,263 |
* | Forest Laboratories, Inc. | 1,697,394 | 77,486 |
* | St. Jude Medical, Inc. | 1,806,792 | 74,964 |
* | Express Scripts Inc. | 1,454,812 | 72,755 |
| Biomet, Inc. | 1,310,912 | 59,935 |
* | Humana Inc. | 897,361 | 54,658 |
| AmerisourceBergen Corp. | 1,020,399 | 50,479 |
* | Laboratory Corp. of |
|
|
| America Holdings | 627,899 | 49,139 |
* | Coventry Health Care Inc. | 834,799 | 48,126 |
| C.R. Bard, Inc. | 552,105 | 45,620 |
| Quest Diagnostics, Inc. | 843,789 | 43,582 |
| IMS Health, Inc. | 1,049,334 | 33,715 |
* | Hospira, Inc. | 833,136 | 32,526 |
* | Waters Corp. | 539,436 | 32,021 |
| Applera Corp.-Applied |
|
|
| Biosystems Group | 981,647 | 29,979 |
* | Barr Pharmaceuticals Inc. | 586,902 | 29,480 |
* | Varian Medical Systems, Inc | . 681,185 | 28,957 |
* | Patterson Cos. | 743,965 | 27,728 |
* | King Pharmaceuticals, Inc. | 1,303,084 | 26,661 |
| Manor Care, Inc. | 391,195 | 25,541 |
| Mylan Laboratories, Inc. | 1,328,489 | 24,165 |
* | Millipore Corp. | 288,599 | 21,671 |
| Bausch & Lomb, Inc. | 290,435 | 20,168 |
* | Watson Pharmaceuticals, Inc | . 547,926 | 17,824 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| PerkinElmer, Inc. | 639,917 | 16,676 |
* | Tenet Healthcare Corp. | 2,527,393 | 16,453 |
|
|
| 8,339,958 |
Industrials (11.4%) |
|
| |
| General Electric Co. | 54,948,846 | 2,103,442 |
| United Parcel Service, Inc. | 5,656,236 | 412,905 |
| The Boeing Co. | 4,205,364 | 404,388 |
| United Technologies Corp. | 5,311,109 | 376,717 |
| Tyco International Ltd. | 10,588,094 | 357,772 |
| 3M Co. | 3,846,451 | 333,834 |
| Caterpillar, Inc. | 3,420,216 | 267,803 |
| Honeywell International Inc. | 4,164,263 | 234,365 |
| Emerson Electric Co. | 4,247,339 | 198,775 |
| FedEx Corp. | 1,643,829 | 182,416 |
| Lockheed Martin Corp. | 1,895,383 | 178,412 |
| General Dynamics Corp. | 2,162,086 | 169,118 |
| Union Pacific Corp. | 1,445,963 | 166,503 |
| Burlington Northern |
|
|
| Santa Fe Corp. | 1,901,885 | 161,926 |
| Deere & Co. | 1,201,528 | 145,072 |
| Northrop Grumman Corp. | 1,843,060 | 143,519 |
| Raytheon Co. | 2,370,481 | 127,745 |
| Illinois Tool Works, Inc. | 2,200,127 | 119,225 |
| PACCAR, Inc. | 1,326,053 | 115,420 |
| Norfolk Southern Corp. | 2,100,054 | 110,400 |
| Waste Management, Inc. | 2,763,335 | 107,908 |
| CSX Corp. | 2,334,650 | 105,246 |
| Danaher Corp. | 1,271,423 | 95,992 |
| Precision Castparts Corp. | 734,749 | 89,169 |
| Ingersoll-Rand Co. | 1,610,836 | 88,306 |
| Textron, Inc. | 669,873 | 73,760 |
| Eaton Corp. | 782,253 | 72,750 |
| ITT Industries, Inc. | 970,372 | 66,257 |
| L-3 Communications Holdings, Inc. | 667,169 | 64,976 |
| Rockwell Collins, Inc. | 893,604 | 63,124 |
| Southwest Airlines Co. | 4,169,842 | 62,172 |
| Parker Hannifin Corp. | 618,499 | 60,557 |
| Rockwell Automation, Inc. | 842,421 | 58,498 |
| Masco Corp. | 2,016,999 | 57,424 |
| Cummins Inc. | 556,764 | 56,350 |
| Dover Corp. | 1,091,573 | 55,834 |
| Cooper Industries, Inc. |
|
|
| Class A | 977,404 | 55,800 |
| American Standard Cos., Inc. | 939,066 | 55,386 |
| Pitney Bowes, Inc. | 1,172,914 | 54,916 |
| Fluor Corp. | 470,882 | 52,442 |
| R.R. Donnelley & Sons Co. | 1,175,420 | 51,143 |
| C.H. Robinson |
|
|
| Worldwide Inc. | 914,017 | 48,004 |
* | Terex Corp. | 551,225 | 44,815 |
| Goodrich Corp. | 668,465 | 39,814 |
| W.W. Grainger, Inc. | 379,758 | 35,336 |
| Equifax, Inc. | 777,810 | 34,550 |
| Avery Dennison Corp. | 490,125 | 32,584 |
| Robert Half International, Inc. | 888,967 | 32,447 |
10
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Pall Corp. | 655,670 | 30,154 |
* | Monster Worldwide Inc. | 698,282 | 28,699 |
| Cintas Corp. | 720,857 | 28,423 |
* | Allied Waste Industries, Inc. 1,364,480 |
| 18,366 |
| Ryder System, Inc. | 326,693 | 17,576 |
* | Raytheon Co. Warrants |
|
|
| Exp. 6/16/11 | 20,998 | 387 |
|
|
| 8,148,922 |
Information Technology (15.4%) |
|
| |
| Microsoft Corp. | 44,964,454 | 1,325,102 |
* | Cisco Systems, Inc. | 32,426,333 | 903,073 |
| International Business |
|
|
| Machines Corp. | 7,295,902 | 767,894 |
| Intel Corp. | 31,030,891 | 737,294 |
| Hewlett-Packard Co. | 13,987,295 | 624,113 |
* | Google Inc. | 1,164,718 | 609,590 |
* | Apple Computer, Inc. | 4,619,645 | 563,782 |
* | Oracle Corp. | 21,141,736 | 416,704 |
| QUALCOMM Inc. | 8,901,979 | 386,257 |
* | Dell Inc. | 12,132,476 | 346,382 |
| Texas Instruments, Inc. | 7,657,189 | 288,140 |
| Motorola, Inc. | 12,361,924 | 218,806 |
* | Corning, Inc. | 8,399,932 | 214,618 |
* | EMC Corp. | 11,207,374 | 202,853 |
* | eBay Inc. | 6,045,666 | 194,550 |
* | Yahoo! Inc. | 6,459,444 | 175,245 |
| Applied Materials, Inc. | 7,380,690 | 146,654 |
| Automatic Data |
|
|
| Processing, Inc. | 2,954,646 | 143,212 |
| First Data Corp. | 4,029,016 | 131,628 |
* | Adobe Systems, Inc. | 3,140,223 | 126,080 |
* | Sun Microsystems, Inc. | 19,067,218 | 100,294 |
* | Symantec Corp. | 4,811,985 | 97,202 |
* | Xerox Corp. | 5,005,944 | 92,510 |
| Western Union Co. | 4,126,387 | 85,953 |
* | Agilent Technologies, Inc. | 2,114,577 | 81,284 |
* | NVIDIA Corp. | 1,938,132 | 80,064 |
* | Electronic Arts Inc. | 1,655,697 | 78,348 |
* | Juniper Networks, Inc. | 3,024,331 | 76,122 |
| Electronic Data |
|
|
| Systems Corp. | 2,717,473 | 75,356 |
* | MEMC Electronic |
|
|
| Materials, Inc. | 1,198,354 | 73,243 |
* | Broadcom Corp. | 2,484,728 | 72,678 |
| Paychex, Inc. | 1,815,295 | 71,014 |
| Analog Devices, Inc. | 1,746,866 | 65,752 |
* | SanDisk Corp. | 1,218,705 | 59,643 |
* | Autodesk, Inc. | 1,234,654 | 58,128 |
* | Network Appliance, Inc. | 1,981,570 | 57,862 |
* | Cognizant Technology |
|
|
| Solutions Corp. | 767,595 | 57,639 |
| Maxim Integrated |
|
|
| Products, Inc. | 1,712,636 | 57,219 |
| CA, Inc. | 2,196,631 | 56,739 |
| KLA-Tencor Corp. | 1,023,311 | 56,231 |
* | Intuit, Inc. | 1,829,375 | 55,028 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Computer Sciences Corp. | 924,978 | 54,712 |
* | Fiserv, Inc. | 898,139 | 51,014 |
* | Micron Technology, Inc. | 4,039,100 | 50,610 |
* | NCR Corp. | 960,669 | 50,474 |
^ | Linear Technology Corp. | 1,355,511 | 49,042 |
| Fidelity National Information Services, Inc. | 873,589 | 47,418 |
| Xilinx, Inc. | 1,590,698 | 42,583 |
| National |
|
|
| Semiconductor Corp. | 1,489,861 | 42,118 |
* | Advanced Micro |
|
|
| Devices, Inc. | 2,943,050 | 42,086 |
| Altera Corp. | 1,898,513 | 42,014 |
* | VeriSign, Inc. | 1,310,736 | 41,590 |
* | Avaya Inc. | 2,405,251 | 40,504 |
* | BMC Software, Inc. | 1,090,498 | 33,042 |
* | Citrix Systems, Inc. | 965,544 | 32,510 |
* | LSI Corp. | 4,119,746 | 30,939 |
* | Affiliated Computer |
|
|
| Services, Inc. Class A | 530,191 | 30,073 |
* | Tellabs, Inc. | 2,341,277 | 25,192 |
* | Lexmark International, Inc. | 505,717 | 24,937 |
| Molex, Inc. | 759,380 | 22,789 |
| Jabil Circuit, Inc. | 957,789 | 21,138 |
* | Novellus Systems, Inc. | 675,578 | 19,166 |
* | Compuware Corp. | 1,609,579 | 19,090 |
* | Teradyne, Inc. | 1,013,755 | 17,822 |
* | Solectron Corp. | 4,831,825 | 17,781 |
* | Convergys Corp. | 731,471 | 17,731 |
* | Unisys Corp. | 1,858,014 | 16,982 |
* | Ciena Corp. | 456,273 | 16,485 |
* | ^JDS Uniphase Corp. | 1,128,283 | 15,153 |
| Tektronix, Inc. | 436,550 | 14,729 |
* | Novell, Inc. | 1,860,841 | 14,496 |
* | QLogic Corp. | 849,779 | 14,149 |
* | PMC Sierra Inc. | 432,168 | 3,341 |
* | Sanmina-SCI Corp. | 806,561 | 2,525 |
|
|
| 10,994,521 |
Materials (3.1%) |
|
| |
| E.I. du Pont de |
|
|
| Nemours & Co. | 4,933,132 | 250,800 |
| Dow Chemical Co. | 5,090,973 | 225,123 |
| Monsanto Co. | 2,902,696 | 196,048 |
| Alcoa Inc. | 4,643,937 | 188,219 |
| Freeport-McMoRan |
|
|
| Copper & Gold, Inc. |
|
|
| Class B | 2,004,901 | 166,046 |
| Praxair, Inc. | 1,701,952 | 122,524 |
| Nucor Corp. | 1,611,190 | 94,496 |
| Newmont Mining Corp. |
|
|
| (Holding Co.) | 2,409,022 | 94,096 |
| Air Products & |
|
|
| Chemicals, Inc. | 1,156,755 | 92,968 |
| Weyerhaeuser Co. | 1,152,963 | 91,003 |
| International Paper Co. | 2,326,157 | 90,836 |
| United States Steel Corp. | 631,897 | 68,719 |
11
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| PPG Industries, Inc. | 876,752 | 66,730 |
| Vulcan Materials Co. | 508,883 | 58,287 |
| Allegheny Technologies Inc. | 545,438 | 57,206 |
| Rohm & Haas Co. | 759,980 | 41,556 |
| Ecolab, Inc. | 937,122 | 40,015 |
| MeadWestvaco Corp. | 986,386 | 34,839 |
| Temple-Inland Inc. | 565,925 | 34,821 |
| Sigma-Aldrich Corp. | 701,886 | 29,949 |
| Ball Corp. | 545,593 | 29,009 |
| Eastman Chemical Co. | 449,931 | 28,944 |
| Sealed Air Corp. | 863,831 | 26,796 |
* | Pactiv Corp. | 696,722 | 22,218 |
| International Flavors & |
|
|
| Fragrances, Inc. | 415,001 | 21,638 |
| Ashland, Inc. | 298,565 | 19,093 |
| Bemis Co., Inc. | 558,964 | 18,546 |
* | Hercules, Inc. | 622,759 | 12,237 |
|
|
| 2,222,762 |
Telecommunication Services (3.7%) |
|
| |
| AT&T Inc. | 32,929,951 | 1,366,593 |
| Verizon |
|
|
| Communications Inc. | 15,506,629 | 638,408 |
| Sprint Nextel Corp. | 15,454,511 | 320,063 |
| Alltel Corp. | 1,844,994 | 124,629 |
* | Qwest Communications |
|
|
| International Inc. | 8,295,505 | 80,466 |
| Embarq Corp. | 806,623 | 51,116 |
| Windstream Corp. | 2,545,735 | 37,575 |
| CenturyTel, Inc. | 585,642 | 28,726 |
| Citizens Communications Co. | 1,831,277 | 27,964 |
|
|
| 2,675,540 |
Utilities (3.5%) |
|
| |
| Exelon Corp. | 3,592,491 | 260,815 |
| TXU Corp. | 2,452,177 | 165,032 |
| Dominion Resources, Inc. | 1,870,879 | 161,476 |
| Southern Co. | 4,015,082 | 137,677 |
| FPL Group, Inc. | 2,170,444 | 123,151 |
| Duke Energy Corp. | 6,726,338 | 123,092 |
| Public Service Enterprise |
|
|
| Group, Inc. | 1,349,951 | 118,499 |
| Entergy Corp. | 1,053,512 | 113,095 |
| FirstEnergy Corp. | 1,627,908 | 105,374 |
| Edison International | 1,739,980 | 97,648 |
| PPL Corp. | 2,056,541 | 96,226 |
| American Electric |
|
|
| Power Co., Inc. | 2,129,583 | 95,916 |
| PG&E Corp. | 1,877,131 | 85,034 |
| Constellation Energy |
|
|
| Group, Inc. | 964,808 | 84,102 |
| Sempra Energy | 1,408,897 | 83,449 |
* | AES Corp. | 3,565,242 | 78,007 |
| Consolidated Edison Inc. | 1,444,580 | 65,179 |
| Progress Energy, Inc. | 1,357,554 | 61,891 |
| Ameren Corp. | 1,101,461 | 53,983 |
| Questar Corp. | 920,630 | 48,655 |
* | Allegheny Energy, Inc. | 884,932 | 45,786 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| DTE Energy Co. | 940,100 | 45,332 |
| Xcel Energy, Inc. | 2,183,564 | 44,698 |
| KeySpan Corp. | 938,516 | 39,399 |
| NiSource, Inc. | 1,465,803 | 30,357 |
| CenterPoint Energy Inc. | 1,715,695 | 29,853 |
| Pinnacle West Capital Corp. | 536,037 | 21,361 |
| CMS Energy Corp. | 1,199,627 | 20,634 |
| Integrys Energy Group, Inc. | 404,484 | 20,519 |
* | Dynegy, Inc. | 2,150,123 | 20,297 |
| TECO Energy, Inc. | 1,120,093 | 19,243 |
| Nicor Inc. | 240,457 | 10,320 |
|
|
| 2,506,100 |
Total Common Stocks |
|
| |
(Cost $50,780,807) |
| 71,355,663 | |
Temporary Cash Investments (0.1%)1 |
|
| |
Money Market Fund (0.1%) |
|
| |
2 | Vanguard Market Liquidity Fund, |
|
|
| 5.281%—Note E | 59,568,200 | 59,568 |
|
|
|
|
|
|
|
|
|
| Face |
|
|
| Amount |
|
|
| ($000) |
|
U.S. Agency Obligation (0.0%) |
|
| |
3 | Federal Home Loan |
|
|
| Mortgage Corp. |
|
|
4 | 5.197%, 7/9/07 | 13,000 | 12,987 |
Total Temporary Cash Investments |
|
| |
(Cost $72,553) |
| 72,555 | |
Total Investments (100.0%) |
|
| |
(Cost $50,853,360) |
| 71,428,218 | |
Other Assets and Liabilities (0.0%) |
|
| |
Other Assets |
| 574,171 | |
Liabilities—Note E |
| (537,051) | |
|
|
| 37,120 |
Net Assets (100%) |
| 71,465,338 |
12
At June 30, 2007, net assets consisted of:5 |
|
| Amount |
| ($000) |
Paid-in Capital | 54,235,625 |
Undistributed Net Investment Income | 36,107 |
Accumulated Net Realized Losses | (3,380,526) |
Unrealized Appreciation |
|
Investment Securities | 20,574,858 |
Futures Contracts | (726) |
Net Assets | 71,465,338 |
|
|
Institutional Shares—Net Assets |
|
Applicable to 338,280,461 outstanding $.001 par value shares of |
|
beneficial interest (unlimited authorization) | 46,473,323 |
Net Asset Value Per Share—Institutional Shares | $137.38 |
|
|
Institutional Plus Shares—Net Assets |
|
Applicable to 181,914,332 outstanding $.001 par value shares of |
|
beneficial interest (unlimited authorization) | 24,992,015 |
Net Asset Value Per Share—Institutional Plus Shares | $137.38 |
• | 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 100.0% 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 $12,987,000 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.
13
Statement of Operations
| Six Months Ended |
| June 30, 2007 |
| ($000) |
Investment Income |
|
Income |
|
Dividends | 647,706 |
Interest1 | 4,271 |
Security Lending | 432 |
Total Income | 652,409 |
Expenses |
|
The Vanguard Group—Note B |
|
Management and Administrative |
|
Institutional Shares | 11,493 |
Institutional Plus Shares | 2,828 |
Total Expenses | 14,321 |
Net Investment Income | 638,088 |
Realized Net Gain (Loss) |
|
Investment Securities Sold | 132,682 |
Futures Contracts | 11,118 |
Realized Net Gain (Loss) | 143,800 |
Change in Unrealized Appreciation (Depreciation) |
|
Investment Securities Sold | 3,867,389 |
Futures Contracts | (569) |
Change in Unrealized Appreciation (Depreciation) | 3,866,820 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,648,708 |
1 Interest from an affiliated company of the fund was $3,939,000.
14
Statement of Changes in Net Assets
| Six Months Ended | Year Ended |
| June 30, | December 31, |
| 2007 | 2006 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net Investment Income | 638,088 | 1,121,324 |
Realized Net Gain (Loss) | 143,800 | (268,482) |
Change in Unrealized Appreciation (Depreciation) | 3,866,820 | 8,013,503 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,648,708 | 8,866,345 |
Distributions |
|
|
Net Investment Income |
|
|
Institutional Shares | (401,036) | (775,520) |
Institutional Plus Shares | (208,639) | (346,418) |
Realized Capital Gain |
|
|
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
Total Distributions | (609,675) | (1,121,938) |
Capital Share Transactions—Note F |
|
|
Institutional Shares | (1,472,171) | 725,541 |
Institutional Plus Shares | 3,361,267 | 817,953 |
Net Increase (Decrease) from Capital Share Transactions | 1,889,096 | 1,543,494 |
Total Increase (Decrease) | 5,928,129 | 9,287,901 |
Net Assets |
|
|
Beginning of Period | 65,537,209 | 56,249,308 |
End of Period1 | 71,465,338 | 65,537,209 |
1 Net Assets—End of Period includes undistributed net investment income of $36,107,000 and $7,694,000.
15
Financial Highlights
Institutional Index Fund Institutional Shares | |||||||
| Six Months |
|
|
|
|
| |
| Ended |
|
|
|
|
| |
For a Share Outstanding | June 30, | Year Ended December 31, | |||||
Throughout Each Period | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Net Asset Value, Beginning of Period | $129.59 | $114.01 | $110.70 | $101.78 | $ 80.45 | $104.89 | |
Investment Operations |
|
|
|
|
|
| |
Net Investment Income | 1.22 | 2.24 | 2.05 | 2.031 | 1.54 | 1.42 | |
Net Realized and Unrealized Gain |
|
|
|
|
|
| |
(Loss) on Investments | 7.74 | 15.58 | 3.31 | 8.91 | 21.32 | (24.45) | |
Total from Investment Operations | 8.96 | 17.82 | 5.36 | 10.94 | 22.86 | (23.03) | |
Distributions |
|
|
|
|
|
| |
Dividends from Net Investment Income | (1.17) | (2.24) | (2.05) | (2.02) | (1.53) | (1.41) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.17) | (2.24) | (2.05) | (2.02) | (1.53) | (1.41) | |
Net Asset Value, End of Period | $137.38 | $129.59 | $114.01 | $110.70 | $101.78 | $80.45 | |
|
|
|
|
|
|
| |
Total Return | 6.94% | 15.78% | 4.91% | 10.86% | 28.66% | –22.03% | |
|
|
|
|
|
|
| |
Ratios/Supplemental Data |
|
|
|
|
|
| |
Net Assets, End of Period (Millions) | $46,473 | $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% | 0.05% | |
Ratio of Net Investment Income to |
|
|
|
|
|
| |
Average Net Assets | 1.84%* | 1.87% | 1.87% | 2.00%1 | 1.74% | 1.57% | |
Portfolio Turnover Rate2 | 6%* | 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.
* | Annualized. |
16
Institutional Index Fund Institutional Plus Shares |
|
|
|
|
| |
| Six Months |
|
|
|
|
|
| Ended |
|
|
|
|
|
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $129.59 | $114.01 | $110.71 | $101.78 | $80.45 | $104.89 |
Investment Operations |
|
|
|
|
|
|
Net Investment Income | 1.242 | 2.269 | 2.068 | 2.0511 | 1.562 | 1.438 |
Net Realized and Unrealized Gain |
|
|
|
|
|
|
(Loss) on Investments | 7.736 | 15.580 | 3.310 | 8.925 | 21.320 | (24.446) |
Total from Investment Operations | 8.978 | 17.849 | 5.378 | 10.976 | 22.882 | (23.008) |
Distributions |
|
|
|
|
|
|
Dividends from Net Investment Income | (1.188) | (2.269) | (2.078) | (2.046) | (1.552) | (1.432) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.188) | (2.269) | (2.078) | (2.046) | (1.552) | (1.432) |
Net Asset Value, End of Period | $137.38 | $129.59 | $114.01 | $110.71 | $101.78 | $80.45 |
|
|
|
|
|
|
|
Total Return | 6.95% | 15.81% | 4.93% | 10.90% | 28.69% | –22.01% |
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
Net Assets, End of Period (Millions) | $24,992 | $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% | 0.025% |
Ratio of Net Investment Income to |
|
|
|
|
|
|
Average Net Assets | 1.87%* | 1.90% | 1.90% | 2.02%1 | 1.76% | 1.59% |
Portfolio Turnover Rate2 | 6%* | 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.
* | Annualized. |
See accompanying Notes, which are an integral part of the Financial Statements.
17
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 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.
18
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 six months ended June 30, 2007, the fund realized $201,946,000 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.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2006, 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2007; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balances above.
At June 30, 2007, the cost of investment securities for tax purposes was $50,853,360,000. Net unrealized appreciation of investment securities for tax purposes was $20,574,858,000, consisting of unrealized gains of $22,494,200,000 on securities that had risen in value since their purchase and $1,919,342,000 in unrealized losses on securities that had fallen in value since their purchase.
19
At June 30, 2007, the aggregate settlement value of open futures contracts expiring in September 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 | 159 | 60,237 | (372) |
E-mini S&P 500 Index | 295 | 22,352 | (354) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D. During the six months ended June 30, 2007, the fund purchased $4,364,575,000 of investment securities and sold $2,381,804,000 of investment securities, other than temporary cash investments.
E. The market value of securities on loan to broker-dealers at June 30, 2007, was $57,094,000, for which the fund received cash collateral of $59,568,000.
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | ||
| June 30, 2007 | December 31, 2006 | ||
| Amount | Shares | Amount | Shares |
| ($000) | (000) | ($000) | (000) |
Institutional Shares |
|
|
|
|
Issued | 4,518,165 | 33,950 | 9,277,661 | 77,273 |
Issued in Lieu of Cash Distributions | 362,701 | 2,702 | 703,812 | 5,818 |
Redeemed | (6,353,037) | (47,495) | (9,255,932) | (77,396) |
Net Increase (Decrease)—Institutional Shares | (1,472,171) | (10,843) | 725,541 | 5,695 |
Institutional Plus Shares |
|
|
|
|
Issued | 4,680,863 | 35,174 | 4,548,018 | 38,148 |
Issued in Lieu of Cash Distributions | 200,205 | 1,490 | 327,357 | 2,703 |
Redeemed | (1,519,801) | (11,348) | (4,057,422) | (34,197) |
Net Increase (Decrease)—Institutional Plus Shares | 3,361,267 | 25,316 | 817,953 | 6,654 |
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, effective for the fund’s current fiscal year. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2004–2006) for purposes of implementing FIN 48, and has concluded that no provision for income tax is required in the fund's financial statements.
20
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 June 30, 2007 |
|
|
|
| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
Institutional Index Fund | 12/31/2006 | 6/30/2007 | Period1 |
Based on Actual Fund Return |
|
|
|
Institutional Shares | $1,000.00 | $1,069.37 | $0.26 |
Institutional Plus Shares | 1,000.00 | 1,069.51 | 0.13 |
Based on Hypothetical 5% Yearly Return |
|
|
|
Institutional Shares | $1,000.00 | $1,024.55 | $0.25 |
Institutional Plus Shares | 1,000.00 | 1,024.67 | 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.
21
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. 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 your fund’s current prospectus.
22
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Institutional Index Fund has approved the fund’s investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Quantitative Equity Group—serves as the investment advisor for the fund. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the fund’s investment management over both short- and long-term periods, and took into account the organizational depth and stability of the advisor. Vanguard has been managing investments for more than two decades. George U. Sauter, Vanguard managing director and chief investment officer, has been in the investment management business since 1985. Mr. Sauter has led the Quantitative Equity Group since 1987. The Quantitative Equity Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance of its target benchmark and peer group. The board concluded that the fund has performed in line with expectations, and that its results have been consistent with its investment strategies. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was far below the average expense ratio charged by funds in its peer group. The board noted that the fund’s advisory expense ratio was also well below its peer-group average. Information about the fund’s expense ratio appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s low-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
23
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.
24
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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 | |
|
|
John J. Brennan1 |
|
Born 1954 | Principal Occupation(s) During the Past Five Years: Chairman of the Board, Chief Executive |
Trustee since May 1987; | Officer, and Director/Trustee of The Vanguard Group, Inc., and of each of the investment |
Chairman of the Board and | companies served by The Vanguard Group. |
Chief Executive Officer |
|
147 Vanguard Funds Overseen |
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|
|
Independent Trustees |
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|
|
Charles D. Ellis |
|
Born 1937 | Principal Occupation(s) During the Past Five Years: Applecore Partners (pro bono ventures |
Trustee since January 2001 | in education); Senior Advisor to Greenwich Associates (international business strategy |
147 Vanguard Funds Overseen | 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 Chief Executive Officer |
Trustee since December 20012 | of Rohm and Haas Co. (chemicals); Board Member of the American Chemistry Council; |
147 Vanguard Funds Overseen | 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 University of |
Trustee since June 2006 | Pennsylvania since 2004; Professor in the School of Arts and Sciences, Annenberg School |
147 Vanguard Funds Overseen | 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 President and |
Trustee since July 1998 | Chief Global Diversity Officer since 2006, Vice President and Chief Information |
147 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. |
|
|
André F. Perold |
|
Born 1952 | Principal Occupation(s) During the Past Five Years: George Gund Professor of Finance |
Trustee since December 2004 | and Banking, Harvard Business School; Senior Associate Dean, Director of Faculty |
147 Vanguard Funds Overseen | 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. |
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Alfred M. Rankin, Jr. |
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Born 1941 | Principal Occupation(s) During the Past Five Years: Chairman, President, Chief Executive |
Trustee since January 1993 | Officer, and Director of NACCO Industries, Inc. (forklift trucks/housewares/lignite); Director |
147 Vanguard Funds Overseen | 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 Executive |
Trustee since April 1985 | Officer of Rohm and Haas Co. (chemicals); Director of Cummins Inc. (diesel engines) and |
147 Vanguard Funds Overseen | 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 Vanguard |
Secretary since July 2005 | Group, Inc., since 2006; General Counsel of The Vanguard Group since 2005; Secretary of |
147 Vanguard Funds Overseen | 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 Group, Inc.; |
Treasurer since July 1998 | Treasurer of each of the investment companies served by The Vanguard Group. |
147 Vanguard Funds Overseen |
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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 |
| ||
Founder | ||
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John C. Bogle | ||
Chairman and Chief Executive Officer, 1974–1996 |
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 |
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| Standard & Poor’s 500 and S&P 500 are trademarks of |
Institutional Investor Services > 800-523-1036 | The McGraw-Hill Companies, Inc., and have been |
| licensed for use by The Vanguard Group, Inc. Vanguard |
Text Telephone for People | mutual funds are not sponsored, endorsed, sold, or |
With Hearing Impairment > 800-952-3335 | promoted by Standard & Poor’s, and Standard & Poor’s |
| makes no representation regarding the advisability of |
| investing in the funds. |
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This material may be used in conjunction | All other marks are the exclusive property of their |
with the offering of shares of any Vanguard | respective owners. |
fund only if preceded or accompanied by |
|
the fund’s current prospectus. | 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 |
| 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 |
| securities it owned during the 12 months ended June 30. |
| To get the report, visit either www.vanguard.com |
| or www.sec.gov. |
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| 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 |
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| publicinfo@sec.gov or via regular mail addressed to the |
| Public Reference Section, Securities and Exchange |
| Commission, Washington, DC 20549-0102. |
|
|
| © 2007 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
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| Q942 082007 |
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Vanguard® Institutional |
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Total Bond Market Index Fund |
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> Semiannual Report |
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June 30, 2007 |
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> | For the six months ended June 30, 2007, Vanguard Institutional Total Bond Market Index Fund posted a return of 0.9%. |
> | The fund’s return was just shy of the result of its benchmark, the Lehman U.S. Aggregate Bond Index. |
> | Bond returns were modest throughout the fiscal half-year. |
Contents |
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Your Fund’s Total Returns | 1 |
Chairman’s Letter | 2 |
Fund Profile | 5 |
Performance Summary | 6 |
Financial Statements | 7 |
About Your Fund’s Expenses | 52 |
Trustees Approve Advisory Arrangement | 54 |
Glossary | 55 |
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
Six Months Ended June 30, 2007 |
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| Ticker | Total |
| Symbol | Returns |
Vanguard Institutional Total Bond Market Index Fund | VITBX | 0.9% |
Lehman U.S. Aggregate Bond Index |
| 1.0 |
Average Intermediate Investment Grade Debt Fund1 |
| 0.6 |
Your Fund’s Performance at a Glance |
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December 31, 2006–June 30, 2007 |
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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 | $50.32 | $49.53 | $1.234 | $0.000 | |
1 Derived from data provided by Lipper Inc.
1
Chairman’s Letter
Dear Shareholder,
During the first six months of 2007, as U.S. economic signals remained mixed, fears of inflation continued. Bond investors drove intermediate- and long-term yields higher, and prices down. The returns from investment-grade bonds remained modest in this environment.
For the fiscal half-year, Vanguard Institutional Total Bond Market Index Fund posted a return of 0.9%, closely tracking its target benchmark. The fund’s yield was 5.47% on June 30, an increase of 0.32 percentage point from its 5.15% yield at the start of the year.
Bond investors were hobbled by a shift in sentiment
The relationship between yield and maturity returned to normal during the past six months, as yields of intermediate-and longer-term bonds moved higher than short-term yields. The accompanying drop in prices was steepest for long-term and intermediate-term bonds.
Earlier in the year, bond yields seemed to reflect an assumption that the Federal Reserve Board might cut interest rates in response to weaker economic growth. As the year progressed, inflationary pressures and economic growth looked more substantial, producing a change in market sentiment, which resulted in higher yields and lower prices.
2
The broad taxable bond market returned 1.0% for the period, while municipal bonds posted a return of 0.1%. The Citigroup 3-Month Treasury Bill Index—a proxy for money market yields—returned 2.5% for the half-year.
Stock market’s ascent was driven by global liquidity
The broad U.S. stock market notched impressive gains in the year’s first half, when an abundance of cash drove record numbers of mergers and acquisitions around the globe. The gains came amid increased volatility. In February, markets worldwide fell sharply following a sell-off in China, only to recover quickly and continue upward. The six-month period closed with two dips in June, owing to fears of accelerating inflation and slowing economic growth.
The best performers in the U.S. market were the so-called mega-caps—broadly diversified companies that are well-positioned to thrive during periods of economic transition. International stocks, particularly those in emerging markets, outperformed U.S. equities. The dollar slid against the euro and the British pound, further enhancing gains for Americans investing abroad.
Market Barometer |
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| Total Returns |
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| Periods Ended June 30, 2007 | |
| Six Months | One Year | Five Years1 |
Bonds |
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Lehman U.S. Aggregate Bond Index (Broad taxable market) | 1.0% | 6.1% | 4.5% |
Lehman Municipal Bond Index | 0.1 | 4.7 | 4.6 |
Citigroup 3-Month Treasury Bill Index | 2.5 | 5.1 | 2.7 |
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Stocks |
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Russell 1000 Index (Large-caps) | 7.2% | 20.4% | 11.3% |
Russell 2000 Index (Small-caps) | 6.4 | 16.4 | 13.9 |
Dow Jones Wilshire 5000 Index (Entire market) | 7.6 | 20.4 | 12.0 |
MSCI All Country World Index ex USA (International) | 12.6 | 30.1 | 19.9 |
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CPI |
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Consumer Price Index | 3.2% | 2.7% | 3.0% |
1 Annualized.
3
Your fund captured its benchmark’s return
The Institutional Total Bond Market Index Fund’s capital return for the six months was –1.6%, while its income return was 2.5%. With an index portfolio, the main issue is how successful the fund is at capturing the returns of its benchmark, which does not incur the operating and transaction costs that affect a real-world portfolio. The fund was successful in this regard, as its return was only a fraction shy of the index’s return.
During the fiscal half-year, fixed income markets came under pressure as intermediate- and long-term yields rose in response to lingering inflationary pressures, concerns about the subprime mortgage market, and the market’s belief that the Federal Reserve was less likely in the near-term to cut its federal funds target rate, which remained at 5.25%. The yield curve reverted during the period, with the yields of short-term (3- and 6-month) U.S. Treasuries falling while the yields of most other Treasury maturities rose. With short-term yields falling and intermediate- and long-term yields rising, short-term bonds performed the best.
Over time, the indexing approach of Vanguard Institutional Total Bond Market Index Fund has proved to be an excellent way to earn competitive returns in the broad bond market. The fund’s advisor, Vanguard Fixed Income Group, continues to be among the leaders in bond indexing, having developed numerous proprietary trading and portfolio-construction methods to capture the results of relevant benchmarks.
In addition, the fund’s extremely low expense ratio is also critical to its competitive long-term record.
Bond indexing remains a highly useful strategy
Although returns for the recent six-month period were modest, the merits of bond indexing as an investment strategy remain. Given its very low costs, and the clarity of its investment approach, a broad-market bond index fund offers your institution widely diversified exposure to the investment-grade U.S. bond market, and the opportunity to capture the broad bond market’s return.
Thank you for entrusting your assets to Vanguard.
Sincerely,
John J. Brennan
Chairman and Chief Executive Officer
July 18, 2007
4
Fund Profile
As of June 30, 2007
Financial Attributes |
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| Target |
| Fund | Index1 |
Number of Issues | 2,171 | 8,899 |
Yield | 5.5% | — |
Yield to Maturity | 5.6%2 | 5.7% |
Average Coupon | 5.4% | 5.4% |
Average Effective Maturity | 7.3 years | 7.3 years |
Average Quality3 | Aa1 | Aa1 |
Average Duration | 4.7 years | 4.7 years |
Expense Ratio | 0.05%4 | — |
Short-Term Reserves | 1% | — |
Sector Diversification5 (% of portfolio) |
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Asset-Backed/Commercial Mortgage-Backed | 7% |
Finance | 8 |
Foreign | 2 |
Government Mortgage-Backed | 37 |
Industrial | 9 |
Treasury/Agency | 34 |
Utilities | 2 |
Short-Term Reserves | 1% |
Volatility Measures6 |
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| Index1 |
R-Squared | 1.00 |
Beta | 1.01 |
Distribution by Maturity (% of portfolio) |
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Under 1 Year | 4% |
1–5 Years | 37 |
5–10 Years | 46 |
10–20 Years | 7 |
20–30 Years | 6 |
Distribution by Credit Quality3 (% of portfolio) |
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Aaa | 80% |
Aa | 5 |
A | 8 |
Baa | 7 |
Investment Focus
1 Lehman U.S. Aggregate Bond Index.
2 Before expenses.
3 Moody’s Investors Service.
4 Annualized.
5 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.
6 For an explanation of R-squared, beta, and other terms used here, see the Glossary on page 55.
5
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/performance.) 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.
Fiscal-Year Total Returns (%): April 26, 2002–June 30, 2007 | ||||
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| Lehman1 |
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 |
20072 | –1.6 | 2.5 | 0.9 | 1.0 |
Average Annual Total Returns: Periods Ended June 30, 2007 | ||||||
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| Since Inception | |
| Inception Date | One Year | Five Years | Capital | Income | Total |
Institutional Total Bond |
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Market Index Fund | 4/26/2002 | 6.08% | 4.39% | –0.10% | 4.61% | 4.51% |
1 Lehman U.S. Aggregate Bond Index.
2 Six months ended June 30, 2007.
Note: See Financial Highlights table on page 47 for dividend and capital gains information.
6
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2007
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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| Face | Market |
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| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
U.S. Government and Agency Obligations (70.1%) |
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U.S. Government Securities (24.1%) |
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U.S. Treasury Bond | 3.625% | 5/15/13 | 56,150 | 52,483 |
U.S. Treasury Bond | 12.000% | 8/15/13 | 2,500 | 2,690 |
U.S. Treasury Bond | 13.250% | 5/15/14 | 750 | 860 |
U.S. Treasury Bond | 4.000% | 2/15/15 | 51,425 | 48,138 |
U.S. Treasury Bond | 10.625% | 8/15/15 | 360 | 493 |
U.S. Treasury Bond | 9.875% | 11/15/15 | 11,000 | 14,604 |
U.S. Treasury Bond | 9.250% | 2/15/16 | 75 | 97 |
U.S. Treasury Bond | 7.250% | 5/15/16 | 290 | 335 |
U.S. Treasury Bond | 7.500% | 11/15/16 | 50 | 59 |
U.S. Treasury Bond | 8.750% | 5/15/17 | 150 | 192 |
U.S. Treasury Bond | 8.875% | 8/15/17 | 50,615 | 65,594 |
U.S. Treasury Bond | 9.125% | 5/15/18 | 75 | 100 |
U.S. Treasury Bond | 9.000% | 11/15/18 | 25 | 33 |
U.S. Treasury Bond | 8.875% | 2/15/19 | 225 | 298 |
U.S. Treasury Bond | 8.125% | 8/15/19 | 2,305 | 2,915 |
U.S. Treasury Bond | 8.500% | 2/15/20 | 8,775 | 11,454 |
U.S. Treasury Bond | 8.750% | 5/15/20 | 740 | 986 |
U.S. Treasury Bond | 8.750% | 8/15/20 | 59,375 | 79,303 |
U.S. Treasury Bond | 7.875% | 2/15/21 | 605 | 762 |
U.S. Treasury Bond | 8.125% | 5/15/21 | 110 | 142 |
U.S. Treasury Bond | 8.125% | 8/15/21 | 20,850 | 26,884 |
U.S. Treasury Bond | 8.000% | 11/15/21 | 205 | 262 |
U.S. Treasury Bond | 7.250% | 8/15/22 | 8,225 | 9,959 |
U.S. Treasury Bond | 7.625% | 11/15/22 | 220 | 276 |
U.S. Treasury Bond | 6.250% | 8/15/23 | 25 | 28 |
U.S. Treasury Bond | 7.625% | 2/15/25 | 26,975 | 34,364 |
U.S. Treasury Bond | 6.875% | 8/15/25 | 3,975 | 4,737 |
U.S. Treasury Bond | 6.750% | 8/15/26 | 29,220 | 34,586 |
U.S. Treasury Bond | 6.500% | 11/15/26 | 50 | 58 |
U.S. Treasury Bond | 6.625% | 2/15/27 | 33,505 | 39,264 |
U.S. Treasury Bond | 6.375% | 8/15/27 | 25,675 | 29,370 |
U.S. Treasury Bond | 5.500% | 8/15/28 | 525 | 545 |
U.S. Treasury Bond | 5.250% | 11/15/28 | 100 | 101 |
U.S. Treasury Bond | 5.250% | 2/15/29 | 75 | 76 |
U.S. Treasury Bond | 6.125% | 8/15/29 | 1,110 | 1,246 |
U.S. Treasury Bond | 6.250% | 5/15/30 | 8,505 | 9,724 |
U.S. Treasury Bond | 5.375% | 2/15/31 | 17,540 | 18,020 |
U.S. Treasury Bond | 4.500% | 2/15/36 | 375 | 340 |
U.S. Treasury Note | 4.000% | 9/30/07 | 500 | 499 |
7
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| Coupon | Date | ($000) | ($000) |
U.S. Treasury Note | 2.625% | 5/15/08 | 28,725 | 28,142 |
U.S. Treasury Note | 3.750% | 5/15/08 | 44,175 | 43,692 |
U.S. Treasury Note | 4.875% | 5/31/08 | 53,350 | 53,308 |
U.S. Treasury Note | 5.125% | 6/30/08 | 68,135 | 68,199 |
U.S. Treasury Note | 5.000% | 7/31/08 | 20,250 | 20,247 |
U.S. Treasury Note | 4.125% | 8/15/08 | 10,000 | 9,909 |
U.S. Treasury Note | 4.875% | 8/31/08 | 41,275 | 41,223 |
U.S. Treasury Note | 3.125% | 9/15/08 | 425 | 416 |
U.S. Treasury Note | 4.625% | 9/30/08 | 24,905 | 24,804 |
U.S. Treasury Note | 3.125% | 10/15/08 | 225 | 220 |
U.S. Treasury Note | 4.875% | 10/31/08 | 9,025 | 9,015 |
U.S. Treasury Note | 3.375% | 11/15/08 | 525 | 514 |
U.S. Treasury Note | 4.375% | 11/15/08 | 31,375 | 31,130 |
U.S. Treasury Note | 4.750% | 11/15/08 | 775 | 773 |
U.S. Treasury Note | 4.750% | 12/31/08 | 12,725 | 12,689 |
U.S. Treasury Note | 3.250% | 1/15/09 | 1,165 | 1,137 |
U.S. Treasury Note | 4.875% | 1/31/09 | 4,620 | 4,616 |
U.S. Treasury Note | 4.500% | 2/15/09 | 10,570 | 10,501 |
U.S. Treasury Note | 4.500% | 3/31/09 | 43,675 | 43,368 |
U.S. Treasury Note | 3.125% | 4/15/09 | 625 | 606 |
U.S. Treasury Note | 3.875% | 5/15/09 | 11,695 | 11,481 |
U.S. Treasury Note | 4.875% | 5/15/09 | 16,325 | 16,317 |
U.S. Treasury Note | 4.000% | 6/15/09 | 2,575 | 2,533 |
U.S. Treasury Note | 3.625% | 7/15/09 | 22,600 | 22,046 |
U.S. Treasury Note | 3.500% | 8/15/09 | 15,475 | 15,040 |
U.S. Treasury Note | 4.875% | 8/15/09 | 11,625 | 11,618 |
U.S. Treasury Note | 6.000% | 8/15/09 | 37,550 | 38,366 |
U.S. Treasury Note | 3.375% | 10/15/09 | 13,215 | 12,788 |
U.S. Treasury Note | 4.625% | 11/15/09 | 10,925 | 10,859 |
U.S. Treasury Note | 3.500% | 12/15/09 | 1,050 | 1,017 |
U.S. Treasury Note | 3.625% | 1/15/10 | 5,525 | 5,359 |
U.S. Treasury Note | 3.500% | 2/15/10 | 12,950 | 12,509 |
U.S. Treasury Note | 6.500% | 2/15/10 | 20,085 | 20,863 |
U.S. Treasury Note | 4.000% | 3/15/10 | 15,325 | 14,985 |
U.S. Treasury Note | 4.000% | 4/15/10 | 38,175 | 37,292 |
U.S. Treasury Note | 3.875% | 5/15/10 | 375 | 365 |
U.S. Treasury Note | 4.125% | 8/15/10 | 7,805 | 7,631 |
U.S. Treasury Note | 4.500% | 11/15/10 | 320 | 316 |
U.S. Treasury Note | 4.375% | 12/15/10 | 3,105 | 3,054 |
U.S. Treasury Note | 4.250% | 1/15/11 | 815 | 798 |
U.S. Treasury Note | 4.500% | 2/28/11 | 25,150 | 24,808 |
U.S. Treasury Note | 4.750% | 3/31/11 | 7,600 | 7,558 |
U.S. Treasury Note | 4.875% | 4/30/11 | 44,100 | 44,024 |
U.S. Treasury Note | 4.875% | 5/31/11 | 3,000 | 2,996 |
U.S. Treasury Note | 5.125% | 6/30/11 | 375 | 378 |
U.S. Treasury Note | 4.875% | 7/31/11 | 74,200 | 74,072 |
U.S. Treasury Note | 4.500% | 9/30/11 | 76,665 | 75,407 |
U.S. Treasury Note | 4.625% | 10/31/11 | 81,350 | 80,384 |
U.S. Treasury Note | 4.500% | 11/30/11 | 2,100 | 2,065 |
U.S. Treasury Note | 4.625% | 12/31/11 | 175 | 173 |
U.S. Treasury Note | 4.625% | 2/29/12 | 135 | 133 |
U.S. Treasury Note | 4.500% | 3/31/12 | 975 | 957 |
U.S. Treasury Note | 4.500% | 4/30/12 | 6,000 | 5,889 |
U.S. Treasury Note | 4.000% | 11/15/12 | 25 | 24 |
U.S. Treasury Note | 3.875% | 2/15/13 | 38,255 | 36,330 |
U.S. Treasury Note | 4.250% | 11/15/13 | 14,150 | 13,617 |
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| Face | Market |
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| Maturity | Amount | Value• |
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| Coupon | Date | ($000) | ($000) |
| U.S. Treasury Note | 4.000% | 2/15/14 | 1,040 | 984 |
| U.S. Treasury Note | 4.750% | 5/15/14 | 500 | 494 |
| U.S. Treasury Note | 4.250% | 11/15/14 | 67,725 | 64,614 |
| U.S. Treasury Note | 4.125% | 5/15/15 | 1,300 | 1,225 |
| U.S. Treasury Note | 4.250% | 8/15/15 | 5,525 | 5,240 |
| U.S. Treasury Note | 4.500% | 11/15/15 | 54,925 | 52,951 |
| U.S. Treasury Note | 5.125% | 5/15/16 | 4,375 | 4,398 |
| U.S. Treasury Note | 4.875% | 8/15/16 | 75 | 74 |
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| 1,640,418 |
Agency Bonds and Notes (9.7%) |
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| Arab Republic of Egypt |
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| (U.S. Government Guaranteed) | 4.450% | 9/15/15 | 800 | 755 |
1 | Federal Farm Credit Bank | 3.375% | 7/15/08 | 625 | 613 |
1 | Federal Farm Credit Bank | 3.750% | 1/15/09 | 725 | 710 |
1 | Federal Farm Credit Bank | 4.125% | 4/15/09 | 1,350 | 1,325 |
1 | Federal Farm Credit Bank | 5.250% | 8/3/09 | 1,725 | 1,725 |
1 | Federal Farm Credit Bank | 5.250% | 9/13/10 | 825 | 827 |
1 | Federal Farm Credit Bank | 5.375% | 7/18/11 | 2,550 | 2,563 |
1 | Federal Farm Credit Bank | 4.875% | 12/16/15 | 800 | 771 |
1 | Federal Farm Credit Bank | 5.125% | 8/25/16 | 2,225 | 2,169 |
1 | Federal Farm Credit Bank | 4.875% | 1/17/17 | 1,150 | 1,099 |
1 | Federal Home Loan Bank | 5.125% | 8/8/08 | 2,000 | 1,997 |
1 | Federal Home Loan Bank | 3.875% | 8/22/08 | 5,000 | 4,931 |
1 | Federal Home Loan Bank | 5.800% | 9/2/08 | 1,000 | 1,006 |
1 | Federal Home Loan Bank | 5.865% | 9/2/08 | 2,800 | 2,817 |
1 | Federal Home Loan Bank | 5.000% | 2/20/09 | 15,000 | 14,947 |
1 | Federal Home Loan Bank | 4.750% | 4/24/09 | 30,000 | 29,786 |
1 | Federal Home Loan Bank | 5.375% | 7/17/09 | 1,450 | 1,456 |
1 | Federal Home Loan Bank | 5.250% | 8/5/09 | 625 | 625 |
1 | Federal Home Loan Bank | 5.000% | 9/18/09 | 27,500 | 27,394 |
1 | Federal Home Loan Bank | 6.500% | 11/13/09 | 1,300 | 1,337 |
1 | Federal Home Loan Bank | 5.000% | 12/11/09 | 625 | 622 |
1 | Federal Home Loan Bank | 3.875% | 1/15/10 | 1,850 | 1,793 |
1 | Federal Home Loan Bank | 4.375% | 3/17/10 | 3,000 | 2,939 |
1 | Federal Home Loan Bank | 4.875% | 5/14/10 | 775 | 768 |
1 | Federal Home Loan Bank | 7.625% | 5/14/10 | 6,125 | 6,510 |
1 | Federal Home Loan Bank | 5.375% | 8/19/11 | 5,300 | 5,324 |
1 | Federal Home Loan Bank | 4.875% | 11/18/11 | 10,100 | 9,957 |
