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 |
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Name and address of agent for service: | Heidi Stam, Esquire |
| P.O. Box 876 |
| Valley Forge, PA 19482 |
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Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: December 31
Date of reporting period: January 1, 2008 – June 30, 2008
Item 1: Reports to Shareholders |
> For the fiscal half-year ended June 30, 2008, Vanguard Institutional Index Fund returned –11.9%, closely tracking the performance of its target benchmark.
> The biggest detractors for the period were financials and information technology, both struggling in a challenging economic environment.
> Two bright spots for the fund were energy and materials, the only sectors with positive results for the six-month period.
Contents |
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Your Fund’s Total Returns | 1 |
Chairman’s Letter | 2 |
Fund Profile | 6 |
Performance Summary | 7 |
Financial Statements | 8 |
About Your Fund’s Expenses | 23 |
Trustees Approve Advisory Arrangement | 25 |
Glossary | 26 |
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, 2008 |
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| Ticker | Total |
| Symbol | Returns |
Vanguard Institutional Index Fund |
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Institutional Shares1 | VINIX | –11.9% |
Institutional Plus Shares2 | VIIIX | –11.9 |
S&P 500 Index |
| –11.9 |
Average Large-Cap Core Fund3 |
| –11.5 |
Your Fund’s Performance at a Glance |
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December 31, 2007–June 30, 2008 |
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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 | $134.14 | $116.97 | $1.199 | $0.000 |
Institutional Plus Shares | 134.14 | 116.97 | 1.214 | 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,
Vanguard Institutional Index Fund returned –11.9% for each of its share classes during the tumultuous six months ended June 30, 2008, closely tracking the performance of its target, the Standard & Poor’s 500 Index. The fund’s return was a bit below the average return of large-cap core funds.
Stocks worldwide struggled in downbeat economic environment
The broad U.S. stock market faltered during the half-year as investors digested a series of dispiriting economic developments. Prices for oil and other commodities soared to new highs, the housing market further deteriorated, consumer confidence wavered, and unresolved problems in the credit markets haunted the financial sector.
Against that backdrop, U.S. stocks grew increasingly volatile, falling in the first three months, then rallying in April and May before falling again (sharply) in June. For the six months ended June 30, the broad U.S. market returned –10.9%. Small-capitalization stocks performed better than large-caps, and growth stocks outpaced their value-oriented counterparts.
International stocks traced a similar path, and only a handful of major foreign markets posted positive results for the period.
2
Bond investors continued to prefer short-term, high-quality issues
Bonds fared better than stocks during the six months but managed only modest returns. Fixed income investors showed a marked preference for the safety of short-term, high-quality issues, most notably U.S. Treasury securities. The broad taxable bond market returned 1.1%. The tax-exempt bond market experienced unusual turbulence en route to a flat return for the period.
At its June meeting, the Federal Reserve Board voted to leave its target for the federal funds rate unchanged at 2.00%, marking the end of an aggressive rate-cutting campaign that began in September 2007. The central bank’s decision to hold rates steady signaled its growing concern about near-term inflation.
Financial stocks’ troubles hit the fund especially hard
The S&P 500 Index and Vanguard Institutional Index Fund, like the rest of the broad stock market, had a difficult six months. Extra challenges came from investors’ preference for smaller-cap stocks in the period and from the deep distress in the financial sector—the largest industry group, on average, in the index and the fund.
Market Barometer |
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| Total Returns | ||
| Periods Ended June 30, 2008 | ||
| Six Months | One Year | Five Years1 |
Stocks |
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Russell 1000 Index (Large-caps) | –11.2% | –12.4% | 8.2% |
Russell 2000 Index (Small-caps) | –9.4 | –16.2 | 10.3 |
Dow Jones Wilshire 5000 Index (Entire market) | –10.9 | –12.5 | 8.8 |
MSCI All Country World Index ex USA (International) | –9.8 | –6.2 | 19.4 |
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Bonds |
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Lehman U.S. Aggregate Bond Index (Broad taxable market) | 1.1% | 7.1% | 3.9% |
Lehman Municipal Bond Index | 0.0 | 3.2 | 3.5 |
Citigroup 3-Month Treasury Bill Index | 1.1 | 3.3 | 3.1 |
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CPI |
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Consumer Price Index | 4.2% | 5.0% | 3.6% |
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1 Annualized. |
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3
In fact, the financial stocks were by far the largest detractors for the half-year, returning –30% as a group. Risky loans and high levels of write-downs shook investors’ confidence in the market’s largest investment and commercial banks, including Lehman Brothers and Bear Stearns (which was sold to JP Morgan Chase after a dramatic intervention by the Federal Reserve). Mortgage companies, such as Freddie Mac and Fannie Mae, were rocked by the continuing credit crisis.
Information technology stocks also weighed on index returns. Apple and Hewlett-Packard were hurt, as computer and electronics sales hit a rough patch. Internet companies Google and Yahoo! suffered from weakness in online advertising sales.
In the health care sector, pharmaceutical giants Merck and Pfizer suffered from a backlog in the Food and Drug Administration’s approval process along with other regulatory setbacks. Stocks of managed health care companies, such as UnitedHealth Group and WellPoint, were also down for the period. In industrials, General Electric, a large constituent of the index, returned –27% for the six months.
The only two positive areas for the fund were energy and materials. Energy prices continued to surge, lifting the stock prices of production and exploration companies, as well as those of equipment suppliers. The materials sector has continued to benefit from the global boom in commodities prices, as fast-developing Asian markets build new plants, equipment, and infrastructure on a massive scale.
In a choppy market environment, the fund’s tracking stayed tight
During the six months ended June 30, the Institutional Index Fund performed its job well, closely tracking the S&P 500 Index. Although the short-term performance of both the index and the fund was less than stellar, it’s important to remember that short-term performance is mostly just noise.
Since the fund has comprehensive exposure to much of the broad stock market, it can be expected to mirror the market in times of turmoil as well as during more prosperous times. However, neither of these short-lived conditions should be overanalyzed, because it’s inevitable that the market will continue to change. Instead, the focus should be on the fund manager’s proven ability to efficiently and continuously track the index, and to do so at extraordinarily low cost.
4
As I close this report to you, it’s my pleasure to introduce the fund’s new president, F. William McNabb III. Bill is a man of great character and integrity who is intimately familiar with all aspects of Vanguard—from how we serve our clients to how we invest for them.
Bill and I have worked together very closely for more than two decades. I’m thrilled that the fund’s board elected him president and designated him to succeed me as chief executive officer, a role he will assume later this year, after an orderly transition. Bill and the rest of our team will serve you and our other clients extremely well in the years ahead.
Thank you, as always, for investing
with Vanguard.
Sincerely,
John J. Brennan
Chairman and Chief Executive Officer
July 11, 2008
5
Fund Profile
As of June 30, 2008
Portfolio Characteristics |
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| Target |
| Fund | Index1 |
Number of Stocks | 507 | 500 |
Median Market Cap | $44.9B | $44.9B |
Price/Earnings Ratio | 16.2x | 16.2x |
Price/Book Ratio | 2.4x | 2.4x |
Yield2 |
| 2.3% |
Institutional Shares | 2.3% |
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Institutional Plus