1 | Federal Home Loan Bank | 5.750% | 5/15/12 | 1,525 | 1,557 |
1 | Federal Home Loan Bank | 5.375% | 6/14/13 | 1,000 | 999 |
1 | Federal Home Loan Bank | 5.125% | 8/14/13 | 9,775 | 9,651 |
1 | Federal Home Loan Bank | 4.500% | 9/16/13 | 7,100 | 6,785 |
1 | Federal Home Loan Bank | 5.500% | 8/13/14 | 11,625 | 11,694 |
1 | Federal Home Loan Bank | 5.375% | 5/18/16 | 8,575 | 8,533 |
1 | Federal Home Loan Bank | 5.625% | 6/13/16 | 350 | 352 |
1 | Federal Home Loan Bank | 4.750% | 12/16/16 | 11,500 | 10,899 |
1 | Federal Home Loan Bank | 4.875% | 5/17/17 | 650 | 621 |
1 | Federal Home Loan Bank | 5.250% | 12/11/20 | 2,025 | 1,967 |
1 | Federal Home Loan Bank | 5.500% | 7/15/36 | 3,000 | 2,946 |
1 | Federal Home Loan Mortgage Corp. | 4.625% | 12/19/08 | 5,000 | 4,960 |
1 | Federal Home Loan Mortgage Corp. | 4.875% | 2/17/09 | 10,000 | 9,958 |
1 | Federal Home Loan Mortgage Corp. | 5.750% | 3/15/09 | 10,000 | 10,095 |
1 | Federal Home Loan Mortgage Corp. | 5.250% | 5/21/09 | 18,600 | 18,624 |
1 | Federal Home Loan Mortgage Corp. | 5.000% | 6/11/09 | 17,175 | 17,122 |
1 | Federal Home Loan Mortgage Corp. | 6.625% | 9/15/09 | 2,875 | 2,959 |
1 | Federal Home Loan Mortgage Corp. | 7.000% | 3/15/10 | 4,500 | 4,701 |
9
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
1 | Federal Home Loan Mortgage Corp. | 4.125% | 7/12/10 | 23,214 | 22,523 |
1 | Federal Home Loan Mortgage Corp. | 6.875% | 9/15/10 | 2,691 | 2,821 |
1 | Federal Home Loan Mortgage Corp. | 4.750% | 1/18/11 | 3,350 | 3,302 |
1 | Federal Home Loan Mortgage Corp. | 6.000% | 6/15/11 | 9,700 | 9,957 |
1 | Federal Home Loan Mortgage Corp. | 5.250% | 7/18/11 | 13,000 | 12,995 |
1 | Federal Home Loan Mortgage Corp. | 5.750% | 1/15/12 | 10,000 | 10,175 |
1 | Federal Home Loan Mortgage Corp. | 5.125% | 7/15/12 | 3,600 | 3,574 |
1 | Federal Home Loan Mortgage Corp. | 5.500% | 8/20/12 | 10,000 | 10,079 |
1 | Federal Home Loan Mortgage Corp. | 4.500% | 1/15/13 | 1,975 | 1,899 |
1 | Federal Home Loan Mortgage Corp. | 4.500% | 7/15/13 | 1,325 | 1,268 |
1 | Federal Home Loan Mortgage Corp. | 4.875% | 11/15/13 | 10,350 | 10,077 |
1 | Federal Home Loan Mortgage Corp. | 5.000% | 7/15/14 | 20,650 | 20,184 |
1 | Federal Home Loan Mortgage Corp. | 4.500% | 1/15/15 | 7,500 | 7,089 |
1 | Federal Home Loan Mortgage Corp. | 4.750% | 1/19/16 | 9,000 | 8,583 |
1 | Federal Home Loan Mortgage Corp. | 5.250% | 4/18/16 | 8,000 | 7,892 |
1 | Federal Home Loan Mortgage Corp. | 5.125% | 10/18/16 | 2,000 | 1,951 |
1 | Federal Home Loan Mortgage Corp. | 5.000% | 12/14/18 | 3,159 | 2,954 |
1 | Federal Home Loan Mortgage Corp. | 6.750% | 9/15/29 | 1,000 | 1,143 |
1 | Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 7,989 | 9,167 |
1 | Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 227 | 247 |
1 | Federal National Mortgage Assn. | 3.875% | 7/15/08 | 11,800 | 11,633 |
1 | Federal National Mortgage Assn. | 4.500% | 10/15/08 | 13,700 | 13,579 |
1 | Federal National Mortgage Assn. | 3.375% | 12/15/08 | 6,950 | 6,776 |
1 | Federal National Mortgage Assn. | 5.250% | 1/15/09 | 10,775 | 10,790 |
1 | Federal National Mortgage Assn. | 4.875% | 4/15/09 | 18,750 | 18,667 |
1 | Federal National Mortgage Assn. | 4.250% | 5/15/09 | 12,700 | 12,509 |
1 | Federal National Mortgage Assn. | 6.375% | 6/15/09 | 3,775 | 3,857 |
1 | Federal National Mortgage Assn. | 6.625% | 9/15/09 | 9,015 | 9,280 |
1 | Federal National Mortgage Assn. | 7.250% | 1/15/10 | 5,105 | 5,352 |
1 | Federal National Mortgage Assn. | 3.875% | 2/15/10 | 30,000 | 29,045 |
1 | Federal National Mortgage Assn. | 4.125% | 5/15/10 | 1,000 | 972 |
1 | Federal National Mortgage Assn. | 4.250% | 8/15/10 | 8,000 | 7,779 |
1 | Federal National Mortgage Assn. | 6.625% | 11/15/10 | 900 | 938 |
1 | Federal National Mortgage Assn. | 6.250% | 2/1/11 | 400 | 412 |
1 | Federal National Mortgage Assn. | 5.125% | 4/15/11 | 2,250 | 2,240 |
1 | Federal National Mortgage Assn. | 6.000% | 5/15/11 | 5,000 | 5,131 |
1 | Federal National Mortgage Assn. | 5.000% | 10/15/11 | 1,850 | 1,831 |
1 | Federal National Mortgage Assn. | 6.125% | 3/15/12 | 12,875 | 13,311 |
1 | Federal National Mortgage Assn. | 4.875% | 5/18/12 | 2,000 | 1,963 |
1 | Federal National Mortgage Assn. | 4.375% | 9/15/12 | 1,050 | 1,006 |
1 | Federal National Mortgage Assn. | 4.750% | 2/21/13 | 500 | 486 |
1 | Federal National Mortgage Assn. | 4.375% | 3/15/13 | 1,450 | 1,381 |
1 | Federal National Mortgage Assn. | 4.625% | 5/1/13 | 2,875 | 2,759 |
1 | Federal National Mortgage Assn. | 4.625% | 10/15/13 | 15,650 | 15,026 |
1 | Federal National Mortgage Assn. | 5.125% | 1/2/14 | 550 | 537 |
1 | Federal National Mortgage Assn. | 4.125% | 4/15/14 | 7,500 | 6,967 |
1 | Federal National Mortgage Assn. | 4.625% | 10/15/14 | 15,000 | 14,298 |
1 | Federal National Mortgage Assn. | 5.000% | 4/15/15 | 2,000 | 1,947 |
1 | Federal National Mortgage Assn. | 4.375% | 10/15/15 | 5,000 | 4,653 |
1 | Federal National Mortgage Assn. | 5.250% | 9/15/16 | 5,725 | 5,649 |
1 | Federal National Mortgage Assn. | 4.875% | 12/15/16 | 4,700 | 4,497 |
1 | Federal National Mortgage Assn. | 5.000% | 2/13/17 | 7,700 | 7,457 |
1 | Federal National Mortgage Assn. | 7.125% | 1/15/30 | 2,100 | 2,514 |
1 | Federal National Mortgage Assn. | 7.250% | 5/15/30 | 9,900 | 12,070 |
1 | Federal National Mortgage Assn. | 6.625% | 11/15/30 | 5,450 | 6,160 |
| Private Export Funding Corp. | 7.200% | 1/15/10 | 2,375 | 2,481 |
10
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| State of Israel (U.S. Government Guaranteed) | 5.500% | 9/18/23 | 450 | 451 |
| State of Israel (U.S. Government Guaranteed) | 5.500% | 12/4/23 | 350 | 348 |
| State of Israel (U.S. Government Guaranteed) | 5.500% | 4/26/24 | 225 | 223 |
1 | Tennessee Valley Auth. | 5.375% | 11/13/08 | 1,075 | 1,077 |
1 | Tennessee Valley Auth. | 5.625% | 1/18/11 | 4,000 | 4,044 |
1 | Tennessee Valley Auth. | 7.125% | 5/1/30 | 3,375 | 4,001 |
1 | Tennessee Valley Auth. | 4.650% | 6/15/35 | 850 | 738 |
1 | Tennessee Valley Auth. | 5.375% | 4/1/56 | 1,575 | 1,509 |
|
|
|
|
| 657,413 |
Mortgage-Backed Securities (36.3%) |
|
|
|
| |
| Conventional Mortgage-Backed Securities (33.4%) |
|
|
|
|
1,2 | Federal Home Loan Mortgage Corp. | 4.000% | 7/1/08–12/1/20 | 22,481 | 21,155 |
1,2 | Federal Home Loan Mortgage Corp. | 4.500% | 3/1/08–10/1/35 | 92,571 | 87,264 |
1,2 | Federal Home Loan Mortgage Corp. | 5.000% | 3/1/08–5/1/37 | 234,589 | 222,074 |
1,2 | Federal Home Loan Mortgage Corp. | 5.500% | 6/1/09–6/1/37 | 333,743 | 322,713 |
1,2 | Federal Home Loan Mortgage Corp. | 6.000% | 4/1/13–1/1/37 | 135,023 | 134,103 |
1,2 | Federal Home Loan Mortgage Corp. | 6.500% | 1/1/08–10/1/36 | 44,659 | 45,376 |
1,2 | Federal Home Loan Mortgage Corp. | 7.000% | 2/1/11–9/1/36 | 18,901 | 19,451 |
1,2 | Federal Home Loan Mortgage Corp. | 7.500% | 10/1/12–2/1/32 | 548 | 568 |
1,2 | Federal Home Loan Mortgage Corp. | 8.000% | 6/1/12–11/1/31 | 390 | 409 |
1,2 | Federal Home Loan Mortgage Corp. | 8.500% | 6/1/25–5/1/30 | 188 | 200 |
1,2 | Federal Home Loan Mortgage Corp. | 9.000% | 2/1/25–9/1/30 | 13 | 15 |
1,2 | Federal Home Loan Mortgage Corp. | 9.500% | 2/1/25 | 1 | 1 |
1,2 | Federal National Mortgage Assn. | 4.000% | 9/1/10–6/1/19 | 19,090 | 17,937 |
1,2 | Federal National Mortgage Assn. | 4.500% | 6/1/10–9/1/35 | 108,188 | 101,869 |
1,2 | Federal National Mortgage Assn. | 5.000% | 9/1/09–1/1/37 | 364,817 | 344,731 |
1,2 | Federal National Mortgage Assn. | 5.500% | 5/1/09–7/1/37 | 379,272 | 367,203 |
1,2 | Federal National Mortgage Assn. | 6.000% | 11/1/08–7/1/37 | 252,752 | 250,740 |
1,2 | Federal National Mortgage Assn. | 6.500% | 1/1/12–5/1/37 | 79,238 | 80,189 |
1,2 | Federal National Mortgage Assn. | 7.000% | 7/1/14–7/1/37 | 19,143 | 19,692 |
1,2 | Federal National Mortgage Assn. | 7.500% | 11/1/11–10/1/31 | 1,286 | 1,329 |
1,2 | Federal National Mortgage Assn. | 8.000% | 12/1/29–6/1/31 | 177 | 185 |
1,2 | Federal National Mortgage Assn. | 8.500% | 4/1/30–4/1/31 | 67 | 72 |
1,2 | Federal National Mortgage Assn. | 9.000% | 8/1/30 | 3 | 4 |
1,2 | Federal National Mortgage Assn. | 9.500% | 11/1/25 | 7 | 7 |
2 | Government National Mortgage Assn. | 4.000% | 9/15/18 | 139 | 129 |
2 | Government National Mortgage Assn. | 4.500% | 8/15/18–1/15/36 | 6,060 | 5,629 |
2 | Government National Mortgage Assn. | 5.000% | 2/15/18–7/1/37 | 47,050 | 44,572 |
2 | Government National Mortgage Assn. | 5.500% | 2/15/17–7/1/37 | 85,156 | 82,649 |
2 | Government National Mortgage Assn. | 6.000% | 9/15/13–7/1/37 | 63,490 | 63,129 |
2 | Government National Mortgage Assn. | 6.500% | 5/15/13–7/1/37 | 27,725 | 28,168 |
2 | Government National Mortgage Assn. | 7.000% | 10/15/10–9/15/36 | 6,699 | 6,923 |
2 | Government National Mortgage Assn. | 7.500% | 5/15/23–10/15/31 | 433 | 451 |
2 | Government National Mortgage Assn. | 8.000% | 7/15/25–11/15/30 | 436 | 459 |
2 | Government National Mortgage Assn. | 8.500% | 12/15/24–7/15/30 | 24 | 24 |
2 | Government National Mortgage Assn. | 9.000% | 5/15/25–8/15/30 | 15 | 16 |
2 | Government National Mortgage Assn. | 9.500% | 11/15/17 | 13 | 13 |
|
|
|
|
|
|
| Nonconventional Mortgage-Backed Securities (2.9%) |
|
|
| |
1,2 | Federal Home Loan Mortgage Corp. | 4.292% | 4/1/36 | 5,645 | 5,553 |
1,2 | Federal Home Loan Mortgage Corp. | 4.331% | 11/1/33 | 835 | 796 |
1,2 | Federal Home Loan Mortgage Corp. | 4.599% | 11/1/34 | 2,717 | 2,649 |
1,2 | Federal Home Loan Mortgage Corp. | 4.623% | 4/1/35 | 2,969 | 2,894 |
1,2 | Federal Home Loan Mortgage Corp. | 4.667% | 12/1/35 | 3,609 | 3,547 |
1,2 | Federal Home Loan Mortgage Corp. | 4.699% | 12/1/34 | 1,210 | 1,194 |
1,2 | Federal Home Loan Mortgage Corp. | 4.792% | 7/1/35 | 4,810 | 4,720 |
11
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
1,2 Federal Home Loan Mortgage Corp. | 5.279% | 3/1/36 | 3,187 | 3,168 |
1,2 Federal Home Loan Mortgage Corp. | 5.306% | 3/1/37 | 1,733 | 1,721 |
1,2 Federal Home Loan Mortgage Corp. | 5.326% | 12/1/36 | 1,210 | 1,176 |
1,2 Federal Home Loan Mortgage Corp. | 5.427% | 3/1/37 | 1,964 | 1,940 |
1,2 Federal Home Loan Mortgage Corp. | 5.457% | 4/1/37 | 3,686 | 3,643 |
1,2 Federal Home Loan Mortgage Corp. | 5.471% | 1/1/37 | 1,876 | 1,877 |
1,2 Federal Home Loan Mortgage Corp. | 5.584% | 5/1/36 | 3,907 | 3,928 |
1,2 Federal Home Loan Mortgage Corp. | 5.625% | 4/1/37 | 2,666 | 2,658 |
1,2 Federal Home Loan Mortgage Corp. | 5.707% | 12/1/36 | 3,971 | 3,959 |
1,2 Federal Home Loan Mortgage Corp. | 5.716% | 3/1/37 | 5,377 | 5,359 |
1,2 Federal Home Loan Mortgage Corp. | 5.773% | 5/1/36 | 1,539 | 1,530 |
1,2 Federal Home Loan Mortgage Corp. | 5.855% | 4/1/37 | 3,619 | 3,637 |
1,2 Federal Home Loan Mortgage Corp. | 5.875% | 5/1/37 | 3,748 | 3,707 |
1,2 Federal National Mortgage Assn. | 4.135% | 5/1/34 | 2,375 | 2,298 |
1,2 Federal National Mortgage Assn. | 4.423% | 8/1/35 | 5,277 | 5,138 |
1,2 Federal National Mortgage Assn. | 4.431% | 4/1/36 | 4,274 | 4,228 |
1,2 Federal National Mortgage Assn. | 4.571% | 1/1/35 | 1,561 | 1,532 |
1,2 Federal National Mortgage Assn. | 4.591% | 11/1/34 | 5,294 | 5,103 |
1,2 Federal National Mortgage Assn. | 4.604% | 12/1/34 | 1,888 | 1,849 |
1,2 Federal National Mortgage Assn. | 4.633% | 11/1/33 | 815 | 768 |
1,2 Federal National Mortgage Assn. | 4.644% | 9/1/34 | 1,247 | 1,218 |
1,2 Federal National Mortgage Assn. | 4.707% | 10/1/34 | 2,607 | 2,566 |
1,2 Federal National Mortgage Assn. | 4.733% | 8/1/35 | 1,086 | 1,071 |
1,2 Federal National Mortgage Assn. | 4.734% | 9/1/35 | 2,191 | 2,147 |
1,2 Federal National Mortgage Assn. | 4.760% | 6/1/34 | 1,950 | 1,917 |
1,2 Federal National Mortgage Assn. | 4.760% | 9/1/34 | 1,175 | 1,161 |
1,2 Federal National Mortgage Assn. | 4.781% | 4/1/36 | 5,316 | 5,276 |
1,2 Federal National Mortgage Assn. | 4.782% | 10/1/34 | 3,155 | 3,111 |
1,2 Federal National Mortgage Assn. | 4.840% | 4/1/37 | 3,645 | 3,608 |
1,2 Federal National Mortgage Assn. | 4.878% | 7/1/35 | 2,856 | 2,806 |
1,2 Federal National Mortgage Assn. | 4.958% | 7/1/35 | 1,496 | 1,479 |
1,2 Federal National Mortgage Assn. | 4.974% | 10/1/35 | 3,399 | 3,357 |
1,2 Federal National Mortgage Assn. | 5.072% | 11/1/35 | 4,382 | 4,308 |
1,2 Federal National Mortgage Assn. | 5.089% | 12/1/35 | 5,280 | 5,215 |
1,2 Federal National Mortgage Assn. | 5.095% | 1/1/36 | 2,596 | 2,564 |
1,2 Federal National Mortgage Assn. | 5.107% | 2/1/36 | 616 | 608 |
1,2 Federal National Mortgage Assn. | 5.140% | 12/1/35 | 4,981 | 4,918 |
1,2 Federal National Mortgage Assn. | 5.300% | 3/1/37 | 2,475 | 2,452 |
1,2 Federal National Mortgage Assn. | 5.477% | 2/1/36 | 3,115 | 3,089 |
1,2 Federal National Mortgage Assn. | 5.512% | 5/1/37 | 1,946 | 1,943 |
1,2 Federal National Mortgage Assn. | 5.626% | 7/1/36 | 1,328 | 1,333 |
1,2 Federal National Mortgage Assn. | 5.662% | 1/1/37 | 2,602 | 2,597 |
1,2 Federal National Mortgage Assn. | 5.670% | 6/1/36 | 1,008 | 1,016 |
1,2 Federal National Mortgage Assn. | 5.670% | 3/1/37 | 2,732 | 2,731 |
1,2 Federal National Mortgage Assn. | 5.695% | 3/1/37 | 7,268 | 7,257 |
1,2 Federal National Mortgage Assn. | 5.699% | 2/1/37 | 2,097 | 2,104 |
1,2 Federal National Mortgage Assn. | 5.709% | 2/1/37 | 5,195 | 5,192 |
1,2 Federal National Mortgage Assn. | 5.744% | 12/1/36 | 7,668 | 7,668 |
1,2 Federal National Mortgage Assn. | 5.744% | 3/1/37 | 6,624 | 6,617 |
1,2 Federal National Mortgage Assn. | 5.757% | 4/1/36 | 2,555 | 2,571 |
1,2 Federal National Mortgage Assn. | 5.780% | 4/1/37 | 13,923 | 13,957 |
1,2 Federal National Mortgage Assn. | 5.804% | 4/1/37 | 3,232 | 3,203 |
1,2 Federal National Mortgage Assn. | 5.825% | 6/1/37 | 2,000 | 1,996 |
12
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
1,2 | Federal National Mortgage Assn. | 5.853% | 1/1/36 | 1,675 | 1,687 |
1,2 | Federal National Mortgage Assn. | 5.892% | 9/1/36 | 1,263 | 1,270 |
|
|
|
|
| 2,466,034 |
Total U.S. Government and Agency Obligations (Cost $4,846,911) |
|
| 4,763,865 | ||
Corporate Bonds (26.0%) |
|
|
|
| |
Asset-Backed/Commercial Mortgage-Backed Securities (7.7%) |
|
|
| ||
2,3 | American Express Credit Account Master Trust | 5.430% | 10/15/10 | 14,531 | 14,549 |
2,3 | American Express Credit Account Master Trust | 5.430% | 9/15/10 | 14,500 | 14,516 |
2,3 | American Express Credit Account Master Trust | 5.500% | 11/15/10 | 9,000 | 9,018 |
2,4 | BA Covered Bond Issuer | 5.500% | 6/14/12 | 6,700 | 6,723 |
2 | Bank One Issuance Trust | 3.590% | 5/17/10 | 3,000 | 2,990 |
2,3 | Bank One Issuance Trust | 5.440% | 6/15/10 | 14,000 | 14,001 |
2,3 | Bank One Issuance Trust | 5.430% | 12/15/10 | 30,000 | 30,045 |
2 | Bear Stearns Commercial Mortgage Securities, Inc. | 5.624% | 3/11/39 | 8,000 | 7,836 |
2 | Bear Stearns Commercial Mortgage Securities, Inc. | 5.405% | 12/11/40 | 4,625 | 4,488 |
2,3 | Capital One Master Trust | 5.520% | 12/15/10 | 24,000 | 24,045 |
2,3 | Capital One Master Trust | 5.520% | 11/15/11 | 14,000 | 14,091 |
2,3 | Capital One Multi-Asset Execution Trust | 5.590% | 7/15/10 | 3,000 | 3,002 |
2 | Capital One Multi-Asset Execution Trust | 3.650% | 7/15/11 | 8,500 | 8,341 |
2 | Capital One Multi-Asset Execution Trust | 5.050% | 12/17/18 | 6,000 | 5,768 |
2,3 | Chase Credit Card Master Trust | 5.440% | 2/15/10 | 11,500 | 11,499 |
2,3 | Chase Credit Card Master Trust | 5.440% | 1/17/11 | 10,000 | 10,026 |
2,3 | Chase Issuance Trust | 5.330% | 12/15/10 | 30,000 | 29,997 |
2,3 | Chase Issuance Trust | 5.330% | 2/15/11 | 7,000 | 7,008 |
2 | Chase Issuance Trust | 4.650% | 12/17/12 | 1,300 | 1,272 |
2 | Citibank Credit Card Issuance Trust | 6.875% | 11/16/09 | 3,500 | 3,519 |
2 | Citibank Credit Card Issuance Trust | 2.900% | 5/17/10 | 5,000 | 4,899 |
2 | Citibank Credit Card Issuance Trust | 3.500% | 8/16/10 | 29,225 | 28,659 |
2 | Citibank Credit Card Master Trust | 5.875% | 3/10/11 | 1,750 | 1,766 |
2,4 | Citicorp Lease Pass-Through Trust | 8.040% | 12/15/19 | 225 | 256 |
2 | Countrywide Home Loans | 4.047% | 5/25/33 | 363 | 357 |
2 | Credit Suisse First Boston Mortgage Securities Corp. | 5.100% | 8/15/38 | 6,200 | 5,916 |
2 | Credit Suisse Mortgage Capital Certificates | 5.609% | 2/15/39 | 10,000 | 9,805 |
2 | DaimlerChrysler Auto Trust | 4.200% | 7/8/10 | 1,000 | 989 |
2 | DaimlerChrysler Auto Trust | 5.330% | 8/8/10 | 3,300 | 3,300 |
2,3 | Discover Card Master Trust I | 5.350% | 4/16/10 | 5,000 | 5,001 |
2,3 | Discover Card Master Trust I | 5.340% | 5/15/10 | 15,000 | 15,006 |
2,3 | Discover Card Master Trust I | 5.450% | 8/15/10 | 3,000 | 3,004 |
2,3 | Discover Card Master Trust I | 5.330% | 9/16/10 | 5,627 | 5,630 |
2,3 | Discover Card Master Trust I | 5.340% | 5/15/11 | 15,000 | 15,021 |
2,3 | Fleet Credit Card Master Trust II | 5.460% | 4/15/10 | 33,500 | 33,519 |
2 | Ford Credit Auto Owner Trust | 4.300% | 8/15/09 | 436 | 434 |
2,3 | GE Capital Credit Card Master Note Trust | 5.360% | 9/15/10 | 18,150 | 18,154 |
2,3 | GE Capital Credit Card Master Note Trust | 5.330% | 6/15/11 | 6,000 | 6,006 |
2 | GE Capital Credit Card Master Note Trust | 5.080% | 9/15/12 | 6,600 | 6,574 |
2,3 | Gracechurch Card Funding PLC | 5.340% | 11/16/09 | 8,000 | 8,002 |
2,3 | Gracechurch Card Funding PLC | 5.330% | 6/15/10 | 19,000 | 19,015 |
2,3 | Gracechurch Card Funding PLC | 5.330% | 9/15/10 | 17,000 | 17,013 |
2 | Honda Auto Receivables Owner Trust | 4.610% | 8/17/09 | 1,578 | 1,572 |
2 | Honda Auto Receivables Owner Trust | 5.300% | 7/21/10 | 4,050 | 4,046 |
2 | Honda Auto Receivables Owner Trust | 5.120% | 10/15/10 | 6,000 | 5,975 |
2 | LB-UBS Commercial Mortgage Trust | 5.197% | 11/15/30 | 1,800 | 1,732 |
2,3 | MBNA Credit Card Master Note Trust | 5.320% | 12/15/10 | 30,459 | 30,484 |
2 | MBNA Credit Card Master Note Trust | 4.300% | 2/15/11 | 950 | 940 |
2,3 | MBNA Credit Card Master Note Trust | 5.450% | 2/15/11 | 19,000 | 19,050 |
13
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
2,3 | MBNA Credit Card Master Note Trust | 5.310% | 9/15/11 | 10,000 | 10,003 |
2 | MBNA Master Credit Card Trust | 7.000% | 2/15/12 | 5,800 | 6,012 |
2 | Morgan Stanley Capital I | 5.230% | 9/15/42 | 1,675 | 1,611 |
2 | Nissan Auto Receivables Owner Trust | 4.190% | 7/15/09 | 596 | 592 |
2 | PG&E Energy Recovery Funding LLC | 4.140% | 9/25/12 | 350 | 340 |
2 | PG&E Energy Recovery Funding LLC | 5.030% | 3/25/14 | 750 | 743 |
2 | PSE&G Transition Funding LLC | 6.890% | 12/15/17 | 200 | 216 |
2 | Salomon Brothers Mortgage Securities VII | 4.115% | 9/25/33 | 934 | 921 |
2 | USAA Auto Owner Trust | 4.550% | 2/16/10 | 1,221 | 1,215 |
2 | USAA Auto Owner Trust | 5.360% | 2/15/11 | 4,600 | 4,604 |
2 | Volkswagen Auto Loan Enhanced Trust | 4.800% | 7/20/09 | 995 | 993 |
2 | Wachovia Auto Owner Trust | 4.790% | 4/20/10 | 2,800 | 2,792 |
2 | Wachovia Auto Owner Trust | 3.440% | 3/21/11 | 250 | 247 |
2 | World Omni Auto Receivables Trust | 3.540% | 6/12/09 | 442 | 441 |
|
|
|
|
| 525,589 |
Finance (8.0%) |
|
|
|
| |
| Banking (3.3%) |
|
|
|
|
| Abbey National PLC | 7.950% | 10/26/29 | 1,250 | 1,509 |
| AmSouth Bank NA | 5.200% | 4/1/15 | 775 | 746 |
| BAC Capital Trust XI | 6.625% | 5/23/36 | 3,450 | 3,519 |
| BB&T Corp. | 6.500% | 8/1/11 | 100 | 103 |
| BB&T Corp. | 4.750% | 10/1/12 | 675 | 648 |
| BB&T Corp. | 5.200% | 12/23/15 | 725 | 696 |
| BB&T Corp. | 5.625% | 9/15/16 | 700 | 686 |
| BB&T Corp. | 5.250% | 11/1/19 | 1,825 | 1,705 |
| BB&T Corp. | 6.750% | 6/7/36 | 1,025 | 1,061 |
| Banc One Corp. | 7.625% | 10/15/26 | 175 | 202 |
| Bank One Corp. | 2.625% | 6/30/08 | 100 | 97 |
| Bank One Corp. | 6.000% | 2/17/09 | 795 | 802 |
| Bank One Corp. | 7.875% | 8/1/10 | 2,200 | 2,346 |
| Bank One Corp. | 5.250% | 1/30/13 | 725 | 711 |
| Bank One Corp. | 4.900% | 4/30/15 | 800 | 751 |
| Bank of America Corp. | 3.250% | 8/15/08 | 5,400 | 5,285 |
| Bank of America Corp. | 3.375% | 2/17/09 | 450 | 437 |
| Bank of America Corp. | 4.250% | 10/1/10 | 50 | 48 |
| Bank of America Corp. | 4.375% | 12/1/10 | 550 | 534 |
| Bank of America Corp. | 5.375% | 8/15/11 | 1,875 | 1,865 |
| Bank of America Corp. | 6.250% | 4/15/12 | 900 | 928 |
| Bank of America Corp. | 4.750% | 8/15/13 | 325 | 308 |
| Bank of America Corp. | 5.375% | 6/15/14 | 525 | 516 |
| Bank of America Corp. | 5.125% | 11/15/14 | 2,050 | 1,979 |
| Bank of America Corp. | 5.250% | 12/1/15 | 775 | 746 |
| Bank of America Corp. | 5.750% | 8/15/16 | 350 | 345 |
| Bank of America Corp. | 5.625% | 10/14/16 | 1,850 | 1,820 |
| Bank of America Corp. | 5.300% | 3/15/17 | 475 | 457 |
| Bank of America Corp. | 5.420% | 3/15/17 | 1,000 | 960 |
| Bank of America Corp. | 6.100% | 6/15/17 | 900 | 912 |
| Bank of America Corp. | 5.625% | 3/8/35 | 1,025 | 919 |
| Bank of America Corp. | 6.000% | 10/15/36 | 775 | 751 |
| Bank of New York Co., Inc. | 4.950% | 1/14/11 | 350 | 344 |
| Bank of New York Co., Inc. | 4.950% | 3/15/15 | 1,350 | 1,281 |
| Bank of Tokyo-Mitsubishi | 8.400% | 4/15/10 | 500 | 537 |
| BankAmerica Capital II | 8.000% | 12/15/26 | 900 | 937 |
| BankAmerica Corp. | 5.875% | 2/15/09 | 675 | 681 |
2 | Barclays Bank PLC | 6.278% | 12/29/49 | 375 | 345 |
| Charter One Bank N.A. | 5.500% | 4/26/11 | 1,000 | 1,000 |
14
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Citicorp | 6.375% | 11/15/08 | 1,675 | 1,697 |
| Citigroup, Inc. | 3.625% | 2/9/09 | 1,600 | 1,559 |
| Citigroup, Inc. | 4.250% | 7/29/09 | 275 | 269 |
| Citigroup, Inc. | 4.125% | 2/22/10 | 775 | 755 |
| Citigroup, Inc. | 4.625% | 8/3/10 | 1,000 | 978 |
| Citigroup, Inc. | 6.500% | 1/18/11 | 1,825 | 1,881 |
| Citigroup, Inc. | 5.100% | 9/29/11 | 2,425 | 2,390 |
| Citigroup, Inc. | 6.000% | 2/21/12 | 325 | 331 |
| Citigroup, Inc. | 5.250% | 2/27/12 | 2,525 | 2,493 |
| Citigroup, Inc. | 5.625% | 8/27/12 | 1,750 | 1,749 |
| Citigroup, Inc. | 5.125% | 5/5/14 | 675 | 654 |
| Citigroup, Inc. | 5.000% | 9/15/14 | 5,779 | 5,497 |
| Citigroup, Inc. | 4.875% | 5/7/15 | 200 | 188 |
| Citigroup, Inc. | 4.700% | 5/29/15 | 275 | 257 |
| Citigroup, Inc. | 5.300% | 1/7/16 | 175 | 169 |
| Citigroup, Inc. | 5.850% | 8/2/16 | 150 | 151 |
| Citigroup, Inc. | 6.625% | 6/15/32 | 2,875 | 3,040 |
| Citigroup, Inc. | 5.875% | 2/22/33 | 2,475 | 2,348 |
| Citigroup, Inc. | 6.000% | 10/31/33 | 700 | 680 |
| Citigroup, Inc. | 5.850% | 12/11/34 | 400 | 386 |
| Citigroup, Inc. | 6.125% | 8/25/36 | 1,375 | 1,350 |
| Colonial Bank NA | 6.375% | 12/1/15 | 125 | 125 |
| Comerica Bank | 5.750% | 11/21/16 | 1,850 | 1,806 |
| Comerica Bank | 5.200% | 8/22/17 | 450 | 418 |
| Compass Bank | 5.900% | 4/1/26 | 225 | 214 |
2 | Credit Suisse First Boston USA, Inc. | 5.860% | 5/15/49 | 800 | 769 |
| Credit Suisse First Boston USA, Inc. | 4.875% | 8/15/10 | 2,400 | 2,366 |
| Credit Suisse First Boston USA, Inc. | 5.250% | 3/2/11 | 900 | 893 |
| Credit Suisse First Boston USA, Inc. | 5.500% | 8/16/11 | 875 | 877 |
| Credit Suisse First Boston USA, Inc. | 6.125% | 11/15/11 | 350 | 357 |
| Credit Suisse First Boston USA, Inc. | 6.500% | 1/15/12 | 2,540 | 2,642 |
| Credit Suisse First Boston USA, Inc. | 5.500% | 8/15/13 | 2,350 | 2,331 |
| Credit Suisse First Boston USA, Inc. | 4.875% | 1/15/15 | 4,025 | 3,809 |
| Credit Suisse First Boston USA, Inc. | 5.125% | 8/15/15 | 450 | 431 |
| Credit Suisse First Boston USA, Inc. | 5.375% | 3/2/16 | 775 | 753 |
| Credit Suisse First Boston USA, Inc. | 7.125% | 7/15/32 | 175 | 198 |
| Deutsche Bank Financial LLC | 5.375% | 3/2/15 | 1,150 | 1,122 |
| Fifth Third Bank | 3.375% | 8/15/08 | 200 | 196 |
| Fifth Third Bank | 4.200% | 2/23/10 | 1,225 | 1,190 |
| Fifth Third Bank | 4.750% | 2/1/15 | 675 | 631 |
| Fifth Third Bank | 4.500% | 6/1/18 | 700 | 618 |
| First Tennessee Bank | 5.050% | 1/15/15 | 125 | 118 |
| First Union Institutional Capital I | 8.040% | 12/1/26 | 175 | 182 |
| FirstStar Bank | 7.125% | 12/1/09 | 275 | 286 |
| Fleet Capital Trust II | 7.920% | 12/11/26 | 725 | 754 |
4 | HBOS Treasury Services PLC | 5.250% | 2/21/17 | 2,650 | 2,592 |
| HSBC Bank PLC | 6.950% | 3/15/11 | 350 | 366 |
| HSBC Bank USA | 4.625% | 4/1/14 | 1,275 | 1,195 |
| HSBC Bank USA | 5.875% | 11/1/34 | 1,225 | 1,174 |
| HSBC Bank USA | 5.625% | 8/15/35 | 1,425 | 1,299 |
| HSBC Holdings PLC | 7.500% | 7/15/09 | 1,300 | 1,351 |
| HSBC Holdings PLC | 5.250% | 12/12/12 | 625 | 616 |
| HSBC Holdings PLC | 7.350% | 11/27/32 | 125 | 139 |
| HSBC Holdings PLC | 6.500% | 5/2/36 | 800 | 825 |
| J.P. Morgan, Inc. | 6.000% | 1/15/09 | 1,125 | 1,136 |
| JP Morgan Chase Capital XXII | 6.450% | 2/2/37 | 450 | 428 |
15
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| JPM Capital Trust | 6.550% | 9/29/36 | 650 | 638 |
| JPMorgan Capital Trust | 5.875% | 3/15/35 | 1,525 | 1,401 |
| JPMorgan Chase & Co. | 3.500% | 3/15/09 | 1,300 | 1,263 |
| JPMorgan Chase & Co. | 6.750% | 2/1/11 | 1,000 | 1,037 |
| JPMorgan Chase & Co. | 5.600% | 6/1/11 | 3,100 | 3,111 |
| JPMorgan Chase & Co. | 4.500% | 1/15/12 | 4,625 | 4,444 |
| JPMorgan Chase & Co. | 6.625% | 3/15/12 | 400 | 416 |
| JPMorgan Chase & Co. | 5.750% | 1/2/13 | 350 | 351 |
| JPMorgan Chase & Co. | 4.875% | 3/15/14 | 260 | 248 |
| JPMorgan Chase & Co. | 5.125% | 9/15/14 | 295 | 283 |
| JPMorgan Chase & Co. | 4.750% | 3/1/15 | 1,625 | 1,522 |
| JPMorgan Chase & Co. | 5.250% | 5/1/15 | 2,900 | 2,779 |
| JPMorgan Chase & Co. | 5.150% | 10/1/15 | 1,175 | 1,118 |
| JPMorgan Chase & Co. | 5.875% | 6/13/16 | 525 | 521 |
| JPMorgan Chase & Co. | 6.125% | 6/27/17 | 700 | 705 |
| JPMorgan Chase & Co. | 5.850% | 8/1/35 | 100 | 92 |
| Key Bank NA | 7.000% | 2/1/11 | 300 | 313 |
| Key Bank NA | 4.950% | 9/15/15 | 800 | 748 |
| Key Bank NA | 5.450% | 3/3/16 | 1,600 | 1,543 |
| MBNA America Bank NA | 4.625% | 8/3/09 | 50 | 49 |
| MBNA Corp. | 7.500% | 3/15/12 | 725 | 782 |
| MBNA Corp. | 6.125% | 3/1/13 | 550 | 560 |
| MBNA Corp. | 5.000% | 6/15/15 | 625 | 590 |
| Marshall & Ilsley Bank | 4.850% | 6/16/15 | 450 | 424 |
| Marshall & Ilsley Corp. | 4.375% | 8/1/09 | 900 | 882 |
| Mellon Funding Corp. | 3.250% | 4/1/09 | 225 | 217 |
| Mellon Funding Corp. | 5.000% | 12/1/14 | 350 | 334 |
| National City Bank | 4.150% | 8/1/09 | 275 | 269 |
| National City Bank | 4.500% | 3/15/10 | 650 | 636 |
| National City Bank | 6.250% | 3/15/11 | 925 | 948 |
| National City Corp. | 6.875% | 5/15/19 | 550 | 588 |
| NationsBank Corp. | 6.800% | 3/15/28 | 900 | 960 |
4 | Northern Rock PLC | 5.625% | 6/22/17 | 6,700 | 6,695 |
| PNC Bank NA | 4.875% | 9/21/17 | 2,075 | 1,911 |
| PNC Funding Corp. | 5.125% | 12/14/10 | 300 | 297 |
| PNC Funding Corp. | 5.250% | 11/15/15 | 1,075 | 1,031 |
| PNC Funding Corp. | 5.625% | 2/1/17 | 225 | 220 |
| Regions Financial Corp. | 7.000% | 3/1/11 | 975 | 1,020 |
| Regions Financial Corp. | 7.750% | 3/1/11 | 1,175 | 1,257 |
| Regions Financial Corp. | 6.375% | 5/15/12 | 2,275 | 2,344 |
2 | Regions Financial Corp. | 6.625% | 5/1/77 | 400 | 386 |
| Royal Bank of Canada | 4.125% | 1/26/10 | 1,075 | 1,044 |
| Royal Bank of Canada | 5.650% | 7/20/11 | 375 | 378 |
| Royal Bank of Scotland Group PLC | 5.000% | 11/12/13 | 1,800 | 1,744 |
| Royal Bank of Scotland Group PLC | 5.050% | 1/8/15 | 1,800 | 1,733 |
2 | Royal Bank of Scotland Group PLC | 7.648% | 8/29/49 | 3,525 | 3,909 |
| Santander Central Hispano Issuances | 7.625% | 9/14/10 | 2,375 | 2,528 |
| Santander Finance Issuances | 6.375% | 2/15/11 | 475 | 489 |
| Sanwa Bank Ltd. | 8.350% | 7/15/09 | 1,175 | 1,237 |
| Sanwa Bank Ltd. | 7.400% | 6/15/11 | 2,400 | 2,555 |
| Southtrust Corp. | 5.800% | 6/15/14 | 225 | 225 |
| Sovereign Bancorp, Inc. | 4.800% | 9/1/10 | 1,100 | 1,073 |
| State Street Capital Trust | 5.300% | 1/15/16 | 275 | 266 |
| Sumitomo Bank International Finance NV | 8.500% | 6/15/09 | 925 | 975 |
| Sumitomo Mitsui Banking Corp. | 8.000% | 6/15/12 | 1,865 | 2,042 |
| SunTrust Banks, Inc. | 4.250% | 10/15/09 | 1,000 | 975 |
16
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| SunTrust Banks, Inc. | 6.375% | 4/1/11 | 200 | 206 |
| SunTrust Banks, Inc. | 6.000% | 2/15/26 | 1,075 | 1,054 |
2 | Suntrust Capital | 6.100% | 12/1/66 | 200 | 184 |
| Swiss Bank Corp. | 7.000% | 10/15/15 | 675 | 726 |
| Swiss Bank Corp. | 7.375% | 6/15/17 | 175 | 195 |
| Synovus Financial Corp. | 5.125% | 6/15/17 | 600 | 563 |
| UBS AG | 5.875% | 7/15/16 | 3,050 | 3,090 |
| UFJ Finance Aruba AEC | 6.750% | 7/15/13 | 2,350 | 2,471 |
| US Bank NA | 6.375% | 8/1/11 | 1,275 | 1,317 |
| US Bank NA | 6.300% | 2/4/14 | 2,000 | 2,061 |
| US Bank NA | 4.950% | 10/30/14 | 575 | 548 |
| Union Bank of California NA | 5.950% | 5/11/16 | 550 | 548 |
| UnionBanCal Corp. | 5.250% | 12/16/13 | 125 | 121 |
| Wachovia Bank NA | 4.375% | 8/15/08 | 500 | 494 |
| Wachovia Bank NA | 4.875% | 2/1/15 | 4,000 | 3,782 |
| Wachovia Bank NA | 5.000% | 8/15/15 | 175 | 165 |
| Wachovia Bank NA | 5.850% | 2/1/37 | 2,650 | 2,528 |
| Wachovia Corp. | 3.500% | 8/15/08 | 500 | 490 |
| Wachovia Corp. | 3.625% | 2/17/09 | 2,150 | 2,094 |
| Wachovia Corp. | 7.875% | 2/15/10 | 1,850 | 1,958 |
| Wachovia Corp. | 4.375% | 6/1/10 | 1,000 | 973 |
| Wachovia Corp. | 7.800% | 8/18/10 | 400 | 427 |
| Wachovia Corp. | 5.300% | 10/15/11 | 1,600 | 1,583 |
| Wachovia Corp. | 4.875% | 2/15/14 | 425 | 405 |
| Wachovia Corp. | 5.625% | 10/15/16 | 625 | 611 |
| Wachovia Corp. | 5.750% | 6/15/17 | 950 | 937 |
4 | Wachovia Corp. | 8.000% | 12/15/26 | 775 | 806 |
| Wachovia Corp. | 7.500% | 4/15/35 | 100 | 116 |
| Wachovia Corp. | 5.500% | 8/1/35 | 1,050 | 941 |
| Wachovia Corp. | 6.550% | 10/15/35 | 100 | 104 |
| Washington Mutual Bank | 6.875% | 6/15/11 | 1,400 | 1,453 |
| Washington Mutual Bank | 5.500% | 1/15/13 | 925 | 908 |
| Washington Mutual Bank | 5.125% | 1/15/15 | 1,175 | 1,102 |
| Washington Mutual, Inc. | 4.000% | 1/15/09 | 500 | 489 |
| Washington Mutual, Inc. | 4.200% | 1/15/10 | 50 | 48 |
| Washington Mutual, Inc. | 5.000% | 3/22/12 | 1,225 | 1,184 |
| Washington Mutual, Inc. | 5.250% | 9/15/17 | 1,775 | 1,658 |
| Wells Fargo & Co. | 3.125% | 4/1/09 | 855 | 824 |
| Wells Fargo & Co. | 4.200% | 1/15/10 | 5,495 | 5,347 |
| Wells Fargo & Co. | 4.875% | 1/12/11 | 950 | 932 |
| Wells Fargo & Co. | 5.300% | 8/26/11 | 300 | 298 |
| Wells Fargo & Co. | 5.125% | 9/1/12 | 650 | 637 |
| Wells Fargo & Co. | 4.950% | 10/16/13 | 550 | 528 |
| Wells Fargo & Co. | 5.000% | 11/15/14 | 1,025 | 983 |
| Wells Fargo & Co. | 5.375% | 2/7/35 | 750 | 682 |
| Wells Fargo Bank NA | 6.450% | 2/1/11 | 1,175 | 1,209 |
| Wells Fargo Bank NA | 4.750% | 2/9/15 | 1,025 | 959 |
| Wells Fargo Bank NA | 5.750% | 5/16/16 | 2,650 | 2,647 |
| Wells Fargo Bank NA | 5.950% | 8/26/36 | 300 | 291 |
| Wells Fargo Capital X | 5.950% | 12/15/36 | 50 | 47 |
| Wells Fargo Financial | 5.500% | 8/1/12 | 675 | 674 |
| World Savings Bank, FSB | 4.125% | 12/15/09 | 350 | 340 |
| Zions Bancorp. | 5.500% | 11/16/15 | 850 | 819 |
17
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Brokerage (1.5%) |
|
|
|
|
| Ameriprise Financial Inc. | 5.350% | 11/15/10 | 1,050 | 1,043 |
| Ameriprise Financial Inc. | 5.650% | 11/15/15 | 875 | 856 |
| Amvescap PLC | 5.375% | 2/27/13 | 25 | 24 |
| Bear Stearns Co., Inc. | 2.875% | 7/2/08 | 2,000 | 1,942 |
| Bear Stearns Co., Inc. | 4.550% | 6/23/10 | 800 | 778 |
| Bear Stearns Co., Inc. | 5.500% | 8/15/11 | 200 | 198 |
| Bear Stearns Co., Inc. | 5.350% | 2/1/12 | 3,400 | 3,339 |
| Bear Stearns Co., Inc. | 5.700% | 11/15/14 | 1,450 | 1,422 |
| Bear Stearns Co., Inc. | 5.300% | 10/30/15 | 400 | 380 |
| Bear Stearns Co., Inc. | 5.550% | 1/22/17 | 1,250 | 1,180 |
| Goldman Sachs Group, Inc. | 3.875% | 1/15/09 | 1,435 | 1,404 |
| Goldman Sachs Group, Inc. | 4.500% | 6/15/10 | 6,685 | 6,514 |
| Goldman Sachs Group, Inc. | 6.875% | 1/15/11 | 525 | 547 |
| Goldman Sachs Group, Inc. | 6.600% | 1/15/12 | 2,725 | 2,828 |
| Goldman Sachs Group, Inc. | 5.700% | 9/1/12 | 450 | 450 |
| Goldman Sachs Group, Inc. | 5.250% | 4/1/13 | 1,150 | 1,120 |
| Goldman Sachs Group, Inc. | 4.750% | 7/15/13 | 275 | 260 |
| Goldman Sachs Group, Inc. | 5.250% | 10/15/13 | 1,050 | 1,016 |
| Goldman Sachs Group, Inc. | 5.150% | 1/15/14 | 2,525 | 2,438 |
| Goldman Sachs Group, Inc. | 5.000% | 10/1/14 | 2,025 | 1,924 |
| Goldman Sachs Group, Inc. | 5.125% | 1/15/15 | 2,250 | 2,141 |
| Goldman Sachs Group, Inc. | 5.350% | 1/15/16 | 1,850 | 1,772 |
| Goldman Sachs Group, Inc. | 5.750% | 10/1/16 | 375 | 366 |
| Goldman Sachs Group, Inc. | 5.625% | 1/15/17 | 1,775 | 1,702 |
| Goldman Sachs Group, Inc. | 5.950% | 1/15/27 | 1,025 | 972 |
| Goldman Sachs Group, Inc. | 6.125% | 2/15/33 | 350 | 337 |
| Goldman Sachs Group, Inc. | 6.345% | 2/15/34 | 1,150 | 1,098 |
| Goldman Sachs Group, Inc. | 6.450% | 5/1/36 | 2,375 | 2,338 |
| Janus Capital Group | 5.875% | 9/15/11 | 400 | 398 |
| Janus Capital Group | 6.700% | 6/15/17 | 375 | 379 |
| Jefferies Group Inc. | 6.450% | 6/8/27 | 2,300 | 2,269 |
| Jefferies Group Inc. | 6.250% | 1/15/36 | 925 | 882 |
4 | Lazard Group | 6.850% | 6/15/17 | 750 | 750 |
| Lehman Brothers Holdings, Inc. | 3.500% | 8/7/08 | 175 | 172 |
| Lehman Brothers Holdings, Inc. | 3.600% | 3/13/09 | 850 | 827 |
| Lehman Brothers Holdings, Inc. | 3.950% | 11/10/09 | 675 | 653 |
| Lehman Brothers Holdings, Inc. | 4.250% | 1/27/10 | 550 | 534 |
| Lehman Brothers Holdings, Inc. | 4.500% | 7/26/10 | 2,275 | 2,216 |
| Lehman Brothers Holdings, Inc. | 4.375% | 11/30/10 | 500 | 481 |
| Lehman Brothers Holdings, Inc. | 5.000% | 1/14/11 | 500 | 490 |
| Lehman Brothers Holdings, Inc. | 6.625% | 1/18/12 | 3,275 | 3,395 |
| Lehman Brothers Holdings, Inc. | 5.250% | 2/6/12 | 1,150 | 1,131 |
| Lehman Brothers Holdings, Inc. | 5.750% | 5/17/13 | 1,650 | 1,649 |
| Lehman Brothers Holdings, Inc. | 5.500% | 4/4/16 | 950 | 920 |
| Lehman Brothers Holdings, Inc. | 5.750% | 1/3/17 | 125 | 121 |
2 | Lehman Brothers Holdings, Inc. | 6.000% | 5/3/32 | 550 | 518 |
| Merrill Lynch & Co., Inc. | 3.125% | 7/15/08 | 2,025 | 1,969 |
| Merrill Lynch & Co., Inc. | 4.125% | 1/15/09 | 275 | 270 |
| Merrill Lynch & Co., Inc. | 6.000% | 2/17/09 | 750 | 757 |
| Merrill Lynch & Co., Inc. | 4.250% | 2/8/10 | 1,000 | 972 |
| Merrill Lynch & Co., Inc. | 4.790% | 8/4/10 | 2,550 | 2,503 |
| Merrill Lynch & Co., Inc. | 5.770% | 7/25/11 | 1,650 | 1,663 |
| Merrill Lynch & Co., Inc. | 5.000% | 2/3/14 | 500 | 477 |
| Merrill Lynch & Co., Inc. | 5.450% | 7/15/14 | 100 | 98 |
| Merrill Lynch & Co., Inc. | 5.000% | 1/15/15 | 3,150 | 2,988 |
18
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Merrill Lynch & Co., Inc. | 6.050% | 5/16/16 | 650 | 644 |
| Merrill Lynch & Co., Inc. | 5.700% | 5/2/17 | 1,625 | 1,565 |
| Merrill Lynch & Co., Inc. | 6.875% | 11/15/18 | 1,350 | 1,446 |
| Merrill Lynch & Co., Inc. | 6.220% | 9/15/26 | 2,475 | 2,418 |
| Merrill Lynch & Co., Inc. | 6.110% | 1/29/37 | 900 | 848 |
| Morgan Stanley Dean Witter | 3.875% | 1/15/09 | 6,100 | 5,971 |
| Morgan Stanley Dean Witter | 4.000% | 1/15/10 | 4,075 | 3,938 |
| Morgan Stanley Dean Witter | 4.250% | 5/15/10 | 675 | 655 |
| Morgan Stanley Dean Witter | 6.750% | 4/15/11 | 175 | 182 |
| Morgan Stanley Dean Witter | 5.625% | 1/9/12 | 1,025 | 1,024 |
| Morgan Stanley Dean Witter | 4.750% | 4/1/14 | 5,725 | 5,349 |
| Morgan Stanley Dean Witter | 5.375% | 10/15/15 | 925 | 886 |
| Morgan Stanley Dean Witter | 5.750% | 10/18/16 | 950 | 924 |
| Morgan Stanley Dean Witter | 5.450% | 1/9/17 | 1,075 | 1,035 |
| Morgan Stanley Dean Witter | 5.550% | 4/27/17 | 1,425 | 1,361 |
| Morgan Stanley Dean Witter | 6.250% | 8/9/26 | 2,375 | 2,359 |
| Morgan Stanley Dean Witter | 7.250% | 4/1/32 | 1,200 | 1,335 |
|
|
|
|
|
|
| Finance Companies (1.7%) |
|
|
|
|
| Allied Capital Corp. | 6.000% | 4/1/12 | 375 | 370 |
| 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 | 494 |
| American Express Co. | 5.500% | 9/12/16 | 500 | 487 |
2 | American Express Co. | 6.800% | 9/1/66 | 700 | 722 |
| American Express Credit Corp. | 5.000% | 12/2/10 | 1,225 | 1,211 |
| American General Finance Corp. | 3.875% | 10/1/09 | 325 | 314 |
| American General Finance Corp. | 4.875% | 5/15/10 | 350 | 344 |
| American General Finance Corp. | 5.625% | 8/17/11 | 725 | 723 |
| American General Finance Corp. | 4.875% | 7/15/12 | 1,050 | 1,010 |
| American General Finance Corp. | 5.850% | 6/1/13 | 1,925 | 1,932 |
| American General Finance Corp. | 5.750% | 9/15/16 | 2,675 | 2,620 |
| CIT Group Co. of Canada | 4.650% | 7/1/10 | 800 | 777 |
| CIT Group Co. of Canada | 5.600% | 11/2/11 | 400 | 397 |
| CIT Group Co. of Canada | 5.200% | 6/1/15 | 675 | 626 |
| CIT Group, Inc. | 5.000% | 11/24/08 | 450 | 447 |
| CIT Group, Inc. | 4.250% | 2/1/10 | 600 | 580 |
| CIT Group, Inc. | 5.200% | 11/3/10 | 325 | 320 |
| CIT Group, Inc. | 4.750% | 12/15/10 | 525 | 508 |
| CIT Group, Inc. | 5.600% | 4/27/11 | 175 | 174 |
| CIT Group, Inc. | 5.800% | 7/28/11 | 425 | 425 |
| CIT Group, Inc. | 5.400% | 3/7/13 | 100 | 97 |
| CIT Group, Inc. | 5.125% | 9/30/14 | 1,400 | 1,314 |
| CIT Group, Inc. | 5.000% | 2/1/15 | 275 | 256 |
| CIT Group, Inc. | 5.400% | 1/30/16 | 525 | 494 |
| CIT Group, Inc. | 5.850% | 9/15/16 | 800 | 772 |
| CIT Group, Inc. | 5.650% | 2/13/17 | 3,800 | 3,602 |
2 | CIT Group, Inc. | 6.100% | 3/15/67 | 25 | 23 |
| CIT Group, Inc. | 6.000% | 4/1/36 | 750 | 699 |
| Capital One Bank | 5.750% | 9/15/10 | 1,375 | 1,382 |
| Capital One Capital III | 7.686% | 8/15/36 | 600 | 620 |
| Capital One Capital IV | 6.745% | 2/17/37 | 375 | 353 |
| Capital One Financial | 5.700% | 9/15/11 | 400 | 399 |
| Capital One Financial | 4.800% | 2/21/12 | 175 | 167 |
| Capital One Financial | 5.500% | 6/1/15 | 425 | 410 |
| Capital One Financial | 6.150% | 9/1/16 | 900 | 892 |
19
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Capital One Financial | 5.250% | 2/21/17 | 1,150 | 1,074 |
4 | Capmark Financial Group | 5.875% | 5/10/12 | 150 | 147 |
4 | Capmark Financial Group | 6.300% | 5/10/17 | 350 | 340 |
| Countrywide Financial Corp. | 6.250% | 5/15/16 | 1,325 | 1,302 |
| Countrywide Home Loan | 6.250% | 4/15/09 | 1,000 | 1,012 |
| Countrywide Home Loan | 4.125% | 9/15/09 | 1,700 | 1,646 |
| Countrywide Home Loan | 4.000% | 3/22/11 | 1,425 | 1,335 |
| General Electric Capital Corp. | 3.600% | 10/15/08 | 440 | 431 |
| General Electric Capital Corp. | 3.125% | 4/1/09 | 175 | 169 |
| General Electric Capital Corp. | 3.250% | 6/15/09 | 3,050 | 2,940 |
| General Electric Capital Corp. | 5.250% | 10/27/09 | 700 | 699 |
| General Electric Capital Corp. | 7.375% | 1/19/10 | 1,575 | 1,650 |
| General Electric Capital Corp. | 4.875% | 10/21/10 | 1,600 | 1,575 |
| General Electric Capital Corp. | 6.125% | 2/22/11 | 3,850 | 3,929 |
| General Electric Capital Corp. | 5.500% | 4/28/11 | 1,450 | 1,451 |
| General Electric Capital Corp. | 5.875% | 2/15/12 | 8,550 | 8,651 |
| General Electric Capital Corp. | 4.375% | 3/3/12 | 1,050 | 1,001 |
| General Electric Capital Corp. | 4.250% | 6/15/12 | 1,675 | 1,587 |
| General Electric Capital Corp. | 6.000% | 6/15/12 | 1,375 | 1,401 |
| General Electric Capital Corp. | 5.450% | 1/15/13 | 550 | 546 |
| General Electric Capital Corp. | 5.500% | 6/4/14 | 3,000 | 2,963 |
| General Electric Capital Corp. | 5.650% | 6/9/14 | 1,225 | 1,223 |
| General Electric Capital Corp. | 5.000% | 1/8/16 | 850 | 807 |
| General Electric Capital Corp. | 5.375% | 10/20/16 | 600 | 581 |
| General Electric Capital Corp. | 5.400% | 2/15/17 | 1,350 | 1,305 |
| General Electric Capital Corp. | 6.750% | 3/15/32 | 3,025 | 3,286 |
2 | HSBC Finance Capital Trust IX | 5.911% | 11/30/35 | 100 | 97 |
| HSBC Finance Corp. | 4.125% | 12/15/08 | 2,750 | 2,701 |
| HSBC Finance Corp. | 4.750% | 5/15/09 | 3,150 | 3,113 |
| HSBC Finance Corp. | 4.125% | 11/16/09 | 1,050 | 1,020 |
| HSBC Finance Corp. | 4.625% | 9/15/10 | 1,025 | 999 |
| HSBC Finance Corp. | 5.250% | 1/14/11 | 2,275 | 2,246 |
| HSBC Finance Corp. | 5.700% | 6/1/11 | 2,350 | 2,351 |
| HSBC Finance Corp. | 6.375% | 10/15/11 | 350 | 360 |
| HSBC Finance Corp. | 7.000% | 5/15/12 | 1,375 | 1,451 |
| HSBC Finance Corp. | 5.900% | 6/19/12 | 1,050 | 1,056 |
| HSBC Finance Corp. | 6.375% | 11/27/12 | 750 | 771 |
| HSBC Finance Corp. | 4.750% | 7/15/13 | 1,075 | 1,016 |
| HSBC Finance Corp. | 5.250% | 1/15/14 | 875 | 847 |
| HSBC Finance Corp. | 5.250% | 4/15/15 | 175 | 168 |
| HSBC Finance Corp. | 5.000% | 6/30/15 | 3,350 | 3,141 |
| HSBC Finance Corp. | 5.500% | 1/19/16 | 500 | 480 |
| International Lease Finance Corp. | 6.375% | 3/15/09 | 450 | 456 |
| International Lease Finance Corp. | 3.500% | 4/1/09 | 150 | 145 |
| International Lease Finance Corp. | 4.875% | 9/1/10 | 875 | 858 |
| International Lease Finance Corp. | 5.125% | 11/1/10 | 1,475 | 1,457 |
| International Lease Finance Corp. | 5.450% | 3/24/11 | 475 | 472 |
| International Lease Finance Corp. | 5.750% | 6/15/11 | 2,500 | 2,510 |
| International Lease Finance Corp. | 5.400% | 2/15/12 | 300 | 297 |
| International Lease Finance Corp. | 5.300% | 5/1/12 | 100 | 98 |
| International Lease Finance Corp. | 5.000% | 9/15/12 | 500 | 484 |
| International Lease Finance Corp. | 5.625% | 9/20/13 | 100 | 99 |
| International Lease Finance Corp. | 5.650% | 6/1/14 | 1,150 | 1,139 |
| iStar Financial Inc. | 6.000% | 12/15/10 | 250 | 251 |
| iStar Financial Inc. | 5.800% | 3/15/11 | 900 | 896 |
| iStar Financial Inc. | 5.650% | 9/15/11 | 425 | 420 |
20
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| iStar Financial Inc. | 5.150% | 3/1/12 | 1,125 | 1,084 |
| iStar Financial Inc. | 5.950% | 10/15/13 | 200 | 197 |
| iStar Financial Inc. | 5.875% | 3/15/16 | 325 | 312 |
| iStar Financial Inc. | 5.850% | 3/15/17 | 200 | 193 |
| Residential Capital Corp. | 6.125% | 11/21/08 | 1,825 | 1,812 |
| Residential Capital Corp. | 6.500% | 6/1/12 | 825 | 807 |
| Residential Capital Corp. | 6.500% | 4/17/13 | 1,170 | 1,133 |
| SLM Corp. | 4.500% | 7/26/10 | 450 | 417 |
| SLM Corp. | 5.400% | 10/25/11 | 4,100 | 3,761 |
| SLM Corp. | 5.050% | 11/14/14 | 750 | 624 |
| SLM Corp. | 5.625% | 8/1/33 | 1,075 | 828 |
|
|
|
|
|
|
| Insurance (1.1%) |
|
|
|
|
| ACE Capital Trust II | 9.700% | 4/1/30 | 225 | 293 |
| ACE INA Holdings, Inc. | 5.700% | 2/15/17 | 400 | 388 |
| AEGON Funding Corp. | 5.750% | 12/15/20 | 100 | 98 |
| AEGON NV | 4.750% | 6/1/13 | 475 | 453 |
| AXA Financial, Inc. | 7.750% | 8/1/10 | 325 | 346 |
| AXA SA | 8.600% | 12/15/30 | 1,625 | 1,969 |
| Aetna, Inc. | 7.875% | 3/1/11 | 150 | 161 |
| Aetna, Inc. | 5.750% | 6/15/11 | 300 | 302 |
| Aetna, Inc. | 6.000% | 6/15/16 | 75 | 75 |
| Aetna, Inc. | 6.625% | 6/15/36 | 2,000 | 2,043 |
| Allied World Assurance | 7.500% | 8/1/16 | 725 | 757 |
| Allstate Corp. | 7.200% | 12/1/09 | 800 | 832 |
| Allstate Corp. | 5.000% | 8/15/14 | 950 | 911 |
| Allstate Corp. | 6.125% | 12/15/32 | 550 | 544 |
| Allstate Corp. | 5.550% | 5/9/35 | 250 | 226 |
2 | Allstate Corp. | 6.125% | 5/15/37 | 350 | 337 |
2 | Allstate Corp. | 6.500% | 5/15/57 | 325 | 309 |
| Allstate Life Global Funding | 4.500% | 5/29/09 | 300 | 296 |
| Ambac, Inc. | 5.950% | 12/5/35 | 1,050 | 1,004 |
| Ambac, Inc. | 6.150% | 2/15/37 | 125 | 113 |
| American General Capital II | 8.500% | 7/1/30 | 100 | 126 |
| American International Group, Inc. | 4.700% | 10/1/10 | 1,550 | 1,517 |
| American International Group, Inc. | 5.375% | 10/18/11 | 500 | 498 |
| American International Group, Inc. | 4.950% | 3/20/12 | 1,300 | 1,270 |
| American International Group, Inc. | 5.050% | 10/1/15 | 625 | 595 |
| American International Group, Inc. | 5.600% | 10/18/16 | 3,000 | 2,960 |
| American International Group, Inc. | 6.250% | 5/1/36 | 375 | 379 |
| American International Group, Inc. | 6.250% | 3/15/37 | 350 | 328 |
| Arch Capital Group Ltd. | 7.350% | 5/1/34 | 275 | 291 |
| Aspen Insurance Holdings Ltd. | 6.000% | 8/15/14 | 225 | 219 |
| Assurant, Inc. | 5.625% | 2/15/14 | 500 | 488 |
| Assurant, Inc. | 6.750% | 2/15/34 | 850 | 868 |
| Axis Capital Holdings | 5.750% | 12/1/14 | 175 | 171 |
| Berkshire Hathaway Finance Corp. | 3.375% | 10/15/08 | 475 | 464 |
| Berkshire Hathaway Finance Corp. | 4.125% | 1/15/10 | 1,085 | 1,054 |
| Berkshire Hathaway Finance Corp. | 4.200% | 12/15/10 | 350 | 338 |
| Berkshire Hathaway Finance Corp. | 4.750% | 5/15/12 | 425 | 412 |
| Berkshire Hathaway Finance Corp. | 4.625% | 10/15/13 | 850 | 807 |
| Berkshire Hathaway Finance Corp. | 5.100% | 7/15/14 | 50 | 48 |
| Berkshire Hathaway Finance Corp. | 4.850% | 1/15/15 | 1,625 | 1,537 |
| CIGNA Corp. | 7.875% | 5/15/27 | 150 | 173 |
| CIGNA Corp. | 6.150% | 11/15/36 | 1,050 | 1,002 |
| CNA Financial Corp. | 6.000% | 8/15/11 | 200 | 201 |
21
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| CNA Financial Corp. | 5.850% | 12/15/14 | 1,425 | 1,389 |
| CNA Financial Corp. | 6.500% | 8/15/16 | 475 | 481 |
2 | Chubb Corp. | 6.375% | 3/29/67 | 300 | 293 |
| Chubb Corp. | 6.000% | 5/11/37 | 1,175 | 1,120 |
| Cincinnati Financial Corp. | 6.920% | 5/15/28 | 400 | 426 |
| Cincinnati Financial Corp. | 6.125% | 11/1/34 | 375 | 363 |
| Commerce Group, Inc. | 5.950% | 12/9/13 | 125 | 123 |
2 | Everest Reinsurance Holdings, Inc. | 6.600% | 5/1/67 | 350 | 336 |
| Fidelity National Financial, Inc. | 7.300% | 8/15/11 | 400 | 417 |
| Fund American Cos., Inc. | 5.875% | 5/15/13 | 250 | 243 |
| GE Global Insurance Holdings Corp. | 7.000% | 2/15/26 | 475 | 507 |
| GE Global Insurance Holdings Corp. | 7.750% | 6/15/30 | 350 | 405 |
| Genworth Financial, Inc. | 4.750% | 6/15/09 | 375 | 370 |
| Genworth Financial, Inc. | 5.750% | 6/15/14 | 175 | 174 |
| Genworth Financial, Inc. | 4.950% | 10/1/15 | 100 | 94 |
| Genworth Financial, Inc. | 6.500% | 6/15/34 | 375 | 386 |
2 | Genworth Financial, Inc. | 6.150% | 11/15/66 | 200 | 191 |
| Hartford Financial Services Group, Inc. | 5.250% | 10/15/11 | 625 | 618 |
| Hartford Financial Services Group, Inc. | 5.500% | 10/15/16 | 250 | 243 |
| Hartford Financial Services Group, Inc. | 5.375% | 3/15/17 | 300 | 288 |
| Hartford Financial Services Group, Inc. | 5.950% | 10/15/36 | 400 | 384 |
| Hartford Financial Services Group, Inc. | 6.100% | 10/1/41 | 1,325 | 1,282 |
| Humana Inc. | 6.450% | 6/1/16 | 1,200 | 1,205 |
2 | ING Capital Funding Trust III | 5.775% | 12/8/49 | 750 | 725 |
| ING USA Global | 4.500% | 10/1/10 | 1,925 | 1,870 |
2 | Lincoln National Corp. | 6.050% | 4/20/67 | 225 | 214 |
| Lincoln National Corp. | 6.150% | 4/7/36 | 1,575 | 1,547 |
| Loews Corp. | 6.000% | 2/1/35 | 175 | 162 |
| Marsh & McLennan Cos., Inc. | 5.150% | 9/15/10 | 125 | 122 |
| Marsh & McLennan Cos., Inc. | 6.250% | 3/15/12 | 925 | 926 |
| Marsh & McLennan Cos., Inc. | 5.750% | 9/15/15 | 1,575 | 1,488 |
| MetLife, Inc. | 5.375% | 12/15/12 | 350 | 347 |
| MetLife, Inc. | 5.000% | 11/24/13 | 225 | 216 |
| MetLife, Inc. | 5.500% | 6/15/14 | 100 | 98 |
| MetLife, Inc. | 5.000% | 6/15/15 | 1,000 | 947 |
| MetLife, Inc. | 6.500% | 12/15/32 | 250 | 259 |
| MetLife, Inc. | 6.375% | 6/15/34 | 800 | 805 |
| MetLife, Inc. | 5.700% | 6/15/35 | 300 | 277 |
| Principal Financial Group, Inc. | 6.050% | 10/15/36 | 550 | 532 |
| Principal Life Income Funding | 5.125% | 3/1/11 | 600 | 592 |
| Principal Life Income Funding | 5.100% | 4/15/14 | 350 | 337 |
| Progressive Corp. | 6.375% | 1/15/12 | 500 | 516 |
| Progressive Corp. | 6.625% | 3/1/29 | 575 | 610 |
2 | Progressive Corp. | 6.700% | 6/15/37 | 700 | 694 |
| Protective Life Secured Trust | 3.700% | 11/24/08 | 875 | 856 |
| Protective Life Secured Trust | 4.850% | 8/16/10 | 500 | 491 |
| Prudential Financial, Inc. | 5.800% | 6/15/12 | 775 | 781 |
| Prudential Financial, Inc. | 4.500% | 7/15/13 | 225 | 211 |
| Prudential Financial, Inc. | 5.100% | 9/20/14 | 450 | 433 |
| Prudential Financial, Inc. | 5.500% | 3/15/16 | 450 | 438 |
| Prudential Financial, Inc. | 6.100% | 6/15/17 | 600 | 605 |
| Prudential Financial, Inc. | 5.750% | 7/15/33 | 450 | 421 |
| Prudential Financial, Inc. | 5.400% | 6/13/35 | 450 | 399 |
| Prudential Financial, Inc. | 5.900% | 3/17/36 | 650 | 613 |
| Prudential Financial, Inc. | 5.700% | 12/14/36 | 1,250 | 1,145 |
| Safeco Corp. | 4.875% | 2/1/10 | 250 | 246 |
22
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| St. Paul Travelers Cos., Inc. | 5.500% | 12/1/15 | 350 | 340 |
| St. Paul Travelers Cos., Inc. | 6.250% | 6/20/16 | 850 | 865 |
| Torchmark Corp. | 6.375% | 6/15/16 | 500 | 511 |
2 | Travelers Cos. Inc. | 6.250% | 3/15/37 | 300 | 288 |
| Travelers Cos. Inc. | 6.250% | 6/15/37 | 600 | 584 |
| Travelers Property Casualty Corp. | 6.375% | 3/15/33 | 1,550 | 1,545 |
| UnitedHealth Group, Inc. | 4.125% | 8/15/09 | 1,075 | 1,047 |
| UnitedHealth Group, Inc. | 5.000% | 8/15/14 | 250 | 239 |
| UnitedHealth Group, Inc. | 4.875% | 3/15/15 | 600 | 564 |
4 | UnitedHealth Group, Inc. | 6.000% | 6/15/17 | 300 | 300 |
| UnitedHealth Group, Inc. | 5.800% | 3/15/36 | 200 | 184 |
4 | UnitedHealth Group, Inc. | 6.500% | 6/15/37 | 350 | 353 |
| WellPoint Inc. | 4.250% | 12/15/09 | 125 | 121 |
| WellPoint Inc. | 5.000% | 1/15/11 | 1,075 | 1,050 |
| WellPoint Inc. | 6.375% | 1/15/12 | 275 | 281 |
| WellPoint Inc. | 5.000% | 12/15/14 | 575 | 542 |
| WellPoint Inc. | 5.250% | 1/15/16 | 100 | 95 |
| WellPoint Inc. | 5.875% | 6/15/17 | 800 | 790 |
| WellPoint Inc. | 5.950% | 12/15/34 | 1,275 | 1,176 |
| WellPoint Inc. | 5.850% | 1/15/36 | 150 | 137 |
| WellPoint Inc. | 6.375% | 6/15/37 | 1,075 | 1,061 |
| Willis North America Inc. | 5.625% | 7/15/15 | 500 | 467 |
| Willis North America Inc. | 6.200% | 3/28/17 | 500 | 492 |
| XL Capital Ltd. | 5.250% | 9/15/14 | 1,050 | 1,003 |
| XL Capital Ltd. | 6.375% | 11/15/24 | 125 | 122 |
| XL Capital Ltd. | 6.250% | 5/15/27 | 900 | 860 |
2 | XL Capital Ltd. | 6.500% | 12/15/49 | 550 | 516 |
4 | XTRA Finance Corp. | 5.150% | 4/1/17 | 2,050 | 1,960 |
|
|
|
|
|
|
| Real Estate Investment Trusts (0.4%) |
|
|
|
|
| Archstone-Smith Operating Trust | 5.250% | 5/1/15 | 650 | 626 |
| Arden Realty LP | 5.250% | 3/1/15 | 100 | 97 |
| AvalonBay Communities, Inc. | 5.500% | 1/15/12 | 275 | 274 |
| AvalonBay Communities, Inc. | 5.750% | 9/15/16 | 125 | 123 |
| Boston Properties, Inc. | 6.250% | 1/15/13 | 600 | 616 |
| Boston Properties, Inc. | 5.625% | 4/15/15 | 375 | 370 |
| Brandywine Operating Partnership | 5.625% | 12/15/10 | 1,025 | 1,024 |
| Brandywine Operating Partnership | 5.400% | 11/1/14 | 50 | 48 |
| Camden Property Trust | 5.700% | 5/15/17 | 525 | 507 |
| Colonial Realty LP | 5.500% | 10/1/15 | 175 | 168 |
| Developers Diversified Realty Corp. | 5.375% | 10/15/12 | 825 | 806 |
| Duke Realty LP | 5.625% | 8/15/11 | 200 | 200 |
| Duke Realty LP | 5.950% | 2/15/17 | 225 | 224 |
| ERP Operating LP | 6.625% | 3/15/12 | 1,175 | 1,219 |
| ERP Operating LP | 5.500% | 10/1/12 | 650 | 643 |
| ERP Operating LP | 5.125% | 3/15/16 | 1,075 | 1,014 |
| ERP Operating LP | 5.375% | 8/1/16 | 225 | 217 |
| ERP Operating LP | 5.750% | 6/15/17 | 750 | 735 |
| HRPT Properties Trust | 6.250% | 8/15/16 | 250 | 252 |
| HRPT Properties Trust | 6.250% | 6/15/17 | 625 | 630 |
| Health Care Property Investors, Inc. | 5.950% | 9/15/11 | 375 | 376 |
| Health Care Property Investors, Inc. | 6.450% | 6/25/12 | 850 | 865 |
| Health Care Property Investors, Inc. | 6.300% | 9/15/16 | 375 | 374 |
| Health Care REIT, Inc. | 6.200% | 6/1/16 | 1,000 | 990 |
| Hospitality Properties | 5.125% | 2/15/15 | 175 | 163 |
| Kimco Realty Corp. | 5.783% | 3/15/16 | 125 | 123 |
23
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Liberty Property LP | 5.125% | 3/2/15 | 1,250 | 1,189 |
Liberty Property LP | 5.500% | 12/15/16 | 175 | 168 |
ProLogis | 5.250% | 11/15/10 | 525 | 519 |
ProLogis | 5.500% | 3/1/13 | 175 | 172 |
ProLogis | 5.625% | 11/15/15 | 775 | 757 |
ProLogis | 5.750% | 4/1/16 | 525 | 516 |
ProLogis | 5.625% | 11/15/16 | 575 | 560 |
Regency Centers LP | 6.750% | 1/15/12 | 1,275 | 1,325 |
Simon Property Group Inc. | 4.600% | 6/15/10 | 825 | 805 |
Simon Property Group Inc. | 4.875% | 8/15/10 | 300 | 294 |
Simon Property Group Inc. | 5.600% | 9/1/11 | 500 | 499 |
Simon Property Group Inc. | 5.000% | 3/1/12 | 350 | 340 |
Simon Property Group Inc. | 5.750% | 12/1/15 | 950 | 938 |
Simon Property Group Inc. | 6.100% | 5/1/16 | 200 | 203 |
Simon Property Group Inc. | 5.250% | 12/1/16 | 2,100 | 1,990 |
Simon Property Group Inc. | 5.875% | 3/1/17 | 950 | 946 |
Tanger Factory Outlet Centers, Inc. | 6.150% | 11/15/15 | 525 | 525 |
Vornado Realty | 5.600% | 2/15/11 | 400 | 398 |
|
|
|
|
|
Other (0.0%) |
|
|
|
|
J. Paul Getty Trust | 5.875% | 10/1/33 | 225 | 216 |
|
|
|
| 539,533 |
Industrial (8.6%) |
|
|
|
|
Basic Industry (0.5%) |
|
|
|
|
Alcan, Inc. | 4.500% | 5/15/13 | 500 | 465 |
Alcan, Inc. | 5.000% | 6/1/15 | 100 | 93 |
Alcan, Inc. | 6.125% | 12/15/33 | 575 | 537 |
Alcoa, Inc. | 5.550% | 2/1/17 | 675 | 642 |
Alcoa, Inc. | 5.720% | 2/23/19 | 1,215 | 1,155 |
Alcoa, Inc. | 5.870% | 2/23/22 | 410 | 388 |
Alcoa, Inc. | 5.900% | 2/1/27 | 25 | 23 |
BHP Billiton Finance | 4.800% | 4/15/13 | 650 | 621 |
BHP Billiton Finance | 5.250% | 12/15/15 | 725 | 703 |
BHP Finance USA Ltd. | 5.125% | 3/29/12 | 600 | 588 |
BHP Finance USA Ltd. | 8.500% | 12/1/12 | 300 | 341 |
BHP Finance USA Ltd. | 5.400% | 3/29/17 | 825 | 797 |
Barrick Gold Finance Inc. | 4.875% | 11/15/14 | 225 | 212 |
Celulosa Arauco Constitution SA | 8.625% | 8/15/10 | 775 | 838 |
Celulosa Arauco Constitution SA | 5.625% | 4/20/15 | 825 | 785 |
Dow Chemical Co. | 6.125% | 2/1/11 | 1,575 | 1,599 |
Dow Chemical Co. | 6.000% | 10/1/12 | 125 | 126 |
Dow Chemical Co. | 7.375% | 11/1/29 | 1,150 | 1,247 |
E.I. du Pont de Nemours & Co. | 6.875% | 10/15/09 | 725 | 748 |
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 | 975 | 938 |
E.I. du Pont de Nemours & Co. | 5.250% | 12/15/16 | 75 | 71 |
E.I. du Pont de Nemours & Co. | 6.500% | 1/15/28 | 175 | 180 |
Eastman Chemical Co. | 7.600% | 2/1/27 | 275 | 295 |
Falconbridge Ltd. | 7.350% | 6/5/12 | 275 | 294 |
ICI Wilmington | 4.375% | 12/1/08 | 575 | 565 |
Inco Ltd. | 7.750% | 5/15/12 | 275 | 296 |
Inco Ltd. | 5.700% | 10/15/15 | 450 | 441 |
International Paper Co. | 4.250% | 1/15/09 | 700 | 686 |
International Paper Co. | 5.850% | 10/30/12 | 292 | 291 |
International Paper Co. | 5.300% | 4/1/15 | 550 | 520 |
Lubrizol Corp. | 5.500% | 10/1/14 | 1,525 | 1,471 |
24
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Lubrizol Corp. | 6.500% | 10/1/34 | 650 | 630 |
| MeadWestvaco Corp. | 6.850% | 4/1/12 | 225 | 232 |
| Monsanto Co. | 7.375% | 8/15/12 | 500 | 535 |
| Newmont Mining | 5.875% | 4/1/35 | 225 | 200 |
| Noranda, Inc. | 7.250% | 7/15/12 | 950 | 1,011 |
| Noranda, Inc. | 5.500% | 6/15/17 | 175 | 168 |
| Placer Dome, Inc. | 6.450% | 10/15/35 | 350 | 346 |
| Plum Creek Timber Co. | 5.875% | 11/15/15 | 525 | 505 |
| Potash Corp. of Saskatchewan | 7.750% | 5/31/11 | 1,775 | 1,902 |
| Praxair, Inc. | 3.950% | 6/1/13 | 950 | 871 |
| Praxair, Inc. | 5.200% | 3/15/17 | 25 | 24 |
| Rio Tinto Finance USA Ltd. | 2.625% | 9/30/08 | 325 | 314 |
2 | Rohm & Haas Co. | 9.800% | 4/15/20 | 313 | 378 |
| Rohm & Haas Co. | 7.850% | 7/15/29 | 350 | 401 |
| Southern Copper Corp. | 7.500% | 7/27/35 | 1,250 | 1,338 |
| Teck Cominco Ltd. | 6.125% | 10/1/35 | 675 | 627 |
| Vale Overseas Ltd. | 6.250% | 1/11/16 | 150 | 148 |
| Vale Overseas Ltd. | 6.250% | 1/23/17 | 475 | 470 |
| Vale Overseas Ltd. | 8.250% | 1/17/34 | 325 | 377 |
| Vale Overseas Ltd. | 6.875% | 11/21/36 | 2,850 | 2,850 |
| WMC Finance USA | 5.125% | 5/15/13 | 1,000 | 967 |
| Weyerhaeuser Co. | 6.750% | 3/15/12 | 1,525 | 1,575 |
| Weyerhaeuser Co. | 7.375% | 3/15/32 | 1,925 | 1,959 |
|
|
|
|
|
|
| Capital Goods (1.0%) |
|
|
|
|
| 3M Co. | 5.125% | 11/6/09 | 175 | 175 |
2,4 | BAE Systems Asset Trust | 7.156% | 12/15/11 | 77 | 79 |
| Bemis Co. Inc. | 4.875% | 4/1/12 | 450 | 432 |
| Boeing Capital Corp. | 7.375% | 9/27/10 | 400 | 423 |
| Boeing Capital Corp. | 6.500% | 2/15/12 | 2,025 | 2,111 |
| Boeing Capital Corp. | 5.800% | 1/15/13 | 875 | 886 |
| Boeing Co. | 8.750% | 8/15/21 | 550 | 703 |
| Boeing Co. | 7.250% | 6/15/25 | 875 | 1,007 |
| Boeing Co. | 8.750% | 9/15/31 | 175 | 234 |
| Boeing Co. | 6.125% | 2/15/33 | 75 | 77 |
| CRH America Inc. | 5.625% | 9/30/11 | 525 | 523 |
| CRH America Inc. | 6.950% | 3/15/12 | 800 | 836 |
| CRH America Inc. | 5.300% | 10/15/13 | 450 | 430 |
| CRH America Inc. | 6.000% | 9/30/16 | 450 | 446 |
| CRH America Inc. | 6.400% | 10/15/33 | 350 | 334 |
| Caterpillar Financial Services Corp. | 4.500% | 9/1/08 | 30 | 30 |
| Caterpillar Financial Services Corp. | 4.150% | 1/15/10 | 2,550 | 2,477 |
| Caterpillar Financial Services Corp. | 4.300% | 6/1/10 | 1,750 | 1,700 |
| Caterpillar Financial Services Corp. | 4.750% | 2/17/15 | 125 | 117 |
| Caterpillar Financial Services Corp. | 4.625% | 6/1/15 | 275 | 255 |
| Caterpillar, Inc. | 7.300% | 5/1/31 | 1,000 | 1,134 |
| Caterpillar, Inc. | 7.375% | 3/1/97 | 775 | 872 |
| Deere & Co. | 6.950% | 4/25/14 | 325 | 346 |
| Deere & Co. | 8.100% | 5/15/30 | 1,175 | 1,454 |
| Deere & Co. | 7.125% | 3/3/31 | 675 | 755 |
| Embraer Overseas Ltd. | 6.375% | 1/24/17 | 700 | 687 |
| Emerson Electric Co. | 7.125% | 8/15/10 | 175 | 184 |
| Emerson Electric Co. | 4.625% | 10/15/12 | 1,150 | 1,100 |
| Emerson Electric Co. | 4.500% | 5/1/13 | 400 | 378 |
| General Dynamics Corp. | 4.500% | 8/15/10 | 125 | 122 |
| General Dynamics Corp. | 4.250% | 5/15/13 | 1,700 | 1,586 |
25
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
General Electric Co. | 5.000% | 2/1/13 | 5,000 | 4,852 |
Hanson PLC | 5.250% | 3/15/13 | 175 | 171 |
Honeywell International, Inc. | 6.125% | 11/1/11 | 350 | 358 |
Honeywell International, Inc. | 5.400% | 3/15/16 | 1,175 | 1,139 |
Honeywell International, Inc. | 5.700% | 3/15/36 | 125 | 116 |
John Deere Capital Corp. | 4.875% | 3/16/09 | 1,750 | 1,735 |
John Deere Capital Corp. | 5.400% | 10/17/11 | 900 | 895 |
John Deere Capital Corp. | 7.000% | 3/15/12 | 1,000 | 1,058 |
John Deere Capital Corp. | 5.500% | 4/13/17 | 200 | 195 |
Joy Global, Inc. | 6.000% | 11/15/16 | 250 | 247 |
Lafarge SA | 6.150% | 7/15/11 | 75 | 76 |
Lafarge SA | 6.500% | 7/15/16 | 900 | 921 |
Lafarge SA | 7.125% | 7/15/36 | 2,075 | 2,195 |
Lockheed Martin Corp. | 7.650% | 5/1/16 | 1,425 | 1,604 |
Lockheed Martin Corp. | 6.150% | 9/1/36 | 1,050 | 1,047 |
Masco Corp. | 5.875% | 7/15/12 | 200 | 198 |
Masco Corp. | 4.800% | 6/15/15 | 1,375 | 1,238 |
Masco Corp. | 6.500% | 8/15/32 | 175 | 160 |
Minnesota Mining & Manufacturing Corp. | 6.375% | 2/15/28 | 625 | 655 |
Minnesota Mining & Manufacturing Corp. | 5.700% | 3/15/37 | 600 | 578 |
Mohawk Industries Inc. | 5.750% | 1/15/11 | 2,500 | 2,494 |
Mohawk Industries Inc. | 6.125% | 1/15/16 | 1,400 | 1,381 |
Northrop Grumman Corp. | 7.125% | 2/15/11 | 1,350 | 1,416 |
Northrop Grumman Corp. | 7.750% | 3/1/16 | 275 | 310 |
Northrop Grumman Corp. | 7.750% | 2/15/31 | 1,300 | 1,546 |
Owens Corning, Inc. | 6.500% | 12/1/16 | 125 | 125 |
Owens Corning, Inc. | 7.000% | 12/1/36 | 175 | 172 |
Raytheon Co. | 4.850% | 1/15/11 | 775 | 759 |
Raytheon Co. | 5.500% | 11/15/12 | 725 | 724 |
Raytheon Co. | 5.375% | 4/1/13 | 75 | 74 |
Raytheon Co. | 7.200% | 8/15/27 | 500 | 561 |
Republic Services, Inc. | 6.750% | 8/15/11 | 350 | 361 |
Republic Services, Inc. | 6.086% | 3/15/35 | 350 | 320 |
TRW, Inc. | 7.750% | 6/1/29 | 350 | 413 |
Textron Financial Corp. | 4.600% | 5/3/10 | 2,100 | 2,050 |
Textron, Inc. | 6.500% | 6/1/12 | 1,000 | 1,035 |
Tyco International Group SA | 6.125% | 11/1/08 | 500 | 505 |
Tyco International Group SA | 6.125% | 1/15/09 | 100 | 101 |
Tyco International Group SA | 6.750% | 2/15/11 | 2,575 | 2,694 |
Tyco International Group SA | 6.000% | 11/15/13 | 125 | 128 |
Tyco International Group SA | 7.000% | 6/15/28 | 1,175 | 1,334 |
United Technologies Corp. | 4.375% | 5/1/10 | 1,100 | 1,072 |
United Technologies Corp. | 7.125% | 11/15/10 | 250 | 263 |
United Technologies Corp. | 6.350% | 3/1/11 | 650 | 669 |
United Technologies Corp. | 6.100% | 5/15/12 | 300 | 308 |
United Technologies Corp. | 4.875% | 5/1/15 | 325 | 306 |
United Technologies Corp. | 8.875% | 11/15/19 | 850 | 1,063 |
United Technologies Corp. | 7.500% | 9/15/29 | 350 | 407 |
United Technologies Corp. | 5.400% | 5/1/35 | 500 | 454 |
United Technologies Corp. | 6.050% | 6/1/36 | 400 | 397 |
Waste Management, Inc. | 6.875% | 5/15/09 | 225 | 230 |
Waste Management, Inc. | 7.375% | 8/1/10 | 175 | 183 |
Waste Management, Inc. | 6.375% | 11/15/12 | 225 | 230 |
26
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Communication (2.3%) |
|
|
|
|
AT&T Corp. | 6.000% | 3/15/09 | 925 | 932 |
AT&T Corp. | 7.300% | 11/15/11 | 975 | 1,037 |
AT&T Corp. | 8.000% | 11/15/31 | 3,375 | 4,026 |
AT&T Inc. | 4.125% | 9/15/09 | 625 | 608 |
AT&T Inc. | 5.300% | 11/15/10 | 650 | 647 |
AT&T Inc. | 6.250% | 3/15/11 | 400 | 408 |
AT&T Inc. | 5.875% | 2/1/12 | 960 | 968 |
AT&T Inc. | 5.875% | 8/15/12 | 1,315 | 1,327 |
AT&T Inc. | 5.100% | 9/15/14 | 5,650 | 5,388 |
AT&T Inc. | 5.625% | 6/15/16 | 2,800 | 2,731 |
AT&T Inc. | 6.450% | 6/15/34 | 725 | 720 |
AT&T Inc. | 6.150% | 9/15/34 | 250 | 239 |
America Movil SA de C.V. | 4.125% | 3/1/09 | 450 | 440 |
America Movil SA de C.V. | 5.500% | 3/1/14 | 225 | 218 |
America Movil SA de C.V. | 5.750% | 1/15/15 | 1,500 | 1,476 |
America Movil SA de C.V. | 6.375% | 3/1/35 | 675 | 657 |
BellSouth Capital Funding | 7.875% | 2/15/30 | 650 | 732 |
BellSouth Corp. | 4.200% | 9/15/09 | 1,150 | 1,120 |
BellSouth Corp. | 4.750% | 11/15/12 | 400 | 383 |
BellSouth Corp. | 5.200% | 12/15/16 | 200 | 188 |
BellSouth Corp. | 6.875% | 10/15/31 | 75 | 77 |
BellSouth Corp. | 6.550% | 6/15/34 | 500 | 498 |
BellSouth Corp. | 6.000% | 11/15/34 | 555 | 520 |
BellSouth Telecommunications | 6.375% | 6/1/28 | 1,685 | 1,651 |
British Sky Broadcasting Corp. | 6.875% | 2/23/09 | 875 | 892 |
British Sky Broadcasting Corp. | 8.200% | 7/15/09 | 125 | 131 |
British Telecommunications PLC | 8.625% | 12/15/10 | 1,100 | 1,203 |
British Telecommunications PLC | 9.125% | 12/15/30 | 2,000 | 2,626 |
CBS Corp. | 6.625% | 5/15/11 | 715 | 734 |
CBS Corp. | 5.625% | 8/15/12 | 460 | 453 |
CBS Corp. | 7.875% | 7/30/30 | 375 | 389 |
CBS Corp. | 5.500% | 5/15/33 | 175 | 145 |
CenturyTel Enterprises | 6.875% | 1/15/28 | 175 | 170 |
CenturyTel, Inc. | 7.875% | 8/15/12 | 225 | 243 |
Cingular Wireless LLC | 6.500% | 12/15/11 | 2,200 | 2,277 |
Cingular Wireless LLC | 7.125% | 12/15/31 | 1,400 | 1,499 |
Comcast Cable Communications Holdings Inc. | 8.375% | 3/15/13 | 1,350 | 1,509 |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 175 | 223 |
Comcast Cable Communications, Inc. | 6.200% | 11/15/08 | 1,000 | 1,009 |
Comcast Cable Communications, Inc. | 6.875% | 6/15/09 | 2,500 | 2,565 |
Comcast Cable Communications, Inc. | 6.750% | 1/30/11 | 1,000 | 1,038 |
Comcast Cable Communications, Inc. | 8.875% | 5/1/17 | 625 | 740 |
Comcast Corp. | 5.500% | 3/15/11 | 450 | 449 |
Comcast Corp. | 5.300% | 1/15/14 | 200 | 193 |
Comcast Corp. | 6.500% | 1/15/15 | 1,450 | 1,488 |
Comcast Corp. | 5.900% | 3/15/16 | 600 | 589 |
Comcast Corp. | 5.875% | 2/15/18 | 1,050 | 1,016 |
Comcast Corp. | 7.050% | 3/15/33 | 175 | 181 |
Comcast Corp. | 6.500% | 11/15/35 | 3,600 | 3,499 |
Comcast Corp. | 6.450% | 3/15/37 | 4,025 | 3,900 |
Cox Communications, Inc. | 4.625% | 1/15/10 | 1,000 | 977 |
Cox Communications, Inc. | 6.750% | 3/15/11 | 3,675 | 3,802 |
Cox Communications, Inc. | 7.125% | 10/1/12 | 450 | 476 |
Cox Communications, Inc. | 5.450% | 12/15/14 | 550 | 531 |
Deutsche Telekom International Finance | 3.875% | 7/22/08 | 175 | 172 |
27
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Deutsche Telekom International Finance | 8.000% | 6/15/10 | 4,775 | 5,089 |
Deutsche Telekom International Finance | 5.250% | 7/22/13 | 175 | 170 |
Deutsche Telekom International Finance | 5.750% | 3/23/16 | 200 | 196 |
Deutsche Telekom International Finance | 8.250% | 6/15/30 | 2,150 | 2,583 |
Embarq Corp. | 7.082% | 6/1/16 | 1,450 | 1,461 |
Embarq Corp. | 7.995% | 6/1/36 | 225 | 228 |
France Telecom | 7.750% | 3/1/11 | 2,500 | 2,678 |
France Telecom | 8.500% | 3/1/31 | 3,100 | 3,905 |
GTE Corp. | 8.750% | 11/1/21 | 175 | 208 |
Gannett Co., Inc. | 6.375% | 4/1/12 | 1,000 | 1,018 |
Grupo Televisa SA | 6.625% | 3/18/25 | 625 | 641 |
IAC/InteractiveCorp | 7.000% | 1/15/13 | 475 | 480 |
Koninklijke KPN NV | 8.000% | 10/1/10 | 50 | 54 |
Koninklijke KPN NV | 8.375% | 10/1/30 | 500 | 563 |
New Cingular Wireless Services | 7.875% | 3/1/11 | 2,150 | 2,309 |
New Cingular Wireless Services | 8.125% | 5/1/12 | 2,225 | 2,450 |
New Cingular Wireless Services | 8.750% | 3/1/31 | 825 | 1,028 |
New England Telephone & Telegraph Co. | 7.875% | 11/15/29 | 1,575 | 1,705 |
News America Holdings, Inc. | 9.250% | 2/1/13 | 350 | 404 |
News America Holdings, Inc. | 8.000% | 10/17/16 | 425 | 478 |
News America Holdings, Inc. | 8.150% | 10/17/36 | 175 | 201 |
News America Inc. | 5.300% | 12/15/14 | 900 | 868 |
News America Inc. | 6.200% | 12/15/34 | 2,075 | 1,933 |
News America Inc. | 6.400% | 12/15/35 | 1,900 | 1,818 |
Nextel Communications | 6.875% | 10/31/13 | 400 | 396 |
Nextel Communications | 5.950% | 3/15/14 | 290 | 276 |
Nextel Communications | 7.375% | 8/1/15 | 2,400 | 2,406 |
Omnicom Group Inc. | 5.900% | 4/15/16 | 50 | 50 |
R.R. Donnelley & Sons Co. | 3.750% | 4/1/09 | 175 | 169 |
R.R. Donnelley & Sons Co. | 4.950% | 5/15/10 | 925 | 904 |
R.R. Donnelley & Sons Co. | 5.625% | 1/15/12 | 300 | 296 |
R.R. Donnelley & Sons Co. | 4.950% | 4/1/14 | 125 | 114 |
R.R. Donnelley & Sons Co. | 5.500% | 5/15/15 | 175 | 163 |
Reed Elsevier Capital | 4.625% | 6/15/12 | 100 | 95 |
Rogers Wireless Inc. | 6.375% | 3/1/14 | 1,500 | 1,508 |
Sprint Capital Corp. | 6.125% | 11/15/08 | 350 | 352 |
Sprint Capital Corp. | 6.375% | 5/1/09 | 1,475 | 1,493 |
Sprint Capital Corp. | 7.625% | 1/30/11 | 2,650 | 2,795 |
Sprint Capital Corp. | 8.375% | 3/15/12 | 1,125 | 1,226 |
Sprint Capital Corp. | 6.875% | 11/15/28 | 1,550 | 1,476 |
Sprint Capital Corp. | 8.750% | 3/15/32 | 750 | 843 |
Sprint Nextel Corp. | 6.000% | 12/1/16 | 800 | 761 |
TCI Communications, Inc. | 8.750% | 8/1/15 | 675 | 785 |
TCI Communications, Inc. | 7.875% | 2/15/26 | 175 | 195 |
Tele-Communications, Inc. | 7.875% | 8/1/13 | 275 | 302 |
Telecom Italia Capital | 4.000% | 11/15/08 | 405 | 397 |
Telecom Italia Capital | 4.000% | 1/15/10 | 1,595 | 1,535 |
Telecom Italia Capital | 6.200% | 7/18/11 | 950 | 961 |
Telecom Italia Capital | 5.250% | 11/15/13 | 430 | 414 |
Telecom Italia Capital | 5.250% | 10/1/15 | 325 | 303 |
Telecom Italia Capital | 6.375% | 11/15/33 | 1,925 | 1,809 |
Telecom Italia Capital | 7.200% | 7/18/36 | 500 | 514 |
Telefonica Emisiones SAU | 5.984% | 6/20/11 | 1,375 | 1,391 |
Telefonica Emisiones SAU | 6.421% | 6/20/16 | 1,725 | 1,751 |
Telefonica Emisiones SAU | 6.221% | 7/3/17 | 400 | 399 |
Telefonica Emisiones SAU | 7.045% | 6/20/36 | 2,150 | 2,233 |
28
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Telefonica Europe BV | 7.750% | 9/15/10 | 1,425 | 1,513 |
| Telefonica Europe BV | 8.250% | 9/15/30 | 400 | 466 |
| Telefonos de Mexico SA | 4.500% | 11/19/08 | 200 | 197 |
| Telefonos de Mexico SA | 4.750% | 1/27/10 | 375 | 366 |
| Telefonos de Mexico SA | 5.500% | 1/27/15 | 1,750 | 1,693 |
| Telus Corp. | 8.000% | 6/1/11 | 1,125 | 1,202 |
| Thomson Corp. | 6.200% | 1/5/12 | 450 | 457 |
| Thomson Corp. | 5.500% | 8/15/35 | 225 | 197 |
| Time Warner Entertainment | 7.250% | 9/1/08 | 400 | 407 |
| Time Warner Entertainment | 10.150% | 5/1/12 | 325 | 382 |
| Time Warner Entertainment | 8.375% | 3/15/23 | 325 | 376 |
| Time Warner Entertainment | 8.375% | 7/15/33 | 950 | 1,108 |
4 | Time Warner, Inc. | 5.400% | 7/2/12 | 600 | 591 |
4 | Time Warner, Inc. | 5.850% | 5/1/17 | 4,300 | 4,176 |
4 | Time Warner, Inc. | 6.550% | 5/1/37 | 600 | 579 |
| US Cellular | 6.700% | 12/15/33 | 325 | 296 |
| Verizon Communications Corp. | 5.350% | 2/15/11 | 200 | 199 |
| Verizon Communications Corp. | 5.550% | 2/15/16 | 1,450 | 1,411 |
| Verizon Global Funding Corp. | 7.250% | 12/1/10 | 450 | 474 |
| Verizon Global Funding Corp. | 6.875% | 6/15/12 | 3,450 | 3,635 |
| Verizon Global Funding Corp. | 7.375% | 9/1/12 | 1,050 | 1,130 |
| Verizon Global Funding Corp. | 4.900% | 9/15/15 | 1,000 | 935 |
| Verizon Global Funding Corp. | 7.750% | 12/1/30 | 450 | 505 |
| Verizon Global Funding Corp. | 5.850% | 9/15/35 | 975 | 897 |
| Verizon New England, Inc. | 6.500% | 9/15/11 | 575 | 590 |
| Verizon New Jersey, Inc. | 5.875% | 1/17/12 | 675 | 679 |
| Verizon New York, Inc. | 6.875% | 4/1/12 | 225 | 234 |
| Verizon New York, Inc. | 7.375% | 4/1/32 | 225 | 238 |
| Verizon Pennsylvania, Inc. | 5.650% | 11/15/11 | 850 | 848 |
| Verizon Virginia, Inc. | 4.625% | 3/15/13 | 275 | 258 |
| Vodafone AirTouch PLC | 7.750% | 2/15/10 | 325 | 342 |
| Vodafone AirTouch PLC | 7.875% | 2/15/30 | 850 | 956 |
| Vodafone Group PLC | 5.350% | 2/27/12 | 1,750 | 1,731 |
| Vodafone Group PLC | 5.000% | 12/16/13 | 950 | 904 |
| Vodafone Group PLC | 5.375% | 1/30/15 | 125 | 120 |
| Vodafone Group PLC | 5.750% | 3/15/16 | 450 | 438 |
| Vodafone Group PLC | 5.625% | 2/27/17 | 1,000 | 957 |
| Vodafone Group PLC | 6.250% | 11/30/32 | 1,225 | 1,164 |
| Vodafone Group PLC | 6.150% | 2/27/37 | 300 | 279 |
| WPP Finance USA Corp. | 5.875% | 6/15/14 | 475 | 471 |
|
|
|
|
|
|
| Consumer Cyclical (1.5%) |
|
|
|
|
| Brinker International | 5.750% | 6/1/14 | 125 | 118 |
2 | CVS Caremark Corp. | 6.302% | 6/1/37 | 700 | 685 |
| CVS Corp. | 4.000% | 9/15/09 | 75 | 73 |
| CVS Corp. | 5.750% | 8/15/11 | 125 | 125 |
| CVS Corp. | 4.875% | 9/15/14 | 225 | 211 |
| CVS Corp. | 6.125% | 8/15/16 | 250 | 248 |
| CVS Corp. | 6.250% | 6/1/27 | 3,300 | 3,201 |
| Centex Corp. | 7.500% | 1/15/12 | 500 | 518 |
| Centex Corp. | 5.125% | 10/1/13 | 550 | 508 |
| Centex Corp. | 6.500% | 5/1/16 | 400 | 386 |
| Costco Wholesale Corp. | 5.300% | 3/15/12 | 100 | 99 |
| Costco Wholesale Corp. | 5.500% | 3/15/17 | 3,175 | 3,092 |
| D.R. Horton, Inc. | 4.875% | 1/15/10 | 225 | 218 |
| D.R. Horton, Inc. | 6.000% | 4/15/11 | 25 | 24 |
29
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
D.R. Horton, Inc. | 5.375% | 6/15/12 | 500 | 470 |
D.R. Horton, Inc. | 5.250% | 2/15/15 | 1,050 | 937 |
D.R. Horton, Inc. | 5.625% | 1/15/16 | 1,000 | 905 |
D.R. Horton, Inc. | 6.500% | 4/15/16 | 800 | 764 |
DaimlerChrysler North America Holding Corp. | 4.875% | 6/15/10 | 225 | 221 |
DaimlerChrysler North America Holding Corp. | 8.000% | 6/15/10 | 200 | 213 |
DaimlerChrysler North America Holding Corp. | 5.875% | 3/15/11 | 5,525 | 5,554 |
DaimlerChrysler North America Holding Corp. | 5.750% | 9/8/11 | 1,525 | 1,526 |
DaimlerChrysler North America Holding Corp. | 7.300% | 1/15/12 | 3,150 | 3,337 |
DaimlerChrysler North America Holding Corp. | 6.500% | 11/15/13 | 2,475 | 2,554 |
DaimlerChrysler North America Holding Corp. | 8.500% | 1/18/31 | 1,125 | 1,421 |
Federated Department Stores, Inc. | 6.300% | 4/1/09 | 750 | 757 |
Federated Department Stores, Inc. | 6.900% | 4/1/29 | 175 | 168 |
Federated Retail Holding | 5.350% | 3/15/12 | 825 | 811 |
Federated Retail Holding | 5.900% | 12/1/16 | 1,275 | 1,245 |
Federated Retail Holding | 6.375% | 3/15/37 | 275 | 264 |
Home Depot Inc. | 3.750% | 9/15/09 | 625 | 601 |
Home Depot Inc. | 4.625% | 8/15/10 | 1,025 | 994 |
Home Depot Inc. | 5.250% | 12/16/13 | 550 | 529 |
Home Depot Inc. | 5.400% | 3/1/16 | 1,550 | 1,452 |
Home Depot Inc. | 5.875% | 12/16/36 | 1,100 | 979 |
ITT Corp. | 7.375% | 11/15/15 | 1,150 | 1,133 |
J.C. Penney Co., Inc. | 8.000% | 3/1/10 | 975 | 1,031 |
J.C. Penney Co., Inc. | 7.950% | 4/1/17 | 825 | 917 |
J.C. Penney Co., Inc. | 5.750% | 2/15/18 | 1,050 | 1,014 |
J.C. Penney Co., Inc. | 6.375% | 10/15/36 | 950 | 908 |
J.C. Penney Co., Inc. | 7.400% | 4/1/37 | 250 | 264 |
Johnson Controls, Inc. | 5.250% | 1/15/11 | 250 | 247 |
Johnson Controls, Inc. | 6.000% | 1/15/36 | 100 | 94 |
Kohl’s Corp. | 6.000% | 1/15/33 | 200 | 186 |
Lennar Corp. | 5.125% | 10/1/10 | 100 | 96 |
Lennar Corp. | 5.950% | 10/17/11 | 2,000 | 1,965 |
Lennar Corp. | 5.600% | 5/31/15 | 900 | 830 |
Limited Brands Inc. | 5.250% | 11/1/14 | 150 | 139 |
Lowe’s Cos., Inc. | 5.000% | 10/15/15 | 725 | 687 |
Lowe’s Cos., Inc. | 5.400% | 10/15/16 | 1,950 | 1,882 |
Lowe’s Cos., Inc. | 6.875% | 2/15/28 | 450 | 475 |
Lowe’s Cos., Inc. | 5.800% | 10/15/36 | 650 | 601 |
Macy's Retail Holdings Inc. | 6.790% | 7/15/27 | 175 | 169 |
Macy’s Retail Holdings Inc. | 7.000% | 2/15/28 | 200 | 196 |
Marriott International | 4.625% | 6/15/12 | 275 | 260 |
Marriott International | 6.200% | 6/15/16 | 400 | 394 |
Marriott International | 6.375% | 6/15/17 | 400 | 401 |
May Department Stores Co. | 5.750% | 7/15/14 | 850 | 809 |
May Department Stores Co. | 6.700% | 7/15/34 | 475 | 435 |
McDonald’s Corp. | 6.000% | 4/15/11 | 425 | 431 |
McDonald’s Corp. | 5.300% | 3/15/17 | 150 | 144 |
Nordstrom, Inc. | 6.950% | 3/15/28 | 175 | 183 |
Pulte Homes, Inc. | 4.875% | 7/15/09 | 500 | 490 |
Pulte Homes, Inc. | 5.250% | 1/15/14 | 450 | 411 |
Pulte Homes, Inc. | 5.200% | 2/15/15 | 375 | 335 |
Pulte Homes, Inc. | 6.000% | 2/15/35 | 100 | 85 |
Starwood Hotel Resorts | 7.875% | 5/1/12 | 1,125 | 1,170 |
Target Corp. | 5.400% | 10/1/08 | 765 | 764 |
Target Corp. | 7.500% | 8/15/10 | 225 | 238 |
Target Corp. | 6.350% | 1/15/11 | 275 | 283 |
30
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Target Corp. | 4.000% | 6/15/13 | 810 | 743 |
Target Corp. | 5.875% | 7/15/16 | 575 | 572 |
Target Corp. | 7.000% | 7/15/31 | 1,400 | 1,526 |
Target Corp. | 6.350% | 11/1/32 | 1,625 | 1,647 |
The Walt Disney Co. | 5.700% | 7/15/11 | 1,250 | 1,260 |
The Walt Disney Co. | 6.375% | 3/1/12 | 675 | 699 |
The Walt Disney Co. | 5.625% | 9/15/16 | 1,350 | 1,336 |
Time Warner, Inc. | 6.750% | 4/15/11 | 500 | 517 |
Time Warner, Inc. | 5.500% | 11/15/11 | 50 | 49 |
Time Warner, Inc. | 6.875% | 5/1/12 | 2,950 | 3,081 |
Time Warner, Inc. | 9.125% | 1/15/13 | 2,275 | 2,608 |
Time Warner, Inc. | 5.875% | 11/15/16 | 400 | 389 |
Time Warner, Inc. | 9.150% | 2/1/23 | 275 | 333 |
Time Warner, Inc. | 6.625% | 5/15/29 | 125 | 122 |
Time Warner, Inc. | 7.625% | 4/15/31 | 2,210 | 2,371 |
Time Warner, Inc. | 7.700% | 5/1/32 | 1,465 | 1,586 |
Time Warner, Inc. | 6.500% | 11/15/36 | 825 | 784 |
Toll Brothers, Inc. | 5.150% | 5/15/15 | 275 | 249 |
Toyota Motor Credit Corp. | 4.250% | 3/15/10 | 3,525 | 3,441 |
Toyota Motor Credit Corp. | 5.450% | 5/18/11 | 300 | 301 |
Viacom Inc. | 5.750% | 4/30/11 | 725 | 724 |
Viacom Inc. | 6.250% | 4/30/16 | 225 | 221 |
Viacom Inc. | 6.875% | 4/30/36 | 1,275 | 1,231 |
Wal-Mart Stores, Inc. | 3.375% | 10/1/08 | 800 | 780 |
Wal-Mart Stores, Inc. | 6.875% | 8/10/09 | 350 | 360 |
Wal-Mart Stores, Inc. | 4.000% | 1/15/10 | 475 | 460 |
Wal-Mart Stores, Inc. | 4.125% | 7/1/10 | 1,650 | 1,591 |
Wal-Mart Stores, Inc. | 4.125% | 2/15/11 | 850 | 814 |
Wal-Mart Stores, Inc. | 5.000% | 4/5/12 | 250 | 245 |
Wal-Mart Stores, Inc. | 4.550% | 5/1/13 | 1,925 | 1,829 |
Wal-Mart Stores, Inc. | 7.250% | 6/1/13 | 650 | 700 |
Wal-Mart Stores, Inc. | 4.500% | 7/1/15 | 3,625 | 3,348 |
Wal-Mart Stores, Inc. | 5.375% | 4/5/17 | 400 | 389 |
Wal-Mart Stores, Inc. | 5.875% | 4/5/27 | 1,400 | 1,354 |
Wal-Mart Stores, Inc. | 7.550% | 2/15/30 | 1,025 | 1,192 |
Wal-Mart Stores, Inc. | 5.250% | 9/1/35 | 100 | 87 |
Western Union Co. | 5.400% | 11/17/11 | 1,325 | 1,304 |
Western Union Co. | 5.930% | 10/1/16 | 575 | 561 |
Western Union Co. | 6.200% | 11/17/36 | 350 | 335 |
Yum! Brands, Inc. | 8.875% | 4/15/11 | 1,225 | 1,347 |
Yum! Brands, Inc. | 7.700% | 7/1/12 | 175 | 188 |
Yum! Brands, Inc. | 6.250% | 4/15/16 | 1,275 | 1,270 |
|
|
|
|
|
Consumer Noncyclical (1.6%) |
|
|
|
|
Abbott Laboratories | 3.500% | 2/17/09 | 350 | 340 |
Abbott Laboratories | 5.375% | 5/15/09 | 25 | 25 |
Abbott Laboratories | 3.750% | 3/15/11 | 525 | 494 |
Abbott Laboratories | 5.600% | 5/15/11 | 75 | 75 |
Abbott Laboratories | 4.350% | 3/15/14 | 1,000 | 924 |
Abbott Laboratories | 5.875% | 5/15/16 | 2,750 | 2,746 |
Allergan Inc. | 5.750% | 4/1/16 | 125 | 124 |
Altria Group, Inc. | 5.625% | 11/4/08 | 500 | 500 |
Altria Group, Inc. | 7.000% | 11/4/13 | 550 | 584 |
AmerisourceBergen Corp. | 5.875% | 9/15/15 | 1,125 | 1,076 |
Amgen Inc. | 4.000% | 11/18/09 | 1,125 | 1,090 |
Amgen Inc. | 4.850% | 11/18/14 | 725 | 677 |
31
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
4 | Amgen Inc. | 5.850% | 6/1/17 | 950 | 937 |
4 | Amgen Inc. | 6.375% | 6/1/37 | 700 | 686 |
| Anheuser-Busch Cos., Inc. | 6.000% | 4/15/11 | 700 | 711 |
| Anheuser-Busch Cos., Inc. | 7.125% | 7/1/17 | 500 | 515 |
| Anheuser-Busch Cos., Inc. | 6.800% | 8/20/32 | 450 | 464 |
| Anheuser-Busch Cos., Inc. | 5.750% | 4/1/36 | 1,300 | 1,189 |
| Archer-Daniels-Midland Co. | 7.000% | 2/1/31 | 425 | 461 |
| Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 1,325 | 1,258 |
| Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 2,350 | 2,064 |
| AstraZeneca PLC | 5.400% | 6/1/14 | 275 | 270 |
| Baxter Finco, BV | 4.750% | 10/15/10 | 850 | 829 |
| Baxter International, Inc. | 5.900% | 9/1/16 | 625 | 625 |
| Boston Scientific | 6.000% | 6/15/11 | 1,000 | 996 |
| Boston Scientific | 6.400% | 6/15/16 | 300 | 291 |
| Boston Scientific | 6.250% | 11/15/35 | 675 | 639 |
| Bottling Group LLC | 4.625% | 11/15/12 | 2,350 | 2,250 |
| Bottling Group LLC | 5.000% | 11/15/13 | 300 | 288 |
| Bottling Group LLC | 5.500% | 4/1/16 | 575 | 560 |
| Bristol-Myers Squibb Co. | 4.000% | 8/15/08 | 1,250 | 1,232 |
| Bristol-Myers Squibb Co. | 5.875% | 11/15/36 | 2,100 | 1,975 |
| Bristol-Myers Squibb Co. | 6.875% | 8/1/97 | 175 | 180 |
| Bunge Ltd. Finance Corp. | 4.375% | 12/15/08 | 125 | 123 |
| Bunge Ltd. Finance Corp. | 5.100% | 7/15/15 | 250 | 230 |
| C.R. Bard, Inc. | 6.700% | 12/1/26 | 750 | 770 |
| Campbell Soup Co. | 6.750% | 2/15/11 | 1,300 | 1,351 |
4 | Cardinal Health, Inc. | 5.650% | 6/15/12 | 2,000 | 1,999 |
4 | Cardinal Health, Inc. | 5.800% | 10/15/16 | 575 | 563 |
4 | Cardinal Health, Inc. | 6.000% | 6/15/17 | 100 | 99 |
| Cia. Brasil de Bebidas AmBev | 10.500% | 12/15/11 | 765 | 897 |
| Cia. Brasil de Bebidas AmBev | 8.750% | 9/15/13 | 275 | 312 |
| Clorox Co. | 4.200% | 1/15/10 | 1,850 | 1,792 |
| Clorox Co. | 5.000% | 1/15/15 | 350 | 331 |
| Coca-Cola Enterprises Inc. | 5.750% | 11/1/08 | 225 | 226 |
| Coca-Cola Enterprises Inc. | 4.375% | 9/15/09 | 850 | 832 |
| Coca-Cola Enterprises Inc. | 6.125% | 8/15/11 | 300 | 307 |
| Coca-Cola Enterprises Inc. | 8.500% | 2/1/22 | 500 | 611 |
| Coca-Cola Enterprises Inc. | 7.000% | 10/1/26 | 500 | 544 |
| Coca-Cola Enterprises Inc. | 6.950% | 11/15/26 | 500 | 539 |
| ConAgra Foods, Inc. | 7.875% | 9/15/10 | 666 | 710 |
| ConAgra Foods, Inc. | 7.125% | 10/1/26 | 450 | 475 |
| ConAgra Foods, Inc. | 7.000% | 10/1/28 | 100 | 104 |
| ConAgra Foods, Inc. | 8.250% | 9/15/30 | 250 | 296 |
| Diageo Finance BV | 5.300% | 10/28/15 | 150 | 144 |
| Eli Lilly & Co. | 6.000% | 3/15/12 | 1,250 | 1,282 |
| Eli Lilly & Co. | 5.200% | 3/15/17 | 500 | 478 |
| Eli Lilly & Co. | 5.500% | 3/15/27 | 1,175 | 1,101 |
| Fortune Brands Inc. | 5.125% | 1/15/11 | 1,125 | 1,097 |
| Fortune Brands Inc. | 5.375% | 1/15/16 | 200 | 186 |
| Fortune Brands Inc. | 5.875% | 1/15/36 | 225 | 195 |
| Genentech Inc. | 4.400% | 7/15/10 | 175 | 170 |
| Genentech Inc. | 4.750% | 7/15/15 | 350 | 328 |
| Genentech Inc. | 5.250% | 7/15/35 | 225 | 199 |
| General Mills, Inc. | 6.000% | 2/15/12 | 1,358 | 1,376 |
| General Mills, Inc. | 5.700% | 2/15/17 | 1,425 | 1,388 |
| GlaxoSmithKline Capital Inc. | 4.375% | 4/15/14 | 1,700 | 1,575 |
| Grand Metropolitan Investment Corp. | 9.000% | 8/15/11 | 1,725 | 1,933 |
32
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| H.J. Heinz Co. | 6.625% | 7/15/11 | 1,075 | 1,106 |
| H.J. Heinz Co. | 6.750% | 3/15/32 | 575 | 560 |
| Hershey Foods Corp. | 5.300% | 9/1/11 | 300 | 297 |
| Hershey Foods Corp. | 5.450% | 9/1/16 | 150 | 146 |
| Hospira, Inc. | 4.950% | 6/15/09 | 250 | 247 |
| Hospira, Inc. | 5.900% | 6/15/14 | 125 | 122 |
| Johnson & Johnson | 3.800% | 5/15/13 | 400 | 369 |
| Johnson & Johnson | 6.950% | 9/1/29 | 75 | 86 |
| Johnson & Johnson | 4.950% | 5/15/33 | 425 | 380 |
| Kellogg Co. | 6.600% | 4/1/11 | 1,625 | 1,679 |
| Kellogg Co. | 7.450% | 4/1/31 | 675 | 765 |
| Kimberly-Clark Corp. | 5.625% | 2/15/12 | 675 | 678 |
| Kimberly-Clark Corp. | 4.875% | 8/15/15 | 875 | 818 |
| Kraft Foods, Inc. | 4.125% | 11/12/09 | 1,975 | 1,914 |
| Kraft Foods, Inc. | 5.625% | 11/1/11 | 2,000 | 1,983 |
| Kraft Foods, Inc. | 6.250% | 6/1/12 | 100 | 101 |
| Kraft Foods, Inc. | 6.500% | 11/1/31 | 2,100 | 2,040 |
| Kroger Co. | 6.800% | 4/1/11 | 1,250 | 1,292 |
| Kroger Co. | 6.750% | 4/15/12 | 850 | 876 |
| Kroger Co. | 6.200% | 6/15/12 | 500 | 504 |
| Kroger Co. | 6.800% | 12/15/18 | 975 | 987 |
| Kroger Co. | 7.700% | 6/1/29 | 1,425 | 1,491 |
| Kroger Co. | 8.000% | 9/15/29 | 450 | 482 |
| Laboratory Corp. of America | 5.625% | 12/15/15 | 375 | 361 |
| McKesson Corp. | 7.750% | 2/1/12 | 450 | 484 |
| Mckesson Corp. | 5.250% | 3/1/13 | 800 | 780 |
| Medtronic Inc. | 4.375% | 9/15/10 | 175 | 169 |
| Medtronic Inc. | 4.750% | 9/15/15 | 675 | 626 |
| Merck & Co. | 4.375% | 2/15/13 | 325 | 305 |
| Merck & Co. | 4.750% | 3/1/15 | 1,300 | 1,215 |
| Merck & Co. | 6.400% | 3/1/28 | 625 | 642 |
| Merck & Co. | 5.950% | 12/1/28 | 250 | 245 |
| Molson Coors Capital Finance | 4.850% | 9/22/10 | 350 | 341 |
| Newell Rubbermaid, Inc. | 4.000% | 5/1/10 | 275 | 263 |
| Pepsi Bottling Group, Inc. | 7.000% | 3/1/29 | 450 | 494 |
| PepsiAmericas Inc. | 5.000% | 5/15/17 | 600 | 558 |
| Pepsico, Inc. | 5.150% | 5/15/12 | 975 | 963 |
| Pfizer, Inc. | 4.500% | 2/15/14 | 1,325 | 1,247 |
| Philip Morris Cos., Inc. | 7.750% | 1/15/27 | 425 | 496 |
| Procter & Gamble Co. | 6.875% | 9/15/09 | 1,725 | 1,780 |
| Procter & Gamble Co. | 4.950% | 8/15/14 | 950 | 914 |
| Procter & Gamble Co. | 6.450% | 1/15/26 | 400 | 422 |
| Procter & Gamble Co. | 5.800% | 8/15/34 | 475 | 462 |
| Procter & Gamble Co. | 5.550% | 3/5/37 | 1,150 | 1,078 |
2 | Procter & Gamble Co. ESOP | 9.360% | 1/1/21 | 993 | 1,209 |
| Quest Diagnostic, Inc. | 5.450% | 11/1/15 | 1,200 | 1,128 |
| Quest Diagnostic, Inc. | 6.950% | 7/1/37 | 500 | 505 |
| Safeway, Inc. | 6.500% | 3/1/11 | 825 | 844 |
| Safeway, Inc. | 5.800% | 8/15/12 | 225 | 225 |
| Safeway, Inc. | 7.250% | 2/1/31 | 925 | 956 |
| Schering-Plough Corp. | 5.550% | 12/1/13 | 2,475 | 2,473 |
| Schering-Plough Corp. | 6.750% | 12/1/33 | 600 | 647 |
| Sysco Corp. | 5.375% | 9/21/35 | 575 | 513 |
| Teva Pharmaceutical Finance LLC | 5.550% | 2/1/16 | 775 | 744 |
| Teva Pharmaceutical Finance LLC | 6.150% | 2/1/36 | 875 | 819 |
| Unilever Capital Corp. | 7.125% | 11/1/10 | 1,750 | 1,836 |
33
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Unilever Capital Corp. | 5.900% | 11/15/32 | 650 | 618 |
Wm. Wrigley Jr. Co. | 4.300% | 7/15/10 | 1,025 | 994 |
Wm. Wrigley Jr. Co. | 4.650% | 7/15/15 | 325 | 302 |
Wyeth | 6.950% | 3/15/11 | 625 | 654 |
Wyeth | 5.500% | 3/15/13 | 1,625 | 1,616 |
Wyeth | 5.500% | 2/1/14 | 450 | 443 |
Wyeth | 5.500% | 2/15/16 | 175 | 170 |
Wyeth | 5.450% | 4/1/17 | 275 | 266 |
Wyeth | 6.450% | 2/1/24 | 175 | 180 |
Wyeth | 6.500% | 2/1/34 | 1,800 | 1,855 |
Wyeth | 6.000% | 2/15/36 | 400 | 385 |
Wyeth | 5.950% | 4/1/37 | 2,125 | 2,025 |
|
|
|
|
|
Energy (0.9%) |
|
|
|
|
Alberta Energy Co. Ltd. | 7.375% | 11/1/31 | 400 | 439 |
Amerada Hess Corp. | 6.650% | 8/15/11 | 275 | 285 |
Amerada Hess Corp. | 7.875% | 10/1/29 | 1,300 | 1,473 |
Amerada Hess Corp. | 7.300% | 8/15/31 | 100 | 107 |
Amerada Hess Corp. | 7.125% | 3/15/33 | 1,350 | 1,421 |
Anadarko Finance Co. | 6.750% | 5/1/11 | 1,275 | 1,317 |
Anadarko Petroleum Corp. | 5.950% | 9/15/16 | 2,375 | 2,320 |
Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 1,975 | 1,894 |
Apache Corp. | 6.250% | 4/15/12 | 175 | 180 |
Apache Corp. | 5.250% | 4/15/13 | 200 | 196 |
Apache Corp. | 5.625% | 1/15/17 | 100 | 98 |
Apache Corp. | 6.000% | 1/15/37 | 750 | 716 |
Apache Finance Canada | 7.750% | 12/15/29 | 125 | 146 |
Atlantic Richfield Co. | 5.900% | 4/15/09 | 525 | 530 |
Baker Hughes, Inc. | 6.875% | 1/15/29 | 175 | 188 |
Burlington Resources, Inc. | 6.680% | 2/15/11 | 775 | 805 |
Burlington Resources, Inc. | 6.500% | 12/1/11 | 975 | 1,014 |
Burlington Resources, Inc. | 7.200% | 8/15/31 | 200 | 226 |
Burlington Resources, Inc. | 7.400% | 12/1/31 | 1,525 | 1,751 |
Canadian Natural Resources | 5.450% | 10/1/12 | 700 | 686 |
Canadian Natural Resources | 4.900% | 12/1/14 | 750 | 701 |
Canadian Natural Resources | 6.000% | 8/15/16 | 650 | 646 |
Canadian Natural Resources | 5.700% | 5/15/17 | 600 | 579 |
Canadian Natural Resources | 7.200% | 1/15/32 | 1,300 | 1,371 |
Canadian Natural Resources | 6.450% | 6/30/33 | 875 | 862 |
Canadian Natural Resources | 6.500% | 2/15/37 | 650 | 646 |
Canadian Natural Resources | 6.250% | 3/15/38 | 675 | 638 |
Conoco Funding Co. | 6.350% | 10/15/11 | 1,275 | 1,315 |
Conoco Funding Co. | 7.250% | 10/15/31 | 175 | 197 |
ConocoPhillips Canada | 5.300% | 4/15/12 | 2,100 | 2,078 |
ConocoPhillips Canada | 5.625% | 10/15/16 | 1,300 | 1,281 |
ConocoPhillips Canada | 5.950% | 10/15/36 | 1,000 | 973 |
Devon Financing Corp. | 6.875% | 9/30/11 | 1,325 | 1,384 |
Devon Financing Corp. | 7.875% | 9/30/31 | 650 | 751 |
Diamond Offshore Drilling | 4.875% | 7/1/15 | 50 | 46 |
Encana Corp. | 4.750% | 10/15/13 | 75 | 71 |
Encana Corp. | 6.500% | 8/15/34 | 1,250 | 1,266 |
Encana Holdings Finance Corp. | 5.800% | 5/1/14 | 750 | 746 |
Halliburton Co. | 5.500% | 10/15/10 | 500 | 499 |
Husky Energy Inc. | 6.250% | 6/15/12 | 175 | 179 |
Kerr McGee Corp. | 6.875% | 9/15/11 | 850 | 886 |
Kerr McGee Corp. | 6.950% | 7/1/24 | 1,250 | 1,301 |
34
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Kerr McGee Corp. | 7.875% | 9/15/31 | 200 | 232 |
| Marathon Oil Corp. | 6.125% | 3/15/12 | 1,225 | 1,248 |
| Marathon Oil Corp. | 6.000% | 7/1/12 | 500 | 508 |
| Marathon Oil Corp. | 6.800% | 3/15/32 | 1,425 | 1,519 |
| Nexen, Inc. | 5.050% | 11/20/13 | 350 | 333 |
| Nexen, Inc. | 5.650% | 5/15/17 | 550 | 529 |
| Nexen, Inc. | 7.875% | 3/15/32 | 200 | 227 |
| Nexen, Inc. | 6.400% | 5/15/37 | 1,850 | 1,780 |
| Noble Energy Inc. | 8.000% | 4/1/27 | 550 | 628 |
| Norsk Hydro | 6.360% | 1/15/09 | 275 | 278 |
| Norsk Hydro | 7.250% | 9/23/27 | 1,575 | 1,783 |
| Norsk Hydro | 7.150% | 1/15/29 | 275 | 308 |
| Occidental Petroleum | 4.250% | 3/15/10 | 1,000 | 970 |
| Occidental Petroleum | 6.750% | 1/15/12 | 350 | 368 |
| Ocean Energy, Inc. | 7.250% | 10/1/11 | 50 | 53 |
| PanCanadian Energy Corp. | 7.200% | 11/1/31 | 425 | 459 |
| Petro-Canada | 4.000% | 7/15/13 | 725 | 658 |
| Petro-Canada | 7.875% | 6/15/26 | 325 | 368 |
| Petro-Canada | 7.000% | 11/15/28 | 275 | 285 |
| Petro-Canada | 5.350% | 7/15/33 | 275 | 236 |
| Petro-Canada | 5.950% | 5/15/35 | 350 | 322 |
| Petro-Canada Financial Partnership | 5.000% | 11/15/14 | 1,025 | 966 |
| Phillips Petroleum Co. | 8.750% | 5/25/10 | 575 | 625 |
| Questar Market Resources | 6.050% | 9/1/16 | 375 | 376 |
| Shell International Finance | 5.625% | 6/27/11 | 75 | 76 |
| Shell International Finance | 4.950% | 3/22/12 | 475 | 465 |
| Shell International Finance | 5.200% | 3/22/17 | 400 | 384 |
| Suncor Energy, Inc. | 5.950% | 12/1/34 | 275 | 260 |
| Suncor Energy, Inc. | 6.500% | 6/15/38 | 1,025 | 1,037 |
| Sunoco, Inc. | 4.875% | 10/15/14 | 125 | 115 |
| Sunoco, Inc. | 5.750% | 1/15/17 | 350 | 335 |
| Talisman Energy, Inc. | 5.125% | 5/15/15 | 100 | 94 |
| Talisman Energy, Inc. | 5.850% | 2/1/37 | 875 | 775 |
| Tosco Corp. | 8.125% | 2/15/30 | 1,525 | 1,870 |
| Transocean Sedco Forex, Inc. | 7.500% | 4/15/31 | 450 | 498 |
| Valero Energy Corp. | 6.875% | 4/15/12 | 1,550 | 1,620 |
| Valero Energy Corp. | 7.500% | 4/15/32 | 1,050 | 1,148 |
| Valero Energy Corp. | 6.625% | 6/15/37 | 1,600 | 1,590 |
4 | Weatherford International Inc. | 6.350% | 6/15/17 | 825 | 834 |
| Weatherford International Inc. | 6.500% | 8/1/36 | 1,650 | 1,597 |
4 | Weatherford International Inc. | 6.800% | 6/15/37 | 200 | 203 |
| XTO Energy, Inc. | 6.250% | 4/15/13 | 500 | 511 |
| XTO Energy, Inc. | 4.900% | 2/1/14 | 200 | 189 |
| XTO Energy, Inc. | 5.000% | 1/31/15 | 125 | 117 |
| XTO Energy, Inc. | 5.300% | 6/30/15 | 250 | 238 |
| XTO Energy, Inc. | 6.100% | 4/1/36 | 75 | 70 |
|
|
|
|
|
|
| Technology (0.4%) |
|
|
|
|
| Cisco Systems Inc. | 5.250% | 2/22/11 | 2,675 | 2,658 |
| Cisco Systems Inc. | 5.500% | 2/22/16 | 3,025 | 2,951 |
| Electronic Data Systems | 7.125% | 10/15/09 | 125 | 129 |
| Electronic Data Systems | 6.500% | 8/1/13 | 725 | 717 |
| Equifax Inc. | 6.300% | 7/1/17 | 200 | 200 |
| Equifax Inc. | 7.000% | 7/1/37 | 300 | 303 |
| First Data Corp. | 3.375% | 8/1/08 | 685 | 672 |
| First Data Corp. | 4.850% | 10/1/14 | 78 | 75 |
35
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| First Data Corp. | 4.950% | 6/15/15 | 225 | 217 |
| Harris Corp. | 5.000% | 10/1/15 | 550 | 507 |
| Hewlett-Packard Co. | 5.250% | 3/1/12 | 275 | 272 |
| Hewlett-Packard Co. | 5.400% | 3/1/17 | 975 | 943 |
| International Business Machines Corp. | 5.375% | 2/1/09 | 175 | 175 |
| International Business Machines Corp. | 4.950% | 3/22/11 | 600 | 591 |
| International Business Machines Corp. | 4.750% | 11/29/12 | 575 | 554 |
| International Business Machines Corp. | 7.500% | 6/15/13 | 775 | 842 |
| International Business Machines Corp. | 7.000% | 10/30/25 | 450 | 497 |
| International Business Machines Corp. | 6.220% | 8/1/27 | 1,100 | 1,129 |
| International Business Machines Corp. | 7.125% | 12/1/96 | 125 | 139 |
| Intuit Inc. | 5.400% | 3/15/12 | 2,225 | 2,189 |
| Intuit Inc. | 5.750% | 3/15/17 | 2,225 | 2,136 |
| Motorola, Inc. | 7.625% | 11/15/10 | 201 | 213 |
| Motorola, Inc. | 7.500% | 5/15/25 | 150 | 158 |
| Motorola, Inc. | 6.500% | 9/1/25 | 50 | 48 |
| Motorola, Inc. | 6.500% | 11/15/28 | 225 | 215 |
| National Semiconductor | 6.600% | 6/15/17 | 1,200 | 1,220 |
| Oracle Corp. | 5.000% | 1/15/11 | 1,900 | 1,867 |
| Oracle Corp. | 5.250% | 1/15/16 | 2,350 | 2,251 |
| Pitney Bowes Credit Corp. | 5.750% | 8/15/08 | 1,125 | 1,129 |
| Pitney Bowes, Inc. | 4.750% | 1/15/16 | 725 | 666 |
| Science Applications International Corp. | 6.250% | 7/1/12 | 100 | 102 |
| Science Applications International Corp. | 5.500% | 7/1/33 | 100 | 85 |
| Xerox Corp. | 9.750% | 1/15/09 | 325 | 345 |
| Xerox Corp. | 7.125% | 6/15/10 | 975 | 1,010 |
| Xerox Corp. | 6.875% | 8/15/11 | 300 | 311 |
| Xerox Corp. | 5.500% | 5/15/12 | 500 | 492 |
| Xerox Corp. | 7.625% | 6/15/13 | 300 | 313 |
| Xerox Corp. | 6.400% | 3/15/16 | 500 | 501 |
| Xerox Corp. | 6.750% | 2/1/17 | 450 | 461 |
|
|
|
|
|
|
| Transportation (0.4%) |
|
|
|
|
| American Airlines, Inc. | 7.024% | 10/15/09 | 1,750 | 1,783 |
| American Airlines, Inc. | 7.858% | 10/1/11 | 175 | 186 |
| Burlington Northern Santa Fe Corp. | 6.750% | 7/15/11 | 575 | 598 |
| Burlington Northern Santa Fe Corp. | 5.650% | 5/1/17 | 2,350 | 2,265 |
| Burlington Northern Santa Fe Corp. | 7.000% | 12/15/25 | 550 | 583 |
| Burlington Northern Santa Fe Corp. | 6.200% | 8/15/36 | 1,400 | 1,354 |
| Burlington Northern Santa Fe Corp. | 6.150% | 5/1/37 | 625 | 607 |
| CNF, Inc. | 6.700% | 5/1/34 | 275 | 256 |
| CSX Corp. | 6.750% | 3/15/11 | 1,200 | 1,239 |
| CSX Corp. | 6.300% | 3/15/12 | 475 | 484 |
| CSX Corp. | 5.600% | 5/1/17 | 75 | 72 |
| CSX Corp. | 7.900% | 5/1/17 | 300 | 334 |
| CSX Corp. | 6.150% | 5/1/37 | 500 | 481 |
| Canadian National Railway Co. | 6.375% | 10/15/11 | 425 | 437 |
| Canadian National Railway Co. | 4.400% | 3/15/13 | 275 | 259 |
| Canadian National Railway Co. | 6.800% | 7/15/18 | 1,200 | 1,276 |
| Canadian National Railway Co. | 6.250% | 8/1/34 | 275 | 274 |
| Canadian National Railway Co. | 6.200% | 6/1/36 | 625 | 619 |
| Canadian Pacific Rail | 6.250% | 10/15/11 | 1,475 | 1,508 |
| Canadian Pacific Rail | 7.125% | 10/15/31 | 175 | 194 |
| Canadian Pacific Rail | 5.950% | 5/15/37 | 200 | 190 |
| Continental Airlines, Inc. | 6.563% | 2/15/12 | 550 | 570 |
2 | Continental Airlines, Inc. | 6.648% | 9/15/17 | 2,007 | 2,042 |
36
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| FedEx Corp. | 3.500% | 4/1/09 | 125 | 121 |
| FedEx Corp. | 5.500% | 8/15/09 | 525 | 525 |
| Mass Transit Railway Corp. | 7.500% | 11/8/10 | 675 | 718 |
| Norfolk Southern Corp. | 6.200% | 4/15/09 | 225 | 227 |
| Norfolk Southern Corp. | 6.750% | 2/15/11 | 2,000 | 2,074 |
| Norfolk Southern Corp. | 7.700% | 5/15/17 | 275 | 303 |
| Norfolk Southern Corp. | 9.750% | 6/15/20 | 633 | 813 |
| Norfolk Southern Corp. | 7.800% | 5/15/27 | 325 | 370 |
| Norfolk Southern Corp. | 7.050% | 5/1/37 | 1,650 | 1,741 |
| Norfolk Southern Corp. | 7.900% | 5/15/97 | 325 | 363 |
| Ryder System Inc. | 5.950% | 5/2/11 | 350 | 351 |
| Ryder System Inc. | 5.850% | 3/1/14 | 325 | 320 |
| Ryder System Inc. | 5.850% | 11/1/16 | 150 | 144 |
| Southwest Airlines Co. | 6.500% | 3/1/12 | 1,025 | 1,054 |
| Southwest Airlines Co. | 5.750% | 12/15/16 | 475 | 452 |
| Southwest Airlines Co. | 5.125% | 3/1/17 | 100 | 90 |
| Union Pacific Corp. | 7.250% | 11/1/08 | 525 | 536 |
| Union Pacific Corp. | 3.625% | 6/1/10 | 250 | 237 |
| Union Pacific Corp. | 6.125% | 1/15/12 | 50 | 51 |
| Union Pacific Corp. | 6.500% | 4/15/12 | 300 | 308 |
| Union Pacific Corp. | 6.625% | 2/1/29 | 600 | 609 |
2 | United Air Lines Inc. | 6.636% | 7/2/22 | 350 | 353 |
|
|
|
|
|
|
| Other (0.0%) |
|
|
|
|
| Black & Decker Corp. | 7.125% | 6/1/11 | 500 | 520 |
| Cooper Industries, Inc. | 5.250% | 11/15/12 | 550 | 539 |
| Dover Corp. | 4.875% | 10/15/15 | 675 | 633 |
| Rockwell International Corp. | 6.700% | 1/15/28 | 175 | 185 |
|
|
|
|
| 586,068 |
Utilities (1.7%) |
|
|
|
| |
| Electric (1.3%) |
|
|
|
|
| AEP Texas Central Co. | 6.650% | 2/15/33 | 325 | 338 |
| Alabama Power Co. | 5.500% | 10/15/17 | 850 | 828 |
| American Electric Power Co., Inc. | 5.375% | 3/15/10 | 800 | 797 |
| Arizona Public Service Co. | 4.650% | 5/15/15 | 350 | 320 |
4 | Baltimore Gas & Electric Co. | 5.900% | 10/1/16 | 500 | 497 |
4 | Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 200 | 198 |
| Carolina Power & Light Co. | 6.500% | 7/15/12 | 1,500 | 1,556 |
| CenterPoint Energy Houston | 5.700% | 3/15/13 | 1,025 | 1,023 |
| Cincinnati Gas & Electric Co. | 5.700% | 9/15/12 | 225 | 225 |
| Cleveland Electric Illumination Co. | 7.880% | 11/1/17 | 175 | 198 |
| Columbus Southern Power | 5.850% | 10/1/35 | 500 | 475 |
| Commonwealth Edison Co. | 6.150% | 3/15/12 | 375 | 377 |
| Connecticut Light & Power Co. | 6.350% | 6/1/36 | 825 | 839 |
| Consolidated Edison Co. of New York | 4.875% | 2/1/13 | 175 | 168 |
| Consolidated Edison Co. of New York | 5.375% | 12/15/15 | 275 | 267 |
| Consolidated Edison Co. of New York | 5.500% | 9/15/16 | 1,500 | 1,460 |
| Consolidated Edison Co. of New York | 5.300% | 3/1/35 | 50 | 44 |
| Consolidated Edison Co. of New York | 5.850% | 3/15/36 | 300 | 286 |
| Consolidated Edison Co. of New York | 6.200% | 6/15/36 | 400 | 401 |
| Constellation Energy Group, Inc. | 6.125% | 9/1/09 | 300 | 304 |
| Constellation Energy Group, Inc. | 7.000% | 4/1/12 | 50 | 53 |
| Constellation Energy Group, Inc. | 4.550% | 6/15/15 | 2,725 | 2,465 |
| Constellation Energy Group, Inc. | 7.600% | 4/1/32 | 325 | 362 |
| Consumers Energy Co. | 4.800% | 2/17/09 | 700 | 692 |
| Consumers Energy Co. | 5.000% | 2/15/12 | 350 | 341 |
37
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Consumers Energy Co. | 5.375% | 4/15/13 | 175 | 172 |
| Consumers Energy Co. | 5.500% | 8/15/16 | 675 | 652 |
| DTE Energy Co. | 7.050% | 6/1/11 | 175 | 183 |
| Detroit Edison Co. | 6.125% | 10/1/10 | 275 | 280 |
| Detroit Edison Co. | 5.700% | 10/1/37 | 375 | 350 |
| Dominion Resources, Inc. | 4.750% | 12/15/10 | 650 | 635 |
| Dominion Resources, Inc. | 6.250% | 6/30/12 | 350 | 362 |
| Dominion Resources, Inc. | 5.150% | 7/15/15 | 1,875 | 1,776 |
| Dominion Resources, Inc. | 6.300% | 3/15/33 | 75 | 75 |
| Dominion Resources, Inc. | 5.250% | 8/1/33 | 175 | 168 |
| Dominion Resources, Inc. | 5.950% | 6/15/35 | 1,900 | 1,782 |
2 | Dominion Resources, Inc. | 6.300% | 9/30/66 | 325 | 325 |
| Duke Energy Carolinas | 6.100% | 6/1/37 | 1,325 | 1,316 |
| Duke Energy Corp. | 6.250% | 1/15/12 | 1,200 | 1,232 |
| Duke Energy Corp. | 6.450% | 10/15/32 | 900 | 937 |
| El Paso Electric Co. | 6.000% | 5/15/35 | 125 | 117 |
| Energy East Corp. | 6.750% | 6/15/12 | 550 | 573 |
| Energy East Corp. | 6.750% | 7/15/36 | 750 | 779 |
| Exelon Corp. | 4.900% | 6/15/15 | 575 | 531 |
| FPL Group Capital, Inc. | 5.625% | 9/1/11 | 250 | 251 |
2 | FPL Group Capital, Inc. | 6.350% | 10/1/16 | 250 | 243 |
2 | FPL Group Capital, Inc. | 6.650% | 6/15/67 | 625 | 617 |
| FirstEnergy Corp. | 6.450% | 11/15/11 | 3,025 | 3,103 |
| FirstEnergy Corp. | 7.375% | 11/15/31 | 700 | 762 |
| Florida Power & Light Co. | 5.950% | 10/1/33 | 400 | 393 |
| Florida Power & Light Co. | 5.625% | 4/1/34 | 775 | 728 |
| Florida Power & Light Co. | 4.950% | 6/1/35 | 575 | 488 |
| Florida Power & Light Co. | 5.400% | 9/1/35 | 550 | 500 |
| Florida Power & Light Co. | 6.200% | 6/1/36 | 700 | 711 |
| Florida Power & Light Co. | 5.650% | 2/1/37 | 125 | 118 |
| Florida Power & Light Co. | 5.850% | 5/1/37 | 700 | 678 |
| Florida Power Corp. | 4.500% | 6/1/10 | 425 | 415 |
| Florida Power Corp. | 4.800% | 3/1/13 | 775 | 745 |
| Indiana Michigan Power Co. | 6.050% | 3/15/37 | 1,300 | 1,243 |
| Jersey Central Power & Light | 5.625% | 5/1/16 | 275 | 267 |
4 | Jersey Central Power & Light | 5.650% | 6/1/17 | 450 | 437 |
| Kansas City Power & Light | 6.050% | 11/15/35 | 175 | 166 |
| MidAmerican Energy Co. | 5.650% | 7/15/12 | 350 | 350 |
| MidAmerican Energy Co. | 5.950% | 7/15/17 | 350 | 350 |
| MidAmerican Energy Co. | 6.750% | 12/30/31 | 725 | 781 |
| MidAmerican Energy Co. | 5.750% | 11/1/35 | 275 | 259 |
| MidAmerican Energy Holdings Co. | 5.875% | 10/1/12 | 900 | 908 |
| MidAmerican Energy Holdings Co. | 5.000% | 2/15/14 | 175 | 167 |
| MidAmerican Energy Holdings Co. | 6.125% | 4/1/36 | 4,875 | 4,736 |
4 | MidAmerican Energy Holdings Co. | 5.950% | 5/15/37 | 400 | 381 |
| NStar Electric Co. | 4.875% | 4/15/14 | 175 | 167 |
| National Rural Utilities Cooperative Finance Corp. | 7.250% | 3/1/12 | 3,225 | 3,443 |
| National Rural Utilities Cooperative Finance Corp. | 8.000% | 3/1/32 | 225 | 278 |
| NiSource Finance Corp. | 7.875% | 11/15/10 | 550 | 587 |
| NiSource Finance Corp. | 5.400% | 7/15/14 | 175 | 168 |
| NiSource Finance Corp. | 5.250% | 9/15/17 | 550 | 506 |
| NiSource Finance Corp. | 5.450% | 9/15/20 | 600 | 545 |
| Niagara Mohawk Power Corp. | 7.750% | 10/1/08 | 300 | 307 |
| Northern States Power Co. | 6.250% | 6/1/36 | 200 | 205 |
| Ohio Edison | 6.400% | 7/15/16 | 425 | 435 |
| Ohio Power Co. | 6.000% | 6/1/16 | 350 | 351 |
38
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Oncor Electric Delivery Co. | 6.375% | 5/1/12 | 675 | 691 |
| Oncor Electric Delivery Co. | 6.375% | 1/15/15 | 700 | 712 |
| Oncor Electric Delivery Co. | 7.250% | 1/15/33 | 125 | 134 |
| PPL Energy Supply LLC | 6.400% | 11/1/11 | 1,325 | 1,347 |
| PPL Energy Supply LLC | 6.200% | 5/15/16 | 1,075 | 1,064 |
| PPL Energy Supply LLC | 6.000% | 12/15/36 | 325 | 295 |
| PSE&G Power LLC | 7.750% | 4/15/11 | 850 | 909 |
| PSE&G Power LLC | 6.950% | 6/1/12 | 1,550 | 1,624 |
| PSE&G Power LLC | 5.500% | 12/1/15 | 775 | 746 |
| PSE&G Power LLC | 8.625% | 4/15/31 | 75 | 91 |
| PSI Energy Inc. | 5.000% | 9/15/13 | 500 | 479 |
| PacifiCorp | 6.900% | 11/15/11 | 500 | 526 |
| PacifiCorp | 7.700% | 11/15/31 | 250 | 296 |
| PacifiCorp | 5.250% | 6/15/35 | 175 | 152 |
| Pacific Gas & Electric Co. | 3.600% | 3/1/09 | 225 | 218 |
| Pacific Gas & Electric Co. | 4.200% | 3/1/11 | 225 | 215 |
| Pacific Gas & Electric Co. | 4.800% | 3/1/14 | 625 | 590 |
| Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 3,300 | 3,210 |
| Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 750 | 700 |
| Pepco Holdings, Inc. | 6.450% | 8/15/12 | 825 | 844 |
| Pepco Holdings, Inc. | 7.450% | 8/15/32 | 175 | 192 |
| Progress Energy, Inc. | 7.100% | 3/1/11 | 1,430 | 1,501 |
| Progress Energy, Inc. | 5.625% | 1/15/16 | 500 | 490 |
| Progress Energy, Inc. | 7.750% | 3/1/31 | 350 | 406 |
| Progress Energy, Inc. | 7.000% | 10/30/31 | 50 | 54 |
| Public Service Co. of Colorado | 4.375% | 10/1/08 | 300 | 296 |
| Public Service Co. of Colorado | 7.875% | 10/1/12 | 1,875 | 2,064 |
| Public Service Co. of Colorado | 5.500% | 4/1/14 | 275 | 271 |
| Public Service Electric & Gas | 5.800% | 5/1/37 | 1,950 | 1,857 |
| Puget Sound Energy Inc. | 5.483% | 6/1/35 | 100 | 88 |
| Puget Sound Energy Inc. | 6.274% | 3/15/37 | 650 | 643 |
| SCANA Corp. | 6.875% | 5/15/11 | 1,325 | 1,379 |
| Southern California Edison Co. | 5.000% | 1/15/14 | 1,175 | 1,125 |
| Southern California Edison Co. | 5.000% | 1/15/16 | 1,600 | 1,521 |
| Southern California Edison Co. | 6.650% | 4/1/29 | 250 | 265 |
| Southern California Edison Co. | 6.000% | 1/15/34 | 175 | 174 |
| Southern California Edison Co. | 5.750% | 4/1/35 | 225 | 216 |
| Southern California Edison Co. | 5.350% | 7/15/35 | 125 | 113 |
| Southern California Edison Co. | 5.625% | 2/1/36 | 125 | 118 |
| Southern California Edison Co. | 5.550% | 1/15/37 | 1,400 | 1,302 |
| Southern Co. | 5.300% | 1/15/12 | 525 | 524 |
| Southern Power Co. | 6.250% | 7/15/12 | 175 | 180 |
| Southern Power Co. | 4.875% | 7/15/15 | 750 | 698 |
| Tampa Electric Co. | 6.550% | 5/15/36 | 400 | 411 |
| Toledo Edison Co. | 6.150% | 5/15/37 | 300 | 283 |
| Union Electric Co. | 5.400% | 2/1/16 | 300 | 287 |
| Virginia Electric & Power Co. | 5.400% | 1/15/16 | 1,000 | 968 |
| Virginia Electric & Power Co. | 6.000% | 1/15/36 | 350 | 338 |
| Virginia Electric & Power Co. | 6.000% | 5/15/37 | 1,200 | 1,152 |
| Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 175 | 165 |
| Wisconsin Energy Corp. | 6.500% | 4/1/11 | 400 | 412 |
2 | Wisconsin Energy Corp. | 6.250% | 5/15/67 | 275 | 263 |
4 | Xcel Energy, Inc. | 5.613% | 4/1/17 | 131 | 128 |
| Xcel Energy, Inc. | 6.500% | 7/1/36 | 425 | 434 |
39
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Natural Gas (0.4%) |
|
|
|
|
| AGL Capital Corp. | 7.125% | 1/14/11 | 300 | 314 |
| Atmos Energy Corp. | 4.000% | 10/15/09 | 400 | 388 |
| Atmos Energy Corp. | 4.950% | 10/15/14 | 475 | 443 |
| Boardwalk Pipelines LLC | 5.500% | 2/1/17 | 125 | 119 |
| CenterPoint Energy Resources | 7.875% | 4/1/13 | 750 | 819 |
| CenterPoint Energy Resources | 6.150% | 5/1/16 | 650 | 649 |
| Consolidated Natural Gas | 6.250% | 11/1/11 | 1,375 | 1,405 |
| Consolidated Natural Gas | 5.000% | 12/1/14 | 950 | 900 |
| Duke Capital Corp. | 7.500% | 10/1/09 | 250 | 260 |
| Duke Capital Corp. | 5.500% | 3/1/14 | 425 | 411 |
| Duke Capital Corp. | 6.750% | 2/15/32 | 175 | 172 |
| Duke Energy Field Services | 7.875% | 8/16/10 | 225 | 239 |
| Duke Energy Field Services | 8.125% | 8/16/30 | 275 | 325 |
4 | El Paso Natural Gas Co. | 5.950% | 4/15/17 | 300 | 292 |
| Energy Transfer Partners LP | 5.650% | 8/1/12 | 625 | 618 |
| Energy Transfer Partners LP | 5.950% | 2/1/15 | 175 | 172 |
| Energy Transfer Partners LP | 6.125% | 2/15/17 | 300 | 296 |
| Energy Transfer Partners LP | 6.625% | 10/15/36 | 550 | 538 |
| Enterprise Products Operating LP | 4.950% | 6/1/10 | 700 | 688 |
| Enterprise Products Operating LP | 5.600% | 10/15/14 | 875 | 852 |
| Enterprise Products Operating LP | 6.875% | 3/1/33 | 100 | 101 |
| KeySpan Corp. | 7.625% | 11/15/10 | 100 | 106 |
| KeySpan Corp. | 8.000% | 11/15/30 | 200 | 238 |
| Kinder Morgan Energy Partners LP | 7.125% | 3/15/12 | 600 | 629 |
| Kinder Morgan Energy Partners LP | 5.000% | 12/15/13 | 450 | 425 |
| Kinder Morgan Energy Partners LP | 5.125% | 11/15/14 | 425 | 399 |
| Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 450 | 469 |
| Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 100 | 89 |
| Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 150 | 151 |
| Magellan Midstream Partners, LP | 5.650% | 10/15/16 | 100 | 96 |
| National Grid PLC | 6.300% | 8/1/16 | 1,825 | 1,863 |
| ONEOK Inc. | 5.200% | 6/15/15 | 450 | 425 |
| ONEOK Inc. | 6.000% | 6/15/35 | 225 | 202 |
| ONEOK Partners, LP | 5.900% | 4/1/12 | 450 | 452 |
| ONEOK Partners, LP | 6.150% | 10/1/16 | 725 | 725 |
| ONEOK Partners, LP | 6.650% | 10/1/36 | 2,275 | 2,277 |
| San Diego Gas & Electric | 5.300% | 11/15/15 | 225 | 220 |
| San Diego Gas & Electric | 5.350% | 5/15/35 | 100 | 92 |
| Sempra Energy | 7.950% | 3/1/10 | 20 | 21 |
| Southern California Gas Co. | 5.750% | 11/15/35 | 350 | 337 |
4 | Southern Natural Gas | 5.900% | 4/1/17 | 2,875 | 2,795 |
| Texas Gas Transmission | 4.600% | 6/1/15 | 975 | 887 |
| Trans-Canada Pipelines | 4.000% | 6/15/13 | 675 | 619 |
| Trans-Canada Pipelines | 5.600% | 3/31/34 | 1,225 | 1,125 |
| Trans-Canada Pipelines | 5.850% | 3/15/36 | 800 | 754 |
2 | Trans-Canada Pipelines | 6.350% | 5/15/67 | 525 | 501 |
|
|
|
|
| 114,607 |
Total Corporate Bonds (Cost $1,795,695) |
|
|
| 1,765,797 | |
Sovereign Bonds (U.S. Dollar-Denominated) (2.3%) |
|
|
|
| |
| African Development Bank | 3.250% | 8/1/08 | 850 | 833 |
| Asian Development Bank | 4.125% | 9/15/10 | 200 | 194 |
| Asian Development Bank | 5.593% | 7/16/18 | 1,700 | 1,701 |
| Bayerische Landesbank | 2.875% | 10/15/08 | 450 | 437 |
| Canadian Government | 5.250% | 11/5/08 | 275 | 276 |
40
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Canadian Mortgage & Housing | 4.800% | 10/1/10 | 25 | 25 |
China Development Bank | 4.750% | 10/8/14 | 575 | 541 |
China Development Bank | 5.000% | 10/15/15 | 175 | 167 |
Corp. Andina de Fomento | 5.200% | 5/21/13 | 375 | 364 |
Corp. Andina de Fomento | 5.750% | 1/12/17 | 1,900 | 1,853 |
Development Bank of Japan | 4.250% | 6/9/15 | 175 | 162 |
Eksportfinans | 4.750% | 12/15/08 | 1,300 | 1,291 |
Eksportfinans | 5.500% | 5/25/16 | 2,125 | 2,132 |
Eksportfinans | 5.500% | 6/26/17 | 850 | 848 |
European Investment Bank | 3.875% | 8/15/08 | 4,525 | 4,466 |
European Investment Bank | 4.500% | 2/17/09 | 125 | 124 |
European Investment Bank | 5.000% | 2/8/10 | 200 | 199 |
European Investment Bank | 4.000% | 3/3/10 | 3,575 | 3,474 |
European Investment Bank | 4.125% | 9/15/10 | 1,500 | 1,455 |
European Investment Bank | 5.250% | 6/15/11 | 3,850 | 3,862 |
European Investment Bank | 4.625% | 5/15/14 | 3,025 | 2,886 |
European Investment Bank | 4.875% | 2/16/16 | 500 | 481 |
European Investment Bank | 5.125% | 9/13/16 | 300 | 293 |
European Investment Bank | 4.875% | 1/17/17 | 1,725 | 1,654 |
European Investment Bank | 5.125% | 5/30/17 | 3,025 | 2,961 |
Export-Import Bank of Korea | 4.500% | 8/12/09 | 175 | 172 |
Export-Import Bank of Korea | 4.625% | 3/16/10 | 175 | 171 |
Export-Import Bank of Korea | 5.125% | 2/14/11 | 750 | 737 |
Export-Import Bank of Korea | 5.125% | 3/16/15 | 400 | 381 |
Federation of Malaysia | 8.750% | 6/1/09 | 750 | 794 |
Federation of Malaysia | 7.500% | 7/15/11 | 2,050 | 2,190 |
Financement Quebec | 5.000% | 10/25/12 | 550 | 539 |
Inter-American Development Bank | 5.375% | 11/18/08 | 275 | 276 |
Inter-American Development Bank | 5.625% | 4/16/09 | 2,650 | 2,669 |
Inter-American Development Bank | 8.500% | 3/15/11 | 575 | 635 |
Inter-American Development Bank | 4.375% | 9/20/12 | 800 | 767 |
Inter-American Development Bank | 4.250% | 9/14/15 | 75 | 69 |
Inter-American Development Bank | 7.000% | 6/15/25 | 725 | 841 |
International Bank for |
|
|
|
|
Reconstruction & Development | 4.125% | 6/24/09 | 1,025 | 1,006 |
International Bank for |
|
|
|
|
Reconstruction & Development | 4.125% | 8/12/09 | 775 | 760 |
International Bank for |
|
|
|
|
Reconstruction & Development | 8.875% | 3/1/26 | 450 | 616 |
Japan Bank International | 4.750% | 5/25/11 | 225 | 221 |
Japan Finance Corp. | 5.875% | 3/14/11 | 1,000 | 1,020 |
Japan Finance Corp. | 4.625% | 4/21/15 | 600 | 568 |
KFW International Finance Inc. | 4.875% | 10/19/09 | 1,350 | 1,340 |
Korea Development Bank | 3.875% | 3/2/09 | 550 | 536 |
Korea Development Bank | 4.750% | 7/20/09 | 450 | 443 |
Korea Development Bank | 4.625% | 9/16/10 | 625 | 609 |
Korea Development Bank | 5.750% | 9/10/13 | 1,975 | 1,987 |
Korea Electric Power | 7.750% | 4/1/13 | 1,325 | 1,468 |
Kreditanstalt fur Wiederaufbau | 4.625% | 11/17/08 | 1,400 | 1,389 |
Kreditanstalt fur Wiederaufbau | 5.250% | 5/19/09 | 1,525 | 1,526 |
Kreditanstalt fur Wiederaufbau | 5.000% | 6/1/10 | 2,125 | 2,116 |
Kreditanstalt fur Wiederaufbau | 4.250% | 6/15/10 | 6,150 | 5,989 |
Kreditanstalt fur Wiederaufbau | 4.625% | 1/20/11 | 500 | 490 |
Kreditanstalt fur Wiederaufbau | 4.750% | 5/15/12 | 925 | 906 |
Kreditanstalt fur Wiederaufbau | 4.125% | 10/15/14 | 275 | 255 |
Kreditanstalt fur Wiederaufbau | 5.125% | 3/14/16 | 1,015 | 999 |
41
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Landeskreditbank |
|
|
|
|
Baden-Wuerttemberg–Foerderbank | 4.250% | 9/15/10 | 250 | 243 |
Landwirtschaftliche Rentenbank | 3.875% | 9/4/08 | 1,175 | 1,158 |
Landwirtschaftliche Rentenbank | 5.250% | 7/2/12 | 750 | 749 |
Landwirtschaftliche Rentenbank | 4.875% | 11/16/15 | 275 | 266 |
Oesterreichische Kontrollbank | 4.250% | 10/6/10 | 725 | 705 |
Oesterreichische Kontrollbank | 4.500% | 3/9/15 | 125 | 118 |
Ontario Hydro Electric | 7.450% | 3/31/13 | 225 | 247 |
Pemex Project Funding Master Trust | 6.125% | 8/15/08 | 525 | 528 |
Pemex Project Funding Master Trust | 7.875% | 2/1/09 | 1,350 | 1,396 |
Pemex Project Funding Master Trust | 9.125% | 10/13/10 | 525 | 576 |
Pemex Project Funding Master Trust | 8.000% | 11/15/11 | 1,275 | 1,381 |
Pemex Project Funding Master Trust | 7.375% | 12/15/14 | 60 | 65 |
Pemex Project Funding Master Trust | 5.750% | 12/15/15 | 1,735 | 1,700 |
Pemex Project Funding Master Trust | 8.625% | 2/1/22 | 1,775 | 2,166 |
Pemex Project Funding Master Trust | 6.625% | 6/15/35 | 1,450 | 1,465 |
People’s Republic of China | 7.300% | 12/15/08 | 175 | 179 |
People’s Republic of China | 4.750% | 10/29/13 | 375 | 362 |
Petrobras International Finance | 6.125% | 10/6/16 | 2,075 | 2,025 |
Petrobras International Finance | 8.375% | 12/10/18 | 600 | 690 |
Province of British Columbia | 5.375% | 10/29/08 | 1,170 | 1,171 |
Province of Manitoba | 7.500% | 2/22/10 | 625 | 658 |
Province of Nova Scotia | 5.750% | 2/27/12 | 225 | 227 |
Province of Ontario | 5.500% | 10/1/08 | 2,875 | 2,882 |
Province of Ontario | 3.625% | 10/21/09 | 625 | 603 |
Province of Ontario | 5.000% | 10/18/11 | 525 | 519 |
Province of Ontario | 4.750% | 1/19/16 | 900 | 858 |
Province of Ontario | 5.450% | 4/27/16 | 2,075 | 2,077 |
Province of Quebec | 5.750% | 2/15/09 | 800 | 805 |
Province of Quebec | 5.000% | 7/17/09 | 1,375 | 1,365 |
Province of Quebec | 6.125% | 1/22/11 | 850 | 870 |
Province of Quebec | 4.600% | 5/26/15 | 275 | 259 |
Province of Quebec | 5.125% | 11/14/16 | 2,450 | 2,376 |
Province of Quebec | 7.500% | 9/15/29 | 2,425 | 2,942 |
Province of Saskatchewan | 7.375% | 7/15/13 | 200 | 219 |
Quebec Hydro Electric | 6.300% | 5/11/11 | 1,250 | 1,276 |
Quebec Hydro Electric | 7.500% | 4/1/16 | 1,200 | 1,345 |
Quebec Hydro Electric | 8.050% | 7/7/24 | 1,325 | 1,659 |
Region of Lombardy, Italy | 5.804% | 10/25/32 | 225 | 223 |
Republic of Chile | 7.125% | 1/11/12 | 925 | 981 |
Republic of Chile | 5.500% | 1/15/13 | 175 | 174 |
Republic of Hungary | 4.750% | 2/3/15 | 1,525 | 1,419 |
Republic of Italy | 6.000% | 2/22/11 | 2,825 | 2,882 |
Republic of Italy | 5.625% | 6/15/12 | 3,600 | 3,633 |
Republic of Italy | 4.750% | 1/25/16 | 5,650 | 5,358 |
Republic of Italy | 5.250% | 9/20/16 | 350 | 343 |
Republic of Italy | 6.875% | 9/27/23 | 3,100 | 3,474 |
Republic of Italy | 5.375% | 6/15/33 | 625 | 587 |
Republic of Korea | 4.250% | 6/1/13 | 2,300 | 2,148 |
Republic of Korea | 5.625% | 11/3/25 | 250 | 239 |
Republic of Poland | 6.250% | 7/3/12 | 675 | 694 |
Republic of Poland | 5.250% | 1/15/14 | 1,000 | 978 |
Republic of South Africa | 7.375% | 4/25/12 | 2,475 | 2,634 |
Republic of South Africa | 6.500% | 6/2/14 | 325 | 336 |
Republic of South Africa | 5.875% | 5/30/22 | 400 | 399 |
State of Israel | 4.625% | 6/15/13 | 225 | 218 |
42
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| State of Israel | 5.500% | 11/9/16 | 1,575 | 1,542 |
| Swedish Export Credit Corp. | 4.125% | 10/15/08 | 725 | 714 |
| Swedish Export Credit Corp. | 4.000% | 6/15/10 | 450 | 435 |
| United Mexican States | 10.375% | 2/17/09 | 265 | 284 |
| United Mexican States | 9.875% | 2/1/10 | 975 | 1,075 |
| United Mexican States | 8.375% | 1/14/11 | 4,375 | 4,758 |
| United Mexican States | 7.500% | 1/14/12 | 203 | 218 |
| United Mexican States | 6.375% | 1/16/13 | 4,016 | 4,143 |
| United Mexican States | 6.625% | 3/3/15 | 47 | 49 |
| United Mexican States | 11.375% | 9/15/16 | 100 | 138 |
| United Mexican States | 5.625% | 1/15/17 | 3,775 | 3,696 |
| United Mexican States | 8.300% | 8/15/31 | 1,100 | 1,375 |
| United Mexican States | 6.750% | 9/27/34 | 5,670 | 6,047 |
Total Sovereign Bonds (Cost $158,901) |
|
|
| 156,488 | |
Taxable Municipal Bonds (0.2%) |
|
|
|
| |
| Illinois (Taxable Pension) GO | 4.950% | 6/1/23 | 2,525 | 2,334 |
| Illinois (Taxable Pension) GO | 5.100% | 6/1/33 | 5,450 | 4,960 |
| Kansas Dev. Finance Auth. Rev. |
|
|
|
|
| (Public Employee Retirement System) | 5.501% | 5/1/34 | 675 | 653 |
| New Jersey Econ. Dev. Auth. State Pension Rev. | 7.425% | 2/15/29 | 500 | 596 |
| New Jersey Turnpike Auth. Rev. | 4.252% | 1/1/16 | 10 | 9 |
| New Jersey Turnpike Auth. Rev. | 4.252% | 1/1/16 | 290 | 271 |
| Oregon (Taxable Pension) GO | 5.762% | 6/1/23 | 225 | 227 |
| Oregon (Taxable Pension) GO | 5.892% | 6/1/27 | 450 | 456 |
| Oregon School Board Assn. | 4.759% | 6/30/28 | 300 | 270 |
| Oregon School Board Assn. | 5.528% | 6/30/28 | 100 | 98 |
| Wisconsin Public Service Rev. | 4.800% | 5/1/13 | 275 | 267 |
| Wisconsin Public Service Rev. | 5.700% | 5/1/26 | 275 | 272 |
Total Taxable Municipal Bonds (Cost $10,881) |
|
|
| 10,413 | |
|
|
|
|
|
|
|
|
|
| Shares |
|
Temporary Cash Investment (1.3%) |
|
|
|
| |
5 | Vanguard Market Liquidity Fund |
|
|
|
|
| (Cost $90,172) | 5.281% |
| 90,172,248 | 90,172 |
Total Investments (99.9%) (Cost $6,902,560) |
|
|
| 6,786,735 | |
Other Assets and Liabilities (0.1%) |
|
|
|
| |
Other Assets |
|
|
| 180,417 | |
Liabilities |
|
|
| (172,280) | |
|
|
|
|
| 8,137 |
Net Assets (100%) |
|
|
|
| |
Applicable to 137,179,961 outstanding $.001 par value shares of |
|
|
| ||
beneficial interest (unlimited authorization) |
|
|
| 6,794,872 | |
Net Asset Value Per Share |
|
|
| $49.53 |
43
At June 30, 2007, net assets consisted of:6 |
|
|
| Amount | Per |
| ($000) | Share |
Paid-in Capital | 6,934,034 | $50.54 |
Overdistributed Net Investment Income | (2,731) | (.02) |
Accumulated Net Realized Losses | (20,103) | (.15) |
Unrealized Depreciation |
|
|
Investment Securities | (115,825) | (.84) |
Swap Contracts | (503) | — |
Net Assets | 6,794,872 | $49.53 |
• | 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 due to 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 June 30, 2007, the aggregate value of these securities was $36,396,000, representing 0.5% of net assets.
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.
44
Statement of Operations
| Six Months Ended |
| June 30, 2007 |
| ($000) |
Investment Income |
|
Income |
|
Interest1 | 151,784 |
Total Income | 151,784 |
Expenses |
|
The Vanguard Group—Note B |
|
Management and Administrative | 1,446 |
Total Expenses | 1,446 |
Net Investment Income | 150,338 |
Realized Net Gain (Loss) |
|
Investment Securities Sold | (3,515) |
Swap Contracts | (8,155) |
Realized Net Gain (Loss) | (11,670) |
Change in Unrealized Appreciation (Depreciation) |
|
Investment Securities | (107,116) |
Swap Contracts | (435) |
Change in Unrealized Appreciation (Depreciation) | (107,551) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 31,117 |
1 Interest income from an affiliated company of the fund was $3,987,000.
45
Statement of Changes in Net Assets
| Six Months Ended | Year Ended |
| June 30, | December 31, |
| 2007 | 2006 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net Investment Income | 150,338 | 194,688 |
Realized Net Gain (Loss) | (11,670) | (9,853) |
Change in Unrealized Appreciation (Depreciation) | (107,551) | (7,621) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 31,117 | 177,214 |
Distributions |
|
|
Net Investment Income | (143,186) | (198,594) |
Realized Capital Gain | — | — |
Total Distributions | (143,186) | (198,594) |
Capital Share Transactions—Note E |
|
|
Issued | 2,197,471 | 2,098,246 |
Issued in Lieu of Cash Distributions | 132,787 | 183,996 |
Redeemed | (249,550) | (295,286) |
Net Increase (Decrease) from Capital Share Transactions | 2,080,708 | 1,986,956 |
Total Increase (Decrease) | 1,968,639 | 1,965,576 |
Net Assets |
|
|
Beginning of Period | 4,826,233 | 2,860,657 |
End of Period1 | 6,794,872 | 4,826,233 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($2,731,000) and ($2,335,000).
46
Financial Highlights
Institutional Total Bond Market Index Fund |
|
|
|
|
| |
| Six Months |
|
|
|
| April 261, |
| Ended |
|
|
|
| 2002, to |
For a Share Outstanding | June 30, | Year Ended December 31, | Dec. 31, | |||
Throughout Each Period | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $50.32 | $50.79 | $51.79 | $51.80 | $51.89 | $50.00 |
Investment Operations |
|
|
|
|
|
|
Net Investment Income | 1.294 | 2.540 | 2.263 | 2.104 | 1.952 | 1.701 |
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
on Investments | (.850) | (.429) | (1.007) | .106 | .133 | 1.891 |
Total from Investment Operations | .444 | 2.111 | 1.256 | 2.210 | 2.085 | 3.592 |
Distributions |
|
|
|
|
|
|
Dividends from Net Investment Income | (1.234) | (2.581) | (2.256) | (2.193) | (1.997) | (1.690) |
Distributions from Realized Capital Gains | — | — | — | (.027) | (.178) | (.012) |
Total Distributions | (1.234) | (2.581) | (2.256) | (2.220) | (2.175) | (1.702) |
Net Asset Value, End of Period | $49.53 | $50.32 | $50.79 | $51.79 | $51.80 | $51.89 |
|
|
|
|
|
|
|
Total Return | 0.88% | 4.30% | 2.47% | 4.36% | 4.08% | 7.30% |
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
Net Assets, End of Period (Millions) | $6,795 | $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% | 0.05%* |
Ratio of Net Investment Income to |
|
|
|
|
|
|
Average Net Assets | 5.19%* | 5.08% | 4.47% | 4.08% | 3.81% | 4.57%* |
Portfolio Turnover Rate2 | 63%* | 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.
47
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 interest rate swap transactions. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional principal amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
The fund has also 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 interest rate swaps and total return swaps is that a counterparty will default on its obligation to pay net amounts due to the fund.
48
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements.
5. Distributions: Distributions 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. 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 losses on swap contracts of $7,548,000 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 June 30, 2007, the fund had $2,731,000 of net swap losses available to reduce ordinary income dividends to shareholders.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2007; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balances above.
At June 30, 2007, the cost of investment securities for tax purposes was $6,902,560,000. Net unrealized depreciation of investment securities for tax purposes was $115,825,000, consisting of unrealized gains of $2,863,000 on securities that had risen in value since their purchase and $118,688,000 in unrealized losses on securities that had fallen in value since their purchase.
49
At June 30, 2007, the fund had the following open swap contracts:
Interest Rate Swaps |
|
|
|
|
|
|
|
| Fixed | Floating | Unrealized |
|
| Notional | Interest Rate | Interest Rate | Appreciation |
|
| Amount | Received | Received | (Depreciation) |
Termination Date | Dealer1 | ($000) | (Paid) | (Paid)2 | ($000) |
4/3/09 | WB | 29,610 | 4.999% | (5.350%) | (191) |
Total Return Swaps |
|
|
|
|
|
|
|
| Unrealized |
|
| Notional | Floating | Appreciation |
|
| Amount | Interest | (Depreciation) |
Reference Entity/Termination Date | Dealer1 | ($000) | Rate Paid3 | ($000) |
Commercial Mortgage-Backed Securities Index |
|
|
|
|
7/31/07 | BA | 35,000 | 5.270% | — |
7/31/07 | LEH | 10,000 | 5.238 | — |
8/31/07 | LEH | 48,000 | 5.250 | — |
9/30/07 | LEH | 30,000 | 5.170 | — |
10/31/07 | LEH | 35,000 | 5.170 | — |
10/31/07 | LEH | 29,200 | 5.170 | — |
11/30/07 | LEH | 20,000 | 5.270 | — |
12/31/08 | LEH | 30,000 | 5.320 | — |
1/31/08 | LEH | 25,000 | 5.320 | — |
2/28/08 | LEH | 30,000 | 5.295 | — |
3/31/08 | LEH | 10,000 | 5.295 | — |
5/31/08 | LEH | 28,000 | 5.220 | — |
Hybrid ARM Index |
|
|
|
|
3/31/08 | LEH | 6,000 | 5.310 | — |
4/30/08 | LEH | 6,000 | 5.310 | — |
Federal National Mortgage Assn., 6.00% 30-Year |
|
|
|
|
7/31/07 | UBS | 16,000 | 5.319 | (214) |
Federal National Mortgage Assn., 6.50% 30-Year |
|
|
|
|
7/31/07 | UBS | 12,000 | 5.319 | (98) |
Federal Home Loan Mortgage Corp., 6.00% 30-Year |
|
|
|
|
9/30/07 | UBS | 16,000 | 4.910 | — |
|
|
|
| (312) |
1 BA—Bank of America, N.A.
LEH—Lehman Brothers Special Financing Inc.
UBS—UBS AG.
WB—Wachovia Bank, N.A.
2 Based on three-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.
3 Based on one-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.
50
D. During the six months ended June 30, 2007, the fund purchased $572,714,000 of investment securities and sold $151,518,000 of investment securities other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $3,030,120,000 and $1,559,901,000, respectively.
E. Capital shares issued and redeemed were:
| Six Months Ended | Year Ended |
| June 30, 2007 | December 31, 2006 |
| Shares | Shares |
| (000) | (000) |
Issued | 43,583 | 41,822 |
Issued in Lieu of Cash Distributions | 2,647 | 3,674 |
Redeemed | (4,964) | (5,906) |
Net Increase (Decrease) in Shares Outstanding | 41,266 | 39,590 |
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, effective for the fund’s current fiscal year. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2004–2006) for purposes of implementing FIN 48, and has concluded that no provision for income tax is required in the fund’s financial statements.
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 June 30, 2007 |
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| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
Institutional Total Bond Market Index Fund | 12/31/2006 | 6/30/2007 | Period1 |
Based on Actual Fund Return | $1,000.00 | $1,008.75 | $0.25 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,024.55 | 0.25 |
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a “sales load.”
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
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 your fund’s current prospectus.
53
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Institutional Total Bond Market Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Fixed Income Group—serves as the investment advisor for the fund. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the fund’s investment management over both short- and long-term periods, and took into account the organizational depth and stability of the advisor. Vanguard has been managing investments for more than two decades. George U. Sauter, Vanguard managing director and chief investment officer, has been in the investment management business since 1985. Robert F. Auwaerter, principal in charge of the Fixed Income Group, has been in the investment management business since 1978. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance of its target benchmark and peer group. The board concluded that the fund has performed in line with expectations, and that its results have been consistent with its investment strategies. Information about the fund’s performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was far below the average expense ratio charged by funds in its peer group. The board noted that the fund’s advisory expense ratio was also well below its peer-group average. Information about the fund’s expense ratio appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s low-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
54
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.
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 Board, Chief Executive |
Trustee since May 1987; | Officer, and Director/Trustee of The Vanguard Group, Inc., and of each of the investment |
Chairman of the Board and | companies served by The Vanguard Group. |
Chief Executive Officer |
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147 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 (pro bono ventures |
Trustee since January 2001 | in education); Senior Advisor to Greenwich Associates (international business strategy |
147 Vanguard Funds Overseen | 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 Executive Officer |
Trustee since December 20012 | of Rohm and Haas Co. (chemicals); Board Member of the American Chemistry Council; |
147 Vanguard Funds Overseen | 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, Annenberg School |
147 Vanguard Funds Overseen | 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 |
147 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 Finance |
Trustee since December 2004 | and Banking, Harvard Business School; Senior Associate Dean, Director of Faculty |
147 Vanguard Funds Overseen | 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. |
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Alfred M. Rankin, Jr. |
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Born 1941 | Principal Occupation(s) During the Past Five Years: Chairman, President, Chief Executive |
Trustee since January 1993 | Officer, and Director of NACCO Industries, Inc. (forklift trucks/housewares/lignite); Director |
147 Vanguard Funds Overseen | 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 Executive |
Trustee since April 1985 | Officer of Rohm and Haas Co. (chemicals); Director of Cummins Inc. (diesel engines) and |
147 Vanguard Funds Overseen | 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 Vanguard |
Secretary since July 2005 | Group, Inc., since 2006; General Counsel of The Vanguard Group since 2005; Secretary of |
147 Vanguard Funds Overseen | 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 Group, Inc.; |
Treasurer since July 1998 | Treasurer of each of the investment companies served by The Vanguard Group. |
147 Vanguard Funds Overseen |
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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 | ||
Chairman and Chief Executive Officer, 1974–1996 |
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 |
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Institutional Investor Services > 800-523-1036 | All other marks are the exclusive property of their |
| respective owners. |
Text Telephone for People |
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With Hearing Impairment > 800-952-3335 |
|
| All comparative mutual fund data are from Lipper Inc. |
| or Morningstar, Inc., unless otherwise noted. |
| You can obtain a free copy of Vanguard’s proxy voting |
| guidelines by visiting our website, www.vanguard.com, |
This material may be used in conjunction | and searching for “proxy voting guidelines,” or by calling |
with the offering of shares of any Vanguard | Vanguard at 800-662-2739. They are also available from |
fund only if preceded or accompanied by | the SEC’s website, www.sec.gov. In addition, you may |
the fund’s current prospectus. | 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. |
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| 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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| Q3372 082007 |
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Vanguard® Institutional |
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Total Stock Market Index Fund |
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> Semiannual Report |
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June 30, 2007 |
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> | During the first six months of 2007, Vanguard Institutional Total Stock Market Index Fund returned 7.5% for Institutional Shares and 7.6% for Institutional Plus Shares. |
> | Despite a brief but sharp pullback in February, stock prices rose smartly during the half-year. |
> | Energy, industrial, and technology stocks were strong contributors to the fund’s total return, while financial and consumer-oriented issues fared less well. |
Contents |
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Your Fund’s Total Returns | 1 |
Chairman’s Letter | 2 |
Fund Profile | 5 |
Performance Summary | 6 |
Financial Statements | 7 |
About Your Fund’s Expenses | 50 |
Trustees Approve Advisory Arrangement | 52 |
Glossary | 53 |
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
Six Months Ended June 30, 2007 |
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| Ticker | Total |
| Symbol | Returns |
Vanguard Institutional Total Stock Market Index Fund |
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Institutional Shares1 | VITNX | 7.5% |
Institutional Plus Shares2 | VITPX | 7.6 |
MSCI® US Broad Market Index |
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Average Multi-Cap Core Fund3 |
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Your Fund’s Performance at a Glance |
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December 31, 2006–June 30, 2007 |
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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 | $30.71 | $32.78 | $0.240 | $0.000 |
Institutional Plus Shares | 30.71 | 32.78 | 0.243 | 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,
Despite some choppiness, the broad U.S. stock market posted solid returns for the first half of 2007, spurred by a strong March, April, and May. The Morgan Stanley Capital International® (MSCI) US Broad Market Index returned 7.6% during the six months.
Vanguard Institutional Total Stock Market Index Fund met its primary objective, closely tracking its target index. The Institutional Shares returned 7.5% and the Institutional Plus Shares returned 7.6%.
Stock market’s ascent was driven by global liquidity
The broad U.S. stock market notched impressive gains in the year’s first half, when an abundance of cash drove record numbers of mergers and acquisitions around the globe. The gains came amid increased volatility. In February, markets worldwide fell sharply following a sell-off in China, only to recover quickly and continue upward. The six-month period closed with two dips in June, owing to fears of accelerating inflation and slowing economic growth.
The best performers in the U.S. market were the so-called mega-caps—broadly diversified companies that are well-positioned to thrive during periods of economic transition. International stocks, particularly those in emerging markets, outperformed U.S. equities. The dollar slid against the euro and the British pound, further enhancing gains for Americans investing abroad.
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Bond investors were hobbled by a shift in sentiment
The relationship between yield and maturity returned to normal during the past six months, as yields of intermediate-and longer-term bonds moved higher than short-term yields. The accompanying drop in prices was steepest for long-term and intermediate-term bonds.
Earlier in the year, bond yields seemed to reflect an assumption that the Federal Reserve Board might cut interest rates in response to weaker economic growth. As the year progressed, inflationary pressures and economic growth looked more substantial, producing a change in market sentiment, which resulted in higher yields and lower prices.
The broad taxable bond market returned 1.0% for the period, while municipal bonds posted a return of 0.1%. The Citigroup 3-Month Treasury Bill Index—a proxy for money market yields—returned 2.5% for the half-year.
Energy, tech, and industrials drove fund’s performance
The Institutional Total Stock Market Index Fund succeeded in closely tracking the returns of its target benchmark, the MSCI US Broad Market Index, during the first half of 2007. In doing so, the fund posted a solid return, driven by contributions from the energy, information technology, and industrials sectors.
Market Barometer |
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| Six Months | One Year | Five Years1 | |
Stocks |
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Russell 1000 Index (Large-caps) | 7.2% | 20.4% | 11.3% | |
Russell 2000 Index (Small-caps) | 6.4 | 16.4 | 13.9 | |
Dow Jones Wilshire 5000 Index (Entire market) | 7.6 | 20.4 | 12.0 | |
MSCI All Country World Index ex USA (International) | 12.6 | 30.1 | 19.9 | |
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Lehman U.S. Aggregate Bond Index (Broad taxable market) | 1.0% | 6.1% | 4.5% | |
Lehman Municipal Bond Index | 0.1 | 4.7 | 4.6 | |
Citigroup 3-Month Treasury Bill Index | 2.5 | 5.1 | 2.7 | |
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Consumer Price Index | 3.2% | 2.7% | 3.0% | |
1 Annualized.
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The energy sector returned nearly 18%, with double-digit returns across a wide range of firms and particularly impressive returns from oil and gas drilling, equipment, and services companies. In the relatively large tech sector, strong returns from hardware and semiconductor companies countered weaker performances in software. Industrial stocks were led by machinery, aerospace, and defense companies.
Two of the index’s smallest sectors during the half-year posted some of the strongest results. Materials returned over 19%, driven by chemical, metal, and mining stocks. Telecommunication services returned 15%, largely on the performance of its largest holding during the period, AT&T.
The index’s performance was dampened by its relatively large exposure to financial stocks (which represented more than one-fifth of the fund’s assets, on average, during the period). Rising interest rates, trouble with subprime mortgage loans, and poor returns among real estate investment trusts (REITs) contributed to the only negative sector return in the index. Meanwhile, returns in the consumer staples and consumer discretionary sectors, though positive, were restrained by high fuel prices and continued weakness in the housing market.
Building on a long record of tight index tracking
During the half-year, and throughout its history, the Institutional Total Stock Market Index Fund has offered extremely tight index tracking, providing a smart and efficient way to capture the returns of the broad U.S. market. The fund’s low expenses, of course, have been an important factor in its ability to meet this objective. But the success of the fund is also a tribute to its advisor, Vanguard Quantitative Equity Group. Leveraging decades of indexing experience, this veteran portfolio management team has developed sophisticated trading strategies and portfolio construction methodologies that have been applied not only to this total-market fund but also to funds that seek to track smaller segments of the market.
Over the years, the Quantitative Equity Group’s record of tight index tracking has been an important consideration for many of our institutional clients, who have found it has offered an element of relative predictability in their risk-assessment and portfolio-planning process. No matter how the Institutional Total Stock Market Index Fund fits into your overall strategy, it can provide a fine foundation for your portfolio.
Thank you for investing with Vanguard.
Sincerely,
John J. Brennan
Chairman and Chief Executive Officer
July 12, 2007
4
Fund Profile
As of June 30, 2007
Portfolio Characteristics |
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| Fund | Index1 |
Number of Stocks | 3,418 | 3,929 |
Median Market Cap | $33.4B | $33.4B |
Price/Earnings Ratio | 18.2x | 18.2x |
Price/Book Ratio | 2.9x | 2.9x |
Yield |
| 1.7% |
Institutional Shares | 1.7% |
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Institutional Plus Shares | 1.7% |
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Return on Equity | 18.2% | 18.2% |
Earnings Growth Rate | 20.8% | 20.7% |
Foreign Holdings | 0.4% | 0.4% |
Turnover Rate | 6%2 | — |
Expense Ratio |
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Institutional Shares | 0.045%2 |
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Institutional Plus Shares | 0.025%2 |
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Short-Term Reserves | 0% | — |
Sector Diversification (% of portfolio) |
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| Fund | Index1 |
Consumer Discretionary | 11% | 11% |
Consumer Staples | 8 | 8 |
Energy | 10 | 10 |
Financials | 21 | 21 |
Health Care | 12 | 12 |
Industrials | 12 | 12 |
Information Technology | 16 | 16 |
Materials | 3 | 3 |
Telecommunication Services | 3 | 3 |
Utilities | 4 | 4 |
Volatility Measures3 |
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| Fund Versus |
| Spliced Index4 |
R-Squared | 1.00 |
Beta | 1.00 |
Ten Largest Holdings5 (% of total net assets) | ||
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ExxonMobil Corp. | integrated oil and gas | 2.8% |
General Electric Co. | industrial conglomerates | 2.3 |
Microsoft Corp. | systems software | 1.5 |
AT&T Inc. | integrated telecommunication services | 1.5 |
Citigroup, Inc. | diversified financial services | 1.5 |
Bank of America Corp. | diversified financial services | 1.3 |
The Procter & Gamble Co. | household products | 1.1 |
Pfizer Inc. | pharmaceuticals | 1.1 |
Chevron Corp. | integrated oil and gas | 1.1 |
Johnson & Johnson | pharmaceuticals | 1.1 |
Top Ten |
| 15.3% |
Investment Focus
1 MSCI US Broad Market Index.
2 Annualized.
3 For an explanation of R-squared, beta, and other terms used here, see the Glossary on page 53.
4 Dow Jones Wilshire 5000 Index through April 8, 2005; MSCI US Broad Market Index thereafter.
5 “Ten Largest Holdings” excludes any temporary cash investments and equity index products.
5
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/performance.) 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.
Fiscal-Year Total Returns (%): August 31, 2001–June 30, 2007
Average Annual Total Returns: Periods Ended June 30, 2007 | ||||
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| Inception Date | One Year | Five Years | Inception |
Institutional Shares | 8/31/2001 | 20.41% | 11.98% | 8.27% |
Institutional Plus Shares | 5/31/2001 | 20.43 | 12.01 | 6.27 |
1 Six months ended June 30, 2007.
2 Dow Jones Wilshire 5000 Index through April 8, 2005; MSCI US Broad Market Index thereafter.
Note: See Financial Highlights tables on pages 45 and 46 for dividend and capital gains information.
6
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2007
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 (99.5%)1 |
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Consumer Discretionary (11.2%) |
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| Home Depot, Inc. | 1,102,548 | 43,385 |
| Time Warner, Inc. | 2,061,164 | 43,367 |
* | Comcast Corp. Class A | 1,513,863 | 42,570 |
| The Walt Disney Co. | 1,051,224 | 35,889 |
| McDonald’s Corp. | 650,165 | 33,002 |
| Target Corp. | 440,842 | 28,038 |
| News Corp., Class A | 1,240,661 | 26,314 |
| Lowe’s Cos., Inc. | 781,787 | 23,993 |
* | Viacom Inc. Class B | 328,085 | 13,658 |
| The McGraw-Hill Cos., Inc. | 191,387 | 13,030 |
| CBS Corp. | 369,344 | 12,307 |
| Johnson Controls, Inc. | 106,255 | 12,301 |
| Carnival Corp. | 235,797 | 11,500 |
* | Amazon.com, Inc. | 168,027 | 11,495 |
* | Kohl’s Corp. | 159,170 | 11,306 |
| Macy’s Inc. | 283,954 | 11,296 |
| NIKE, Inc. Class B | 182,979 | 10,666 |
* | Starbucks Corp. | 405,969 | 10,653 |
| Best Buy Co., Inc. | 221,517 | 10,338 |
| Clear Channel Communications, Inc. | 253,713 | 9,595 |
| Omnicom Group Inc. | 180,674 | 9,561 |
* | Coach, Inc. | 200,255 | 9,490 |
| Yum! Brands, Inc. | 286,692 | 9,381 |
| Staples, Inc. | 390,766 | 9,273 |
| Ford Motor Co. | 983,092 | 9,261 |
| General Motors Corp. | 244,768 | 9,252 |
| Harrah’s Entertainment, Inc. | 100,680 | 8,584 |
* | DIRECTV Group, Inc. | 363,962 | 8,411 |
| J.C. Penney Co., Inc. (Holding Co.) | 115,682 | 8,373 |
| Harley-Davidson, Inc. | 139,707 | 8,328 |
| Marriott International, Inc. Class A | 188,940 | 8,170 |
* | Liberty Media Corp.– Capital Series A | 66,602 | 7,838 |
| Starwood Hotels & Resorts Worldwide, Inc. | 116,333 | 7,802 |
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* | Sears Holdings Corp. | 45,715 | 7,749 |
* | Liberty Media Corp.– Interactive Series A | 336,727 | 7,519 |
| International Game Technology | 183,179 | 7,272 |
| Gannett Co., Inc. | 126,906 | 6,973 |
| TJX Cos., Inc. | 246,427 | 6,777 |
| Fortune Brands, Inc. | 82,082 | 6,761 |
| Hilton Hotels Corp. | 198,902 | 6,657 |
| The Gap, Inc. | 307,371 | 5,871 |
* | MGM Mirage, Inc. | 69,190 | 5,707 |
| Nordstrom, Inc. | 111,586 | 5,704 |
* | Bed Bath & Beyond, Inc. | 153,490 | 5,524 |
| Mattel, Inc. | 213,078 | 5,389 |
| Limited Brands, Inc. | 193,997 | 5,325 |
* | EchoStar Communications Corp. Class A | 112,055 | 4,860 |
^ | Garmin Ltd. | 64,091 | 4,741 |
| Whirlpool Corp. | 42,391 | 4,714 |
* | Apollo Group, Inc. Class A | 79,698 | 4,657 |
| Genuine Parts Co. | 92,504 | 4,588 |
* | Office Depot, Inc. | 149,915 | 4,542 |
* | Cablevision Systems NY Group Class A | 124,002 | 4,488 |
| VF Corp. | 48,532 | 4,445 |
| Newell Rubbermaid, Inc. | 150,459 | 4,428 |
* | Las Vegas Sands Corp. | 57,432 | 4,387 |
| Eastman Kodak Co. | 155,855 | 4,337 |
* | Liberty Global, Inc. Class A | 104,054 | 4,270 |
| Sherwin-Williams Co. | 62,212 | 4,135 |
| H & R Block, Inc. | 174,884 | 4,087 |
| Harman International Industries, Inc. | 33,616 | 3,926 |
* | Wyndham Worldwide Corp. | 107,609 | 3,902 |
* | Liberty Global, Inc. Series C | 98,908 | 3,887 |
| Tiffany & Co. | 73,046 | 3,876 |
* | IAC/InterActiveCorp | 109,230 | 3,780 |
| Dollar General Corp. | 169,512 | 3,716 |
| Virgin Media Inc. | 150,695 | 3,672 |
* | AutoZone Inc. | 26,716 | 3,650 |
* | Expedia, Inc. | 120,231 | 3,522 |
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| Abercrombie & Fitch Co. | 47,678 | 3,480 |
* | The Goodyear Tire & Rubber Co. | 100,098 | 3,479 |
* | Discovery Holding Co. Class A | 144,653 | 3,326 |
| Darden Restaurants Inc. | 74,450 | 3,275 |
| Polo Ralph Lauren Corp. | 32,965 | 3,234 |
| Royal Caribbean Cruises, Ltd. | 74,410 | 3,198 |
| Tim Hortons, Inc. | 103,039 | 3,168 |
| Black & Decker Corp. | 35,466 | 3,132 |
| D. R. Horton, Inc. | 153,598 | 3,061 |
* | Comcast Corp. Special Class A | 109,441 | 3,060 |
* | CarMax, Inc. | 116,901 | 2,981 |
* | Mohawk Industries, Inc. | 29,402 | 2,963 |
* | GameStop Corp. Class A | 74,956 | 2,931 |
* | R.H. Donnelley Corp. | 37,946 | 2,876 |
| Idearc Inc. | 78,696 | 2,780 |
| American Eagle Outfitters, Inc. | 108,242 | 2,778 |
| Lamar Advertising Co. Class A | 43,956 | 2,759 |
* | Interpublic Group of Cos., Inc. | 237,946 | 2,713 |
| Wynn Resorts Ltd. | 30,137 | 2,703 |
| BorgWarner, Inc. | 31,343 | 2,697 |
| Family Dollar Stores, Inc. | 78,481 | 2,693 |
| Pulte Homes, Inc. | 118,473 | 2,660 |
* | ITT Educational Services, Inc. | 22,447 | 2,635 |
| Centex Corp. | 64,432 | 2,584 |
| Hasbro, Inc. | 81,379 | 2,556 |
| Lennar Corp. Class A | 68,732 | 2,513 |
| Autoliv, Inc. | 43,859 | 2,494 |
| The Stanley Works | 40,249 | 2,443 |
| ServiceMaster Co. | 157,378 | 2,433 |
* | Dollar Tree Stores, Inc. | 55,382 | 2,412 |
| PetSmart, Inc. | 73,246 | 2,377 |
* | Penn National Gaming, Inc. | 39,049 | 2,346 |
| Ross Stores, Inc. | 75,493 | 2,325 |
| Washington Post Co. Class B | 2,986 | 2,317 |
| RadioShack Corp. | 69,801 | 2,313 |
* | Chico’s FAS, Inc. | 94,912 | 2,310 |
| Advance Auto Parts, Inc. | 56,972 | 2,309 |
| Station Casinos, Inc. | 26,357 | 2,288 |
*^ | Sirius Satellite Radio, Inc. | 746,957 | 2,256 |
| E.W. Scripps Co. Class A | 47,999 | 2,193 |
* | O’Reilly Automotive, Inc. | 58,315 | 2,131 |
| Leggett & Platt, Inc. | 95,868 | 2,114 |
| Liz Claiborne, Inc. | 55,443 | 2,068 |
| Service Corp. International | 158,135 | 2,021 |
| Brinker International, Inc. | 66,148 | 1,936 |
| Wendy’s International, Inc. | 51,716 | 1,901 |
* | AutoNation, Inc. | 83,965 | 1,884 |
^ | New York Times Co. Class A | 73,493 | 1,867 |
| Foot Locker, Inc. | 84,220 | 1,836 |
| Phillips-Van Heusen Corp. | 30,064 | 1,821 |
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| Dow Jones & Co., Inc. | 30,978 | 1,780 |
* | Toll Brothers, Inc. | 71,147 | 1,777 |
* | Big Lots Inc. | 59,043 | 1,737 |
* | Career Education Corp. | 51,380 | 1,735 |
* | XM Satellite Radio Holdings, Inc. | 145,421 | 1,712 |
* | NVR, Inc. | 2,469 | 1,678 |
| Jones Apparel Group, Inc. | 58,891 | 1,664 |
| Williams-Sonoma, Inc. | 51,839 | 1,637 |
| KB Home | 41,493 | 1,634 |
| Brunswick Corp. | 49,401 | 1,612 |
| OfficeMax, Inc. | 40,548 | 1,594 |
* | Laureate Education Inc. | 25,561 | 1,576 |
| Snap-On Inc. | 30,161 | 1,523 |
* | Urban Outfitters, Inc. | 62,839 | 1,510 |
| Boyd Gaming Corp. | 30,646 | 1,507 |
| Sotheby’s | 31,629 | 1,456 |
| Gentex Corp. | 73,725 | 1,452 |
| Circuit City Stores, Inc. | 95,393 | 1,439 |
| Saks Inc. | 66,929 | 1,429 |
* | Jarden Corp. | 33,022 | 1,420 |
* | Hanesbrands Inc. | 52,507 | 1,419 |
* | Getty Images, Inc. | 29,346 | 1,403 |
| Men’s Wearhouse, Inc. | 27,403 | 1,399 |
* | AnnTaylor Stores Corp. | 39,125 | 1,386 |
* | Lear Corp. | 37,405 | 1,332 |
* | Scientific Games Corp. | 37,488 | 1,310 |
* | Jack in the Box Inc. | 18,379 | 1,304 |
* | Priceline.com, Inc. | 18,920 | 1,301 |
| Meredith Corp. | 21,050 | 1,297 |
| Tribune Co. | 43,756 | 1,286 |
| Orient-Express Hotel Ltd. | 23,022 | 1,229 |
*^ | Nutri/System Inc. | 17,508 | 1,223 |
* | Dick’s Sporting Goods, Inc. | 20,865 | 1,214 |
| Dillard’s Inc. | 33,698 | 1,211 |
| Guess ?, Inc. | 25,161 | 1,209 |
* | Aeropostale, Inc. | 28,950 | 1,207 |
* | Gaylord Entertainment Co. | 22,283 | 1,195 |
^ | Polaris Industries, Inc. | 21,439 | 1,161 |
* | Payless ShoeSource, Inc. | 35,984 | 1,135 |
| DeVry, Inc. | 33,120 | 1,127 |
| Barnes & Noble, Inc. | 29,198 | 1,123 |
* | J. Crew Group, Inc. | 20,722 | 1,121 |
* | TRW Automotive Holdings Corp. | 29,835 | 1,099 |
^ | Pool Corp. | 27,985 | 1,092 |
| John Wiley & Sons Class A | 22,033 | 1,064 |
* | DreamWorks Animation SKG, Inc. | 36,206 | 1,044 |
* | Tractor Supply Co. | 19,887 | 1,035 |
| Strayer Education, Inc. | 7,755 | 1,021 |
* | The Cheesecake Factory Inc. | 41,362 | 1,014 |
* | Rent-A-Center, Inc. | 38,418 | 1,008 |
* | Crocs, Inc. | 23,186 | 998 |
* | The Warnaco Group, Inc. | 25,308 | 996 |
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| Weight Watchers |
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| International, Inc. | 19,547 | 994 |
| Belo Corp. Class A | 48,043 | 989 |
| Applebee’s International, Inc. | 40,870 | 985 |
* | Guitar Center, Inc. | 16,261 | 973 |
| Tupperware Brands Corp. | 33,338 | 958 |
* | Quiksilver, Inc. | 67,309 | 951 |
| MDC Holdings, Inc. | 19,412 | 939 |
| Regis Corp. | 24,270 | 928 |
* | Pinnacle Entertainment, Inc. | 32,146 | 905 |
* | Charter Communications, Inc. | 223,361 | 905 |
| International Speedway Corp. | 17,095 | 901 |
* | Marvel Entertainment, Inc. | 35,014 | 892 |
| Cooper Tire & Rubber Co. | 32,251 | 891 |
* | Vail Resorts Inc. | 14,612 | 889 |
* | Tenneco Automotive, Inc. | 25,288 | 886 |
| Thor Industries, Inc. | 19,498 | 880 |
| Ryland Group, Inc. | 23,490 | 878 |
| American Greetings Corp. Class A | 30,892 | 875 |
* | Life Time Fitness, Inc. | 16,119 | 858 |
| Ruby Tuesday, Inc. | 32,515 | 856 |
| Wolverine World Wide, Inc. | 30,830 | 854 |
* | Sonic Corp. | 38,586 | 854 |
| Regal Entertainment Group Class A | 38,688 | 848 |
* | Pacific Sunwear of California, Inc. | 38,219 | 841 |
| Arbitron Inc. | 16,297 | 840 |
* | Corinthian Colleges, Inc. | 51,104 | 832 |
| ArvinMeritor, Inc. | 37,268 | 827 |
*^ | Chipotle Mexican Grill, Inc. | 9,607 | 819 |
* | Deckers Outdoor Corp. | 8,008 | 808 |
* | Tween Brands, Inc. | 18,104 | 807 |
| Choice Hotels International, Inc. | 20,187 | 798 |
| Citadel Broadcasting Corp. | 122,724 | 792 |
* | Panera Bread Co. | 16,850 | 776 |
* | Live Nation, Inc. | 34,677 | 776 |
* | Fossil, Inc. | 26,306 | 776 |
* | Chipotle Mexican Grill, Inc. Class B | 9,853 | 775 |
| Burger King Holdings Inc. | 29,153 | 768 |
* | Bally Technologies Inc. | 29,010 | 766 |
^ | The McClatchy Co. Class A | 30,097 | 762 |
* | Coldwater Creek Inc. | 32,440 | 754 |
| Catalina Marketing Corp. | 23,923 | 754 |
*^ | Under Armour, Inc. | 16,427 | 750 |
| Matthews International Corp. | 17,168 | 749 |
* | Iconix Brand Group Inc. | 33,431 | 743 |
| Bob Evans Farms, Inc. | 19,626 | 723 |
| CBRL Group, Inc. | 17,019 | 723 |
* | Carter’s, Inc. | 27,858 | 723 |
| American Axle & |
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| Manufacturing Holdings, Inc. | 24,383 | 722 |
| Callaway Golf Co. | 40,337 | 718 |
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* | Charming Shoppes, Inc. | 66,257 | 718 |
| Tempur-Pedic International Inc. | 27,635 | 716 |
* | Lions Gate Entertainment Corp. | 64,177 | 708 |
* | Timberland Co. | 28,047 | 707 |
* | The Children’s Place Retail Stores, Inc. | 13,559 | 700 |
* | Scholastic Corp. | 19,482 | 700 |
| Harte-Hanks, Inc. | 27,106 | 696 |
| Ethan Allen Interiors, Inc. | 19,984 | 684 |
| Group 1 Automotive, Inc. | 16,569 | 668 |
* | The Gymboree Corp. | 16,915 | 667 |
* | Gemstar-TV Guide International, Inc. | 134,613 | 662 |
| News Corp., Class B | 28,707 | 659 |
| Brown Shoe Co., Inc. | 27,078 | 659 |
* | CEC Entertainment Inc. | 18,462 | 650 |
| Borders Group, Inc. | 33,840 | 645 |
| CKE Restaurants Inc. | 31,697 | 636 |
* | Bright Horizons Family Solutions, Inc. | 16,231 | 632 |
* | Zale Corp. | 25,366 | 604 |
| Standard Pacific Corp. | 33,973 | 596 |
* | P.F. Chang’s China Bistro, Inc. | 16,418 | 578 |
* | Visteon Corp. | 69,758 | 565 |
^ | Beazer Homes USA, Inc. | 22,176 | 547 |
* | Valassis Communications, Inc. | 31,059 | 534 |
* | Buffalo Wild Wings Inc. | 12,700 | 528 |
| The Pep Boys (Manny,Moe & Jack) | 25,858 | 521 |
* | Entravision Communications Corp. | 49,925 | 521 |
| Entercom Communications Corp. | 20,635 | 514 |
* | LKQ Corp. | 20,693 | 510 |
*^ | Netflix.com, Inc. | 26,273 | 509 |
| Ameristar Casinos, Inc. | 14,183 | 493 |
* | Genesco, Inc. | 9,388 | 491 |
| Jackson Hewitt Tax Service Inc. | 17,444 | 490 |
| Aaron Rents, Inc. | 16,758 | 489 |
* | Rare Hospitality International Inc. | 18,218 | 488 |
| Big 5 Sporting Goods Corp. | 19,011 | 485 |
| Christopher & Banks Corp. | 28,196 | 484 |
| Winnebago Industries, Inc. | 16,245 | 480 |
| Asbury Automotive Group, Inc. | 19,061 | 476 |
* | Helen of Troy Ltd. | 17,599 | 475 |
* | Aftermarket Technology Corp. | 15,981 | 474 |
* | Hibbett Sports Inc. | 17,056 | 467 |
| Triarc Cos., Inc. Class B | 29,384 | 461 |
* | California Pizza Kitchen, Inc. | 21,162 | 455 |
* | WMS Industries, Inc. | 15,638 | 451 |
| Domino’s Pizza, Inc. | 24,493 | 447 |
| Movado Group, Inc. | 13,219 | 446 |
| Sonic Automotive, Inc. | 15,339 | 444 |
| Churchill Downs, Inc. | 8,251 | 432 |
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| The Stride Rite Corp. | 21,134 | 428 |
* | RC2 Corp. | 10,695 | 428 |
* | Papa John’s International, Inc. | 14,819 | 426 |
* | CSK Auto Corp. | 22,898 | 421 |
* | Blockbuster Inc. Class A | 97,744 | 421 |
* | Coinstar, Inc. | 13,373 | 421 |
* | AFC Enterprises, Inc. | 24,265 | 420 |
* | LodgeNet Entertainment Corp. | 12,943 | 415 |
| Lee Enterprises, Inc. | 19,594 | 409 |
* | Vertrue Inc. | 8,296 | 405 |
* | Hayes Lemmerz International, Inc. | 74,875 | 401 |
* | The Dress Barn, Inc. | 19,507 | 400 |
| IHOP Corp. | 7,324 | 399 |
*^ | Avatar Holding, Inc. | 5,151 | 396 |
*^ | Shuffle Master, Inc. | 23,868 | 396 |
| CPI Corp. | 5,634 | 392 |
| Oakley, Inc. | 13,637 | 387 |
* | Exide Technologies | 41,574 | 387 |
* | Mediacom Communications Corp. | 39,867 | 386 |
* | GSI Commerce, Inc. | 16,859 | 383 |
| Cato Corp. Class A | 17,274 | 379 |
* | Pre-Paid Legal Services, Inc. | 5,836 | 375 |
* | CTC Media, Inc. | 13,804 | 375 |
| Interactive Data Corp. | 13,907 | 372 |
* | Blue Nile Inc. | 6,104 | 369 |
* | Champion Enterprises, Inc. | 37,294 | 367 |
| Gray Television, Inc. | 39,412 | 365 |
* | Cabela’s Inc. | 16,500 | 365 |
* | JAKKS Pacific, Inc. | 12,942 | 364 |
| The Buckle, Inc. | 9,082 | 358 |
| Modine Manufacturing Co. | 15,824 | 358 |
* | 99 Cents Only Stores | 27,020 | 354 |
* | Select Comfort Corp. | 21,797 | 354 |
* | Steiner Leisure Ltd. | 7,098 | 349 |
* | Keystone Automotive Industries, Inc. | 8,403 | 348 |
*^ | Build-A-Bear-Workshop, Inc. | 13,179 | 344 |
| CSS Industries, Inc. | 8,651 | 343 |
* | Hartmarx Corp. | 42,795 | 341 |
| Columbia Sportswear Co. | 4,953 | 340 |
* | A.C. Moore Arts & Crafts, Inc. | 17,132 | 336 |
| K-Swiss, Inc. | 11,828 | 335 |
* | Drew Industries, Inc. | 10,100 | 335 |
| RCN Corp. | 17,787 | 334 |
| Blyth, Inc. | 12,204 | 324 |
| Oxford Industries, Inc. | 7,302 | 324 |
| Stage Stores, Inc. | 15,424 | 323 |
^ | Talbots Inc. | 12,800 | 320 |
*^ | Cumulus Media Inc. | 33,753 | 316 |
* | Skechers U.S.A., Inc. | 10,798 | 315 |
* | Cox Radio, Inc. | 22,112 | 315 |
| Sinclair Broadcast Group, Inc. | 22,010 | 313 |
| Landry’s Restaurants, Inc. | 10,282 | 311 |
| United Auto Group, Inc. | 14,591 | 311 |
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| Ambassadors International, Inc. | 9,309 | 310 |
* | BJ’s Restaurants Inc. | 15,600 | 308 |
| Cherokee Inc. | 8,395 | 307 |
* | Charlotte Russe Holding Inc. | 11,324 | 304 |
| Stewart Enterprises, Inc. Class A | 38,850 | 303 |
* | DG FastChannel Inc. | 14,774 | 301 |
| Bon-Ton Stores, Inc. | 7,510 | 301 |
* | PRIMEDIA Inc. | 105,424 | 300 |
* | Fisher Communications, Inc. | 5,915 | 300 |
| Arctic Cat, Inc. | 15,144 | 300 |
| Building Materials Holding Corp. | 21,127 | 300 |
| Carmike Cinemas, Inc. | 13,600 | 299 |
* | Denny’s Corp. | 66,697 | 297 |
* | Perry Ellis International Corp. | 9,178 | 295 |
^ | Brookfield Homes Corp. | 10,128 | 295 |
* | Leapfrog Enterprises, Inc. | 28,720 | 294 |
* | Bluegreen Corp. | 25,094 | 293 |
*^ | Hovnanian Enterprises Inc.Class A | 17,670 | 292 |
* | Casual Male Retail Group, Inc. | 28,881 | 292 |
* | Harris Interactive Inc. | 54,383 | 291 |
| Sally Beauty Co. Inc. | 31,812 | 286 |
* | 1-800-FLOWERS.COM, Inc. | 30,339 | 286 |
| Media General, Inc. Class A | 8,580 | 285 |
| Hearst-Argyle Television Inc. | 11,809 | 285 |
| Lithia Motors, Inc. | 11,224 | 284 |
* | Cache, Inc. | 21,350 | 283 |
| Sealy Corp. | 17,100 | 282 |
*^ | Isle of Capri Casinos, Inc. | 11,707 | 281 |
| Pier 1 Imports Inc. | 32,922 | 280 |
| Speedway Motorsports, Inc. | 6,931 | 277 |
^ | La-Z-Boy Inc. | 23,896 | 274 |
| Courier Corp. | 6,816 | 273 |
| Kellwood Co. | 9,622 | 271 |
* | MarineMax, Inc. | 13,486 | 270 |
*^ | Conn’s, Inc. | 9,395 | 268 |
* | Retail Ventures, Inc. | 16,472 | 266 |
| Books-a-Million Inc. | 15,660 | 265 |
* | K2 Inc. | 17,163 | 261 |
| Ambassadors Group, Inc. | 7,300 | 259 |
* | Midas Inc. | 11,109 | 252 |
| Furniture Brands International Inc. | 17,659 | 251 |
* | Carriage Services, Inc. | 30,284 | 250 |
* | Meritage Corp. | 9,347 | 250 |
| O’Charley’s Inc. | 12,332 | 249 |
* | Multimedia Games Inc. | 19,005 | 243 |
* | Fleetwood Enterprises, Inc. | 26,770 | 242 |
| Superior Industries International, Inc. | 10,943 | 238 |
* | Hot Topic, Inc. | 21,473 | 233 |
* | Audible, Inc. | 23,139 | 233 |
*^ | Sharper Image Corp. | 20,474 | 233 |
| Steven Madden, Ltd. | 7,066 | 231 |
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| Journal Communications, Inc. | 17,761 | 231 |
| Handleman Co. | 37,068 | 231 |
^ | Systemax Inc. | 11,069 | 230 |
* | Texas Roadhouse, Inc. | 17,794 | 228 |
* | Jos. A. Bank Clothiers, Inc. | 5,465 | 227 |
*^ | Krispy Kreme Doughnuts, Inc. | 24,323 | 225 |
| Sauer-Danfoss, Inc. | 7,564 | 225 |
| Kenneth Cole Productions, Inc. | 9,091 | 225 |
| Fred’s, Inc. | 16,744 | 224 |
* | Alloy, Inc. | 22,270 | 223 |
* | Luby’s, Inc. | 22,946 | 222 |
* | MTR Gaming Group Inc. | 14,362 | 221 |
* | Cavco Industries, Inc. | 5,826 | 219 |
| Warner Music Group Corp. | 15,113 | 218 |
| bebe stores, inc. | 13,593 | 218 |
* | Jo-Ann Stores, Inc. | 7,650 | 217 |
*^ | Gander Mountain Co. | 19,121 | 217 |
| UniFirst Corp. | 4,888 | 215 |
* | Universal Technical Institute Inc. | 8,457 | 215 |
| Libbey, Inc. | 9,933 | 214 |
*^ | Syntax-Brillian Corp. | 43,466 | 214 |
* | Maidenform Brands, Inc. | 10,700 | 213 |
| Kimball International, Inc. Class B | 15,090 | 211 |
* | dELiA*S, Inc. | 26,962 | 206 |
* | America’s Car-Mart, Inc. | 15,100 | 205 |
* | ValueVision Media, Inc. | 17,983 | 204 |
| Dover Downs Gaming & Entertainment, Inc. | 13,370 | 201 |
* | Benihana Inc. Class A | 10,013 | 200 |
* | Audiovox Corp. | 15,298 | 198 |
* | Volcom, Inc. | 3,947 | 198 |
| Deb Shops, Inc. | 7,076 | 196 |
| Monaco Coach Corp. | 13,564 | 195 |
*^ | WCI Communities, Inc. | 11,577 | 193 |
| Nautilus Inc. | 15,846 | 191 |
| The Marcus Corp. | 8,013 | 190 |
| Bassett Furniture Industries, Inc. | 13,830 | 189 |
* | G-III Apparel Group, Ltd. | 11,800 | 186 |
*^ | Six Flags, Inc. | 30,481 | 186 |
* | Playboy Enterprises, Inc. Class B | 16,292 | 185 |
* | Lin TV Corp. | 9,610 | 181 |
* | Morningstar, Inc. | 3,824 | 180 |
* | Universal Electronics, Inc. | 4,809 | 175 |
* | Red Robin Gourmet Burgers, Inc. | 4,254 | 172 |
* | Cosi, Inc. | 37,500 | 171 |
*^ | Overstock.com, Inc. | 9,327 | 170 |
* | Smith & Wesson Holding Corp. | 10,160 | 170 |
| Martha Stewart Living Omnimedia, Inc. | 9,891 | 170 |
* | Fuel Systems Solutions, Inc. | 10,192 | 169 |
* | Citi Trends Inc. | 4,447 | 169 |
| Emmis Communications, Inc. | 18,246 | 168 |
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* | 1-800 Contacts, Inc. | 7,159 | 168 |
* | TiVo Inc. | 28,622 | 166 |
*^ | Cost Plus, Inc. | 19,526 | 166 |
| Westwood One, Inc. | 22,294 | 160 |
* | 4Kids Entertainment Inc. | 10,234 | 154 |
| Haverty Furniture Cos., Inc. | 13,146 | 153 |
| Sun-Times Media Group, Inc. | 28,583 | 150 |
* | Peet’s Coffee & Tea Inc. | 6,086 | 150 |
* | Morgans Hotel Group | 6,040 | 147 |
* | Unifi, Inc. | 56,192 | 147 |
| Spartan Motors, Inc. | 8,536 | 145 |
* | New York & Co., Inc. | 12,625 | 138 |
| World Wrestling |
|
|
| Entertainment, Inc. | 8,592 | 137 |
* | Trump Entertainment |
|
|
| Resorts, Inc. | 10,947 | 137 |
* | Radio One, Inc. Class D | 19,060 | 135 |
* | Source Interlink Cos., Inc. | 26,888 | 134 |
* | INVESTools Inc. | 13,380 | 133 |
* | West Marine, Inc. | 9,677 | 133 |
* | CKX, Inc. | 9,607 | 133 |
| California Coastal |
|
|
| Communities, Inc. | 7,820 | 132 |
| Standard Motor Products, Inc. | 8,806 | 132 |
| Beasley Broadcast Group, Inc. | 14,447 | 129 |
* | Zumiez Inc. | 3,400 | 128 |
*^ | Navarre Corp. | 32,814 | 128 |
* | Amerigon Inc. | 7,013 | 126 |
* | Knology, Inc. | 7,100 | 123 |
* | Lodgian, Inc. | 8,200 | 123 |
* | Century Casinos, Inc. | 13,645 | 123 |
| Finish Line, Inc. | 13,009 | 119 |
*^ | Movie Gallery, Inc. | 62,260 | 118 |
| Monro Muffler Brake, Inc. | 3,141 | 118 |
| Acme Communications, Inc. | 23,286 | 117 |
* | Monarch Casino & Resort, Inc. | 4,327 | 116 |
*^ | Palm Harbor Homes, Inc. | 8,203 | 116 |
| M/I Homes, Inc. | 4,350 | 116 |
* | Steak n Shake Co. | 6,891 | 115 |
* | DSW Inc. Class A | 3,300 | 115 |
| Tuesday Morning Corp. | 9,265 | 115 |
| Marine Products Corp. | 13,899 | 114 |
| Coachmen Industries, Inc. | 11,560 | 112 |
* | Interstate Hotels & |
|
|
| Resorts, Inc. | 21,192 | 111 |
| Noble International, Ltd. | 5,409 | 111 |
* | Regent Communications, Inc. | 32,631 | 109 |
*^ | Quantum Fuel Systems |
|
|
| Technologies Worldwide, Inc. | 69,658 | 109 |
* | Mothers Work, Inc. | 3,380 | 106 |
* | Empire Resorts Inc. | 14,480 | 105 |
| National Presto Industries, Inc. | 1,679 | 105 |
* | Friendly Ice Cream Corp. | 6,882 | 104 |
* | Stamps.com Inc. | 7,526 | 104 |
| Salem Communications Corp. | 9,254 | 103 |
11
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Magna Entertainment Corp. Class A | 35,119 | 103 |
* | The Dixie Group, Inc. | 8,200 | 103 |
* | Benihana Inc. | 5,006 | 100 |
| Escalade, Inc. | 10,730 | 100 |
* | Lenox Group, Inc. | 14,173 | 100 |
| Journal Register Co. | 22,201 | 99 |
| Stein Mart, Inc. | 8,072 | 99 |
* | The Wet Seal, Inc. Class A | 16,297 | 98 |
| Stanley Furniture Co., Inc. | 4,645 | 95 |
* | drugstore.com, Inc. | 34,463 | 93 |
* | The Princeton Review, Inc. | 19,095 | 91 |
* | Shoe Carnival, Inc. | 3,317 | 91 |
^ | Charles & Colvard Ltd. | 18,028 | 89 |
*^ | Caribou Coffee Co. | 12,577 | 89 |
* | Fairchild Corp. | 39,009 | 87 |
* | Strattec Security Corp. | 1,805 | 85 |
* | Finlay Enterprises, Inc. | 14,797 | 79 |
* | Rentrak Corp. | 5,100 | 76 |
* | Lazare Kaplan International, Inc. | 9,494 | 75 |
* | Spanish Broadcasting System, Inc. | 16,763 | 72 |
* | Syms Corp. | 3,604 | 71 |
| Craftmade International, Inc. | 4,100 | 70 |
^ | Orleans Homebuilders, Inc. | 8,178 | 69 |
| Skyline Corp. | 2,242 | 67 |
* | Buca, Inc. | 19,032 | 67 |
* | Russ Berrie and Co., Inc. | 3,535 | 66 |
* | Kirkland’s, Inc. | 17,131 | 65 |
* | McCormick & Schmick’s |
|
|
| Seafood Restaurants, Inc. | 2,500 | 65 |
| Steinway Musical |
|
|
| Instruments Inc. | 1,849 | 64 |
* | Gaiam, Inc. | 3,458 | 63 |
* | Directed Electronics Inc. | 7,084 | 63 |
| Weyco Group, Inc. | 2,322 | 63 |
| Lifetime Brands, Inc. | 3,000 | 61 |
* | GenTek, Inc. | 1,740 | 61 |
* | PetMed Express, Inc. | 4,688 | 60 |
* | Dorman Products, Inc. | 4,133 | 57 |
* | Reading International Inc. |
|
|
| Class A | 5,700 | 53 |
*^ | Progressive Gaming |
|
|
| International Corp. | 8,781 | 52 |
* | Pomeroy IT Solutions, Inc. | 5,247 | 51 |
* | Stoneridge, Inc. | 4,152 | 51 |
^ | TOUSA, Inc. | 11,927 | 50 |
* | Jamba Inc. | 5,000 | 46 |
| Traffix, Inc. | 8,067 | 44 |
| Levitt Corp. Class A | 4,421 | 42 |
* | Trans World |
|
|
| Entertainment Corp. | 8,888 | 41 |
*^ | Comstock Homebuilding |
|
|
| Cos., Inc. | 14,560 | 40 |
* | Nexstar Broadcasting |
|
|
| Group, Inc. | 2,936 | 39 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Eddie Bauer Holding, Inc. | 2,700 | 35 |
* | Tarragon Corp. REIT | 4,005 | 34 |
* | Great Wolf Resorts, Inc. | 2,310 | 33 |
* | Champps Entertainment Inc. | 6,900 | 33 |
* | Saga Communications, Inc. | 3,300 | 32 |
| Triarc Cos., Inc. Class A | 1,994 | 32 |
* | National R. V. Holdings, Inc. | 20,110 | 29 |
* | Youbet.com, Inc. | 11,828 | 29 |
* | Proliance International Inc. | 8,619 | 27 |
* | Emerson Radio Corp. | 8,900 | 27 |
* | Red Lion Hotels Corp. | 2,012 | 26 |
| Coinmach Service Corp. Class A | 1,800 | 24 |
* | Concord Camera Corp. | 4,848 | 22 |
| Dover Motorsports, Inc. | 3,604 | 22 |
* | Riviera Holdings Corp. | 600 | 22 |
* | Ashworth, Inc. | 2,718 | 19 |
* | S&K Famous Brands Inc. | 1,344 | 18 |
* | Hollywood Media Corp. | 4,140 | 18 |
* | Ruth’s Chris Steak House | 1,000 | 17 |
* | Hastings Entertainment, Inc. | 2,308 | 16 |
* | Young Broadcasting Inc. | 3,877 | 14 |
| Superior Uniform Group, Inc. | 1,093 | 14 |
* | The Smith & Wollensky Restaurant Group, Inc. | 1,150 | 12 |
* | Radio One, Inc. | 1,680 | 12 |
* | Sturm, Ruger & Co., Inc. | 761 | 12 |
* | Triple Crown Media, Inc. | 1,254 | 12 |
* | Daily Journal Corp. | 260 | 11 |
* | Virco Manufacturing Corp. | 1,513 | 10 |
* | Florida Gaming Corp. | 308 | 9 |
* | Blockbuster Inc. Class B | 2,111 | 8 |
* | E. Gottschalk & Co., Inc. | 623 | 7 |
* | Franklin Covey Co. | 929 | 7 |
* | United Retail Group, Inc. | 593 | 7 |
* | REX Stores Corp. | 309 | 6 |
| Flexsteel Industries, Inc. | 300 | 4 |
| Gaming Partners International | 282 | 4 |
| Shiloh Industries, Inc. | 309 | 4 |
* | Outdoor Channel Holdings Inc. | 274 | 3 |
* | Xanadoo Co. | 10 | 3 |
* | Salton, Inc. | 1,312 | 2 |
* | Fedders Corp. | 1,286 | — |
* | Gadzooks, Inc. | 3,843 | — |
|
|
| 1,028,809 |
Consumer Staples (8.0%) |
|
| |
| The Procter & Gamble Co. | 1,704,538 | 104,301 |
| Altria Group, Inc. | 1,132,835 | 79,457 |
| Wal-Mart Stores, Inc. | 1,351,024 | 64,998 |
| The Coca-Cola Co. | 1,125,677 | 58,884 |
| PepsiCo, Inc. | 884,755 | 57,376 |
| Kraft Foods Inc. | 883,821 | 31,155 |
| CVS/Caremark Corp. | 831,574 | 30,311 |
| Walgreen Co. | 540,931 | 23,552 |
| Anheuser-Busch Cos., Inc. | 415,599 | 21,678 |
| Colgate-Palmolive Co. | 277,443 | 17,992 |
| Kimberly-Clark Corp. | 246,533 | 16,491 |
12
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Costco Wholesale Corp. | 244,392 | 14,302 |
| Sysco Corp. | 333,516 | 11,003 |
| General Mills, Inc. | 186,642 | 10,904 |
| Archer-Daniels-Midland Co. | 317,548 | 10,508 |
| The Kroger Co. | 363,717 | 10,231 |
| Avon Products, Inc. | 240,484 | 8,838 |
| H.J. Heinz Co. | 178,256 | 8,462 |
| Safeway, Inc. | 238,317 | 8,110 |
| ConAgra Foods, Inc. | 273,473 | 7,345 |
| Kellogg Co. | 140,010 | 7,251 |
| Sara Lee Corp. | 397,005 | 6,908 |
| Reynolds American Inc. | 96,086 | 6,265 |
| Bunge Ltd. | 65,010 | 5,493 |
| Wm. Wrigley Jr. Co. | 96,158 | 5,318 |
| SuperValu Inc. | 112,688 | 5,220 |
| The Clorox Co. | 81,885 | 5,085 |
| Campbell Soup Co. | 126,539 | 4,911 |
| UST, Inc. | 87,182 | 4,683 |
| Carolina Group | 58,491 | 4,520 |
| The Hershey Co. | 87,594 | 4,434 |
| Coca-Cola Enterprises, Inc. | 143,452 | 3,443 |
| Tyson Foods, Inc. | 140,643 | 3,240 |
| Molson Coors Brewing Co. |
|
|
| Class B | 34,682 | 3,207 |
| Whole Foods Market, Inc. | 75,841 | 2,905 |
| The Estee Lauder Cos. Inc. |
|
|
| Class A | 63,667 | 2,897 |
* | Energizer Holdings, Inc. | 28,837 | 2,872 |
* | Constellation Brands, Inc. |
|
|
| Class A | 114,640 | 2,783 |
| The Pepsi Bottling Group, Inc. | 73,386 | 2,472 |
| McCormick & Co., Inc. | 63,008 | 2,406 |
| Dean Foods Co. | 72,145 | 2,299 |
| Brown-Forman Corp. Class B | 28,675 | 2,096 |
* | Smithfield Foods, Inc. | 65,234 | 2,009 |
| J.M. Smucker Co. | 29,357 | 1,869 |
* | Rite Aid Corp. | 288,009 | 1,837 |
| Corn Products |
|
|
| International, Inc. | 40,267 | 1,830 |
| Church & Dwight, Inc. | 35,465 | 1,719 |
* | Winn-Dixie Stores, Inc. | 53,918 | 1,580 |
* | Hansen Natural Corp. | 36,608 | 1,573 |
| Hormel Foods Corp. | 41,121 | 1,536 |
* | NBTY, Inc. | 31,333 | 1,354 |
| Del Monte Foods Co. | 109,738 | 1,334 |
* | BJ’s Wholesale Club, Inc. | 35,333 | 1,273 |
| Alberto-Culver Co. | 43,396 | 1,029 |
* | Bare Escentuals, Inc. | 29,867 | 1,020 |
| Flowers Foods, Inc. | 30,105 | 1,004 |
| Pilgrim’s Pride Corp. | 23,936 | 914 |
| PepsiAmericas, Inc. | 35,786 | 879 |
| Longs Drug Stores, Inc. | 16,583 | 871 |
| Herbalife Ltd. | 21,801 | 864 |
| Universal Corp. (VA) | 13,914 | 848 |
* | Performance Food Group Co. | 23,234 | 755 |
* | Ralcorp Holdings, Inc. | 13,908 | 743 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Chattem, Inc. | 10,580 | 671 |
| Casey’s General Stores, Inc. | 22,093 | 602 |
| Lancaster Colony Corp. | 13,569 | 568 |
* | Central European Distribution Corp. | 16,234 | 562 |
* | United Natural Foods, Inc. | 21,101 | 561 |
| Wm. Wrigley Jr. Co. Class B | 10,178 | 560 |
* | Hain Celestial Group, Inc. | 19,874 | 539 |
* | Chiquita Brands International, Inc. | 28,326 | 537 |
| Nu Skin Enterprises, Inc. | 31,059 | 512 |
* | The Pantry, Inc. | 10,927 | 504 |
| Ruddick Corp. | 16,635 | 501 |
* | Darling International, Inc. | 53,456 | 489 |
* | Alliance One International, Inc. | 44,818 | 450 |
| Nash-Finch Co. | 8,829 | 437 |
* | Playtex Products, Inc. | 27,402 | 406 |
* | Pathmark Stores, Inc. | 27,711 | 359 |
* | TreeHouse Foods Inc. | 13,352 | 355 |
| J & J Snack Foods Corp. | 9,276 | 350 |
* | Prestige Brands Holdings Inc. | 26,462 | 343 |
*^ | Wild Oats Markets Inc. | 20,310 | 340 |
| Tootsie Roll Industries, Inc. | 12,241 | 339 |
* | Green Mountain Coffee |
|
|
| Roasters, Inc. | 4,290 | 338 |
| Seaboard Corp. | 140 | 328 |
| Ingles Markets, Inc. | 9,407 | 324 |
* | The Great Atlantic & Pacific |
|
|
| Tea Co., Inc. | 9,470 | 318 |
| WD-40 Co. | 9,354 | 307 |
^ | The Andersons, Inc. | 6,763 | 307 |
| Vector Group Ltd. | 13,518 | 305 |
| Cal-Maine Foods, Inc. | 16,253 | 266 |
| Inter Parfums, Inc. | 9,900 | 264 |
* | Elizabeth Arden, Inc. | 10,137 | 246 |
| Sanderson Farms, Inc. | 5,433 | 245 |
| Alico, Inc. | 3,788 | 231 |
| Coca-Cola Bottling Co. | 4,435 | 223 |
| Arden Group Inc. Class A | 1,622 | 221 |
* | Boston Beer Co., Inc. Class A | 5,407 | 213 |
| The Topps Co., Inc. | 19,143 | 201 |
*^ | Lifeway Foods, Inc. | 17,508 | 198 |
| Spartan Stores, Inc. | 5,763 | 190 |
* | Central Garden & Pet Co. |
|
|
| Class A | 15,600 | 183 |
| Mannatech, Inc. | 11,100 | 176 |
| PriceSmart, Inc. | 6,847 | 169 |
* | Central Garden and Pet Co. | 13,532 | 166 |
* | Spectrum Brands Inc. | 23,540 | 159 |
| Lance, Inc. | 6,445 | 152 |
*^ | Jones Soda Co. | 10,640 | 149 |
* | USANA Health Sciences, Inc. | 3,274 | 146 |
| Weis Markets, Inc. | 3,593 | 146 |
* | John B. Sanfilippo & Son, Inc. | 12,363 | 136 |
* | American Oriental |
|
|
| Bioengineering, Inc. | 13,800 | 123 |
13
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Reddy Ice Holdings, Inc. | 4,160 | 119 |
* | Zapata Corp. | 17,400 | 117 |
* | Revlon, Inc. Class A | 85,724 | 117 |
* | Omega Protein Corp. | 12,200 | 113 |
* | Star Scientific, Inc. | 111,169 | 98 |
*^ | Medifast, Inc. | 9,986 | 89 |
* | Griffin Land & Nurseries, Inc. | 2,432 | 88 |
*^ | Parlux Fragrances, Inc. | 17,800 | 79 |
| Oil-Dri Corp. of America | 3,118 | 55 |
| MGP Ingredients, Inc. | 2,348 | 40 |
* | Maui Land & Pineapple Co., Inc. | 876 | 32 |
| Tasty Baking Co. Class A | 1,568 | 16 |
* | Inventure Group, Inc. | 5,177 | 16 |
| Farmer Brothers, Inc. | 440 | 10 |
* | National Beverage Corp. | 540 | 6 |
* | Monterey Pasta Co. | 1,069 | 5 |
* | Cusine Solutions, Inc. | 700 | 4 |
* | Schiff Nutrition International, Inc. | 484 | 3 |
|
|
| 730,869 |
Energy (10.1%) |
|
| |
| ExxonMobil Corp. | 3,094,842 | 259,595 |
| Chevron Corp. | 1,177,662 | 99,206 |
| ConocoPhillips Co. | 843,739 | 66,234 |
| Schlumberger Ltd. | 636,672 | 54,079 |
| Occidental Petroleum Corp. | 452,771 | 26,206 |
| Valero Energy Corp. | 326,575 | 24,121 |
| Marathon Oil Corp. | 380,124 | 22,792 |
| Devon Energy Corp. | 228,099 | 17,858 |
| Halliburton Co. | 497,064 | 17,149 |
* | Transocean Inc. | 158,019 | 16,747 |
| Apache Corp. | 178,818 | 14,590 |
| Baker Hughes, Inc. | 173,064 | 14,560 |
| Anadarko Petroleum Corp. | 236,039 | 12,272 |
| XTO Energy, Inc. | 187,884 | 11,292 |
| Williams Cos., Inc. | 322,058 | 10,183 |
* | Weatherford International Ltd. | 182,914 | 10,104 |
* | National Oilwell Varco Inc. | 95,116 | 9,915 |
| EOG Resources, Inc. | 131,600 | 9,615 |
| GlobalSantaFe Corp. | 126,321 | 9,127 |
| Spectra Energy Corp. | 340,717 | 8,845 |
| Chesapeake Energy Corp. | 236,471 | 8,182 |
| Hess Corp. | 136,985 | 8,077 |
| Noble Corp. | 72,902 | 7,109 |
| Peabody Energy Corp. | 142,794 | 6,908 |
| El Paso Corp. | 382,016 | 6,582 |
| Smith International, Inc. | 108,404 | 6,357 |
| Noble Energy, Inc. | 92,289 | 5,758 |
| Murphy Oil Corp. | 96,412 | 5,731 |
* | Nabors Industries, Inc. | 162,130 | 5,412 |
| Sunoco, Inc. | 65,825 | 5,245 |
| ENSCO International, Inc. | 81,885 | 4,996 |
| CONSOL Energy, Inc. | 98,958 | 4,563 |
* | Ultra Petroleum Corp. | 81,933 | 4,526 |
| BJ Services Co. | 159,105 | 4,525 |
* | Cameron International Corp. | 60,018 | 4,289 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Tesoro Corp. | 74,098 | 4,235 |
* | Southwestern Energy Co. | 90,810 | 4,041 |
| Diamond Offshore Drilling, Inc. | 37,394 | 3,798 |
* | Grant Prideco, Inc. | 69,109 | 3,720 |
* | Pride International, Inc. | 88,555 | 3,317 |
| Pioneer Natural Resources Co. | 67,193 | 3,273 |
* | Newfield Exploration Co. | 70,144 | 3,195 |
| Range Resources Corp. | 79,226 | 2,964 |
* | FMC Technologies Inc. | 36,726 | 2,909 |
| Arch Coal, Inc. | 77,382 | 2,693 |
| Frontier Oil Corp. | 60,090 | 2,630 |
| Rowan Cos., Inc. | 59,690 | 2,446 |
* | Denbury Resources, Inc. | 64,796 | 2,430 |
| Patterson-UTI Energy, Inc. | 84,800 | 2,223 |
| Tidewater Inc. | 29,600 | 2,098 |
| Helmerich & Payne, Inc. | 56,860 | 2,014 |
* | Plains Exploration & Production Co. | 41,615 | 1,990 |
| Holly Corp. | 25,922 | 1,923 |
* | Helix Energy Solutions Group, Inc. | 48,062 | 1,918 |
| Cabot Oil & Gas Corp. | 51,807 | 1,911 |
* | Superior Energy Services, Inc. | 46,038 | 1,838 |
* | Forest Oil Corp. | 43,231 | 1,827 |
| Cimarex Energy Co. | 44,974 | 1,772 |
* | Kinder Morgan |
|
|
| Management, LLC | 33,719 | 1,750 |
* | Dresser Rand Group, Inc. | 41,729 | 1,648 |
| Pogo Producing Co. | 31,677 | 1,609 |
* | Unit Corp. | 25,179 | 1,584 |
* | Oceaneering International, Inc. | 29,496 | 1,553 |
* | Todco Class A | 31,442 | 1,484 |
* | Petrohawk Energy Corp. | 91,516 | 1,451 |
| Overseas Shipholding |
|
|
| Group Inc. | 17,408 | 1,417 |
* | Core Laboratories N.V. | 13,810 | 1,404 |
* | Global Industries Ltd. | 50,529 | 1,355 |
* | Quicksilver Resources, Inc. | 27,607 | 1,231 |
* | Hanover Compressor Co. | 51,097 | 1,219 |
* | Universal Compression |
|
|
| Holdings, Inc. | 16,633 | 1,205 |
* | SEACOR Holdings Inc. | 12,549 | 1,172 |
| Massey Energy Co. | 43,956 | 1,171 |
*^ | Cheniere Energy, Inc. | 28,706 | 1,114 |
* | TETRA Technologies, Inc. | 39,379 | 1,110 |
| St. Mary Land & |
|
|
| Exploration Co. | 30,054 | 1,101 |
* | Mariner Energy Inc. | 45,017 | 1,092 |
* | Oil States International, Inc. | 25,720 | 1,063 |
* | Atwood Oceanics, Inc. | 15,401 | 1,057 |
* | USEC Inc. | 47,909 | 1,053 |
* | W-H Energy Services, Inc. | 16,601 | 1,028 |
| Foundation Coal Holdings, Inc. | 25,028 | 1,017 |
| Western Refining, Inc. | 16,947 | 980 |
| Atlas America, Inc. | 17,585 | 945 |
* | Whiting Petroleum Corp. | 22,763 | 922 |
14
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Grey Wolf, Inc. | 103,260 | 851 |
| Penn Virginia Corp. | 20,714 | 833 |
* | Dril-Quip, Inc. | 18,292 | 822 |
* | Bristow Group, Inc. | 15,953 | 790 |
* | EXCO Resources, Inc. | 44,835 | 782 |
| Berry Petroleum Class A | 20,405 | 769 |
* | Encore Acquisition Co. | 27,100 | 753 |
* | Alpha Natural Resources, Inc. | 35,492 | 738 |
* | Delta Petroleum Corp. | 36,059 | 724 |
* | Comstock Resources, Inc. | 23,972 | 718 |
* | Carrizo Oil & Gas, Inc. | 16,836 | 698 |
* | Swift Energy Co. | 15,903 | 680 |
* | Hornbeck Offshore Services, Inc. | 16,836 | 653 |
* | Input/Output, Inc. | 41,503 | 648 |
| CARBO Ceramics Inc. | 14,462 | 634 |
| Lufkin Industries, Inc. | 9,790 | 632 |
| World Fuel Services Corp. | 14,846 | 624 |
* | Arena Resources, Inc. | 10,600 | 616 |
* | Parker Drilling Co. | 56,304 | 593 |
* | Bill Barrett Corp. | 15,332 | 565 |
* | Complete Production |
|
|
| Services, Inc. | 20,432 | 528 |
* | Parallel Petroleum Corp. | 22,879 | 501 |
* | ATP Oil & Gas Corp. | 9,977 | 485 |
* | Enbridge Energy |
|
|
| Management LLC | 8,600 | 479 |
* | Aventine Renewable Energy |
|
|
| Holdings, Inc. | 27,847 | 473 |
* | Gulfmark Offshore, Inc. | 9,222 | 472 |
* | PetroQuest Energy, Inc. | 31,860 | 463 |
* | Basic Energy Services Inc. | 16,959 | 434 |
*^ | Evergreen Energy, Inc. | 71,328 | 430 |
* | Dawson Geophysical Co. | 6,931 | 426 |
| Gulf Island Fabrication, Inc. | 12,263 | 426 |
* | Rosetta Resources, Inc. | 19,708 | 425 |
*^ | Goodrich Petroleum Corp. | 12,158 | 421 |
| Alon USA Energy, Inc. | 9,556 | 421 |
* | NATCO Group Inc. | 8,627 | 397 |
^ | Crosstex Energy, Inc. | 13,298 | 382 |
*^ | Hercules Offshore, Inc. | 11,607 | 376 |
* | Matrix Service Co. | 14,500 | 360 |
* | Horizon Offshore, Inc. | 18,600 | 357 |
* | FX Energy, Inc. | 38,235 | 350 |
* | Stone Energy Corp. | 9,986 | 342 |
* | Energy Partners, Ltd. | 20,274 | 338 |
| RPC Inc. | 19,518 | 333 |
* | Newpark Resources, Inc. | 41,983 | 325 |
* | Callon Petroleum Co. | 22,727 | 322 |
* | Pioneer Drilling Co. | 21,533 | 321 |
* | Petroleum Development Corp. | 6,733 | 320 |
* | Brigham Exploration Co. | 54,381 | 319 |
* | CNX Gas Corp. | 10,197 | 312 |
* | Vaalco Energy, Inc. | 62,500 | 302 |
* | International Coal Group, Inc. | 50,383 | 301 |
* | Bronco Drilling Co., Inc. | 18,180 | 298 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Arlington Tankers Ltd. | 9,900 | 284 |
* | Harvest Natural Resources, Inc. | 23,788 | 283 |
* | Abraxas Petroleum Corp. | 63,010 | 283 |
| General Maritime Corp. | 10,523 | 282 |
| W&T Offshore, Inc. | 9,849 | 276 |
* | Clayton Williams Energy, Inc. | 10,311 | 273 |
* | Bois d’Arc Energy, Inc. | 14,900 | 254 |
*^ | Willbros Group, Inc. | 7,700 | 229 |
* | The Meridian Resource Corp. | 66,640 | 201 |
* | TXCO Resources Inc. | 18,754 | 193 |
* | Double Eagle Petroleum Co. | 10,598 | 189 |
* | GMX Resources Inc. | 5,440 | 188 |
* | PHI Inc. Non-Voting | 5,863 | 175 |
* | US BioEnergy Corp. | 15,300 | 174 |
| MarkWest Hydrocarbon, Inc. | 2,998 | 172 |
* | Edge Petroleum Corp. | 11,605 | 163 |
* | Harken Energy Corp. | 15,944 | 161 |
| Delek US Holdings, Inc. | 6,000 | 160 |
*^ | Pacific Ethanol, Inc. | 12,020 | 159 |
* | Warren Resources Inc. | 13,322 | 156 |
*^ | SulphCo, Inc. | 41,150 | 149 |
* | Metretek Technologies, Inc. | 9,202 | 142 |
* | Union Drilling, Inc. | 8,500 | 140 |
* | Trico Marine Services, Inc. | 3,406 | 139 |
* | CanArgo Energy Corp | 168,900 | 130 |
* | McMoRan Exploration Co. | 9,136 | 128 |
* | Infinity, Inc. | 40,804 | 126 |
* | Westmoreland Coal Co. | 3,998 | 109 |
* | Endeavor International Corp. | 72,858 | 109 |
* | Rentech, Inc. | 40,400 | 105 |
* | Allis-Chalmers Energy Inc. | 4,400 | 101 |
*^ | Gasco Energy Inc. | 42,080 | 100 |
* | Contango Oil & Gas Co. | 2,700 | 98 |
*^ | James River Coal Co. | 7,349 | 95 |
* | T-3 Energy Services, Inc. | 2,400 | 80 |
* | Syntroleum Corp. | 28,304 | 78 |
* | Cal Dive International, Inc. | 4,200 | 70 |
* | Toreador Resources Corp. | 4,600 | 69 |
* | Superior Well Services, Inc. | 2,400 | 61 |
* | Gulfport Energy Corp. | 2,200 | 44 |
* | Oilsands Quest, Inc. | 17,200 | 42 |
* | Credo Pete Corp. | 2,678 | 36 |
* | VeraSun Energy Corp. | 1,763 | 26 |
*^ | Transmeridian Exploration Inc. | 10,700 | 19 |
* | Penn Octane Corp. | 3,564 | 2 |
|
|
| 930,665 |
Financials (20.6%) |
|
| |
| Citigroup, Inc. | 2,648,381 | 135,835 |
| Bank of America Corp. | 2,408,292 | 117,741 |
| JPMorgan Chase & Co. | 1,870,005 | 90,602 |
| American International Group, Inc. | 1,193,800 | 83,602 |
| Wells Fargo & Co. | 1,721,048 | 60,529 |
| Wachovia Corp. | 1,028,552 | 52,713 |
| The Goldman Sachs Group, Inc. | 200,773 | 43,518 |
15
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Morgan Stanley | 517,602 | 43,416 |
| Merrill Lynch & Co., Inc. | 452,549 | 37,824 |
| American Express Co. | 581,894 | 35,600 |
| Fannie Mae | 526,719 | 34,411 |
| U.S. Bancorp | 953,492 | 31,418 |
| MetLife, Inc. | 410,714 | 26,483 |
| Prudential Financial, Inc. | 257,743 | 25,060 |
| Freddie Mac | 374,513 | 22,733 |
| Washington Mutual, Inc. | 507,272 | 21,630 |
* | Berkshire Hathaway Inc. Class B | 5,483 | 19,766 |
| The Travelers Cos., Inc. | 365,286 | 19,543 |
| The Allstate Corp. | 317,487 | 19,529 |
| Lehman Brothers Holdings, Inc. | 241,586 | 18,003 |
| Capital One Financial Corp. | 221,479 | 17,373 |
| The Hartford Financial |
|
|
| Services Group Inc. | 173,044 | 17,047 |
| The Bank of New York |
|
|
| Co., Inc. | 408,858 | 16,943 |
| SunTrust Banks, Inc. | 182,161 | 15,618 |
| AFLAC Inc. | 267,149 | 13,732 |
| PNC Financial Services Group | 186,857 | 13,375 |
| Regions Financial Corp. | 394,528 | 13,059 |
| SLM Corp. | 220,991 | 12,725 |
| Franklin Resources Corp. | 96,002 | 12,717 |
| State Street Corp. | 180,481 | 12,345 |
| BB&T Corp. | 296,844 | 12,076 |
| The Chubb Corp. | 222,521 | 12,047 |
| Charles Schwab Corp. | 582,444 | 11,952 |
| Countrywide Financial Corp. | 318,791 | 11,588 |
| Simon Property |
|
|
| Group, Inc. REIT | 119,691 | 11,136 |
| ACE Ltd. | 176,407 | 11,029 |
| Fifth Third Bancorp | 270,726 | 10,767 |
| Lincoln National Corp. | 150,038 | 10,645 |
| Loews Corp. | 205,647 | 10,484 |
| National City Corp. | 311,100 | 10,366 |
| The Chicago Mercantile |
|
|
| Exchange | 18,824 | 10,059 |
| Mellon Financial Corp. | 224,975 | 9,899 |
| Marsh & McLennan |
|
|
| Cos., Inc. | 298,078 | 9,205 |
| Progressive Corp. of Ohio | 382,525 | 9,154 |
| Bear Stearns Co., Inc. | 61,593 | 8,623 |
| The Principal Financial |
|
|
| Group, Inc. | 145,309 | 8,470 |
| Genworth Financial Inc. | 244,686 | 8,417 |
| XL Capital Ltd. Class A | 97,730 | 8,238 |
| Vornado Realty Trust REIT | 73,858 | 8,113 |
| Moody’s Corp. | 128,713 | 8,006 |
| ProLogis REIT | 133,934 | 7,621 |
| KeyCorp | 216,035 | 7,416 |
| Ameriprise Financial, Inc. | 116,552 | 7,409 |
| Equity Residential REIT | 158,149 | 7,216 |
| T. Rowe Price Group Inc. | 136,389 | 7,077 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Legg Mason Inc. | 71,216 | 7,006 |
| Archstone-Smith Trust REIT | 118,343 | 6,995 |
| Northern Trust Corp. | 106,513 | 6,842 |
| Host Hotels & Resorts Inc. REIT | 292,297 | 6,758 |
| Boston Properties, Inc. REIT | 63,350 | 6,470 |
| Aon Corp. | 150,897 | 6,430 |
| General Growth Properties Inc. REIT | 117,805 | 6,238 |
| Marshall & Ilsley Corp. | 124,636 | 5,936 |
| CIT Group Inc. | 107,496 | 5,894 |
| Nymex Holdings Inc. | 42,445 | 5,332 |
| NYSE Euronext | 72,338 | 5,326 |
| Public Storage, Inc. REIT | 68,916 | 5,294 |
* | E*TRADE Financial Corp. | 231,127 | 5,106 |
| Comerica, Inc. | 85,553 | 5,088 |
| Avalonbay |
|
|
| Communities, Inc. REIT | 42,709 | 5,077 |
| Ambac Financial Group, Inc. | 57,084 | 4,977 |
| Unum Group | 185,746 | 4,850 |
| Compass Bancshares Inc. | 70,150 | 4,839 |
* | Berkshire Hathaway Inc. |
|
|
| Class A | 43 | 4,707 |
| Kimco Realty Corp. REIT | 121,968 | 4,643 |
| MBIA, Inc. | 72,770 | 4,528 |
| Zions Bancorp | 57,641 | 4,433 |
| Synovus Financial Corp. | 141,401 | 4,341 |
| Sovereign Bancorp, Inc. | 205,288 | 4,340 |
* | CBOT Holdings, Inc. Class A | 20,078 | 4,148 |
* | CB Richard Ellis Group, Inc. | 110,087 | 4,018 |
| Plum Creek Timber |
|
|
| Co. Inc. REIT | 95,696 | 3,987 |
| American Capital |
|
|
| Strategies, Ltd. | 93,553 | 3,978 |
| SL Green Realty Corp. REIT | 31,577 | 3,912 |
| Everest Re Group, Ltd. | 35,105 | 3,814 |
| M & T Bank Corp. | 35,589 | 3,804 |
| Willis Group Holdings Ltd. | 85,369 | 3,761 |
| Cincinnati Financial Corp. | 84,163 | 3,653 |
| Safeco Corp. | 57,455 | 3,577 |
| Commerce Bancorp, Inc. | 96,144 | 3,556 |
| Torchmark Corp. | 52,966 | 3,549 |
| Hudson City Bancorp, Inc. | 287,873 | 3,518 |
| A.G. Edwards, Inc. | 40,887 | 3,457 |
| Assurant, Inc. | 56,588 | 3,334 |
* | IntercontinentalExchange Inc. | 22,343 | 3,303 |
| The Macerich Co. REIT | 38,768 | 3,195 |
| Health Care Properties |
|
|
| Investors REIT | 109,149 | 3,158 |
| Leucadia National Corp. | 88,298 | 3,113 |
| Developers Diversified |
|
|
| Realty Corp. REIT | 58,767 | 3,098 |
| iStar Financial Inc. REIT | 68,320 | 3,029 |
| Axis Capital Holdings Ltd. | 73,508 | 2,988 |
* | TD Ameritrade Holding Corp. | 146,770 | 2,935 |
| Eaton Vance Corp. | 65,227 | 2,882 |
16
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| People’s United Financial Inc. | 162,411 | 2,880 |
| W.R. Berkley Corp. | 88,436 | 2,878 |
| Janus Capital Group Inc. | 102,366 | 2,850 |
| AMB Property Corp. REIT | 53,405 | 2,842 |
| White Mountains Insurance Group Inc. | 4,654 | 2,820 |
| Huntington Bancshares Inc. | 120,690 | 2,744 |
| Fidelity National Financial, Inc. Class A | 112,099 | 2,657 |
| Nuveen Investments, Inc. |
|
|
| Class A | 42,530 | 2,643 |
| First Horizon National Corp. | 67,371 | 2,627 |
| Apartment Investment & |
|
|
| Management Co. |
|
|
| Class A REIT | 52,075 | 2,626 |
| Regency Centers Corp. REIT | 37,164 | 2,620 |
| Duke Realty Corp. REIT | 72,975 | 2,603 |
| New York Community |
|
|
| Bancorp, Inc. | 152,622 | 2,598 |
| MGIC Investment Corp. | 44,824 | 2,549 |
| Old Republic |
|
|
| International Corp. | 119,557 | 2,542 |
^ | Allied Capital Corp. | 82,016 | 2,539 |
| Ventas, Inc. REIT | 70,009 | 2,538 |
* | Markel Corp. | 5,129 | 2,485 |
| PartnerRe Ltd. | 30,874 | 2,393 |
| SEI Investments Co. | 80,208 | 2,329 |
| Radian Group, Inc. | 42,944 | 2,319 |
| Federal Realty Investment |
|
|
| Trust REIT | 29,980 | 2,316 |
| RenaissanceRe Holdings Ltd. | 37,098 | 2,300 |
| Popular, Inc. | 142,861 | 2,296 |
| Jones Lang LaSalle Inc. | 19,849 | 2,253 |
| Investors Financial |
|
|
| Services Corp. | 35,714 | 2,202 |
| First American Corp. | 44,398 | 2,198 |
| Associated Banc-Corp. | 65,895 | 2,155 |
| Liberty Property Trust REIT | 48,906 | 2,148 |
* | Affiliated Managers Group, Inc. | 16,340 | 2,104 |
| The PMI Group Inc. | 46,937 | 2,097 |
| Hospitality Properties Trust |
|
|
| REIT | 50,400 | 2,091 |
| Colonial BancGroup, Inc. | 83,571 | 2,087 |
| Camden Property Trust REIT | 30,553 | 2,046 |
| Forest City Enterprise |
|
|
| Class A | 33,279 | 2,046 |
| HCC Insurance |
|
|
| Holdings, Inc. | 60,140 | 2,009 |
| Annaly Mortgage |
|
|
| Management Inc. REIT | 138,056 | 1,991 |
| Federated Investors, Inc. | 51,118 | 1,959 |
| UDR, Inc. REIT | 72,923 | 1,918 |
| Rayonier Inc. REIT | 41,555 | 1,876 |
| Nationwide Financial |
|
|
| Services, Inc. | 29,507 | 1,865 |
| UnionBanCal Corp. | 30,254 | 1,806 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
^ | The St. Joe Co. | 38,256 | 1,773 |
| TCF Financial Corp. | 63,676 | 1,770 |
* | Arch Capital Group Ltd. | 24,267 | 1,760 |
| Protective Life Corp. | 36,210 | 1,731 |
| Health Care Inc. REIT | 42,716 | 1,724 |
| Weingarten Realty Investors REIT | 41,865 | 1,721 |
* | Conseco, Inc. | 82,318 | 1,720 |
* | AmeriCredit Corp. | 63,690 | 1,691 |
^ | Thornburg Mortgage, Inc. REIT | 64,284 | 1,683 |
| City National Corp. | 22,038 | 1,677 |
| BRE Properties Inc. Class A |
|
|
| REIT | 27,431 | 1,626 |
| Brown & Brown, Inc. | 64,558 | 1,623 |
| Mack-Cali Realty Corp. REIT | 36,657 | 1,594 |
| Sky Financial Group, Inc. | 56,895 | 1,585 |
| Essex Property Trust, Inc. |
|
|
| REIT | 13,599 | 1,582 |
| Cullen/Frost Bankers, Inc. | 29,297 | 1,567 |
| Raymond James Financial, Inc. | 50,647 | 1,565 |
| CapitalSource Inc. REIT | 63,060 | 1,551 |
| Alexandria Real Estate |
|
|
| Equities, Inc. REIT | 15,946 | 1,544 |
| Erie Indemnity Co. Class A | 28,321 | 1,530 |
| StanCorp Financial Group, Inc. | 29,065 | 1,525 |
| Arthur J. Gallagher & Co. | 53,337 | 1,487 |
| Jefferies Group, Inc. | 54,792 | 1,478 |
| Commerce Bancshares, Inc. | 32,519 | 1,473 |
| Wilmington Trust Corp. | 35,425 | 1,470 |
| Taubman Co. REIT | 29,075 | 1,442 |
| Ohio Casualty Corp. | 33,218 | 1,439 |
| Valley National Bancorp | 62,562 | 1,407 |
| ^The First Marblehead Corp. | 36,214 | 1,399 |
| Bank of Hawaii Corp. | 27,015 | 1,395 |
| Realty Income Corp. REIT | 54,683 | 1,377 |
* | Philadelphia Consolidated |
|
|
| Holding Corp. | 32,701 | 1,367 |
| Fulton Financial Corp. | 94,414 | 1,361 |
| The Hanover Insurance |
|
|
| Group Inc. | 27,876 | 1,360 |
* | Nasdaq Stock Market Inc. | 45,673 | 1,357 |
| American Financial Group, Inc. | 38,984 | 1,331 |
| Brandywine Realty Trust REIT | 45,788 | 1,309 |
| Webster Financial Corp. | 30,657 | 1,308 |
| East West Bancorp, Inc. | 33,579 | 1,306 |
| Aspen Insurance Holdings Ltd. | 45,273 | 1,271 |
| Unitrin, Inc. | 25,716 | 1,265 |
| Kilroy Realty Corp. REIT | 17,768 | 1,259 |
| Nationwide Health |
|
|
| Properties, Inc. REIT | 46,091 | 1,254 |
| International Securities |
|
|
| Exchange, Inc. | 19,184 | 1,254 |
| Post Properties, Inc. REIT | 24,008 | 1,252 |
| Douglas Emmett, Inc. REIT | 50,316 | 1,245 |
17
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Endurance Specialty |
|
|
| Holdings Ltd. | 30,815 | 1,234 |
| CBL & Associates Properties, Inc. REIT | 33,898 | 1,222 |
| Astoria Financial Corp. | 48,400 | 1,212 |
| Waddell & Reed Financial, Inc. | 46,138 | 1,200 |
| HRPT Properties Trust REIT | 115,102 | 1,197 |
| Crescent Real Estate, Inc. REIT | 53,332 | 1,197 |
| Allied World Assurance |
|
|
| Holdings, Ltd. | 23,173 | 1,188 |
* | Alleghany Corp. | 2,903 | 1,180 |
| Apollo Investment Corp. | 54,735 | 1,178 |
| Washington Federal Inc. | 48,058 | 1,168 |
| Platinum Underwriters |
|
|
| Holdings, Ltd. | 32,650 | 1,135 |
| ^IndyMac Bancorp, Inc. | 38,858 | 1,133 |
| Highwood Properties, Inc. |
|
|
| REIT | 29,260 | 1,097 |
| Montpelier Re Holdings Ltd. | 58,483 | 1,084 |
* | Investment Technology |
|
|
| Group, Inc. | 23,984 | 1,039 |
| Whitney Holdings Corp. | 34,518 | 1,039 |
| Transatlantic Holdings, Inc. | 14,501 | 1,031 |
| Digital Realty Trust, Inc. REIT | 26,874 | 1,013 |
* | SVB Financial Group | 18,965 | 1,007 |
| Delphi Financial Group, Inc. | 23,878 | 999 |
| Reinsurance Group of |
|
|
| America, Inc. | 16,563 | 998 |
| UCBH Holdings, Inc. | 54,598 | 998 |
| DCT Industrial Trust Inc. | 92,218 | 992 |
| First Midwest Bancorp, Inc. | 27,507 | 977 |
| Commerce Group, Inc. | 27,957 | 971 |
| First Industrial Realty Trust |
|
|
| REIT | 24,750 | 959 |
| LaSalle Hotel Properties REIT | 21,936 | 952 |
| The South Financial Group, Inc. | 41,581 | 941 |
| Chittenden Corp. | 26,921 | 941 |
| Home Properties, Inc. REIT | 18,118 | 941 |
| Zenith National Insurance Corp. | 19,938 | 939 |
| BancorpSouth, Inc. | 38,367 | 938 |
| Strategic Hotels and |
|
|
| Resorts, Inc. REIT | 41,491 | 933 |
* | ProAssurance Corp. | 16,534 | 920 |
| Corporate Office Properties |
|
|
| Trust, Inc. REIT | 22,370 | 917 |
| Senior Housing Properties |
|
|
| Trust REIT | 45,049 | 917 |
| IPC Holdings Ltd. | 28,137 | 909 |
| DiamondRock |
|
|
| Hospitality Co. REIT | 47,419 | 905 |
| FirstMerit Corp. | 43,157 | 903 |
| Sunstone Hotel Investors, Inc. |
|
|
| REIT | 31,718 | 900 |
| Assured Guaranty Ltd. | 30,394 | 898 |
| Potlatch Corp. REIT | 20,866 | 898 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Knight Capital Group, Inc. Class A | 53,683 | 891 |
| BioMed Realty Trust, Inc. REIT | 35,331 | 888 |
| National Financial |
|
|
| Partners Corp. | 19,138 | 886 |
| Pennsylvania REIT | 19,950 | 884 |
| LandAmerica Financial |
|
|
| Group, Inc. | 9,144 | 882 |
| The Phoenix Cos., Inc. | 58,258 | 874 |
| Colonial Properties Trust REIT | 23,599 | 860 |
| First Community Bancorp | 14,859 | 850 |
| Selective Insurance Group | 31,611 | 850 |
| Washington REIT | 24,960 | 849 |
| FelCor Lodging Trust, Inc. |
|
|
| REIT | 32,570 | 848 |
| Spirit Finance Corp. REIT | 57,917 | 843 |
| MAF Bancorp, Inc. | 15,441 | 838 |
| Hilb, Rogal and Hamilton Co. | 19,488 | 835 |
| Mercury General Corp. | 15,091 | 832 |
| Cathay General Bancorp | 24,597 | 825 |
| NewAlliance Bancshares, Inc. | 55,206 | 813 |
| Umpqua Holdings Corp. | 34,148 | 803 |
| First Republic Bank | 14,912 | 800 |
| Entertainment Properties |
|
|
| Trust REIT | 14,726 | 792 |
| Greater Bay Bancorp | 28,230 | 786 |
| Sterling Financial Corp. | 26,786 | 775 |
| National Retail Properties REIT | 35,215 | 770 |
| Citizens Banking Corp. | 41,857 | 766 |
| First Niagara Financial |
|
|
| Group, Inc. | 58,335 | 764 |
| Downey Financial Corp. | 11,572 | 764 |
| Lexington Realty Trust REIT | 36,262 | 754 |
| Provident Bankshares Corp. | 22,801 | 747 |
| Westamerica Bancorporation | 16,610 | 735 |
| Newcastle Investment Corp. |
|
|
| REIT | 29,301 | 735 |
| Healthcare Realty Trust Inc. |
|
|
| REIT | 26,414 | 734 |
| Central Pacific Financial Co. | 21,985 | 726 |
| Wintrust Financial Corp. | 16,525 | 725 |
| American Financial Realty |
|
|
| Trust REIT | 70,212 | 725 |
* | Piper Jaffray Cos., Inc. | 12,999 | 724 |
| UMB Financial Corp. | 19,644 | 724 |
| Ashford Hospitality Trust |
|
|
| REIT | 61,578 | 724 |
| F.N.B. Corp. | 43,224 | 724 |
| International Bancshares Corp. | 28,032 | 718 |
| Maguire Properties, Inc. REIT | 20,723 | 711 |
| Equity Lifestyle |
|
|
| Properties, Inc. REIT | 13,341 | 696 |
| Boston Private Financial |
|
|
| Holdings, Inc. | 25,823 | 694 |
| RAIT Financial Trust REIT | 26,606 | 692 |
18
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | First Federal Financial Corp. | 12,073 | 685 |
| PS Business Parks, Inc. REIT | 10,793 | 684 |
| Ares Capital Corp. | 40,576 | 684 |
| R.L.I. Corp. | 12,195 | 682 |
* | Signature Bank | 19,987 | 682 |
| Alabama National BanCorporation | 10,996 | 680 |
| Argonaut Group, Inc. | 21,774 | 680 |
| Equity One, Inc. REIT | 26,472 | 676 |
| Horace Mann Educators Corp. | 31,588 | 671 |
| Glacier Bancorp, Inc. | 32,941 | 670 |
| Frontier Financial Corp. | 29,715 | 669 |
| BOK Financial Corp. | 12,266 | 655 |
| ^American Home Mortgage |
|
|
| Investment Corp. REIT | 35,410 | 651 |
| Mid-America Apartment |
|
|
| Communities, Inc. REIT | 12,318 | 646 |
| Equity Inns, Inc. REIT | 28,834 | 646 |
| Cash America International Inc. | 16,187 | 642 |
| Cousins Properties, Inc. REIT | 21,970 | 637 |
| Trustmark Corp. | 24,605 | 636 |
| Redwood Trust, Inc. REIT | 13,063 | 632 |
| Pacific Capital Bancorp | 23,367 | 630 |
| Prosperity Bancshares, Inc. | 19,120 | 626 |
| MCG Capital Corp. | 38,349 | 614 |
| Tanger Factory Outlet |
|
|
| Centers, Inc. REIT | 16,250 | 609 |
| Advance America, Cash |
|
|
| Advance Centers, Inc. | 34,188 | 607 |
| Sterling Bancshares, Inc. | 53,129 | 601 |
| Acadia Realty Trust REIT | 23,031 | 598 |
| Odyssey Re Holdings Corp. | 13,476 | 578 |
* | GFI Group Inc. | 7,974 | 578 |
| First BanCorp Puerto Rico | 52,368 | 576 |
| Community Banks, Inc. | 17,838 | 575 |
| United Bankshares, Inc. | 17,869 | 568 |
| Old National Bancorp | 33,678 | 559 |
| CVB Financial Corp. | 50,172 | 558 |
| Highland Hospitality Corp. |
|
|
| REIT | 29,038 | 558 |
| Anthracite Capital Inc. REIT | 47,478 | 555 |
| Extra Space Storage Inc. REIT | 32,901 | 543 |
| EastGroup Properties, Inc. |
|
|
| REIT | 12,278 | 538 |
| Amcore Financial, Inc. | 18,330 | 531 |
| American Campus |
|
|
| Communities, Inc. REIT | 18,760 | 531 |
| First Charter Corp. | 27,033 | 526 |
| S & T Bancorp, Inc. | 15,962 | 525 |
^ | First Commonwealth |
|
|
| Financial Corp. | 48,050 | 525 |
| NBT Bancorp, Inc. | 23,189 | 523 |
| Brookline Bancorp, Inc. | 45,325 | 522 |
| MB Financial, Inc. | 14,944 | 519 |
| City Holding Co. | 13,488 | 517 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Cedar Shopping Centers, Inc. REIT | 36,020 | 517 |
| Inland Real Estate Corp. REIT | 30,424 | 517 |
| Franklin Street |
|
|
| Properties Corp. REIT | 31,117 | 515 |
| Bank Mutual Corp. | 43,919 | 506 |
| Provident Financial |
|
|
| Services Inc. | 32,120 | 506 |
| Calamos Asset |
|
|
| Management, Inc. | 19,726 | 504 |
| BankUnited Financial Corp. | 24,915 | 500 |
| First Citizens BancShares Class A | 2,549 | 496 |
| National Penn Bancshares Inc. | 29,546 | 493 |
| Community Bank System, Inc. | 24,588 | 492 |
| Susquehanna Bancshares, Inc. | 21,946 | 491 |
| American Equity Investment |
|
|
| Life Holding Co. | 40,587 | 490 |
* | Stifel Financial Corp. | 8,193 | 482 |
^ | Corus Bankshares Inc. | 27,782 | 480 |
| Midland Co. | 10,120 | 475 |
| Infinity Property & |
|
|
| Casualty Corp. | 9,345 | 474 |
| Hanmi Financial Corp. | 27,368 | 467 |
* | United America Indemnity, Ltd. | 18,700 | 465 |
| Hancock Holding Co. | 12,303 | 462 |
| First Financial Bankshares, Inc. | 11,805 | 458 |
| First Financial Bancorp | 30,247 | 453 |
| Arbor Realty Trust, Inc. REIT | 17,492 | 451 |
| Chemical Financial Corp. | 17,378 | 450 |
| Sovran Self Storage, Inc. REIT | 9,281 | 447 |
^ | Greenhill & Co., Inc. | 6,474 | 445 |
^ | Fremont General Corp. | 41,178 | 443 |
| Max Re Capital Ltd. | 15,572 | 441 |
^ | Cascade Bancorp | 19,029 | 440 |
| Anchor Bancorp Wisconsin Inc. | 16,707 | 438 |
| Stewart Information |
|
|
| Services Corp. | 10,956 | 436 |
| Provident New York |
|
|
| Bancorp, Inc. | 32,241 | 436 |
* | Western Alliance Bancorp | 14,463 | 432 |
| Friedman, Billings, Ramsey |
|
|
| Group, Inc. REIT | 78,285 | 427 |
^ | PrivateBancorp, Inc. | 14,793 | 426 |
| Security Capital |
|
|
| Assurance, Ltd. | 13,783 | 425 |
* | Ocwen Financial Corp. | 31,794 | 424 |
| Alesco Financial, Inc. REIT | 51,746 | 421 |
| FBL Financial Group, Inc. |
|
|
| Class A | 10,506 | 413 |
* | World Acceptance Corp. | 9,621 | 411 |
* | American Physicians |
|
|
| Capital, Inc. | 10,133 | 410 |
| Park National Corp. | 4,840 | 410 |
| BankAtlantic Bancorp, Inc. Class A | 47,444 | 408 |
19
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| optionsXpress Holdings Inc. | 15,812 | 406 |
| First State Bancorporation | 19,054 | 406 |
| Gamco Investors Inc. Class A | 7,208 | 404 |
| Anworth Mortgage Asset Corp. REIT | 44,625 | 404 |
| Bristol West Holdings, Inc. | 17,748 | 397 |
* | Centennial Bank Holdings Inc. | 46,861 | 397 |
| Kite Realty Group Trust REIT | 20,750 | 395 |
* | EZCORP, Inc. | 29,753 | 394 |
| Saul Centers, Inc. REIT | 8,679 | 394 |
* | Affordable Residential |
|
|
| Communities | 33,135 | 392 |
| Omega Healthcare Investors, Inc. REIT | 24,621 | 390 |
| Presidential Life Corp. | 19,593 | 385 |
| Capitol Federal Financial | 10,298 | 380 |
| Columbia Banking System, Inc. | 12,974 | 379 |
| Capitol Bancorp Ltd. | 13,816 | 378 |
* | Navigators Group, Inc. | 6,995 | 377 |
* | Nexcen Brands, Inc. | 33,670 | 375 |
* | Investors Bancorp, Inc. | 27,773 | 373 |
* | LaBranche & Co. Inc. | 50,393 | 372 |
| First Merchants Corp. | 15,441 | 371 |
| Capital City Bank Group, Inc. | 11,751 | 368 |
| BankFinancial Corp. | 23,806 | 368 |
| Banner Corp. | 10,516 | 358 |
| Advanta Corp. Class B | 11,500 | 358 |
| Glimcher Realty Trust REIT | 14,292 | 357 |
| CoBiz Inc. | 19,691 | 357 |
| Community Trust Bancorp Inc. | 11,026 | 356 |
| Harleysville Group, Inc. | 10,515 | 351 |
| Capital Southwest Corp. | 2,247 | 350 |
| Enstar Group Ltd. | 2,900 | 350 |
| Portfolio Recovery |
|
|
| Associates, Inc. | 5,795 | 348 |
| Municipal Mortgage & |
|
|
| Equity, L.L.C. | 14,125 | 344 |
| National Health Investors REIT | 10,808 | 343 |
| ^ASTA Funding, Inc. | 8,855 | 340 |
* | First Cash Financial |
|
|
| Services, Inc. | 14,500 | 340 |
| Ameris Bancorp | 15,034 | 338 |
| Resource America, Inc. | 16,309 | 336 |
* | Alexander’s, Inc. REIT | 830 | 336 |
| BancFirst Corp. | 7,779 | 333 |
| Financial Federal Corp. | 11,158 | 333 |
| PFF Bancorp, Inc. | 11,758 | 328 |
| United Community Banks, Inc. | 12,505 | 324 |
| Consolidated-Tomoka Land Co. | 4,667 | 323 |
| Associated Estates |
|
|
| Realty Corp. REIT | 20,413 | 318 |
| Agree Realty Corp. REIT | 10,161 | 318 |
| City Bank Lynnwood (WA) | 9,980 | 314 |
| Northwest Bancorp, Inc. | 12,016 | 314 |
| First Indiana Corp. | 14,018 | 310 |
* | FPIC Insurance Group, Inc. | 7,546 | 308 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| SWS Group, Inc. | 14,202 | 307 |
| Federal Agricultural Mortgage Corp. Class C | 8,937 | 306 |
* | Dollar Financial Corp. | 10,700 | 305 |
* | CompuCredit Corp. | 8,701 | 305 |
| Cohen & Steers, Inc. | 7,000 | 304 |
| Berkshire Hills Bancorp, Inc. | 9,630 | 303 |
| BRT Realty Trust REIT | 11,400 | 297 |
| Innkeepers USA Trust REIT | 16,628 | 295 |
| Flagstar Bancorp, Inc. | 24,409 | 294 |
^ | TrustCo Bank NY | 29,758 | 294 |
| Safety Insurance Group, Inc. | 7,094 | 294 |
* | Asset Acceptance Capital Corp. | 16,589 | 294 |
| U-Store-It Trust REIT | 17,822 | 292 |
* | Community Bancorp | 10,370 | 290 |
| Westbanco Inc. | 9,739 | 287 |
| Arrow Financial Corp. | 12,941 | 285 |
| Capstead Mortgage Corp. |
|
|
| REIT | 28,846 | 280 |
* | Move, Inc. | 61,512 | 276 |
| American Land Lease, Inc. |
|
|
| REIT | 10,979 | 274 |
* | Triad Guaranty, Inc. | 6,854 | 274 |
| First Busey Corp. | 13,467 | 269 |
* | Amerisafe Inc. | 13,709 | 269 |
| Fieldstone Investment Corp. |
|
|
| REIT | 73,899 | 269 |
* | Universal American |
|
|
| Financial Corp. | 12,634 | 269 |
| Student Loan Corp. | 1,309 | 267 |
* | PICO Holdings, Inc. | 6,046 | 262 |
| Capital Trust Class A REIT | 7,639 | 261 |
| 21st Century Insurance Group | 11,673 | 255 |
| Center Financial Corp. | 15,049 | 255 |
| Irwin Financial Corp. | 16,870 | 253 |
| Dime Community Bancshares | 19,124 | 252 |
^ | Gladstone Capital Corp. | 11,737 | 252 |
| Education Realty Trust, Inc. |
|
|
| REIT | 17,905 | 251 |
| Baldwin & Lyons, Inc. Class B | 9,668 | 251 |
| Parkway Properties Inc. REIT | 5,210 | 250 |
*^ | Ladenburg Thalmann Financial |
|
|
| Services, Inc. | 108,695 | 250 |
*^ | Citizens, Inc. | 34,896 | 246 |
| First Source Corp. | 9,821 | 245 |
| Winston Hotels, Inc. REIT | 16,168 | 243 |
| National Western Life |
|
|
| Insurance Co. Class A | 954 | 241 |
| Nelnet, Inc. | 9,846 | 241 |
| AmericanWest Bancorporation | 13,021 | 237 |
| NorthStar Realty |
|
|
| Finance Corp. REIT | 18,840 | 236 |
| First Potomac REIT | 10,056 | 234 |
| LTC Properties, Inc. REIT | 10,270 | 234 |
20
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Capital Lease Funding, Inc. REIT | 21,720 | 233 |
^ | Novastar Financial, Inc. REIT | 32,677 | 228 |
| Citizens 1st Bancorp, Inc. | 10,408 | 227 |
* | Franklin Bank Corp. | 15,224 | 227 |
| EMC Insurance Group, Inc. | 9,139 | 227 |
| CFS Bancorp, Inc. | 15,282 | 222 |
| Alfa Corp. | 14,150 | 220 |
* | Tejon Ranch Co. | 4,965 | 219 |
| CBRE Realty Finance Inc. | 18,400 | 219 |
| United Fire & Casualty Co. | 6,176 | 219 |
| Abington Community |
|
|
| Bancorp Inc. | 22,704 | 217 |
| MFA Mortgage |
|
|
| Investments, Inc. REIT | 29,540 | 215 |
| Harleysville National Corp. | 13,211 | 213 |
| GMH Communities Trust |
|
|
| REIT | 21,901 | 212 |
| BancTrust Financial Group, Inc. | 10,076 | 212 |
* | Ameriserv Financial Inc. | 47,158 | 207 |
| W Holding Co., Inc. | 78,453 | 207 |
| American Mortgage |
|
|
| Acceptance Co. REIT | 20,600 | 207 |
| State Auto Financial Corp. | 6,702 | 205 |
| NYMAGIC, Inc. | 5,097 | 205 |
*^ | Accredited Home Lenders Holding Co. | 14,922 | 204 |
| First Community |
|
|
| Bancshares, Inc. | 6,535 | 204 |
| Independent Bank Corp. (MA) | 6,864 | 203 |
* | KBW Inc. | 6,900 | 203 |
* | First Regional Bancorp | 7,914 | 201 |
| Center Bancorp, Inc. | 13,580 | 200 |
| Deerfield Triarc Capital Corp. |
|
|
| REIT | 13,678 | 200 |
* | Tradestation Group Inc. | 17,055 | 199 |
| Medallion Financial Corp. | 16,775 | 198 |
| Partners Trust Financial |
|
|
| Group, Inc. | 18,568 | 195 |
| First Defiance Financial Corp. | 6,496 | 194 |
| Tower Group, Inc. | 6,057 | 193 |
^ | U.S. Global Investors, Inc. |
|
|
| Class A | 8,380 | 190 |
* | United Capital Corp. | 6,346 | 182 |
| Crawford & Co. Class B | 26,931 | 182 |
| Sun Communities, Inc. REIT | 6,044 | 180 |
| Sierra Bancorp | 6,370 | 180 |
* | United PanAm Financial Corp. | 12,541 | 179 |
| IBERIABANK Corp. | 3,577 | 177 |
| Ames National Corp. | 8,220 | 177 |
| WSFS Financial Corp. | 2,698 | 177 |
* | Pinnacle Financial Partners, Inc. | 6,004 | 176 |
| Clifton Savings Bancorp, Inc. | 16,190 | 176 |
| Bryn Mawr Bank Corp. | 7,563 | 174 |
| Medical Properties Trust Inc. REIT | 13,112 | 173 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Ramco-Gershenson Properties Trust REIT | 4,805 | 173 |
* | American Independence Corp. | 15,479 | 171 |
| Crystal River Capital Inc. REIT | 7,029 | 171 |
| Donegal Group Inc. Class A | 11,429 | 170 |
| Capital Corp. of the West | 7,079 | 170 |
* | Pennsylvania Commerce Bancorp, Inc. | 5,972 | 169 |
| Lakeland Bancorp, Inc. | 12,672 | 169 |
| American National |
|
|
| Bankshares Inc. | 7,422 | 167 |
^ | Luminent Mortgage |
|
|
| Capital, Inc. REIT | 16,421 | 166 |
| Bank of Granite Corp. | 9,915 | 165 |
| Enterprise Financial |
|
|
| Services Corp. | 6,600 | 164 |
| Sanders Morris Harris |
|
|
| Group Inc. | 13,994 | 163 |
| Brooke Corp. | 11,010 | 163 |
| Bancorp Rhode Island Inc. | 4,255 | 163 |
| Cardinal Financial Corp. | 16,306 | 161 |
| First Financial Holdings, Inc. | 4,844 | 158 |
| TierOne Corp. | 5,200 | 157 |
| North Valley Bancorp | 6,436 | 154 |
| Compass Diversified Trust | 8,600 | 153 |
* | Consumer Portfolio |
|
|
| Services, Inc. | 24,211 | 151 |
| Capital Bank Corp. | 8,971 | 151 |
| KNBT Bancorp Inc. | 10,237 | 150 |
| Getty Realty Holding Corp. |
|
|
| REIT | 5,696 | 150 |
| ProCentury Corp. | 8,885 | 149 |
| Universal Health Realty |
|
|
| Income REIT | 4,471 | 149 |
| Atlantic Coast Federal Corp. | 9,233 | 145 |
| OneBeacon Insurance |
|
|
| Group Ltd. | 5,700 | 144 |
| West Coast Bancorp | 4,749 | 144 |
* | Scottish Re Group Ltd. | 29,320 | 143 |
| Great Southern Bancorp, Inc. | 5,253 | 142 |
* | CNA Surety Corp. | 7,446 | 141 |
| Eastern Virginia |
|
|
| Bankshares, Inc. | 6,287 | 138 |
| Independent Bank Corp. (MI) | 8,021 | 138 |
| Gramercy Capital Corp. REIT | 5,005 | 138 |
| Amtrust Financial Services Inc. | 7,300 | 137 |
^ | Columbia Bancorp (OR) | 6,449 | 135 |
* | Encore Capital Group, Inc. | 10,700 | 134 |
* | First Acceptance Corp. | 13,073 | 133 |
| Urstadt Biddle Properties |
|
|
| Class A REIT | 7,698 | 131 |
| ITLA Capital Corp. | 2,508 | 131 |
| Leesport Financial Corp. | 6,411 | 128 |
| Investors Real Estate Trust |
|
|
| REIT | 12,023 | 124 |
* | Reis, Inc. | 13,650 | 124 |
21
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Old Second Bancorp, Inc. | 4,202 | 123 |
| Mission West Properties Inc. REIT | 8,567 | 119 |
* | Clayton Holdings, Inc. | 10,466 | 119 |
| First of Long Island Corp. | 5,666 | 119 |
| Sandy Spring Bancorp, Inc. | 3,753 | 118 |
| First Place Financial Corp. | 5,547 | 117 |
| Camden National Corp. | 2,987 | 117 |
^ | Impac Mortgage |
|
|
| Holdings, Inc. REIT | 25,138 | 116 |
* | PMA Capital Corp. Class A | 10,832 | 116 |
| Suffolk Bancorp | 3,576 | 114 |
| Preferred Bank, Los Angeles | 2,850 | 114 |
| Simmons First National Corp. | 4,109 | 113 |
| HomeBanc Corp. REIT | 89,183 | 113 |
* | Doral Financial Corp. | 93,422 | 110 |
* | Quanta Capital Holdings Ltd. | 45,881 | 110 |
| Advanta Corp. Class A | 3,855 | 110 |
| JER Investors Trust Inc. REIT | 7,293 | 109 |
| Renasant Corp. | 4,799 | 109 |
| First Bancorp (NC) | 5,820 | 109 |
| Ameriana Bancorp | 10,943 | 109 |
| Mercantile Bank Corp. | 4,011 | 109 |
| Integra Bank Corp. | 4,988 | 107 |
| Nara Bancorp, Inc. | 6,629 | 106 |
* | Great Lakes Bancorp, Inc. | 7,961 | 105 |
| Southwest Bancorp, Inc. | 4,254 | 102 |
* | MarketAxess Holdings, Inc. | 5,680 | 102 |
| Midwest Banc Holdings, Inc. | 6,867 | 100 |
| Camco Financial Corp. | 7,988 | 100 |
* | Penson Worldwide, Inc. | 4,020 | 99 |
| Winthrop Realty Trust Inc. |
|
|
| REIT | 14,238 | 98 |
| Seacoast Banking Corp. |
|
|
| of Florida | 4,404 | 96 |
* | Texas Capital Bancshares, Inc. | 4,257 | 95 |
| Heartland Financial USA, Inc. | 3,860 | 94 |
| Oriental Financial Group Inc. | 8,585 | 94 |
| Merchants Bancshares, Inc. | 4,026 | 93 |
| Century Bancorp, Inc. Class A | 4,100 | 92 |
| S.Y. Bancorp, Inc. | 3,884 | 92 |
| First Financial Corp. (IN) | 3,130 | 92 |
| Yardville National Bancorp | 2,634 | 90 |
* | BFC Financial Corp. | 23,636 | 90 |
| Washington Trust Bancorp, Inc. | 3,553 | 90 |
| Flushing Financial Corp. | 5,552 | 89 |
| OceanFirst Financial Corp. | 5,012 | 88 |
| Omega Financial Corp. | 3,251 | 87 |
| German American Bancorp | 6,316 | 87 |
* | Wauwatosa Holdings, Inc. | 5,200 | 86 |
* | Ampal-American Israel Corp. | 14,248 | 85 |
* | PXRE Group Ltd. | 18,226 | 85 |
| Union Bankshares Corp. | 3,639 | 84 |
| LSB Corp. | 4,999 | 84 |
| MVC Capital, Inc. | 4,460 | 84 |
| Heritage Commerce Corp. | 3,540 | 84 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| PremierWest Bancorp | 6,146 | 83 |
* | Marlin Business Services Inc. | 3,895 | 83 |
* | First Mariner Bancorp, Inc. | 6,444 | 83 |
| Peoples Bancorp, Inc. | 3,062 | 83 |
| U.S.B. Holding Co., Inc. | 4,288 | 82 |
| Team Financial, Inc. | 5,258 | 82 |
| TriCo Bancshares | 3,642 | 81 |
| Horizon Financial Corp. | 3,680 | 80 |
| Hersha Hospitality Trust REIT | 6,745 | 80 |
| Bank of the Ozarks, Inc. | 2,856 | 80 |
| Sterling Bancorp | 4,685 | 75 |
| James River Group Inc. | 2,225 | 74 |
| United Community Financial Corp. | 7,340 | 73 |
| Kearny Financial Corp. | 5,400 | 73 |
| Smithtown Bancorp, Inc. | 2,863 | 73 |
| Macatawa Bank Corp. | 4,554 | 72 |
| Republic Bancorp, Inc. Class A | 4,328 | 72 |
| Colony Bankcorp, Inc. | 3,681 | 72 |
* | Sun Bancorp, Inc. (NJ) | 4,238 | 71 |
^ | First South Bancorp, Inc. | 2,629 | 71 |
| Sterling Financial Corp. (PA) | 6,186 | 65 |
| Univest Corp. of Pennsylvania | 2,888 | 65 |
* | Virginia Commerce Bancorp, Inc. | 3,806 | 64 |
| Financial Institutions, Inc. | 3,147 | 64 |
| Farmers Capital Bank Corp. | 2,161 | 63 |
| Southside Bancshares, Inc. | 2,841 | 62 |
| Willow Grove Bancorp, Inc. | 4,746 | 62 |
* | The Bancorp Inc. | 2,757 | 62 |
| Shore Bancshares, Inc. | 2,379 | 61 |
| HMN Financial, Inc. | 1,711 | 60 |
| LSB Bancshares, Inc. | 4,377 | 60 |
| Comm Bancorp, Inc. | 1,169 | 59 |
| Tompkins Trustco, Inc. Provident Financial |
|
|
| Holdings, Inc. | 2,290 | 57 |
* | Stratus Properties Inc. | 1,599 | 55 |
| FNB Financial Services Corp. | 3,784 | 53 |
| First M&F Corp. | 2,867 | 53 |
* | Rewards Network Inc. | 13,075 | 53 |
| FNB Corp. (VA) | 1,471 | 53 |
| Vineyard National Bancorp Co. | 2,239 | 51 |
* | Superior Bancorp | 4,846 | 50 |
| West Bancorporation | 3,045 | 49 |
| Citizens South Banking Corp. | 3,809 | 48 |
| Wilshire Bancorp Inc. | 3,876 | 47 |
| Security Bank Corp. | 2,341 | 47 |
* | Pacific Mercantile Bancorp | 3,238 | 46 |
| Hercules Technology Growth |
|
|
| Capital, Inc. | 3,100 | 42 |
| Monmouth Real Estate |
|
|
| Investment Corp. REIT | 4,736 | 41 |
| Massbank Corp. | 1,216 | 41 |
* | First Keystone Financial, Inc. | 2,063 | 40 |
* | SCPIE Holdings Inc. | 1,598 | 40 |
22
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Meta Financial Group, Inc. | 1,049 | 40 |
| Heritage Financial Corp. | 1,610 | 38 |
| First Federal Bancshares of Arkansas, Inc. | 1,606 | 38 |
| Investors Title Co. | 747 | 38 |
| ESB Financial Corp. | 3,408 | 38 |
| Greater Community Bancorp | 2,238 | 35 |
| Citizens & Northern Corp. | 1,786 | 35 |
| Royal Bancshares of |
|
|
| Pennsylvania, Inc. | 1,768 | 35 |
| Westfield Financial, Inc. | 3,461 | 35 |
| Peapack Gladstone |
|
|
| Financial Corp. | 1,263 | 34 |
| UMH Properties, Inc. REIT | 2,370 | 34 |
| Oak Hill Financial, Inc. | 1,529 | 34 |
| First United Corp. | 1,615 | 32 |
| Rome Bancorp, Inc. | 2,312 | 28 |
| FNB Corp. (NC) | 1,696 | 27 |
| Pulaski Financial Corp. | 1,691 | 26 |
| PMC Commercial Trust REIT | 1,900 | 25 |
| Federal Agricultural |
|
|
| Mortgage Corp. Class A | 1,021 | 25 |
| BCSB Bankcorp, Inc. | 2,271 | 25 |
| Opteum Inc. REIT | 8,900 | 24 |
| National Health Realty Inc. REIT | 934 | 22 |
| Codorus Valley Bancorp, Inc. | 1,128 | 21 |
| Wainwright Bank & Trust Co. | 1,613 | 21 |
* | Seabright Insurance |
|
|
| Holdings, Inc. | 1,144 | 20 |
| Westwood Holdings Group, Inc. | 560 | 19 |
| TF Financial Corp. | 616 | 19 |
| Thomas Properties Group, Inc. | 1,100 | 18 |
| Rainier Pacific Financial |
|
|
| Group Inc. | 975 | 17 |
| HopFed Bancorp, Inc. | 1,005 | 16 |
| Northern States Financial Corp. | 599 | 14 |
| Unity Bancorp, Inc. | 1,248 | 14 |
| Resource Capital Corp. REIT | 1,000 | 14 |
| Firstbank Corp. | 705 | 14 |
| Home Federal Bancorp (IN) | 438 | 13 |
| One Liberty Properties, Inc. REIT | 534 | 12 |
| Habersham Bancorp | 610 | 12 |
| Lakeland Financial Corp. | 535 | 11 |
| First Financial Service Corp. | 399 | 11 |
| Timberland Bancorp, Inc. | 706 | 11 |
* | Grubb & Ellis Co. | 894 | 10 |
| Parkvale Financial Corp. | 316 | 9 |
| Greene County Bancshares | 300 | 9 |
| Wayne Savings Bancshares, Inc. | 673 | 9 |
| MutualFirst Financial Inc. | 500 | 9 |
| Mainsource Financial Group, Inc. | 531 | 9 |
* | Republic First Bancorp, Inc. | 883 | 8 |
| Jefferson Bancshares, Inc. | 600 | 7 |
| National Interstate Corp. | 260 | 7 |
| Northrim Bancorp Inc. | 244 | 7 |
| HF Financial Corp. | 347 | 6 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Harrington West Financial Group, Inc. | 351 | 6 |
* | Penn Treaty American Corp. | 973 | 6 |
* | International Assets Holding Corp. | 237 | 6 |
| State Bancorp, Inc. | 330 | 6 |
* | NetBank, Inc. | 15,714 | 5 |
| TIB Financial Corp. | 376 | 5 |
| Peoples Financial Corp. | 166 | 4 |
* | National Atlantic Holdings Corp. | 290 | 4 |
* | Specialty Underwriters’ |
|
|
| Alliance, Inc. | 500 | 4 |
* | AMV Liquidating Trust | 34,500 | 4 |
| MetroCorp Bancshares, Inc. | 159 | 3 |
| 21ST Century Holding Co. | 282 | 3 |
| Princeton National Bancorp, Inc. | 100 | 3 |
| Brooklyn Federal Bancorp | 44 | 1 |
* | Horizon Group Properties, Inc. REIT | 64 | — |
* | Vesta Insurance Group, Inc. | 11,252 | — |
|
|
| 1,883,359 |
Health Care (11.5%) |
|
| |
| Pfizer Inc. | 3,895,117 | 99,598 |
| Johnson & Johnson | 1,563,431 | 96,339 |
| Merck & Co., Inc. | 1,172,834 | 58,407 |
| Abbott Laboratories | 833,636 | 44,641 |
| Wyeth | 727,284 | 41,702 |
| UnitedHealth Group Inc. | 727,675 | 37,213 |
* | Amgen, Inc. | 630,186 | 34,843 |
| Bristol-Myers Squibb Co. | 1,091,003 | 34,432 |
| Medtronic, Inc. | 623,244 | 32,321 |
| Eli Lilly & Co. | 550,218 | 30,746 |
* | WellPoint Inc. | 331,086 | 26,431 |
| Schering-Plough Corp. | 801,276 | 24,391 |
| Baxter International, Inc. | 353,930 | 19,940 |
* | Genentech, Inc. | 255,977 | 19,367 |
* | Gilead Sciences, Inc. | 496,994 | 19,268 |
| Cardinal Health, Inc. | 216,296 | 15,279 |
| Aetna Inc. | 279,240 | 13,795 |
* | Medco Health Solutions, Inc. | 155,719 | 12,145 |
* | Celgene Corp. | 201,383 | 11,545 |
* | Thermo Fisher Scientific, Inc. | 220,589 | 11,409 |
* | Zimmer Holdings, Inc. | 129,015 | 10,952 |
* | Boston Scientific Corp. | 677,378 | 10,391 |
* | Biogen Idec Inc. | 186,442 | 9,975 |
| Becton, Dickinson & Co. | 132,373 | 9,862 |
| Stryker Corp. | 154,145 | 9,725 |
| Allergan, Inc. | 166,370 | 9,590 |
| McKesson Corp. | 159,825 | 9,532 |
* | Genzyme Corp. | 142,177 | 9,156 |
| CIGNA Corp. | 166,486 | 8,694 |
* | St. Jude Medical, Inc. | 191,285 | 7,936 |
* | Forest Laboratories, Inc. | 172,074 | 7,855 |
* | Express Scripts Inc. | 124,948 | 6,249 |
| Biomet, Inc. | 126,359 | 5,777 |
* | Humana Inc. | 90,491 | 5,512 |
23
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Laboratory Corp. of America Holdings | 68,083 | 5,328 |
| AmerisourceBergen Corp. | 102,737 | 5,082 |
* | Coventry Health Care Inc. | 86,454 | 4,984 |
| Quest Diagnostics, Inc. | 89,943 | 4,646 |
| C.R. Bard, Inc. | 55,600 | 4,594 |
| IMS Health, Inc. | 106,081 | 3,408 |
* | Health Net Inc. | 63,322 | 3,343 |
* | Hospira, Inc. | 84,711 | 3,307 |
* | Waters Corp. | 54,793 | 3,253 |
| Applera Corp.-Applied Biosystems Group | 99,893 | 3,051 |
* | DaVita, Inc. | 56,594 | 3,049 |
| DENTSPLY International Inc. | 78,020 | 2,985 |
* | Varian Medical Systems, Inc. | 69,328 | 2,947 |
* | Amylin Pharmaceuticals, Inc. | 71,381 | 2,938 |
* | Intuitive Surgical, Inc. | 20,114 | 2,791 |
* | Barr Pharmaceuticals Inc. | 54,530 | 2,739 |
* | King Pharmaceuticals, Inc. | 131,151 | 2,683 |
* | Cephalon, Inc. | 32,961 | 2,650 |
* | Cytyc Corp. | 60,826 | 2,622 |
* | Henry Schein, Inc. | 48,220 | 2,576 |
| Manor Care, Inc. | 39,435 | 2,575 |
* | Triad Hospitals, Inc. | 47,660 | 2,562 |
| Dade Behring Holdings Inc. | 46,781 | 2,485 |
* | Endo Pharmaceuticals |
|
|
| Holdings, Inc. | 72,036 | 2,466 |
* | Sepracor Inc. | 59,077 | 2,423 |
| Mylan Laboratories, Inc. | 132,035 | 2,402 |
* | Covance, Inc. | 34,606 | 2,373 |
| Omnicare, Inc. | 65,553 | 2,364 |
* | Patterson Cos. | 60,144 | 2,242 |
| Pharmaceutical Product |
|
|
| Development, Inc. | 56,990 | 2,181 |
* | Millipore Corp. | 28,972 | 2,176 |
| Beckman Coulter, Inc. | 33,356 | 2,157 |
* | Community Health |
|
|
| Systems, Inc. | 50,959 | 2,061 |
| Hillenbrand Industries, Inc. | 31,604 | 2,054 |
| Bausch & Lomb, Inc. | 29,428 | 2,043 |
* | Lincare Holdings, Inc. | 50,168 | 1,999 |
* | Cerner Corp. | 35,938 | 1,993 |
* | Vertex Pharmaceuticals, Inc. | 68,279 | 1,950 |
* | Invitrogen Corp. | 26,103 | 1,925 |
* | Charles River |
|
|
| Laboratories, Inc. | 36,287 | 1,873 |
* | Millennium |
|
|
| Pharmaceuticals, Inc. | 165,777 | 1,752 |
| PerkinElmer, Inc. | 66,577 | 1,735 |
* | Watson Pharmaceuticals, Inc. | 52,816 | 1,718 |
* | Gen-Probe Inc. | 28,364 | 1,714 |
* | WellCare Health Plans Inc. | 18,873 | 1,708 |
* | VCA Antech, Inc. | 45,270 | 1,706 |
* | ResMed Inc. | 41,322 | 1,705 |
* | Respironics, Inc. | 39,682 | 1,690 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Universal Health Services Class B | 27,299 | 1,679 |
* | Tenet Healthcare Corp. | 255,422 | 1,663 |
* | IDEXX Laboratories Corp. | 16,888 | 1,598 |
* | Hologic, Inc. | 28,686 | 1,587 |
* | Edwards Lifesciences Corp. | 31,728 | 1,565 |
* | Kinetic Concepts, Inc. | 28,926 | 1,503 |
| Health Management Associates Class A | 131,446 | 1,493 |
* | PDL BioPharma Inc. | 62,579 | 1,458 |
* | Pediatrix Medical Group, Inc. | 26,404 | 1,456 |
* | Ventana Medical Systems, Inc. | 18,327 | 1,416 |
* | Illumina, Inc. | 32,613 | 1,324 |
| Cooper Cos., Inc. | 24,313 | 1,296 |
* | Sierra Health Services, Inc. | 29,702 | 1,235 |
* | HLTH Corp. | 84,748 | 1,187 |
* | Techne Corp. | 20,505 | 1,173 |
* | Kyphon Inc. | 24,118 | 1,161 |
* | LifePoint Hospitals, Inc. | 29,837 | 1,154 |
* | ImClone Systems, Inc. | 32,495 | 1,149 |
* | OSI Pharmaceuticals, Inc. | 31,437 | 1,138 |
* | Advanced Medical Optics, Inc. | 32,427 | 1,131 |
* | Inverness Medical |
|
|
| Innovations, Inc. | 22,163 | 1,131 |
| STERIS Corp. | 34,825 | 1,066 |
* | Psychiatric Solutions, Inc. | 29,210 | 1,059 |
* | Immucor Inc. | 37,458 | 1,048 |
* | Warner Chilcott Ltd. | 57,789 | 1,045 |
* | Sunrise Senior Living, Inc. | 24,992 | 999 |
* | MGI Pharma, Inc. | 43,608 | 976 |
* | Magellan Health Services, Inc. | 20,831 | 968 |
| Medicis Pharmaceutical Corp. | 30,440 | 930 |
* | Affymetrix, Inc. | 37,293 | 928 |
* | Align Technology, Inc. | 37,858 | 915 |
* | Medarex, Inc. | 63,937 | 914 |
* | Varian, Inc. | 16,651 | 913 |
* | BioMarin Pharmaceutical Inc. | 50,545 | 907 |
| Mentor Corp. | 22,226 | 904 |
* | Healthways, Inc. | 18,722 | 887 |
* | Myriad Genetics, Inc. | 23,795 | 885 |
| Chemed Corp. | 13,245 | 878 |
| Brookdale Senior Living Inc. | 19,168 | 873 |
| West Pharmaceutical |
|
|
| Services, Inc. | 18,134 | 855 |
| Perrigo Co. | 43,312 | 848 |
| Valeant Pharmaceuticals |
|
|
| International | 50,219 | 838 |
* | United Therapeutics Corp. | 12,906 | 823 |
* | ArthroCare Corp. | 18,709 | 822 |
* | Alexion Pharmaceuticals, Inc. | 18,106 | 816 |
*^ | HealthSouth Corp. | 44,029 | 797 |
* | Onyx Pharmaceuticals, Inc. | 29,450 | 792 |
* | Alkermes, Inc. | 54,213 | 792 |
* | Theravance, Inc. | 24,571 | 786 |
| Owens & Minor, Inc. |
|
|
| Holding Co. | 22,407 | 783 |
24
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Haemonetics Corp. | 14,869 | 782 |
| Alpharma, Inc. Class A | 29,779 | 775 |
* | Bio-Rad Laboratories, Inc. Class A | 10,199 | 771 |
* | Dionex Corp. | 10,724 | 761 |
* | Digene Corp. | 12,554 | 754 |
*^ | Allscripts Healthcare |
|
|
| Solutions, Inc. | 29,276 | 746 |
* | American Medical Systems |
|
|
| Holdings, Inc. | 40,941 | 739 |
| Analogic Corp. | 10,010 | 736 |
* | Genesis Healthcare Corp. | 10,562 | 723 |
* | DJ Orthopedics Inc. | 16,913 | 698 |
* | Eclipsys Corp. | 34,400 | 681 |
* | Apria Healthcare Group Inc. | 23,524 | 677 |
* | Adams Respiratory |
|
|
| Therapeutics, Inc. | 17,150 | 676 |
* | Applera Corp.-Celera |
|
|
| Genomics Group | 53,989 | 669 |
* | AMERIGROUP Corp. | 27,745 | 660 |
* | Centene Corp. | 30,569 | 655 |
* | K-V Pharmaceutical Co. |
|
|
| Class A | 23,948 | 652 |
* | PSS World Medical, Inc. | 35,642 | 649 |
* | Amedisys Inc. | 17,563 | 638 |
* | Cubist Pharmaceuticals, Inc. | 32,163 | 634 |
| Arrow International, Inc. | 15,993 | 612 |
* | CV Therapeutics, Inc. | 45,096 | 596 |
* | CONMED Corp. | 19,958 | 584 |
* | Human Genome Sciences, Inc. | 63,046 | 562 |
*^ | InterMune Inc. | 21,564 | 559 |
* | Pharmion Corp. | 19,258 | 558 |
* | Martek Biosciences Corp. | 21,399 | 556 |
* | Greatbatch, Inc. | 16,998 | 551 |
* | Par Pharmaceutical Cos. Inc. | 19,449 | 549 |
* | AMN Healthcare Services, Inc. | 24,814 | 546 |
* | inVentiv Health, Inc. | 14,619 | 535 |
* | AmSurg Corp. | 22,131 | 534 |
* | Regeneron |
|
|
| Pharmaceuticals, Inc. | 29,542 | 529 |
* | Advanced Magnetics, Inc. | 9,033 | 525 |
* | Kindred Healthcare, Inc. | 16,419 | 504 |
* | The Medicines Co. | 28,560 | 503 |
* | Isis Pharmaceuticals, Inc. | 51,272 | 496 |
* | Conceptus, Inc. | 25,414 | 492 |
* | Sciele Pharma, Inc. | 20,644 | 486 |
| LCA-Vision Inc. | 10,087 | 477 |
| Datascope Corp. | 11,952 | 458 |
* | Arena Pharmaceuticals, Inc. | 41,504 | 456 |
* | Exelixis, Inc. | 37,356 | 452 |
* | Acadia Pharmaceuticals Inc. | 32,760 | 448 |
* | Palomar Medical |
|
|
| Technologies, Inc. | 12,812 | 445 |
* | Nektar Therapeutics | 46,303 | 439 |
* | Cepheid, Inc. | 29,892 | 436 |
* | Cypress Bioscience, Inc. | 32,817 | 435 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
*^ | SurModics, Inc. | 8,631 | 432 |
* | PAREXEL International Corp. | 10,132 | 426 |
* | LifeCell Corp. | 13,807 | 422 |
* | Air Methods Corp. | 11,220 | 411 |
* | Abaxis, Inc. | 19,681 | 411 |
* | Albany Molecular Research, Inc. | 26,542 | 394 |
* | Alnylam Pharmaceuticals Inc. | 25,940 | 394 |
| PolyMedica Corp. | 9,625 | 393 |
* | ViroPharma Inc. | 28,162 | 389 |
*^ | ARIAD Pharmaceuticals, Inc. | 70,736 | 388 |
* | eResearch Technology, Inc. | 40,462 | 385 |
* | Acorda Therapeutics Inc. | 22,200 | 379 |
* | American Dental Partners, Inc. | 14,509 | 377 |
* | HealthExtras, Inc. | 12,654 | 374 |
* | Integra LifeSciences Holdings | 7,519 | 372 |
* | Nuvasive, Inc. | 13,721 | 371 |
* | Tanox, Inc. | 19,077 | 370 |
* | Gentiva Health Services, Inc. | 18,196 | 365 |
* | Array BioPharma Inc. | 31,248 | 365 |
* | Bradley Pharmaceuticals, Inc. | 16,493 | 358 |
* | Cholestech Corp. | 16,211 | 356 |
* | Thoratec Corp. | 19,050 | 350 |
* | HMS Holdings Corp. | 18,270 | 350 |
* | Natus Medical Inc. | 21,905 | 349 |
* | Sirona Dental Systems Inc. | 9,188 | 348 |
*^ | Dendreon Corp. | 49,043 | 347 |
* | Cyberonics, Inc. | 20,512 | 345 |
* | Angiodynamics Inc. | 19,058 | 343 |
* | ABIOMED, Inc. | 31,577 | 340 |
* | Zymogenetics, Inc. | 23,273 | 340 |
* | CryoLife Inc. | 25,942 | 338 |
| Computer Programs and Systems, Inc. | 10,888 | 337 |
* | Noven Pharmaceuticals, Inc. | 14,257 | 334 |
* | Candela Corp. | 28,732 | 333 |
* | Healthspring, Inc. | 17,400 | 332 |
* | The TriZetto Group, Inc. | 17,025 | 330 |
* | Bio-Reference |
|
|
| Laboratories, Inc. | 11,728 | 321 |
* | Foxhollow Technologies Inc. | 15,010 | 319 |
* | Orthofix International N.V. | 6,932 | 312 |
* | Alliance Imaging, Inc. | 33,182 | 312 |
* | Pozen Inc. | 17,057 | 308 |
*^ | Aspect Medical Systems, Inc. | 20,598 | 308 |
*^ | Geron Corp. | 43,712 | 308 |
* | Cerus Corp. | 45,488 | 307 |
* | Bioenvision, Inc. | 52,902 | 306 |
* | Bruker BioSciences Corp. | 33,328 | 300 |
* | ArQule, Inc. | 42,573 | 300 |
* | Cross Country Healthcare, Inc. | 17,933 | 299 |
| Meridian Bioscience Inc. | 13,797 | 299 |
* | ev3 Inc. | 17,496 | 295 |
* | Bentley Pharmaceuticals, Inc. | 24,257 | 294 |
| Landauer, Inc. | 5,972 | 294 |
* | BioScrip Inc. | 59,486 | 286 |
25
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Wright Medical Group, Inc. | 11,798 | 285 |
* | Accelrys Inc. | 44,558 | 280 |
| Ligand Pharmaceuticals Inc. |
|
|
| Class B | 40,700 | 280 |
* | Allos Therapeutics Inc. | 63,053 | 279 |
* | Amicas, Inc. | 78,648 | 278 |
* | ICU Medical, Inc. | 6,415 | 275 |
* | Xenoport Inc. | 6,200 | 275 |
* | America Service Group Inc. | 16,255 | 275 |
* | Cantel Medical Corp. | 16,141 | 275 |
* | Matria Healthcare, Inc. | 8,686 | 263 |
*^ | ADVENTRX |
|
|
| Pharmaceuticals, Inc. | 102,700 | 261 |
| Invacare Corp. | 14,107 | 259 |
*^ | BioCryst Pharmaceuticals, Inc. | 33,274 | 257 |
* | Caraco Pharmaceutical |
|
|
| Laboratories, Ltd. | 16,900 | 257 |
* | CorVel Corp. | 9,801 | 256 |
*^ | Antigenics, Inc. | 89,168 | 255 |
*^ | deCODE genetics, Inc. | 67,510 | 252 |
* | Anika Resh Inc. | 16,558 | 252 |
* | Molina Healthcare Inc. | 8,200 | 250 |
*^ | Cell Genesys, Inc. | 73,676 | 247 |
* | Merge Technologies, Inc. | 35,735 | 233 |
*^ | AVI BioPharma, Inc. | 82,496 | 231 |
* | Progenics |
|
|
| Pharmaceuticals, Inc. | 10,677 | 230 |
*^ | Aastrom Biosciences, Inc. | 170,695 | 229 |
* | DepoMed, Inc. | 47,500 | 227 |
* | Allied Healthcare |
|
|
| International Inc. | 80,826 | 226 |
* | Anadys Pharmaceuticals Inc. | 60,551 | 225 |
| Cambrex Corp. | 16,866 | 224 |
* | Cardiac Science Corp. | 20,405 | 224 |
* | Enzo Biochem, Inc. | 14,711 | 220 |
* | Abraxis Bioscience, Inc. | 9,857 | 219 |
* | SonoSite, Inc. | 6,969 | 219 |
* | Salix Pharmaceuticals, Ltd. | 17,487 | 215 |
*^ | BioLase Technology, Inc. | 34,988 | 212 |
* | Cutera, Inc. | 8,500 | 212 |
* | Auxilium Pharmaceuticals, Inc. | 13,200 | 210 |
* | Incyte Corp. | 34,790 | 209 |
* | Caliper Life Sciences, Inc. | 43,805 | 205 |
* | Collagenex |
|
|
| Pharmaceuticals, Inc. | 16,540 | 205 |
* | Keryx Biopharmaceuticals, Inc. | 20,505 | 200 |
* | Cytokinetics, Inc. | 34,172 | 193 |
| Vital Signs, Inc. | 3,472 | 193 |
* | Assisted Living Concepts Inc. | 18,084 | 193 |
* | Quidel Corp. | 10,905 | 191 |
* | Omnicell, Inc. | 9,138 | 190 |
* | Savient Pharmaceuticals Inc. | 15,264 | 190 |
* | Halozyme Therapeutics Inc | 20,500 | 189 |
* | Avigen, Inc. | 30,739 | 189 |
* | Barrier Therapeutics Inc. | 29,045 | 189 |
* | Altus Pharmaceuticals, Inc. | 14,434 | 167 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Radiation Therapy Services, Inc. | 6,260 | 165 |
* | Odyssey Healthcare, Inc. | 13,829 | 164 |
* | Enzon Pharmaceuticals, Inc. | 20,597 | 162 |
*^ | Continucare Corp. | 52,181 | 161 |
*^ | MannKind Corp. | 13,000 | 160 |
*^ | Adolor Corp. | 42,685 | 158 |
* | Harvard Bioscience, Inc. | 29,910 | 157 |
* | Symbion, Inc. | 7,201 | 156 |
* | Spectranetics Corp. | 13,471 | 155 |
* | Icad Inc. | 37,053 | 153 |
* | Pharmanet Development |
|
|
| Group, Inc. | 4,780 | 152 |
* | Medical Action Industries Inc. | 8,300 | 150 |
* | Neurocrine Biosciences, Inc. | 13,079 | 147 |
* | MedCath Corp. | 4,603 | 146 |
* | Verenium Corp. | 28,633 | 145 |
* | Luminex Corp. | 11,758 | 145 |
* | Pain Therapeutics, Inc. | 16,526 | 144 |
* | Kendle International Inc. | 3,907 | 144 |
*^ | Nastech |
|
|
| Pharmaceutical Co., Inc. | 12,794 | 140 |
*^ | Momenta |
|
|
| Pharmaceuticals, Inc. | 13,820 | 139 |
* | Inspire Pharmaceuticals, Inc. | 21,986 | 139 |
* | Phase Forward Inc. | 8,100 | 136 |
* | Immunomedics Inc. | 32,484 | 135 |
* | BioSphere Medical Inc. | 18,491 | 131 |
* | PDI, Inc. | 12,565 | 129 |
* | Capital Senior Living Corp. | 13,640 | 128 |
* | Lifecore Biomedical Inc. | 7,984 | 127 |
* | Emeritus Corp. | 4,035 | 125 |
* | ATS Medical, Inc. | 61,531 | 124 |
*^ | Avanir Pharmaceuticals |
|
|
| Class A | 51,650 | 123 |
* | Res-Care, Inc. | 5,819 | 123 |
* | GTx, Inc. | 7,579 | 123 |
* | MiddleBrook |
|
|
| Pharmaceuticals Inc. | 48,500 | 123 |
*^ | Penwest Pharmaceuticals Co. | 9,677 | 121 |
* | Akorn, Inc. | 17,080 | 119 |
* | Hooper Holmes, Inc. | 35,014 | 117 |
* | Symmetry Medical Inc. | 7,300 | 117 |
* | Regeneration |
|
|
| Technologies, Inc. | 10,353 | 116 |
* | Nabi Biopharmaceuticals | 25,074 | 115 |
* | I-Flow Corp. | 6,700 | 112 |
* | Idenix Pharmaceuticals Inc. | 18,505 | 109 |
* | Providence Service Corp. | 3,995 | 107 |
* | Zoll Medical Corp. | 4,774 | 107 |
*^ | Biopure Corp. Class A | 126,216 | 106 |
* | Acusphere, Inc. | 48,512 | 104 |
* | Kensey Nash Corp. | 3,834 | 103 |
* | EPIX Pharmaceuticals Inc. | 18,285 | 103 |
* | Dyax Corp. | 24,474 | 103 |
26
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | AVANT |
|
|
| Immunotherapeutics, Inc. | 120,584 | 100 |
| Option Care, Inc. | 6,476 | 100 |
* | OraSure Technologies, Inc. | 12,190 | 100 |
* | ThermoGenesis Corp. | 35,261 | 97 |
* | Merit Medical Systems, Inc. | 8,087 | 97 |
* | Indevus Pharmaceuticals, Inc. | 14,135 | 95 |
* | US Physical Therapy, Inc. | 7,061 | 95 |
* | Vivus, Inc. | 18,062 | 94 |
* | Neogen Corp. | 3,262 | 94 |
*^ | AtheroGenics, Inc. | 43,615 | 93 |
* | Seattle Genetics, Inc. | 9,265 | 91 |
* | Discovery Laboratories, Inc. | 31,779 | 90 |
* | Rochester Medical Corp. | 5,932 | 89 |
* | ImmunoGen, Inc. | 16,018 | 89 |
* | PRA International | 3,488 | 88 |
* | Exactech, Inc. | 5,344 | 86 |
| National Healthcare Corp. | 1,645 | 85 |
* | Lexicon Pharmaceuticals Inc. | 25,762 | 83 |
* | SuperGen, Inc. | 14,785 | 82 |
* | Five Star Quality Care, Inc. | 10,224 | 82 |
* | Vital Images, Inc. | 3,000 | 81 |
* | CuraGen Corp. | 40,688 | 80 |
* | Proxymed Pharmacy, Inc. | 34,003 | 78 |
* | Emisphere Technologies, Inc. | 15,960 | 77 |
* | Durect Corp. | 19,973 | 77 |
* | Microtek Medical |
|
|
| Holdings, Inc. | 16,454 | 76 |
*^ | Genomic Health, Inc. | 3,900 | 73 |
* | Telik, Inc. | 21,589 | 73 |
* | Possis Medical Inc. | 6,675 | 73 |
* | Maxygen Inc. | 8,174 | 70 |
* | Third Wave Technologies | 11,723 | 69 |
* | Monogram Biosciences, Inc. | 40,153 | 68 |
* | XOMA Ltd. | 22,254 | 68 |
* | Medivation Inc. | 3,300 | 67 |
* | Cell Therapeutics, Inc. | 21,995 | 67 |
* | Ista Pharmaceuticals Inc. | 8,976 | 66 |
*^ | Columbia Laboratories Inc. | 27,189 | 66 |
* | Corcept Therapeutics Inc. | 23,858 | 65 |
* | Curis, Inc. | 55,105 | 64 |
* | Rigel Pharmaceuticals, Inc. | 7,200 | 64 |
* | Theragenics Corp. | 15,331 | 64 |
* | Osteotech, Inc. | 8,835 | 64 |
* | Senomyx, Inc. | 4,700 | 63 |
* | TorreyPines Therapeutics Inc. | 8,825 | 61 |
* | Sequenom, Inc. | 13,519 | 61 |
* | Allion Healthcare Inc. | 10,257 | 61 |
| Psychemedics Corp. | 2,960 | 60 |
* | HealthTronics Surgical |
|
|
| Services, Inc. | 13,793 | 60 |
* | RehabCare Group, Inc. | 4,187 | 60 |
*^ | Dexcom Inc. | 7,148 | 59 |
*^ | Critical Therapeutics, Inc. | 26,827 | 58 |
* | Kosan Biosciences, Inc. | 10,712 | 56 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Medical Staffing Network |
|
|
| Holdings, Inc. | 10,200 | 56 |
* | SRI/Surgical Express, Inc. | 10,677 | 56 |
* | National Dentex Corp. | 2,944 | 55 |
* | Vascular Solutions, Inc. | 5,486 | 51 |
* | VistaCare, Inc. | 5,222 | 51 |
* | Gene Logic Inc. | 37,111 | 51 |
* | Sun Healthcare Group Inc. | 3,500 | 51 |
* | NPS Pharmaceuticals Inc. | 12,157 | 50 |
* | Sonic Innovations, Inc. | 5,644 | 49 |
*^ | Accentia Biopharmaceuticals Inc. | 19,000 | 49 |
*^ | Nanogen, Inc. | 36,142 | 49 |
* | Santarus Inc. | 9,196 | 48 |
* | Micrus Endovascular Corp | 1,927 | 47 |
* | Oxigene, Inc. | 11,910 | 47 |
* | Infinity Pharmaceuticals, Inc. | 4,318 | 47 |
* | Ciphergen Biosystems, Inc. | 47,586 | 46 |
* | Hanger Orthopedic Group, Inc. | 4,258 | 46 |
* | MWI Veterinary Supply Inc. | 1,100 | 44 |
* | Nutraceutical |
|
|
| International Corp. | 2,605 | 43 |
* | Encysive Pharmaceuticals, Inc. | 24,062 | 43 |
* | CardioDynamics |
|
|
| International Corp. | 63,868 | 43 |
* | Volcano Corp. | 2,100 | 42 |
* | Nuvelo, Inc. | 15,404 | 42 |
*^ | Sangamo BioSciences, Inc. | 5,147 | 42 |
* | StemCells, Inc. | 17,974 | 42 |
* | I-trax, Inc. | 9,850 | 41 |
* | Vical, Inc. | 7,842 | 41 |
* | Trimeris, Inc. | 5,826 | 40 |
* | SONUS Pharmaceuticals, Inc. | 7,483 | 40 |
* | Neurogen Corp. | 5,865 | 39 |
*^ | Genitope Corp. | 9,800 | 38 |
* | CYTOGEN Corp. | 19,279 | 38 |
* | Vanda Parmaceuticals, Inc. | 1,800 | 36 |
*^ | Peregrine Pharmaceuticals, Inc. | 47,335 | 36 |
* | Rural/Metro Corp. | 6,345 | 36 |
* | EntreMed, Inc. | 23,118 | 35 |
* | Somanetics Corp. | 1,801 | 33 |
* | SciClone Pharmaceuticals, Inc. | 13,095 | 32 |
* | IRIS International, Inc. | 1,900 | 32 |
* | Novavax, Inc. | 10,811 | 31 |
* | NMT Medical, Inc. | 2,596 | 31 |
* | STAAR Surgical Co. | 7,813 | 30 |
* | Orchid Cellmark, Inc. | 6,213 | 29 |
* | GenVec, Inc. | 11,854 | 28 |
* | PhotoMedex, Inc. | 20,174 | 26 |
* | Hollis-Eden |
|
|
| Pharmaceuticals, Inc. | 11,684 | 24 |
* | Omrix Biopharmaceuticals, Inc. | 720 | 23 |
* | Vion Pharmaceuticals, Inc. | 20,315 | 22 |
* | Hi-Tech Pharmacal Co., Inc. | 1,800 | 21 |
* | Panacos Pharmaceuticals Inc. | 6,632 | 21 |
* | Renovis, Inc. | 5,371 | 19 |
27
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Tercica, Inc. | 3,787 | 19 |
* | Immtech Pharmaceuticals Inc. | 2,364 | 19 |
* | Genta Inc. | 63,104 | 19 |
* | Orthologic Corp. | 11,489 | 16 |
* | Repligen Corp. | 4,008 | 16 |
* | Mediware Information Systems, Inc. | 2,170 | 16 |
* | GTC Biotherapeutics, Inc. | 12,722 | 15 |
* | Pharmacopeia Drug |
|
|
| Discovery Inc. | 2,596 | 14 |
* | NitroMed, Inc. | 6,287 | 14 |
* | Clinical Data, Inc. | 601 | 13 |
* | Titan Pharmaceuticals, Inc. | 5,836 | 13 |
* | Endologix, Inc. | 2,751 | 12 |
* | Pharmacyclics, Inc. | 4,319 | 12 |
* | Synovis Life Technologies, Inc. | 800 | 12 |
* | Oscient Pharmaceuticals Corp. | 2,454 | 11 |
| Young Innovations, Inc. | 377 | 11 |
* | Nighthawk Radiology |
|
|
| Holdings, Inc. | 600 | 11 |
* | IVAX Diagnostics, Inc. | 10,266 | 11 |
* | LHC Group Inc. | 400 | 10 |
* | La Jolla Pharmaceutical Co. | 2,249 | 10 |
* | Insmed Inc. | 11,508 | 9 |
* | Matrixx Initiatives, Inc. | 418 | 9 |
*^ | Epicept Corp. | 3,977 | 9 |
* | Neurobiological |
|
|
| Technologies, Inc. | 4,337 | 8 |
* | Alteon, Inc. | 84,013 | 8 |
* | Northfield Laboratories, Inc. | 5,200 | 7 |
* | Alfacell Corp. | 2,895 | 7 |
* | NeoPharm, Inc. | 6,245 | 7 |
* | Strategic Diagnostics Inc. | 1,531 | 7 |
* | Dialysis Corp. of America | 665 | 7 |
* | Orthovita, Inc. | 2,283 | 7 |
| Neurometrix Inc. | 640 | 6 |
* | Bioject Medical |
|
|
| Technologies Inc. | 3,100 | 5 |
* | Lipid Sciences, Inc. | 2,862 | 5 |
* | Introgen Therapeutics, Inc. | 1,221 | 4 |
* | Interleukin Genetics, Inc. | 2,262 | 4 |
* | Novamed, Inc. | 620 | 4 |
* | Hemispherx Biopharma, Inc. | 2,632 | 3 |
* | Anesiva, Inc. | 493 | 3 |
* | Q-Med, Inc. | 755 | 3 |
* | Zila, Inc. | 1,944 | 3 |
* | Novoste Corp. | 766 | 2 |
* | Targeted Genetics Corp. | 542 | 1 |
* | Matritech Inc. | 3,400 | 1 |
* | Threshold Pharmaceuticals, Inc. | 800 | 1 |
* | Aphton Corp. | 109,560 | — |
|
|
| 1,057,718 |
Industrials (11.7%) |
|
| |
| General Electric Co. | 5,554,942 | 212,643 |
| The Boeing Co. | 405,092 | 38,954 |
| United Technologies Corp. | 510,510 | 36,210 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Tyco International Ltd. | 1,067,659 | 36,076 |
| 3M Co. | 376,635 | 32,688 |
| Caterpillar, Inc. | 349,068 | 27,332 |
| United Parcel Service, Inc. | 359,737 | 26,261 |
| Honeywell International Inc. | 410,629 | 23,110 |
| Emerson Electric Co. | 431,458 | 20,192 |
| Lockheed Martin Corp. | 193,947 | 18,256 |
| FedEx Corp. | 157,614 | 17,490 |
| Burlington Northern Santa Fe Corp. | 193,943 | 16,512 |
| Union Pacific Corp. | 138,918 | 15,996 |
| Deere & Co. | 122,512 | 14,792 |
| General Dynamics Corp. | 186,286 | 14,571 |
| Northrop Grumman Corp. | 179,883 | 14,007 |
| Illinois Tool Works, Inc. | 256,640 | 13,907 |
| Raytheon Co. | 241,113 | 12,994 |
| Norfolk Southern Corp. | 214,586 | 11,281 |
| Waste Management, Inc. | 288,208 | 11,255 |
| PACCAR, Inc. | 127,438 | 11,092 |
| CSX Corp. | 236,089 | 10,643 |
| Danaher Corp. | 133,439 | 10,075 |
| Ingersoll-Rand Co. | 165,910 | 9,095 |
| Precision Castparts Corp. | 74,305 | 9,018 |
| Eaton Corp. | 80,725 | 7,507 |
| Textron, Inc. | 61,132 | 6,731 |
| L-3 Communications |
|
|
| Holdings, Inc. | 67,672 | 6,591 |
| ITT Industries, Inc. | 95,018 | 6,488 |
| Rockwell Collins, Inc. | 91,194 | 6,442 |
| Southwest Airlines Co. | 427,005 | 6,367 |
| Parker Hannifin Corp. | 62,774 | 6,146 |
| Masco Corp. | 213,530 | 6,079 |
| Rockwell Automation, Inc. | 85,344 | 5,926 |
| American Standard Cos., Inc. | 98,028 | 5,782 |
| Dover Corp. | 110,631 | 5,659 |
| Cooper Industries, Inc. |
|
|
| Class A | 98,945 | 5,649 |
| Pitney Bowes, Inc. | 120,289 | 5,632 |
| Cummins Inc. | 53,727 | 5,438 |
| Fluor Corp. | 47,559 | 5,297 |
| R.R. Donnelley & Sons Co. | 117,592 | 5,116 |
* | McDermott International, Inc. | 59,984 | 4,986 |
| Expeditors International of |
|
|
| Washington, Inc. | 115,566 | 4,773 |
| C.H. Robinson Worldwide Inc. | 89,688 | 4,710 |
* | Terex Corp. | 55,269 | 4,493 |
| Manpower Inc. | 46,089 | 4,251 |
* | Foster Wheeler Ltd. | 37,093 | 3,969 |
| Goodrich Corp. | 64,271 | 3,828 |
| Joy Global Inc. | 64,412 | 3,757 |
* | Jacobs Engineering Group Inc. | 64,301 | 3,698 |
| W.W. Grainger, Inc. | 38,747 | 3,605 |
| Equifax, Inc. | 79,930 | 3,550 |
| Avery Dennison Corp. | 53,330 | 3,545 |
| The Dun & Bradstreet Corp. | 33,211 | 3,420 |
* | AMR Corp. | 129,433 | 3,411 |
28
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Republic Services, Inc. Class A | 104,503 | 3,202 |
| Robert Half International, Inc. | 86,647 | 3,163 |
| Cintas Corp. | 78,108 | 3,080 |
| Pall Corp. | 66,071 | 3,039 |
| ^Fastenal Co. | 69,879 | 2,925 |
| SPX Corp. | 31,246 | 2,744 |
| Roper Industries Inc. | 47,037 | 2,686 |
| The Manitowoc Co., Inc. | 33,332 | 2,679 |
* | Monster Worldwide Inc. | 63,503 | 2,610 |
| Oshkosh Truck Corp. | 39,969 | 2,515 |
* | UAL Corp. | 59,765 | 2,426 |
* | Allied Waste Industries, Inc. | 179,632 | 2,418 |
* | KBR Inc. | 90,443 | 2,372 |
| Harsco Corp. | 45,398 | 2,361 |
| Ametek, Inc. | 57,196 | 2,270 |
| Flowserve Corp. | 31,474 | 2,254 |
* | AGCO Corp. | 49,313 | 2,141 |
* | Stericycle, Inc. | 48,012 | 2,135 |
* | General Cable Corp. | 27,948 | 2,117 |
* | Corrections Corp. of America | 32,859 | 2,074 |
* | Hertz Global Holdings Inc. | 78,017 | 2,073 |
* | BE Aerospace, Inc. | 48,927 | 2,021 |
* | Shaw Group, Inc. | 43,548 | 2,016 |
| Pentair, Inc. | 51,315 | 1,979 |
* | USG Corp. | 39,841 | 1,954 |
* | Quanta Services, Inc. | 63,690 | 1,953 |
* | Spirit Aerosystems Holdings Inc. | 53,885 | 1,943 |
* | Thomas & Betts Corp. | 32,499 | 1,885 |
| Trinity Industries, Inc. | 43,172 | 1,880 |
* | ChoicePoint Inc. | 43,187 | 1,833 |
* | Alliant Techsystems, Inc. | 18,006 | 1,785 |
| Ryder System, Inc. | 32,884 | 1,769 |
| Kennametal, Inc. | 21,109 | 1,732 |
| IDEX Corp. | 43,674 | 1,683 |
| Teleflex Inc. | 20,256 | 1,657 |
* | Continental Airlines, Inc. |
|
|
| Class B | 48,873 | 1,655 |
* | Covanta Holding Corp. | 66,439 | 1,638 |
| The Brink’s Co. | 26,432 | 1,636 |
| Lincoln Electric Holdings, Inc. | 22,030 | 1,636 |
* | WESCO International, Inc. | 26,723 | 1,615 |
| J.B. Hunt Transport |
|
|
| Services, Inc. | 54,879 | 1,609 |
* | Armor Holdings, Inc. | 18,327 | 1,592 |
| The Timken Co. | 43,519 | 1,571 |
| Carlisle Co., Inc. | 33,547 | 1,560 |
* | Avis Budget Group, Inc. | 54,779 | 1,557 |
* | Kansas City Southern | 41,222 | 1,547 |
| Hubbell Inc. Class B | 28,218 | 1,530 |
| Landstar System, Inc. | 30,944 | 1,493 |
| Laidlaw International Inc. | 43,103 | 1,489 |
| Graco, Inc. | 36,587 | 1,474 |
| MSC Industrial Direct |
|
|
| Co., Inc. Class A | 26,271 | 1,445 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Acuity Brands, Inc. | 23,842 | 1,437 |
* | Owens Corning Inc. | 42,726 | 1,437 |
| Florida East Coast Industries, Inc. Class A | 17,274 | 1,433 |
| Donaldson Co., Inc. | 40,004 | 1,422 |
| Bucyrus International, Inc. | 19,998 | 1,415 |
| GATX Corp. | 28,207 | 1,389 |
* | URS Corp. | 28,537 | 1,385 |
| The Corporate Executive Board Co. | 21,246 | 1,379 |
* | US Airways Group Inc. | 44,828 | 1,357 |
* | First Solar, Inc. | 14,986 | 1,338 |
| Belden Inc. | 24,074 | 1,332 |
| The Toro Co. | 22,366 | 1,317 |
* | Washington Group |
|
|
| International, Inc. | 16,400 | 1,312 |
* | United Rentals, Inc. | 39,841 | 1,296 |
| Con-way, Inc. | 25,659 | 1,289 |
* | EMCOR Group, Inc. | 17,352 | 1,265 |
| DRS Technologies, Inc. | 22,004 | 1,260 |
| Granite Construction Co. | 19,463 | 1,249 |
* | Gardner Denver Inc. | 28,797 | 1,225 |
* | Copart, Inc. | 39,837 | 1,219 |
| Crane Co. | 26,682 | 1,213 |
| Alexander & Baldwin, Inc. | 22,287 | 1,184 |
| Watson Wyatt & Co. Holdings | 23,285 | 1,175 |
* | YRC Worldwide, Inc. | 31,222 | 1,149 |
| Deluxe Corp. | 28,249 | 1,147 |
| Curtiss-Wright Corp. | 24,178 | 1,127 |
* | Waste Connections, Inc. | 37,175 | 1,124 |
| Herman Miller, Inc. | 35,505 | 1,122 |
* | Armstrong Worldwide |
|
|
| Industries, Inc. | 22,333 | 1,120 |
| IKON Office Solutions, Inc. | 70,993 | 1,108 |
* | United Stationers, Inc. | 16,597 | 1,106 |
* | Genlyte Group, Inc. | 13,899 | 1,092 |
* | Hexcel Corp. | 51,355 | 1,082 |
| Lennox International Inc. | 31,077 | 1,064 |
* | Kirby Corp. | 27,580 | 1,059 |
| Baldor Electric Co. | 21,318 | 1,051 |
* | Ceradyne, Inc. | 14,099 | 1,043 |
| Brady Corp. Class A | 27,586 | 1,025 |
| CLARCOR Inc. | 26,132 | 978 |
| HNI Corp. | 23,617 | 968 |
*^ | JetBlue Airways Corp. | 82,115 | 965 |
| Actuant Corp. | 15,205 | 959 |
* | GrafTech International Ltd. | 55,927 | 942 |
| Macquarie Infrastructure |
|
|
| Company LLC | 22,587 | 937 |
| Wabtec Corp. | 25,647 | 937 |
* | PHH Corp. | 29,622 | 925 |
| Woodward Governor Co. | 16,892 | 907 |
* | American Commercial |
|
|
| Lines Inc. | 33,987 | 885 |
* | FTI Consulting, Inc. | 23,057 | 877 |
* | EGL, Inc. | 18,716 | 870 |
29
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Briggs & Stratton Corp. | 27,340 | 863 |
* | Moog Inc. | 19,505 | 860 |
| UTI Worldwide, Inc. | 32,029 | 858 |
| UAP Holding Corp. | 28,243 | 851 |
| Nordson Corp. | 16,759 | 841 |
* | Resources Connection, Inc. | 25,321 | 840 |
* | IHS Inc. Class A | 18,189 | 837 |
* | Teledyne Technologies, Inc. | 17,753 | 816 |
| Kaydon Corp. | 15,584 | 812 |
| Applied Industrial Technology, Inc. | 27,170 | 802 |
| Regal-Beloit Corp. | 17,145 | 798 |
| Skywest, Inc. | 33,447 | 797 |
* | Geo Group Inc. | 27,077 | 788 |
* | Infrasource Services Inc. | 21,018 | 780 |
* | AAR Corp. | 23,364 | 771 |
| Mueller Industries Inc. | 22,132 | 762 |
| Mine Safety Appliances Co. | 17,119 | 749 |
* | Hub Group, Inc. | 21,109 | 742 |
| Albany International Corp. | 18,195 | 736 |
| Valmont Industries, Inc. | 10,088 | 734 |
| Watsco, Inc. | 13,477 | 733 |
* | The Advisory Board Co. | 13,102 | 728 |
* | Perini Corp. | 11,679 | 719 |
| Barnes Group, Inc. | 22,576 | 715 |
| ^Simpson Manufacturing Co. | 20,709 | 699 |
| Walter Industries, Inc. | 23,995 | 695 |
| Mueller Water Products, Inc. | 46,287 | 694 |
* | TeleTech Holdings Inc. | 21,107 | 686 |
| Steelcase Inc. | 36,798 | 681 |
| Eagle Bulk Shipping Inc. | 30,360 | 680 |
* | Orbital Sciences Corp. | 31,899 | 670 |
* | Energy Conversion |
|
|
| Devices, Inc. | 21,706 | 669 |
* | CoStar Group, Inc. | 12,445 | 658 |
* | Tetra Tech, Inc. | 30,348 | 654 |
* | Alaska Air Group, Inc. | 22,280 | 621 |
* | Acco Brands Corp. | 26,598 | 613 |
| Arkansas Best Corp. | 15,520 | 605 |
* | M&F Worldwide Corp. | 9,020 | 601 |
* | Esterline Technologies Corp. | 12,143 | 587 |
| ABM Industries Inc. | 22,520 | 581 |
| Cascade Corp. | 7,389 | 580 |
| Watts Water Technologies, Inc. | 15,353 | 575 |
* | ESCO Technologies Inc. | 15,643 | 567 |
| Ameron International Corp. | 6,185 | 558 |
*^ | American |
|
|
| Superconductor Corp. | 28,607 | 552 |
| Werner Enterprises, Inc. | 27,397 | 552 |
* | Astec Industries, Inc. | 13,020 | 550 |
| Kaman Corp. Class A | 17,575 | 548 |
* | Dollar Thrifty Automotive |
|
|
| Group, Inc. | 13,288 | 543 |
| Horizon Lines Inc. | 16,540 | 542 |
* | Cenveo Inc. | 23,330 | 541 |
| G & K Services, Inc. Class A | 13,569 | 536 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | The Middleby Corp. | 8,782 | 525 |
* | Heidrick & Struggles International, Inc. | 10,144 | 520 |
* | Labor Ready, Inc. | 22,483 | 520 |
* | Genesee & Wyoming Inc. Class A | 17,305 | 516 |
| Apogee Enterprises, Inc. | 18,278 | 508 |
* | CRA International Inc. | 10,294 | 496 |
| Bowne & Co., Inc. | 25,038 | 488 |
| Cubic Corp. | 16,167 | 488 |
* | NCI Building Systems, Inc. | 9,794 | 483 |
| A.O. Smith Corp. | 12,094 | 482 |
| Administaff, Inc. | 14,269 | 478 |
| Comfort Systems USA, Inc. | 33,555 | 476 |
* | Old Dominion Freight |
|
|
| Line, Inc. | 15,513 | 468 |
| Interface, Inc. | 24,588 | 464 |
* | Republic Airways |
|
|
| Holdings Inc. | 22,766 | 463 |
* | AirTran Holdings, Inc. | 42,266 | 462 |
* | Huron Consulting Group Inc. | 6,289 | 459 |
| Forward Air Corp. | 13,459 | 459 |
| EDO Corp. | 13,786 | 453 |
| Knight Transportation, Inc. | 23,165 | 449 |
| NACCO Industries, Inc. |
|
|
| Class A | 2,872 | 447 |
| Heartland Express, Inc. | 27,380 | 446 |
* | Korn/Ferry International | 16,617 | 436 |
* | AZZ Inc. | 12,578 | 423 |
| Dynamic Materials Corp. | 11,227 | 421 |
| Ennis, Inc. | 17,882 | 421 |
* | American Reprographics Co. | 13,595 | 419 |
| Robbins & Myers, Inc. | 7,863 | 418 |
^ | Franklin Electric, Inc. | 8,801 | 415 |
*^ | Fuel-Tech N.V. | 12,100 | 414 |
* | Consolidated Graphics, Inc. | 5,974 | 414 |
* | Interline Brands, Inc. | 15,352 | 400 |
* | CBIZ Inc. | 54,416 | 400 |
*^ | Amerco, Inc. | 5,279 | 399 |
| Triumph Group, Inc. | 6,079 | 398 |
| Ampco-Pittsburgh Corp. | 9,911 | 397 |
* | Hudson Highland Group, Inc. | 18,535 | 396 |
* | Clean Harbors Inc. | 7,955 | 393 |
* | Mobile Mini, Inc. | 13,365 | 390 |
| McGrath RentCorp | 11,134 | 375 |
* | Navigant Consulting, Inc. | 20,137 | 374 |
* | ABX Air, Inc. | 46,143 | 372 |
* | On Assignment, Inc. | 34,559 | 370 |
* | Beacon Roofing Supply, Inc. | 21,591 | 367 |
| Pacer International, Inc. | 15,538 | 365 |
| Federal Signal Corp. | 22,906 | 363 |
* | COMSYS IT Partners Inc. | 15,925 | 363 |
| CIRCOR International, Inc. | 8,973 | 363 |
| AAON, Inc. | 11,379 | 362 |
^ | Badger Meter, Inc. | 12,484 | 353 |
* | Blount International, Inc. | 26,851 | 351 |
30
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| American Railcar |
|
|
| Industries, Inc. | 9,000 | 351 |
| Bluelinx Holdings Inc. | 32,887 | 345 |
*^ | FuelCell Energy, Inc. | 42,844 | 339 |
* | GenCorp, Inc. | 25,773 | 337 |
* | Cornell Cos., Inc. | 13,702 | 337 |
* | TransDigm Group, Inc. | 8,220 | 333 |
*^ | A.S.V., Inc. | 19,101 | 330 |
| CDI Corp. | 10,143 | 327 |
* | Michael Baker Corp. | 8,735 | 325 |
* | American Science & |
|
|
| Engineering, Inc. | 5,680 | 323 |
| Aceto Corp. | 34,009 | 315 |
* | EnPro Industries, Inc. | 7,286 | 312 |
| Raven Industries, Inc. | 8,640 | 309 |
| Knoll, Inc. | 13,747 | 308 |
| Kelly Services, Inc. Class A | 11,117 | 305 |
| Healthcare Services |
|
|
| Group, Inc. | 10,307 | 304 |
* | Atlas Air Worldwide |
|
|
| Holdings, Inc. | 5,140 | 303 |
| Aircastle Ltd. | 7,586 | 302 |
* | Casella Waste Systems, Inc. | 27,653 | 298 |
* | Kforce Inc. | 18,575 | 297 |
| Barrett Business Services, Inc. | 11,469 | 296 |
| HEICO Corp. Class A | 8,379 | 295 |
* | Axsys Technologies, Inc. | 13,722 | 294 |
* | School Specialty, Inc. | 8,278 | 293 |
* | RBC Bearings Inc. | 7,076 | 292 |
* | Insituform Technologies Inc. |
|
|
| Class A | 13,310 | 290 |
| Angelica Corp. | 13,702 | 289 |
| Universal Forest Products, Inc. | 6,809 | 288 |
* | Columbus McKinnon Corp. | 8,925 | 287 |
*^ | Evergreen Solar, Inc. | 30,665 | 285 |
* | Lydall, Inc. | 19,503 | 285 |
| Viad Corp. | 6,719 | 283 |
| Tredegar Corp. | 13,205 | 281 |
* | Kenexa Corp. | 7,420 | 280 |
* | Celadon Group Inc. | 17,405 | 277 |
* | Sequa Corp. Class A | 2,468 | 276 |
* | Griffon Corp. | 12,617 | 275 |
| Alamo Group, Inc. | 10,773 | 271 |
* | Park-Ohio Holdings Corp. | 9,929 | 271 |
*^ | Flanders Corp. | 35,151 | 271 |
| Diamond Management and |
|
|
| Technology Consultants, Inc. | 20,247 | 267 |
* | Furmanite Corp. | 34,411 | 266 |
* | GP Strategies Corp. | 24,300 | 264 |
* | Marten Transport, Ltd. | 14,471 | 261 |
* | Gehl Co. | 8,266 | 251 |
* | Pinnacle Airlines Corp. | 13,360 | 251 |
*^ | Frontier Airlines Holdings, Inc. | 44,429 | 249 |
*^ | Taser International Inc. | 17,808 | 249 |
^ | AMREP Corp. | 5,000 | 238 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | DynCorp International Inc. |
|
|
| Class A | 10,800 | 237 |
*^ | C & D Technologies, Inc. | 40,832 | 229 |
| Applied Signal Technology, Inc. | 14,583 | 228 |
| Standex International Corp. | 7,955 | 226 |
* | Superior Essex Inc. | 6,043 | 226 |
| Electro Rent Corp. | 15,484 | 225 |
* | International Shipholding Corp. | 11,039 | 222 |
* | Covenant Transport, Inc. | 19,475 | 222 |
* | II-VI, Inc. | 8,054 | 219 |
* | Chart Industries, Inc. | 7,600 | 216 |
| American Woodmark Corp. | 6,238 | 216 |
* | Magnatek, Inc. | 41,774 | 215 |
*^ | Microvision, Inc. | 42,575 | 213 |
* | Dynamex Inc. | 8,266 | 211 |
| Titan International, Inc. | 6,598 | 209 |
| Genco Shipping and Trading Ltd. | 5,000 | 206 |
* | Miller Industries, Inc. | 8,164 | 205 |
*^ | Medis Technology Ltd. | 13,888 | 204 |
* | Lamson & Sessions Co. | 7,545 | 200 |
* | ICT Group, Inc. | 10,713 | 200 |
| United Industrial Corp. | 3,341 | 200 |
* | First Consulting Group, Inc. | 21,082 | 200 |
* | Huttig Building Products, Inc. | 26,265 | 199 |
* | Ducommun, Inc. | 7,684 | 198 |
* | Spherion Corp. | 20,596 | 193 |
| Rollins, Inc. | 8,480 | 193 |
* | Accuride Corp. | 12,440 | 192 |
* | Ionatron Inc. | 48,390 | 189 |
* | ExpressJet Holdings, Inc. | 31,426 | 188 |
* | Williams Scotsman International Inc. | 7,856 | 187 |
| Quintana Maritime Ltd. | 11,761 | 186 |
^ | Encore Wire Corp. | 6,281 | 185 |
* | Herley Industries Inc. | 11,136 | 182 |
* | Goodman Global, Inc. | 8,100 | 180 |
* | H&E Equipment Services, Inc. | 6,400 | 178 |
| Frozen Food Express |
|
|
| Industries, Inc. | 16,986 | 172 |
* | Exponent, Inc. | 7,516 | 168 |
* | Plug Power, Inc. | 52,682 | 165 |
* | MTC Technologies, Inc. | 6,702 | 165 |
*^ | 3D Systems Corp. | 6,557 | 163 |
| Quixote Corp. | 8,595 | 161 |
^ | Lindsay Manufacturing Co. | 3,623 | 160 |
* | Rush Enterprises, Inc. |
|
|
| Class A | 7,380 | 160 |
| LSI Industries Inc. | 8,893 | 159 |
* | Saia, Inc. | 5,787 | 158 |
| CompX International Inc. | 8,490 | 157 |
| Sun Hydraulics Corp. | 3,132 | 154 |
* | Ladish Co., Inc. | 3,556 | 153 |
* | Learning Tree International, Inc. | 11,637 | 152 |
| Freightcar America Inc. | 3,155 | 151 |
* | Houston Wire & Cable Co. | 5,200 | 148 |
31
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Builders FirstSource, Inc. | 9,180 | 147 |
| Lawson Products, Inc. | 3,805 | 147 |
* | Active Power, Inc. | 82,610 | 147 |
* | APAC Teleservices, Inc. | 60,376 | 147 |
| American Ecology Corp. | 6,773 | 145 |
| Tennant Co. | 3,915 | 143 |
* | MAIR Holdings, Inc. | 21,033 | 139 |
| Wabash National Corp. | 9,109 | 133 |
| Met-Pro Corp. | 8,379 | 132 |
*^ | Advanced Environmental Recycling Technologies, Inc | 77,562 | 125 |
* | Altra Holdings Inc. | 7,200 | 124 |
* | NuCo2, Inc. | 4,831 | 124 |
| Waste Industries USA, Inc. | 3,591 | 123 |
* | Layne Christensen Co. | 2,956 | 121 |
*^ | TurboChef Technologies, Inc. | 8,604 | 120 |
* | Intersections Inc. | 11,700 | 117 |
* | Flow International Corp. | 9,200 | 116 |
| TAL International Group, Inc. | 3,900 | 116 |
* | Commercial Vehicle Group Inc. | 6,175 | 115 |
* | Kadant Inc. | 3,684 | 115 |
| Gorman-Rupp Co. | 3,558 | 113 |
| Insteel Industries, Inc. | 6,200 | 112 |
* | Argon ST, Inc. | 4,690 | 109 |
*^ | Trex Co., Inc. | 5,544 | 109 |
^ | The Greenbrier Cos., Inc. | 3,544 | 107 |
^ | Mueller Water Products, Inc. |
|
|
| Class A | 6,000 | 102 |
* | Tecumseh Products Co. |
|
|
| Class A | 6,472 | 102 |
* | LECG Corp. | 6,536 | 99 |
* | EnerSys | 5,300 | 97 |
*^ | Document Security |
|
|
| Systems, Inc. | 6,900 | 95 |
* | Powell Industries, Inc. | 2,960 | 94 |
| Vicor Corp. | 6,786 | 90 |
* | Volt Information Sciences Inc. | 4,579 | 84 |
| Multi-Color Corp. | 2,100 | 83 |
| L.S. Starrett Co. Class A | 4,336 | 79 |
* | Waste Services, Inc. | 6,497 | 79 |
*^ | Arotech Corp. | 23,278 | 79 |
* | Pike Electric Corp. | 3,500 | 78 |
| Schawk, Inc. | 3,900 | 78 |
* | WCA Waste Corp. | 8,366 | 74 |
* | Allegiant Travel Co. | 2,400 | 74 |
*^ | Innerworkings, Inc. | 4,600 | 74 |
* | Quality Distribution Inc. | 6,534 | 73 |
* | The Allied Defense Group, Inc. | 9,400 | 72 |
* | Mesa Air Group Inc. | 10,511 | 69 |
* | Milacron Inc. | 7,831 | 68 |
| HEICO Corp. | 1,623 | 68 |
* | Team, Inc. | 1,465 | 66 |
* | Power-One, Inc. | 16,303 | 65 |
* | Innotrac Corp. | 26,975 | 65 |
*^ | PRG-Schultz International, Inc. | 4,068 | 65 |
| The Standard Register Co. | 5,673 | 65 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | TRC Cos., Inc. | 4,354 | 65 |
* | Midwest Air Group Inc. | 4,239 | 64 |
*^ | Capstone Turbine Corp. | 55,626 | 60 |
* | Innovative Solutions and |
|
|
| Support, Inc. | 2,568 | 60 |
* | Modtech Holdings, Inc. | 21,183 | 57 |
* | UQM Technologies, Inc. | 13,404 | 56 |
| Todd Shipyards Corp. | 2,649 | 55 |
* | Willis Lease Finance Corp. | 4,149 | 48 |
* | GeoEye Inc. | 2,200 | 48 |
* | Perma-Fix Environmental Services, Inc. | 13,507 | 41 |
* | Taleo Corp. Class A | 1,700 | 38 |
* | Paragon Technologies, Inc. | 5,170 | 35 |
* | La Barge, Inc. | 2,700 | 33 |
* | Sirva Inc. | 16,538 | 33 |
* | PeopleSupport Inc. | 2,800 | 32 |
* | Catalytica Energy Systems, Inc. | 24,575 | 29 |
* | Distributed Energy |
|
|
| Systems Corp. | 20,780 | 27 |
*^ | Valence Technology Inc. | 24,272 | 27 |
* | Sterling Construction Co., Inc. | 1,100 | 23 |
| Twin Disc, Inc. | 300 | 22 |
* | Ultralife Batteries, Inc. | 1,957 | 21 |
* | Nashua Corp. | 1,299 | 14 |
* | P.A.M. Transportation Services, Inc. | 713 | 13 |
| Hardinge, Inc. | 347 | 12 |
* | U.S. Home Systems, Inc. | 1,157 | 12 |
* | Spherix Inc. | 4,519 | 11 |
* | A.T. Cross Co. Class A | 907 | 11 |
| Sypris Solutions, Inc. | 406 | 3 |
* | Protection One, Inc. | 188 | 3 |
| Omega Flex Inc. | 100 | 2 |
* | TRM Corp. | 1,200 | 2 |
* | BMC Industries, Inc. | 4,603 | — |
* | DT Industries, Inc. | 1,000 | — |
|
|
| 1,067,806 |
Information Technology (15.6%) |
|
| |
| Microsoft Corp. | 4,760,794 | 140,301 |
* | Cisco Systems, Inc. | 3,262,882 | 90,871 |
| International Business |
|
|
| Machines Corp. | 813,360 | 85,606 |
| Intel Corp. | 3,115,326 | 74,020 |
| Hewlett-Packard Co. | 1,458,834 | 65,093 |
* | Google Inc. | 120,677 | 63,160 |
* | Apple Computer, Inc. | 465,628 | 56,825 |
* | Oracle Corp. | 2,239,554 | 44,142 |
| QUALCOMM Inc. | 894,871 | 38,828 |
* | Dell Inc. | 1,104,439 | 31,532 |
| Texas Instruments, Inc. | 801,614 | 30,165 |
| Motorola, Inc. | 1,306,520 | 23,125 |
* | Corning, Inc. | 848,034 | 21,667 |
* | EMC Corp. | 1,190,405 | 21,546 |
* | eBay Inc. | 602,702 | 19,395 |
32
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Yahoo! Inc. | 660,312 | 17,914 |
| Applied Materials, Inc. | 755,041 | 15,003 |
| Automatic Data |
|
|
| Processing, Inc. | 297,343 | 14,412 |
| Accenture Ltd. | 318,336 | 13,653 |
| First Data Corp. | 406,874 | 13,293 |
* | Adobe Systems, Inc. | 317,796 | 12,760 |
* | Sun Microsystems, Inc. | 1,946,570 | 10,239 |
* | Symantec Corp. | 499,831 | 10,097 |
* | Xerox Corp. | 512,889 | 9,478 |
| Western Union Co. | 417,570 | 8,698 |
* | Agilent Technologies, Inc. | 219,830 | 8,450 |
* | Electronic Arts Inc. | 167,832 | 7,942 |
| Electronic Data |
|
|
| Systems Corp. | 279,749 | 7,757 |
* | NVIDIA Corp. | 182,908 | 7,556 |
* | Broadcom Corp. | 256,231 | 7,495 |
* | Juniper Networks, Inc. | 290,943 | 7,323 |
| Paychex, Inc. | 185,490 | 7,256 |
| Analog Devices, Inc. | 180,686 | 6,801 |
| Seagate Technology | 296,610 | 6,457 |
| MasterCard, Inc. Class A | 36,563 | 6,065 |
* | SanDisk Corp. | 121,978 | 5,970 |
| KLA-Tencor Corp. | 108,154 | 5,943 |
* | Network Appliance, Inc. | 202,290 | 5,907 |
| CA, Inc. | 228,306 | 5,897 |
* | MEMC Electronic |
|
|
| Materials, Inc. | 96,410 | 5,893 |
* | Autodesk, Inc. | 124,698 | 5,871 |
| Linear Technology Corp. | 162,083 | 5,864 |
* | Cognizant Technology |
|
|
| Solutions Corp. | 77,414 | 5,813 |
| Maxim Integrated |
|
|
| Products, Inc. | 173,749 | 5,805 |
| Fidelity National Information |
|
|
| Services, Inc. | 102,849 | 5,583 |
* | Computer Sciences Corp. | 93,154 | 5,510 |
* | Intuit, Inc. | 178,047 | 5,356 |
* | Micron Technology, Inc. | 409,111 | 5,126 |
* | NCR Corp. | 96,680 | 5,080 |
* | Fiserv, Inc. | 89,242 | 5,069 |
* | Marvell Technology |
|
|
| Group Ltd. | 269,397 | 4,906 |
| National Semiconductor Corp. | 172,750 | 4,884 |
| Xilinx, Inc. | 180,010 | 4,819 |
| Microchip Technology, Inc. | 117,275 | 4,344 |
| Altera Corp. | 193,473 | 4,282 |
* | Advanced Micro Devices, Inc. | 297,639 | 4,256 |
* | VeriSign, Inc. | 131,760 | 4,181 |
* | Avaya Inc. | 246,018 | 4,143 |
* | Akamai Technologies, Inc. | 82,628 | 4,019 |
| Harris Corp. | 72,818 | 3,972 |
* | LAM Research Corp. | 76,535 | 3,934 |
* | Flextronics International Ltd. | 329,761 | 3,561 |
| Amphenol Corp. | 96,092 | 3,426 |
* | BMC Software, Inc. | 110,884 | 3,360 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Cadence Design |
|
|
| Systems, Inc. | 152,133 | 3,341 |
* | Citrix Systems, Inc. | 98,189 | 3,306 |
* | Avnet, Inc. | 79,734 | 3,161 |
* | LSI Corp. | 419,529 | 3,151 |
* | McAfee Inc. | 86,076 | 3,030 |
* | Affiliated Computer Services, Inc. Class A | 51,784 | 2,937 |
* | BEA Systems, Inc. | 211,444 | 2,895 |
* | CDW Corp. | 33,881 | 2,879 |
* | Alliance Data Systems Corp. | 36,877 | 2,850 |
* | Activision, Inc. | 151,247 | 2,824 |
* | Iron Mountain, Inc. | 102,731 | 2,684 |
* | Ceridian Corp. | 75,828 | 2,654 |
* | Lexmark International, Inc. | 52,903 | 2,609 |
* | Arrow Electronics, Inc. | 66,900 | 2,571 |
* | aQuantive, Inc. | 39,783 | 2,538 |
* | Tellabs, Inc. | 224,096 | 2,411 |
| Intersil Corp. | 74,483 | 2,343 |
* | Western Digital Corp. | 119,767 | 2,317 |
| Jabil Circuit, Inc. | 103,052 | 2,274 |
* | DST Systems, Inc. | 28,562 | 2,262 |
* | NAVTEQ Corp. | 52,825 | 2,237 |
* | Red Hat, Inc. | 98,457 | 2,194 |
* | salesforce.com, Inc. | 49,031 | 2,101 |
* | Compuware Corp. | 175,144 | 2,077 |
* | Synopsys, Inc. | 77,852 | 2,058 |
* | Mettler-Toledo International Inc. | 21,340 | 2,038 |
* | Trimble Navigation Ltd. | 63,250 | 2,037 |
* | Novellus Systems, Inc. | 66,859 | 1,897 |
* | CommScope, Inc. | 32,313 | 1,885 |
| Diebold, Inc. | 35,455 | 1,851 |
* | Hewitt Associates, Inc. | 57,014 | 1,824 |
* | Cypress Semiconductor Corp. | 77,919 | 1,815 |
* | Convergys Corp. | 74,579 | 1,808 |
* | Teradyne, Inc. | 102,742 | 1,806 |
* | Solectron Corp. | 488,829 | 1,799 |
* | Ingram Micro, Inc. Class A | 82,686 | 1,795 |
* | Varian Semiconductor |
|
|
| Equipment Associates, Inc. | 44,796 | 1,795 |
* | F5 Networks, Inc. | 22,098 | 1,781 |
| Global Payments Inc. | 43,479 | 1,724 |
* | Unisys Corp. | 187,045 | 1,710 |
* | ON Semiconductor Corp. | 157,814 | 1,692 |
* | Brocade Communications |
|
|
| Systems, Inc. | 213,299 | 1,668 |
* | Ciena Corp. | 45,887 | 1,658 |
* | Integrated Device |
|
|
| Technology Inc. | 107,643 | 1,644 |
| FactSet Research |
|
|
| Systems Inc. | 24,023 | 1,642 |
* | CheckFree Corp. | 40,405 | 1,624 |
* | Polycom, Inc. | 48,164 | 1,618 |
* | FLIR Systems, Inc. | 33,893 | 1,568 |
* | ValueClick, Inc. | 52,994 | 1,561 |
33
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Molex, Inc. Class A | 58,236 | 1,546 |
| Tektronix, Inc. | 44,855 | 1,513 |
*^ | JDS Uniphase Corp. | 111,831 | 1,502 |
* | Zebra Technologies Corp. |
|
|
| Class A | 38,396 | 1,487 |
* | International Rectifier Corp. | 39,381 | 1,467 |
* | Vishay Intertechnology, Inc. | 92,382 | 1,461 |
* | Anixter International Inc. | 19,317 | 1,453 |
* | QLogic Corp. | 86,524 | 1,441 |
* | Novell, Inc. | 184,215 | 1,435 |
| Broadridge Financial |
|
|
| Solutions LLC | 74,761 | 1,429 |
| Fair Isaac, Inc. | 34,259 | 1,374 |
* | Atmel Corp. | 238,705 | 1,327 |
* | Parametric Technology Corp. | 61,006 | 1,318 |
* | Fairchild Semiconductor International, Inc. | 66,940 | 1,293 |
| MoneyGram International, Inc. | 45,810 | 1,280 |
* | Andrew Corp. | 87,237 | 1,260 |
* | Foundry Networks, Inc. | 75,403 | 1,256 |
* | Equinix, Inc. | 13,412 | 1,227 |
* | Sybase, Inc. | 49,863 | 1,191 |
* | SINA.com | 28,365 | 1,187 |
* | Nuance Communications, Inc. | 70,664 | 1,182 |
* | ADC Telecommunications, Inc. | 64,183 | 1,176 |
* | MICROS Systems, Inc. | 21,619 | 1,176 |
* | Sonus Networks, Inc. | 137,675 | 1,173 |
* | Tech Data Corp. | 30,283 | 1,165 |
| Jack Henry & Associates Inc. | 44,548 | 1,147 |
* | ANSYS, Inc. | 42,181 | 1,118 |
*^ | Cree, Inc. | 42,403 | 1,096 |
* | Itron, Inc. | 14,048 | 1,095 |
| National Instruments Corp. | 33,096 | 1,078 |
* | THQ Inc. | 35,231 | 1,075 |
| Acxiom Corp. | 40,560 | 1,073 |
* | TIBCO Software Inc. | 115,673 | 1,047 |
* | Tessera Technologies, Inc. | 25,763 | 1,045 |
* | Arris Group Inc. | 59,009 | 1,038 |
* | Emulex Corp. | 47,438 | 1,036 |
* | Amkor Technology, Inc. | 63,635 | 1,002 |
* | Digital River, Inc. | 22,116 | 1,001 |
* | Harris Stratex Networks, Inc. |
|
|
| Class A | 54,176 | 974 |
* | j2 Global Communications, Inc. | 27,488 | 959 |
* | VeriFone Holdings, Inc. | 26,828 | 946 |
* | Silicon Laboratories Inc. | 27,209 | 942 |
* | Microsemi Corp. | 39,183 | 938 |
* | Gartner, Inc. Class A | 37,944 | 933 |
* | Dolby Laboratories Inc. | 25,986 | 920 |
* | FormFactor Inc. | 23,955 | 917 |
| ADTRAN Inc. | 35,298 | 917 |
* | Interdigital |
|
|
| Communications Corp. | 28,434 | 915 |
* | eFunds Corp. | 25,789 | 910 |
* | Sanmina-SCI Corp. | 290,342 | 909 |
* | 3Com Corp. | 218,152 | 901 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Atheros Communications, Inc. | 29,071 | 897 |
* | Electronics for Imaging, Inc. | 31,299 | 883 |
* | Benchmark Electronics, Inc. | 38,740 | 876 |
* | PMC Sierra Inc. | 113,069 | 874 |
* | Macrovision Corp. | 29,041 | 873 |
* | VistaPrint Ltd. | 22,110 | 846 |
* | Perot Systems Corp. | 49,595 | 845 |
* | Palm, Inc. | 51,795 | 829 |
* | Rambus Inc. | 45,761 | 823 |
* | Dycom Industries, Inc. | 27,439 | 823 |
* | Avid Technology, Inc. | 22,837 | 807 |
* | Cymer, Inc. | 20,068 | 807 |
* | CACI International, Inc. | 16,510 | 807 |
* | BISYS Group, Inc. | 66,979 | 792 |
* | Take-Two Interactive Software, Inc. | 39,175 | 782 |
* | BearingPoint, Inc. | 106,359 | 777 |
* | CSG Systems International, Inc. | 29,229 | 775 |
* | Wright Express Corp. | 22,488 | 771 |
* | Comtech |
|
|
| Telecommunications Corp. | 16,453 | 764 |
* | MPS Group, Inc. | 57,100 | 763 |
* | Lawson Software, Inc. | 76,005 | 752 |
* | Brooks Automation, Inc. | 40,610 | 737 |
* | Entegris Inc. | 61,755 | 734 |
* | Avocent Corp. | 24,739 | 718 |
* | SAIC, Inc. | 39,541 | 715 |
* | Progress Software Corp. | 22,293 | 709 |
* | ATMI, Inc. | 23,494 | 705 |
* | Aeroflex, Inc. | 49,595 | 703 |
*^ | Intermec, Inc. | 27,664 | 700 |
| Imation Corp. | 18,766 | 692 |
* | RF Micro Devices, Inc. | 110,672 | 691 |
* | Finisar Corp. | 182,406 | 689 |
* | CMGI Inc. | 343,451 | 670 |
* | EarthLink, Inc. | 89,299 | 667 |
* | Informatica Corp. | 44,162 | 652 |
* | Mentor Graphics Corp. | 48,328 | 636 |
* | CNET Networks, Inc. | 76,647 | 628 |
* | Semtech Corp. | 35,677 | 618 |
* | Transaction Systems |
|
|
| Architects, Inc. | 18,285 | 615 |
* | ANADIGICS, Inc. | 44,404 | 612 |
| Molex, Inc. | 20,154 | 605 |
| Total System Services, Inc. | 20,466 | 604 |
* | OmniVision Technologies, Inc. | 33,159 | 601 |
| MTS Systems Corp. | 13,433 | 600 |
* | Opsware, Inc. | 62,045 | 590 |
* | Cabot Microelectronics Corp. | 16,606 | 589 |
* | Euronet Worldwide, Inc. | 20,192 | 589 |
* | Blackboard Inc. | 13,978 | 589 |
* | Ariba, Inc. | 59,137 | 586 |
* | Skyworks Solutions, Inc. | 79,623 | 585 |
* | FEI Co. | 17,812 | 578 |
* | Color Kinetics Inc. | 17,215 | 575 |
34
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Advanced Energy |
|
|
| Industries, Inc. | 24,877 | 564 |
* | MKS Instruments, Inc. | 20,308 | 563 |
* | Covansys Corp. | 16,451 | 558 |
* | Blue Coat Systems, Inc. | 11,255 | 557 |
* | Checkpoint Systems, Inc. | 21,913 | 553 |
* | DealerTrack Holdings Inc. | 14,835 | 547 |
* | Concur Technologies, Inc. | 23,845 | 545 |
* | Coherent, Inc. | 17,620 | 538 |
* | Brightpoint, Inc. | 38,952 | 537 |
* | Advent Software, Inc. | 16,499 | 537 |
* | AMIS Holdings Inc. | 42,879 | 537 |
* | Axcelis Technologies, Inc. | 82,342 | 534 |
* | Conexant Systems, Inc. | 386,789 | 534 |
* | Aspen Technologies, Inc. | 37,961 | 531 |
| Agilysys, Inc. | 23,600 | 531 |
* | SiRF Technology Holdings, Inc. | 25,584 | 531 |
| Cognex Corp. | 23,297 | 524 |
* | Littelfuse, Inc. | 15,469 | 522 |
* | C-COR Inc. | 37,092 | 522 |
* | Harmonic, Inc. | 58,779 | 521 |
* | NETGEAR, Inc. | 14,364 | 521 |
| MAXIMUS, Inc. | 11,797 | 512 |
* | Interwoven Inc. | 36,426 | 511 |
* | L-1 Identity Solutions Inc. | 24,826 | 508 |
* | Internap Network |
|
|
| Services Corp. | 35,069 | 506 |
* | Komag, Inc. | 15,733 | 502 |
* | Chordiant Software, Inc. | 31,910 | 500 |
* | Wind River Systems Inc. | 45,397 | 499 |
* | RealNetworks, Inc. | 61,051 | 499 |
* | Insight Enterprises, Inc. | 22,082 | 498 |
| Plantronics, Inc. | 18,974 | 497 |
* | Cogent Inc. | 33,724 | 495 |
* | DSP Group Inc. | 24,192 | 495 |
* | Rogers Corp. | 13,384 | 495 |
* | Cirrus Logic, Inc. | 59,544 | 494 |
| Black Box Corp. | 11,608 | 480 |
* | Sycamore Networks, Inc. | 119,217 | 479 |
| Technitrol, Inc. | 16,704 | 479 |
* | JDA Software Group, Inc. | 24,318 | 477 |
* | Diodes Inc. | 11,261 | 470 |
* | Spansion Inc. Class A | 42,138 | 468 |
* | Applied Micro Circuits Corp. | 187,078 | 468 |
* | Quest Software, Inc. | 28,691 | 465 |
| United Online, Inc. | 27,994 | 462 |
* | SPSS, Inc. | 10,231 | 452 |
* | MicroStrategy Inc. | 4,767 | 450 |
* | Extreme Networks, Inc. | 110,458 | 447 |
* | Websense, Inc. | 21,050 | 447 |
* | Electro Scientific |
|
|
| Industries, Inc. | 21,454 | 446 |
* | Lattice Semiconductor Corp. | 77,088 | 441 |
| Cohu, Inc. | 19,580 | 436 |
* | Acacia Research - |
|
|
| Acacia Technologies | 26,940 | 435 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | ScanSource, Inc. | 13,569 | 434 |
* | Agile Software Corp. | 53,658 | 433 |
* | Mastec Inc. | 27,135 | 429 |
* | SRA International, Inc. | 16,985 | 429 |
| AVX Corp. | 24,994 | 418 |
* | SunPower Corp. Class A | 6,540 | 412 |
* | Ansoft Corp. | 13,935 | 411 |
| CTS Corp. | 32,302 | 409 |
* | Plexus Corp. | 17,765 | 408 |
* | eCollege.com Inc. | 18,353 | 408 |
* | Actuate Software Corp. | 59,390 | 403 |
* | Borland Software Corp. | 67,437 | 401 |
* | Advanced Analogic Technologies, Inc. | 41,200 | 400 |
*^ | Echelon Corp. | 25,298 | 395 |
| Park Electrochemical Corp. | 13,991 | 394 |
* | Trident Microsystems, Inc. | 21,461 | 394 |
* | Adaptec, Inc. | 101,981 | 389 |
* | Net 1 UEPS Technologies, Inc. | 15,837 | 382 |
* | Riverbed Technology, Inc. | 8,677 | 380 |
* | Rofin-Sinar Technologies Inc. | 5,481 | 378 |
* | Perficient, Inc. | 18,148 | 376 |
| infoUSA Inc. | 36,494 | 373 |
* | EPIQ Systems, Inc. | 23,019 | 372 |
| Openwave Systems Inc. | 58,783 | 368 |
* | Actel Corp. | 26,403 | 367 |
* | CyberSource Corp. | 30,309 | 366 |
| Blackbaud, Inc. | 16,118 | 356 |
* | Forrester Research, Inc. | 12,616 | 355 |
* | Anaren, Inc. | 20,050 | 353 |
* | Digi International, Inc. | 23,932 | 353 |
* | Synaptics Inc. | 9,794 | 351 |
*^ | Avanex Corp. | 194,144 | 349 |
* | Art Technology Group, Inc. | 130,997 | 348 |
| Daktronics, Inc. | 15,880 | 341 |
* | Bottomline Technologies, Inc. | 27,589 | 341 |
* | Manhattan Associates, Inc. | 12,185 | 340 |
| NIC Inc. | 49,661 | 340 |
* | Zoran Corp. | 16,599 | 333 |
* | KEMET Corp. | 47,169 | 333 |
* | Omniture, Inc. | 14,503 | 332 |
* | SAVVIS, Inc. | 6,691 | 331 |
* | Secure Computing Corp. | 43,502 | 330 |
* | Tekelec | 22,732 | 328 |
* | Sigma Designs, Inc. | 12,559 | 328 |
* | Gerber Scientific, Inc. | 28,016 | 326 |
* | Epicor Software Corp. | 21,758 | 324 |
* | Novatel Wireless, Inc. | 12,398 | 323 |
*^ | EMCORE Corp. | 58,535 | 319 |
^ | Heartland Payment |
|
|
| Systems, Inc. | 10,843 | 318 |
| Micrel, Inc. | 24,924 | 317 |
* | Asyst Technologies, Inc. | 43,120 | 312 |
* | Autobytel Inc. | 73,121 | 311 |
* | ManTech International Corp. | 9,945 | 307 |
*^ | Infocrossing, Inc. | 16,200 | 299 |
35
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Entrust, Inc. | 73,624 | 299 |
* | FARO Technologies, Inc. | 9,333 | 297 |
* | Internet Capital Group Inc. | 23,779 | 295 |
* | Integrated Silicon Solution, Inc. | 46,648 | 294 |
* | Ciber, Inc. | 35,832 | 293 |
* | eSPEED, Inc. Class A | 33,743 | 292 |
* | Powerwave Technologies, Inc. | 43,343 | 290 |
* | DTS Inc. | 13,319 | 290 |
| Quality Systems, Inc. | 7,604 | 289 |
* | Bell Microproducts Inc. | 44,230 | 288 |
* | Loral Space and Communications Ltd. | 5,800 | 286 |
* | ActivIdentity Corp. | 61,680 | 284 |
* | Immersion Corp. | 18,406 | 276 |
* | Quantum Corp. | 86,887 | 275 |
*^ | Sohu.com Inc. | 8,601 | 275 |
*^ | Bankrate, Inc. | 5,740 | 275 |
* | Kopin Corp. | 70,063 | 273 |
* | Kulicke & Soffa Industries, Inc. | 25,920 | 271 |
* | Bookham, Inc. | 120,480 | 271 |
* | The Knot, Inc. | 13,400 | 271 |
| Syntel, Inc. | 8,867 | 269 |
* | SonicWALL, Inc. | 31,318 | 269 |
| Gevity HR, Inc. | 13,830 | 267 |
* | Vignette Corp. | 13,645 | 261 |
* | Captaris Inc. | 50,635 | 259 |
| InfoSpace, Inc. | 11,088 | 257 |
* | Answerthink Consulting |
|
|
| Group, Inc. | 70,845 | 256 |
* | Ditech Networks Inc. | 31,168 | 255 |
* | Callidus Software Inc. | 31,501 | 255 |
* | Interactive Intelligence Inc. | 12,382 | 255 |
* | FalconStor Software, Inc. | 23,918 | 252 |
* | Airspan Networks Inc. | 69,500 | 252 |
* | Sirenza Microdevices, Inc. | 20,975 | 249 |
* | Digimarc Corp. | 25,285 | 248 |
* | ViaSat, Inc. | 7,691 | 247 |
* | Dot Hill Systems Corp. | 68,546 | 247 |
* | Hypercom Corp. | 40,306 | 238 |
* | Gateway, Inc. | 149,577 | 238 |
* | Stratasys, Inc. | 5,017 | 236 |
* | Credence Systems Corp. | 64,835 | 233 |
| Methode Electronics, Inc. |
|
|
| Class A | 14,894 | 233 |
* | Genesis Microchip Inc. | 24,760 | 232 |
| Inter-Tel, Inc. | 9,656 | 231 |
* | Global Cash Access, Inc. | 14,061 | 225 |
* | Safeguard Scientifics, Inc. | 80,067 | 225 |
* | ESS Technology, Inc. | 130,486 | 217 |
* | Ceva, Inc. | 25,376 | 216 |
* | Catapult |
|
|
| Communications Corp. | 21,477 | 213 |
* | Silicon Image, Inc. | 24,731 | 212 |
* | American Technology Corp. | 56,282 | 212 |
* | UTStarcom, Inc. | 37,662 | 211 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Sapient Corp. | 27,213 | 210 |
| Bel Fuse, Inc. Class B | 6,154 | 209 |
* | Exar Corp. | 15,615 | 209 |
* | Standard Microsystem Corp. | 6,064 | 208 |
* | Centillium Communications, Inc. | 99,149 | 207 |
*^ | Access Intergrated |
|
|
| Technologies Inc. | 25,482 | 206 |
* | Mercury Computer Systems, Inc. | 16,853 | 206 |
* | Nu Horizons Electronics Corp. | 15,356 | 204 |
| Integral Systems, Inc. | 8,357 | 203 |
* | Sykes Enterprises, Inc. | 10,647 | 202 |
* | Jupitermedia Corp. | 27,602 | 201 |
* | Applied Digital Solutions, Inc. | 145,841 | 200 |
* | Virage Logic Corp. | 26,890 | 197 |
* | California Micro Devices Corp. | 48,597 | 197 |
* | Concurrent Computer Corp. | 107,460 | 192 |
* | TriQuint Semiconductor, Inc. | 37,777 | 191 |
* | The Ultimate Software Group, Inc. | 6,596 | 191 |
* | Photronics, Inc. | 12,399 | 184 |
* | Rackable Systems Inc. | 14,915 | 184 |
* | Keynote Systems Inc. | 11,108 | 182 |
* | Newport Corp. | 11,757 | 182 |
* | SI International Inc. | 5,420 | 179 |
* | Measurement Specialties, Inc. | 7,499 | 178 |
* | LTX Corp. | 31,930 | 178 |
* | Cray, Inc. | 22,674 | 173 |
* | OSI Systems Inc. | 6,300 | 172 |
* | EMS Technologies, Inc. | 7,781 | 172 |
* | MRV Communications Inc. | 52,172 | 170 |
*^ | Presstek, Inc. | 20,895 | 167 |
* | Veeco Instruments, Inc. | 7,829 | 162 |
* | Tyler Technologies, Inc. | 12,984 | 161 |
* | MIPS Technologies, Inc. | 18,092 | 159 |
* | iGATE Corp. | 19,686 | 158 |
* | Miva Inc. | 24,139 | 157 |
* | Hutchinson Technology, Inc. | 8,211 | 154 |
* | LoJack Corp. | 6,892 | 154 |
| TheStreet.com, Inc. | 13,902 | 151 |
| Avici Systems Inc. | 20,091 | 151 |
* | Synchronoss Technologies, Inc. | 5,100 | 150 |
* | Radiant Systems, Inc. | 11,203 | 148 |
* | VASCO Data Security |
|
|
| International, Inc. | 6,427 | 146 |
* | Rudolph Technologies, Inc. | 8,740 | 145 |
* | Carrier Access Corp. | 30,354 | 142 |
* | Silicon Storage |
|
|
| Technology, Inc. | 38,096 | 142 |
* | Multi-Fineline Electronix, Inc. | 8,280 | 142 |
* | Neoware Systems, Inc. | 10,380 | 141 |
* | Computer Task Group, Inc. | 31,111 | 139 |
* | Oplink Communications, Inc. | 9,258 | 139 |
* | FSI International, Inc. | 43,508 | 139 |
| Startek, Inc. | 12,679 | 137 |
36
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Iomega Corp. | 29,208 | 136 |
* | TTM Technologies, Inc. | 10,359 | 135 |
*^ | On2 Technologies, Inc. | 44,565 | 134 |
* | Hifn, Inc. | 22,630 | 134 |
* | CyberOptics Corp. | 9,900 | 133 |
* | Aware, Inc. | 24,278 | 131 |
| Marchex, Inc. | 7,960 | 130 |
^ | Imergent, Inc. | 5,267 | 129 |
* | Magma Design Automation, Inc. | 9,132 | 128 |
* | Liquidity Services, Inc. | 6,772 | 127 |
* | DDi Corp. | 15,796 | 126 |
* | Intevac, Inc. | 5,873 | 125 |
* | Mindspeed Technologies, Inc. | 56,269 | 124 |
* | Web.com, Inc. | 19,553 | 123 |
* | MSC Software Corp. | 9,100 | 123 |
* | S1 Corp. | 15,148 | 121 |
* | Hittite Microwave Corp. | 2,782 | 119 |
* | Lionbridge Technologies, Inc. | 19,947 | 117 |
* | Online Resources Corp. | 10,489 | 115 |
* | AuthentiDate Holding Corp. | 75,076 | 115 |
* | SYNNEX Corp. | 5,567 | 115 |
* | PLX Technology, Inc. | 10,154 | 113 |
* | Universal Display Corp. | 7,162 | 113 |
* | Comtech Group Inc. | 6,800 | 112 |
* | Leadis Technology Inc. | 31,952 | 112 |
* | Zygo Corp. | 7,741 | 111 |
* | Packeteer, Inc. | 14,042 | 110 |
* | TranSwitch Corp. | 59,077 | 108 |
* | Smart Modular |
|
|
| Technologies Inc. | 7,639 | 105 |
* | Globecomm Systems, Inc. | 7,184 | 105 |
* | Mattson Technology, Inc. | 10,805 | 105 |
* | RadiSys Corp. | 8,349 | 104 |
* | IXYS Corp. | 12,368 | 103 |
* | PC-Tel, Inc. | 11,796 | 103 |
* | Nextwave Wireless Inc. | 12,200 | 102 |
* | Planar Systems, Inc. | 13,595 | 102 |
* | Terremark Worldwide, Inc. | 15,666 | 101 |
* | Cherokee International Corp. | 20,102 | 99 |
* | LookSmart, Ltd. | 24,938 | 97 |
* | Endwave Corp. | 8,501 | 97 |
* | Saba Software, Inc. | 18,394 | 94 |
* | InterVoice, Inc. | 11,198 | 93 |
* | Supertex, Inc. | 2,969 | 93 |
* | KVH Industries, Inc. | 10,605 | 93 |
* | Authorize.Net Holdings Inc. | 5,194 | 93 |
* | Symmetricom Inc. | 11,037 | 93 |
* | Rainmaker Systems, Inc. | 12,990 | 92 |
* | Excel Technology, Inc. | 3,300 | 92 |
* | Netlogic Microsystems Inc. | 2,877 | 92 |
* | SupportSoft, Inc. | 16,556 | 90 |
| X-Rite Inc. | 5,944 | 88 |
*^ | iPass Inc. | 16,000 | 87 |
*^ | Lasercard Corp. | 7,924 | 87 |
* | Ixia | 9,292 | 86 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Network Equipment Technologies, Inc. | 8,685 | 83 |
* | Pericom Semiconductor Corp. | 7,354 | 82 |
* | LoopNet, Inc. | 3,500 | 82 |
* | Merix Corp. | 10,154 | 80 |
* | Napster, Inc. | 23,310 | 79 |
* | MoSys, Inc. | 9,009 | 79 |
*^ | Convera Corp. | 18,069 | 79 |
* | Photon Dynamics, Inc. | 7,154 | 78 |
| TNS Inc. | 5,391 | 78 |
* | PC Connection, Inc. | 5,835 | 77 |
* | Sonic Solutions, Inc. | 6,082 | 77 |
* | Phoenix Technologies Ltd. | 8,907 | 75 |
* | Smith Micro Software, Inc. | 4,957 | 75 |
* | Tumbleweed Communications Corp. | 29,160 | 74 |
* | Commvault Systems, Inc. | 4,300 | 74 |
* | Calamp Corp. | 17,880 | 74 |
* | SourceForge Inc. | 17,362 | 73 |
* | Monolithic Power Systems | 4,100 | 72 |
* | SeaChange International, Inc. | 9,174 | 71 |
* | Analysts International Corp. | 40,221 | 70 |
* | Ultratech, Inc. | 5,205 | 69 |
| Pegasystems Inc. | 6,321 | 69 |
* | PDF Solutions, Inc. | 5,752 | 68 |
* | Dynamics Research Corp. | 5,152 | 67 |
* | iBasis, Inc. | 6,495 | 65 |
* | Entertainment Distribution Company Inc. | 31,342 | 62 |
* | Atari, Inc. | 21,698 | 61 |
* | GSI Group, Inc. | 6,100 | 60 |
*^ | ParkerVision, Inc. | 4,988 | 60 |
* | Lantronix, Inc. | 41,675 | 58 |
| Keithley Instruments Inc. | 4,560 | 57 |
| Bel Fuse, Inc. Class A | 1,477 | 55 |
* | SRS Labs, Inc. | 5,440 | 53 |
* | Sumtotal Systems Inc. | 6,084 | 48 |
* | OPNET Technologies, Inc. | 3,982 | 46 |
* | SigmaTel Inc. | 14,412 | 42 |
* | Edgewater Technology, Inc. | 5,130 | 40 |
*^ | Maxwell Technologies, Inc. | 2,840 | 40 |
* | Zhone Technologies | 27,876 | 40 |
* | TechTeam Global, Inc. | 3,342 | 40 |
* | InFocus Corp. | 17,912 | 40 |
* | BSQUARE Corp. | 6,649 | 40 |
| COMARCO, Inc. | 6,117 | 39 |
* | Tollgrade Communications, Inc. | 3,588 | 38 |
* | EFJ, Inc. | 7,007 | 38 |
* | PLATO Learning, Inc. | 8,094 | 37 |
| QAD Inc. | 4,461 | 37 |
| Renaissance Learning, Inc. | 2,613 | 34 |
*^ | Research Frontiers, Inc. | 2,434 | 34 |
* | NMS Communications Corp. | 19,521 | 34 |
* | White Electronic Designs Corp. | 5,637 | 33 |
* | Transmeta Corp. | 42,916 | 32 |
* | Westell Technologies, Inc. | 12,309 | 32 |
37
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | QuickLogic Corp. | 11,838 | 32 |
* | Ness Technologies Inc. | 2,400 | 31 |
* | Pixelworks, Inc. | 20,582 | 30 |
* | OpenTV Corp. | 14,100 | 30 |
* | i2 Technologies, Inc. | 1,600 | 30 |
* | Optical Communication Products, Inc. | 18,229 | 30 |
* | Digital Angel Corp. | 17,400 | 28 |
* | The SCO Group, Inc. | 20,525 | 27 |
* | Kintera Inc. | 11,549 | 26 |
* | PAR Technology Corp. | 2,900 | 25 |
* | OYO Geospace Corp. | 329 | 24 |
* | Mechanical Technology Inc. | 19,106 | 24 |
* | WebMD Health Corp. Class A | 500 | 24 |
* | Eagle Test Systems, Inc. | 1,400 | 22 |
* | Nanometrics Inc. | 3,200 | 22 |
* | Orbcomm, Inc | 1,300 | 21 |
* | RAE Systems, Inc. | 8,627 | 20 |
* | Channell Commercial Corp. | 4,460 | 19 |
* | ePlus Inc. | 1,996 | 19 |
* | eLoyalty Corp. | 859 | 19 |
* | Intraware, Inc. | 3,975 | 19 |
* | SM&A Corp. | 2,694 | 19 |
* | Network Engines, Inc. | 10,019 | 18 |
* | Interlink Electronics Inc. | 11,331 | 17 |
* | Applix, Inc. | 956 | 16 |
* | Volterra Semiconductor Corp. | 1,100 | 16 |
* | Selectica, Inc. | 8,094 | 16 |
* | SCM Microsystems, Inc. | 5,161 | 15 |
* | Rimage Corp. | 483 | 15 |
* | GSE Systems, Inc. | 2,184 | 14 |
* | NetScout Systems, Inc. | 1,596 | 14 |
* | WJ Communications, Inc. | 7,446 | 13 |
* | NVE Corp. | 369 | 13 |
* | Moldflow Corp. | 562 | 12 |
* | Superconductor |
|
|
| Technologies Inc. | 7,694 | 11 |
* | LivePerson, Inc. | 2,095 | 11 |
* | Telular Corp. | 2,339 | 11 |
* | Techwell, Inc. | 800 | 10 |
* | Hughes Communications Inc. | 200 | 10 |
* | Quovadx, Inc. | 3,315 | 10 |
* | Spectrum Control, Inc. | 610 | 10 |
* | Ramtron International Corp. | 3,117 | 10 |
* | 8X8 Inc. | 6,743 | 9 |
* | Zix Corp. | 4,904 | 9 |
* | Verso Technologies, Inc. | 9,618 | 8 |
* | Synplicity, Inc. | 1,118 | 8 |
* | Sunrise Telecom Inc. | 2,405 | 8 |
| Richardson Electronics, Ltd. | 816 | 8 |
* | MTI Technology Corp. | 22,722 | 7 |
* | Telecommunication |
|
|
| Systems, Inc. | 1,433 | 7 |
* | Viewpoint Corp. | 6,086 | 7 |
* | Management Network |
|
|
| Group Inc. | 2,896 | 7 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | I.D. Systems, Inc. | 474 | 6 |
* | Semitool, Inc. | 621 | 6 |
* | Evolving Systems, Inc. | 2,413 | 5 |
* | TransAct Technologies Inc. | 834 | 5 |
* | Mobility Electronics, Inc. | 1,228 | 5 |
* | Allen Organ Co. escrow shares | 283 | 5 |
* | Wave Systems Corp. Class A | 2,169 | 5 |
* | Wireless Telecom Group, Inc. | 1,279 | 4 |
* | STEC Inc. | 607 | 4 |
* | Inforte Corp. | 907 | 4 |
* | LeCroy Corp. | 387 | 4 |
| Frequency Electronics, Inc. | 283 | 3 |
* | Datalink Corp. | 429 | 3 |
* | Technology Solutions Co. | 391 | 3 |
* | FOCUS Enhancements, Inc. | 2,504 | 3 |
* | Cosine Communications, Inc. | 623 | 2 |
* | Optical Cable Corp. |
|
|
| Warrants Exp. 10/24/07 | 959 | — |
* | Media 100 Inc. | 1,614 | — |
|
|
| 1,429,577 |
Materials (3.6%) |
|
| |
| E.I. du Pont de Nemours |
|
|
| & Co. | 499,281 | 25,383 |
| Dow Chemical Co. | 518,389 | 22,923 |
| Monsanto Co. | 293,892 | 19,849 |
| Alcoa Inc. | 469,955 | 19,047 |
| Freeport-McMoRan Copper & Gold, Inc. Class B | 202,806 | 16,796 |
| Praxair, Inc. | 174,530 | 12,564 |
| Nucor Corp. | 163,419 | 9,585 |
| Newmont Mining Corp. (Holding Co.) | 243,637 | 9,516 |
| Air Products & Chemicals, Inc. | 117,009 | 9,404 |
| International Paper Co. | 233,783 | 9,129 |
| Weyerhaeuser Co. | 114,262 | 9,019 |
| United States Steel Corp. | 64,229 | 6,985 |
| PPG Industries, Inc. | 88,857 | 6,763 |
| Vulcan Materials Co. | 51,543 | 5,904 |
| Allegheny Technologies Inc. | 48,946 | 5,134 |
| Lyondell Chemical Co. | 121,579 | 4,513 |
| Ecolab, Inc. | 102,185 | 4,363 |
| Rohm & Haas Co. | 76,634 | 4,190 |
| Martin Marietta Materials, Inc. | 24,550 | 3,978 |
| Temple-Inland Inc. | 57,198 | 3,519 |
| MeadWestvaco Corp. | 97,765 | 3,453 |
* | The Mosaic Co. | 83,046 | 3,240 |
* | Domtar Corp. | 282,357 | 3,151 |
| Sigma-Aldrich Corp. | 71,828 | 3,065 |
| Celanese Corp. Series A | 76,388 | 2,962 |
* | Owens-Illinois, Inc. | 83,668 | 2,928 |
| Eastman Chemical Co. | 45,140 | 2,904 |
| Sealed Air Corp. | 86,985 | 2,698 |
| Ball Corp. | 50,053 | 2,661 |
| Lubrizol Corp. | 37,122 | 2,396 |
* | Pactiv Corp. | 71,856 | 2,291 |
38
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| International Flavors & |
|
|
| Fragrances, Inc. | 43,598 | 2,273 |
* | AK Steel Holding Corp. | 59,579 | 2,226 |
* | Crown Holdings, Inc. | 88,065 | 2,199 |
| Sonoco Products Co. | 51,187 | 2,191 |
| Nalco Holding Co. | 77,192 | 2,119 |
| Reliance Steel & |
|
|
| Aluminum Co. | 36,816 | 2,071 |
| Steel Dynamics, Inc. | 49,313 | 2,067 |
| Commercial Metals Co. | 60,796 | 2,053 |
| Ashland, Inc. | 30,729 | 1,965 |
| Bemis Co., Inc. | 56,723 | 1,882 |
* | Smurfit-Stone Container Corp. | 137,734 | 1,833 |
| Airgas, Inc. | 38,162 | 1,828 |
| Chaparral Steel Co. | 25,211 | 1,812 |
| Florida Rock Industries, Inc. | 26,818 | 1,810 |
| FMC Corp. | 19,820 | 1,772 |
| Cleveland-Cliffs Inc. | 22,400 | 1,740 |
| Carpenter Technology Corp. | 13,165 | 1,716 |
| Albemarle Corp. | 43,842 | 1,689 |
| Cabot Corp. | 34,598 | 1,650 |
| CF Industries Holdings, Inc. | 26,975 | 1,616 |
| Cytec Industries, Inc. | 24,824 | 1,583 |
| RPM International, Inc. | 64,876 | 1,499 |
| Valspar Corp. | 52,586 | 1,494 |
| Chemtura Corp. | 130,845 | 1,454 |
* | Titanium Metals Corp. | 43,926 | 1,401 |
| Huntsman Corp. | 54,761 | 1,331 |
| Eagle Materials, Inc. | 26,526 | 1,301 |
* | Terra Industries, Inc. | 50,633 | 1,287 |
| AptarGroup Inc. | 36,183 | 1,287 |
* | Hercules, Inc. | 59,277 | 1,165 |
| Packaging Corp. of America | 45,679 | 1,156 |
| Scotts Miracle-Gro Co. | 25,242 | 1,084 |
| Louisiana-Pacific Corp. | 56,887 | 1,076 |
| Texas Industries, Inc. | 13,253 | 1,039 |
| Quanex Corp. | 20,348 | 991 |
| H.B. Fuller Co. | 32,912 | 984 |
* | Century Aluminum Co. | 17,655 | 964 |
* | RTI International Metals, Inc. | 12,649 | 953 |
* | W.R. Grace & Co. | 37,532 | 919 |
| Olin Corp. | 40,477 | 850 |
| Worthington Industries, Inc. | 39,200 | 849 |
* | OM Group, Inc. | 15,846 | 839 |
| Bowater Inc. | 31,040 | 774 |
| Greif Inc. Class A | 12,548 | 748 |
| Silgan Holdings, Inc. | 13,128 | 726 |
| Minerals Technologies, Inc. | 10,067 | 674 |
| Compass Minerals |
|
|
| International, Inc. | 19,249 | 667 |
* | Hecla Mining Co. | 76,227 | 651 |
*^ | Coeur d’Alene Mines Corp. | 168,693 | 606 |
| Spartech Corp. | 22,795 | 605 |
| Arch Chemicals, Inc. | 16,790 | 590 |
| Rock-Tenn Co. | 17,794 | 564 |
| Ferro Corp. | 22,161 | 552 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Brush Engineered |
|
|
| Materials Inc. | 12,743 | 535 |
| AMCOL International Corp. | 19,031 | 520 |
| Innospec, Inc. | 8,344 | 494 |
| A.M. Castle & Co. | 13,566 | 487 |
* | Buckeye Technology, Inc. | 30,580 | 473 |
| Metal Management, Inc. | 10,408 | 459 |
* | Apex Silver Mines Ltd. | 22,017 | 444 |
| Sensient Technologies Corp. | 17,276 | 439 |
| Schnitzer Steel Industries, Inc. Class A | 8,979 | 430 |
*^ | Calgon Carbon Corp. | 36,675 | 425 |
| Ryerson Tull, Inc. | 10,979 | 413 |
* | Kaiser Aluminum Corp. | 5,447 | 397 |
| American Vanguard Corp. | 24,735 | 354 |
| Schweitzer-Mauduit International, Inc. | 11,406 | 354 |
* | Northwest Pipe Co. | 9,868 | 351 |
* | Graphic Packaging Corp. | 71,363 | 345 |
| Neenah Paper Inc. | 8,001 | 330 |
| Royal Gold, Inc. | 13,873 | 330 |
| Balchem Corp. | 18,089 | 329 |
* | Rockwood Holdings, Inc. | 8,979 | 328 |
* | Zoltek Cos., Inc. | 7,886 | 328 |
* | Pioneer Cos., Inc. | 9,343 | 321 |
| NewMarket Corp. | 6,505 | 315 |
*^ | Altair Nanotechnology | 88,825 | 314 |
* | Headwaters Inc. | 18,141 | 313 |
| Glatfelter | 22,663 | 308 |
* | Wheeling-Pittsburgh Corp. | 15,168 | 289 |
| NN, Inc. | 23,555 | 278 |
| ^Georgia Gulf Corp. | 14,629 | 265 |
| Myers Industries, Inc. | 11,682 | 258 |
| A. Schulman Inc. | 10,564 | 257 |
* | U.S. Concrete, Inc. | 27,823 | 242 |
| Gibraltar Industries Inc. | 10,900 | 241 |
| Deltic Timber Corp. | 4,300 | 236 |
*^ | U.S. Energy Corp. | 43,751 | 235 |
*^ | Nonophase Technologies Corp. | 37,776 | 230 |
| Wausau Paper Corp. | 16,202 | 217 |
| Westlake Chemical Corp. | 7,619 | 214 |
| Chesapeake Corp. of Virginia | 16,746 | 210 |
| Quaker Chemical Corp. | 7,958 | 188 |
| NL Industries, Inc. | 18,666 | 187 |
* | PolyOne Corp. | 25,633 | 184 |
* | Stillwater Mining Co. | 15,005 | 165 |
* | Omnova Solutions Inc. | 23,876 | 144 |
| Koppers Holdings, Inc. | 3,800 | 128 |
| Stepan Co. | 4,120 | 125 |
* | Material Sciences Corp. | 10,312 | 122 |
| Olympic Steel, Inc. | 4,200 | 120 |
* | Symyx Technologies, Inc. | 10,375 | 119 |
* | Landec Corp. | 8,318 | 111 |
| Tronox Inc. Class B | 6,975 | 98 |
* | Caraustar Industries, Inc. | 18,281 | 96 |
| Hawkins, Inc. | 5,949 | 92 |
39
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Penford Corp. | 3,312 | 90 |
| Wellman, Inc. | 29,542 | 90 |
* | Mercer International Inc. | 7,040 | 72 |
* | ADA-ES Inc | 3,100 | 65 |
* | Maxxam Inc. | 1,178 | 33 |
* | Flotek Industries, Inc. | 500 | 30 |
* | Constar International Inc. | 3,890 | 24 |
* | AEP Industries, Inc. | 273 | 12 |
* | Webco Industries, Inc. | 40 | 4 |
|
|
| 327,095 |
Telecommunication Services (3.5%) |
|
| |
| AT&T Inc. | 3,373,056 | 139,982 |
| Verizon Communications Inc. | 1,573,130 | 64,766 |
| Sprint Nextel Corp. | 1,500,414 | 31,074 |
| Alltel Corp. | 194,730 | 13,154 |
* | American Tower Corp. |
|
|
| Class A | 230,158 | 9,667 |
* | Qwest Communications |
|
|
| International Inc. | 858,507 | 8,328 |
* | NII Holdings Inc. | 79,063 | 6,384 |
| Embarq Corp. | 81,065 | 5,137 |
* | Crown Castle |
|
|
| International Corp. | 141,306 | 5,125 |
| Windstream Corp. | 258,838 | 3,820 |
* | Level 3 |
|
|
| Communications, Inc. | 601,018 | 3,516 |
| Telephone & Data |
|
|
| Systems, Inc. | 48,607 | 3,041 |
| CenturyTel, Inc. | 59,401 | 2,914 |
| Citizens Communications Co. | 182,721 | 2,790 |
* | Leap Wireless |
|
|
| International, Inc. | 29,362 | 2,481 |
* | SBA Communications Corp. | 51,226 | 1,721 |
* | Time Warner Telecom Inc. | 65,683 | 1,320 |
* | NeuStar, Inc. Class A | 36,462 | 1,056 |
* | Dobson |
|
|
| Communications Corp. | 83,511 | 928 |
* | U.S. Cellular Corp. | 8,767 | 794 |
* | Cincinnati Bell Inc. | 136,552 | 789 |
* | Cogent Communications |
|
|
| Group, Inc. | 25,141 | 751 |
* | Cbeyond Inc. | 13,300 | 512 |
| Alaska Communications |
|
|
| Systems Holdings, Inc. | 32,157 | 509 |
| Telephone & Data |
|
|
| Systems, Inc. - Special |
|
|
| Common Shares | 7,633 | 439 |
* | Centennial |
|
|
| Communications Corp. |
|
|
| Class A | 38,625 | 367 |
| Consolidated Communications Holdings, Inc. | 15,871 | 359 |
| Atlantic Tele-Network, Inc. | 11,400 | 326 |
| CT Communications, Inc. | 10,591 | 323 |
| D&E Communications, Inc. | 17,041 | 313 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Premiere Global Services, Inc. | 23,970 | 312 |
| FairPoint Communications, Inc. | 17,120 | 304 |
| IDT Corp. Class B | 28,658 | 296 |
* | Global Crossing Ltd. | 14,876 | 281 |
| USA Mobility, Inc. | 10,400 | 278 |
| NTELOS Holdings Corp. | 9,400 | 260 |
| North Pittsburgh Systems, Inc. | 12,014 | 255 |
* | General Communication, Inc. | 19,083 | 244 |
| Iowa Telecommunications Services Inc. | 10,736 | 244 |
| Surewest Communications | 7,622 | 208 |
*^ | Vonage Holdings Corp. | 65,200 | 203 |
* | Arbinet Holdings, Inc. | 33,074 | 199 |
*^ | Covad Communications Group, Inc. | 217,273 | 196 |
* | LCC International, Inc. |
|
|
| Class A | 40,669 | 180 |
| Hickory Tech Corp. | 16,733 | 152 |
| iPCS, Inc. | 4,108 | 139 |
| Shenandoah |
|
|
| Telecommunications Co. | 2,610 | 133 |
* | Fibertower Corp. | 28,055 | 121 |
*^ | InPhonic, Inc. | 25,200 | 117 |
* | Wireless Facilities, Inc. | 65,740 | 110 |
* | Rural Cellular Corp. Class A | 1,818 | 80 |
* | Syniverse Holdings Inc. | 5,581 | 72 |
| Golden Telecom, Inc. | 1,300 | 72 |
* | PAETEC Holding Corp | 3,417 | 39 |
| IDT Corp. | 1,658 | 17 |
* | Covista Communications, Inc. | 3,805 | 3 |
* | Metro One |
|
|
| Telecommunications, Inc. | 975 | 2 |
* | Pac-West Telecom, Inc. | 47,084 | 1 |
* | Trinsic Inc. | 39 | — |
|
|
| 317,204 |
Utilities (3.7%) |
|
| |
| Exelon Corp. 362,197 |
| 26,296 |
| Dominion Resources, Inc. | 191,138 | 16,497 |
| TXU Corp. | 235,684 | 15,862 |
| Southern Co. | 404,528 | 13,871 |
| Duke Energy Corp. | 678,281 | 12,413 |
| Public Service Enterprise |
|
|
| Group, Inc. | 136,659 | 11,996 |
| FPL Group, Inc. | 208,282 | 11,818 |
| Entergy Corp. | 109,605 | 11,766 |
| FirstEnergy Corp. | 164,750 | 10,664 |
| PPL Corp. | 206,413 | 9,658 |
| American Electric |
|
|
| Power Co., Inc. | 213,889 | 9,634 |
| Edison International | 167,423 | 9,396 |
| PG&E Corp. | 192,946 | 8,740 |
| Constellation Energy |
|
|
| Group, Inc. | 97,724 | 8,519 |
| Sempra Energy | 135,224 | 8,009 |
* | AES Corp. | 359,367 | 7,863 |
| Consolidated Edison Inc. | 146,502 | 6,610 |
40
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Progress Energy, Inc. | 131,755 | 6,007 |
* | Mirant Corp. | 138,739 | 5,917 |
| Ameren Corp. | 112,014 | 5,490 |
* | NRG Energy, Inc. | 126,022 | 5,239 |
| Questar Corp. | 93,112 | 4,921 |
| DTE Energy Co. | 96,637 | 4,660 |
* | Allegheny Energy, Inc. | 89,667 | 4,639 |
| Xcel Energy, Inc. | 221,238 | 4,529 |
* | Reliant Energy, Inc. | 167,430 | 4,512 |
| KeySpan Corp. | 95,315 | 4,001 |
| Equitable Resources, Inc. | 62,347 | 3,090 |
| NiSource, Inc. | 148,895 | 3,084 |
| Pepco Holdings, Inc. | 104,081 | 2,935 |
| ONEOK, Inc. | 56,515 | 2,849 |
| Wisconsin Energy Corp. | 63,157 | 2,793 |
| CenterPoint Energy Inc. | 160,323 | 2,790 |
* | Dynegy, Inc. | 265,422 | 2,506 |
| MDU Resources Group, Inc. | 87,930 | 2,466 |
| Alliant Energy Corp. | 62,690 | 2,436 |
| Northeast Utilities | 83,327 | 2,363 |
| SCANA Corp. | 59,716 | 2,287 |
| Energy East Corp. | 84,993 | 2,217 |
| Pinnacle West Capital Corp. | 54,099 | 2,156 |
* | Sierra Pacific Resources | 119,325 | 2,095 |
| CMS Energy Corp. | 120,208 | 2,068 |
| Integrys Energy Group, Inc. | 40,396 | 2,049 |
| Energen Corp. | 37,188 | 2,043 |
| TECO Energy, Inc. | 113,131 | 1,944 |
| NSTAR | 57,795 | 1,875 |
| National Fuel Gas Co. | 42,913 | 1,859 |
| OGE Energy Corp. | 49,459 | 1,813 |
| Southern Union Co. | 55,056 | 1,794 |
| DPL Inc. | 61,248 | 1,736 |
| AGL Resources Inc. | 42,223 | 1,709 |
^ | Aqua America, Inc. | 71,726 | 1,613 |
| UGI Corp. Holding Co. | 57,214 | 1,561 |
| Puget Energy, Inc. | 63,272 | 1,530 |
| Atmos Energy Corp. | 47,660 | 1,433 |
| Great Plains Energy, Inc. | 43,801 | 1,275 |
| PNM Resources Inc. | 41,587 | 1,156 |
| Westar Energy, Inc. | 47,039 | 1,142 |
| Vectren Corp. | 41,740 | 1,124 |
| Hawaiian Electric |
|
|
| Industries Inc. | 44,660 | 1,058 |
| Nicor Inc. | 24,142 | 1,036 |
| Piedmont Natural Gas, Inc. | 40,664 | 1,002 |
| Portland General Electric Co. | 34,633 | 950 |
| ITC Holdings Corp. | 22,268 | 905 |
| WGL Holdings Inc. | 26,909 | 878 |
* | Aquila, Inc. | 201,986 | 826 |
| Southwest Gas Corp. | 23,007 | 778 |
| IDACORP, Inc. | 23,849 | 764 |
| New Jersey Resources Corp. | 14,908 | 761 |
| Cleco Corp. | 30,967 | 759 |
| Black Hills Corp. | 18,027 | 717 |
| Northwest Natural Gas Co. | 15,001 | 693 |
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | El Paso Electric Co. | 26,609 | 654 |
| ALLETE, Inc. | 13,380 | 630 |
| Avista Corp. | 28,506 | 614 |
| UniSource Energy Corp. | 18,450 | 607 |
| NorthWestern Corp. | 18,587 | 591 |
| South Jersey Industries, Inc. | 16,239 | 575 |
| Otter Tail Corp. | 15,186 | 487 |
| American States Water Co. | 13,427 | 478 |
| Empire District Electric Co. | 18,759 | 420 |
| SJW Corp. | 11,603 | 386 |
| The Laclede Group, Inc. | 11,272 | 359 |
| CH Energy Group, Inc. | 7,664 | 345 |
| Central Vermont Public |
|
|
| Service Corp. | 8,838 | 333 |
^ | Ormat Technologies Inc. | 7,780 | 293 |
| California Water Service Group | 7,768 | 291 |
| UIL Holdings Corp. | 8,537 | 283 |
| Cascade Natural Gas Corp. | 10,687 | 282 |
| Southwest Water Co. | 19,686 | 251 |
| Connecticut Water |
|
|
| Services, Inc. | 10,129 | 247 |
| MGE Energy, Inc. | 6,839 | 223 |
| Chesapeake Utilities Corp. | 4,146 | 142 |
| Consolidated Water Co., Ltd. | 4,600 | 135 |
| EnergySouth, Inc. | 2,472 | 126 |
* | Cadiz Inc. | 4,500 | 101 |
| Middlesex Water Co. | 4,962 | 95 |
* | Maine & Maritimes Corp. | 2,124 | 57 |
* | SEMCO Energy, Inc. | 3,476 | 27 |
| Unitil Corp. | 788 | 21 |
|
|
| 335,498 |
Total Common Stocks |
|
| |
(Cost $7,841,354) |
| 9,108,600 |
41
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
Temporary Cash Investments (1.1%)1 |
|
| |
Money Market Fund (1.1%) |
|
| |
2 | Vanguard Market Liquidity |
|
|
| Fund, 5.281% | 52,632 | 52,632 |
2 | Vanguard Market Liquidity |
|
|
| Fund, 5.281%—Note E | 50,990 | 50,990 |
|
|
| 103,622 |
|
| Face |
|
|
| Amount |
|
|
| ($000) |
|
U.S. Agency Obligation (0.0%) |
|
| |
3 | Federal Home Loan |
|
|
| Mortgage Corp. |
|
|
4 | 5.196%, 7/9/07 | 2,000 | 1,998 |
Total Temporary Cash Investments |
|
| |
(Cost $105,620) |
| 105,620 | |
Total Investments (100.6%) |
|
| |
(Cost $7,946,974) |
| 9,214,220 | |
Other Assets and Liabilities (–0.6%) |
|
| |
Other Assets |
| 21,406 | |
Liabilities—Note E |
| (79,569) | |
|
|
| (58,163) |
Net Assets (100%) |
| 9,156,057 |
At June 30, 2007, net assets consisted of:5 | |
| Amount |
| ($000) |
Paid-in Capital | 8,005,079 |
Undistributed Net Investment Income | 4,306 |
Accumulated Net Realized Losses | (120,213) |
Unrealized Appreciation (Depreciation) |
|
Investment Securities | 1,267,246 |
Futures Contracts | (361) |
Net Assets | 9,156,057 |
|
|
Institutional Shares—Net Assets |
|
Applicable to 40,610,565 outstanding |
|
$.001 par value shares of beneficial |
|
interest (unlimited authorization) | 1,331,283 |
Net Asset Value Per Share— |
|
Institutional Shares | $32.78 |
|
|
Institutional Plus Shares—Net Assets |
|
Applicable to 238,675,277 outstanding |
|
$.001 par value shares of beneficial |
|
interest (unlimited authorization) | 7,824,774 |
Net Asset Value Per Share— |
|
Institutional Plus Shares | $32.78 |
• | 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 and exchange-traded funds. After giving effect to these investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% 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 $1,998,000 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.
42
Statement of Operations
| Six Months Ended |
| June 30, 2007 |
| ($000) |
Investment Income |
|
Income |
|
Dividends | 64,558 |
Interest1 | 1,437 |
Security Lending | 755 |
Total Income | 66,750 |
Expenses |
|
The Vanguard Group—Note B |
|
Management and Administrative |
|
Institutional Shares | 260 |
Institutional Plus Shares | 774 |
Total Expenses | 1,034 |
Net Investment Income | 65,716 |
Realized Net Gain (Loss) |
|
Investment Securities Sold | 29,575 |
Futures Contracts | 1,977 |
Realized Net Gain (Loss) | 31,552 |
Change in Unrealized Appreciation (Depreciation) |
|
Investment Securities | 480,160 |
Futures Contracts | (566) |
Change in Unrealized Appreciation (Depreciation) | 479,594 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 576,862 |
1 Interest income from an affiliated company of the fund was $1,386,000.
43
Statement of Changes in Net Assets
| Six Months Ended | Year Ended |
| June 30, | December 31, |
| 2007 | 2006 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net Investment Income | 65,716 | 83,110 |
Realized Net Gain (Loss) | 31,552 | 11,632 |
Change in Unrealized Appreciation (Depreciation) | 479,594 | 592,497 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 576,862 | 687,239 |
Distributions |
|
|
Net Investment Income |
|
|
Institutional Shares | (9,322) | (10,683) |
Institutional Plus Shares | (52,856) | (72,348) |
Realized Capital Gain |
|
|
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
Total Distributions | (62,178) | (83,031) |
Capital Share Transactions—Note F |
|
|
Institutional Shares | 317,699 | 732,764 |
Institutional Plus Shares | 2,770,301 | 500,125 |
Net Increase (Decrease) from Capital Share Transactions | 3,088,000 | 1,232,889 |
Total Increase (Decrease) | 3,602,684 | 1,837,097 |
Net Assets |
|
|
Beginning of Period | 5,553,373 | 3,716,276 |
End of Period1 | 9,156,057 | 5,553,373 |
1 Net Assets—End of Period includes undistributed net investment income of $4,306,000 and $768,000.
44
Financial Highlights
Institutional Shares |
|
|
|
|
|
| ||
| Six Months |
|
|
|
|
| ||
| Ended |
|
|
| ||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||||
Throughout Each Period | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | ||
Net Asset Value, Beginning of Period | $30.71 | $27.00 | $25.83 | $23.33 | $18.00 | $23.10 | ||
Investment Operations |
|
|
|
|
|
| ||
Net Investment Income | .25 | .501 | .398 | .4251 | .33 | .32 | ||
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
| ||
on Investments | 2.06 | 3.710 | 1.169 | 2.498 | 5.33 | (5.10) | ||
Total from Investment Operations | 2.31 | 4.211 | 1.567 | 2.923 | 5.66 | (4.78) | ||
Distributions |
|
|
|
|
|
| ||
Dividends from Net Investment Income | (.24) | (.501) | (.397) | (.423) | (.33) | (.32) | ||
Distributions from Realized Capital Gains | — | — | — | — | — | — | ||
Total Distributions | (.24) | (.501) | (.397) | (.423) | (.33) | (.32) | ||
Net Asset Value, End of Period | $32.78 | $30.71 | $27.00 | $25.83 | $23.33 | $18.00 | ||
|
|
|
|
|
|
| ||
Total Return | 7.54% | 15.74% | 6.14% | 12.65% | 31.70% | –20.77% | ||
|
|
|
|
|
|
| ||
Ratios/Supplemental Data |
|
|
|
|
|
| ||
Net Assets, End of Period (Millions) | $1,331 | $939 | $129 | $789 | $563 | $245 | ||
Ratio of Total Expenses to |
|
|
|
|
|
| ||
Average Net Assets | 0.045%* | 0.045% | 0.05% | 0.06% | 0.06% | 0.06% | ||
Ratio of Net Investment Income to |
|
|
|
|
|
| ||
Average Net Assets | 1.77%* | 1.81% | 1.77% | 1.83%1 | 1.62% | 1.45% | ||
Portfolio Turnover Rate2 | 6%* | 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.
* | Annualized. |
45
Institutional Plus Shares |
|
|
|
|
|
|
| Six Months |
|
|
|
|
|
| Ended |
|
|
| ||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $30.71 | $27.00 | $25.83 | $23.33 | $18.00 | $23.10 |
Investment Operations |
|
|
|
|
|
|
Net Investment Income | .254 | .506 | .404 | .4341 | .337 | .327 |
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
on Investments | 2.059 | 3.710 | 1.169 | 2.498 | 5.330 | (5.100) |
Total from Investment Operations | 2.313 | 4.216 | 1.573 | 2.932 | 5.667 | (4.773) |
Distributions |
|
|
|
|
|
|
Dividends from Net Investment Income | (.243) | (.506) | (.403) | (.432) | (.337) | (.327) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.243) | (.506) | (.403) | (.432) | (.337) | (.327) |
Net Asset Value, End of Period | $32.78 | $30.71 | $27.00 | $25.83 | $23.33 | $18.00 |
|
|
|
|
|
|
|
Total Return | 7.55% | 15.76% | 6.17% | 12.69% | 31.74% | –20.74% |
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
Net Assets, End of Period (Millions) | $7,825 | $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% | 0.025% |
Ratio of Net Investment Income to |
|
|
|
|
|
|
Average Net Assets | 1.79%* | 1.83% | 1.80% | 1.87%1 | 1.64% | 1.48% |
Portfolio Turnover Rate2 | 6%* | 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.
* | Annualized. |
See accompanying Notes, which are an integral part of the Financial Statements.
46
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 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.
47
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.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2006, 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2007; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balances above.
At June 30, 2007, the cost of investment securities for tax purposes was $7,946,974,000. Net unrealized appreciation of investment securities for tax purposes was $1,267,246,000, consisting of unrealized gains of $1,374,127,000 on securities that had risen in value since their purchase and $106,881,000 in unrealized losses on securities that had fallen in value since their purchase.
At June 30, 2007, the aggregate settlement value of open futures contracts expiring in September 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 | 110 | 41,674 | (355) |
Russell 2000 Index | 14 | 5,895 | 1 |
S&P MidCap 400 Index | 2 | 904 | (7) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
48
D. During the six months ended June 30, 2007, the fund purchased $3,296,422,000 of investment securities and sold $217,027,000 of investment securities, other than temporary cash investments.
E. The market value of securities on loan to broker-dealers at June 30, 2007, was $47,436,000, for which the fund received cash collateral of $50,990,000.
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | ||
| June 30, 2007 | December 31, 2006 | ||
| Amount | Shares | Amount | Shares |
| ($000) | (000) | ($000) | (000) |
Institutional Shares |
|
|
|
|
Issued | 600,083 | 19,185 | 757,739 | 26,640 |
Issued in Lieu of Cash Distributions | 8,352 | 260 | 10,683 | 369 |
Redeemed | (290,736) | (9,396) | (35,658) | (1,244) |
Net Increase (Decrease)—Institutional Shares | 317,699 | 10,049 | 732,764 | 25,765 |
Institutional Plus Shares |
|
|
|
|
Issued | 2,905,038 | 92,644 | 846,921 | 29,527 |
Issued in Lieu of Cash Distributions | 47,310 | 1,472 | 65,408 | 2,278 |
Redeemed | (182,047) | (5,694) | (412,204) | (14,380) |
Net Increase (Decrease)—Institutional Plus Shares | 2,770,301 | 88,422 | 500,125 | 17,425 |
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, effective for the fund’s current fiscal year. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2004–2006) for purposes of implementing FIN 48, and has concluded that no provision for income tax is required in the fund’s financial statements.
49
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 June 30, 2007 |
|
|
|
| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
Institutional Total Stock Market Index Fund | 12/31/2006 | 6/30/2007 | Period1 |
Based on Actual Fund Return |
|
|
|
Institutional Shares | $1,000.00 | $1,075.40 | $0.23 |
Institutional Plus Shares | 1,000.00 | 1,075.50 | 0.13 |
Based on Hypothetical 5% Yearly Return |
|
|
|
Institutional Shares | $1,000.00 | $1,024.57 | $0.23 |
Institutional Plus Shares | 1,000.00 | 1,024.67 | 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.
50
Note that the expenses shown in the table on page 50 are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. 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 your fund’s current prospectus.
51
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Institutional Total Stock Market Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Quantitative Equity Group—serves as the investment advisor for the fund. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the fund’s investment management over both short- and long-term periods, and took into account the organizational depth and stability of the advisor. Vanguard has been managing investments for more than two decades. George U. Sauter, Vanguard managing director and chief investment officer, has been in the investment management business since 1985. Mr. Sauter has led the Quantitative Equity Group since 1987. The Quantitative Equity Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance of its target benchmark and peer group. The board concluded that the fund has performed in line with expectations, and that its results have been consistent with its investment strategies. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was far below the average expense ratio charged by funds in its peer group. The board noted that the fund’s advisory expense ratio was also well below its peer-group average. Information about the fund’s expense ratio appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s low-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
52
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.
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, Chief Executive |
Trustee since May 1987; | Officer, and Director/Trustee of The Vanguard Group, Inc., and of each of the investment |
Chairman of the Board and | companies served by The Vanguard Group. |
Chief Executive Officer |
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147 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 (pro bono ventures |
Trustee since January 2001 | in education); Senior Advisor to Greenwich Associates (international business strategy |
147 Vanguard Funds Overseen | 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 Executive Officer |
Trustee since December 20012 | of Rohm and Haas Co. (chemicals); Board Member of the American Chemistry Council; |
147 Vanguard Funds Overseen | 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, Annenberg School |
147 Vanguard Funds Overseen | 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 |
147 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 Finance |
Trustee since December 2004 | and Banking, Harvard Business School; Senior Associate Dean, Director of Faculty |
147 Vanguard Funds Overseen | 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. |
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Alfred M. Rankin, Jr. |
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Born 1941 | Principal Occupation(s) During the Past Five Years: Chairman, President, Chief Executive |
Trustee since January 1993 | Officer, and Director of NACCO Industries, Inc. (forklift trucks/housewares/lignite); Director |
147 Vanguard Funds Overseen | 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 Executive |
Trustee since April 1985 | Officer of Rohm and Haas Co. (chemicals); Director of Cummins Inc. (diesel engines) and |
147 Vanguard Funds Overseen | 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 Vanguard |
Secretary since July 2005 | Group, Inc., since 2006; General Counsel of The Vanguard Group since 2005; Secretary of |
147 Vanguard Funds Overseen | 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 Group, Inc.; |
Treasurer since July 1998 | Treasurer of each of the investment companies served by The Vanguard Group. |
147 Vanguard Funds Overseen |
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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 | ||
Chairman and Chief Executive Officer, 1974–1996 |
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.
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| 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 |
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| All other marks are the exclusive property of their |
Institutional Investor Services > 800-523-1036 | respective owners. |
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Text Telephone for People | All comparative mutual fund data are from Lipper Inc. |
With Hearing Impairment > 800-952-3335 | or Morningstar, Inc., unless otherwise noted. |
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| You can obtain a free copy of Vanguard’s proxy voting |
This material may be used in conjunction | guidelines by visiting our website, www.vanguard.com, |
with the offering of shares of any Vanguard | and searching for “proxy voting guidelines,” or by calling |
fund only if preceded or accompanied by | Vanguard at 800-662-2739. They are also available from |
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. |
The funds or securities referred to herein are not | To get the report, visit either www.vanguard.com |
sponsored, endorsed, or promoted by MSCI, and | or www.sec.gov. |
MSCI bears no liability with respect to any such funds |
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or securities. For any such funds or securities, the | You can review and copy information about your fund |
prospectus or the Statement of Additional Information | at the SEC’s Public Reference Room in Washington, D.C. |
contains a more detailed description of the limited | To find out more about this public service, call the SEC |
relationship MSCI has with The Vanguard Group and | at 202-551-8090. Information about your fund is also |
any related funds. | 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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| Q8712 082007 |
Item 2: Not Applicable
Item 3: Not Applicable
Item 4: Not Applicable
Item 5: Not applicable.
Item 6: Not applicable.
Item 7: Not applicable.
Item 8: Not applicable.
Item 9: Not applicable.
Item 10: 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.
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: | August 13, 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: | August 13, 2007 |
VANGUARD INSTITUTIONAL INDEX FUNDS | |
BY: | (signature) |
(HEIDI STAM) THOMAS J. HIGGINS* TREASURER |
Date: | August 13, 2007 |
* By Power of Attorney. See File Number 002-65955-99, filed on July 27, 2006. Incorporated by Reference.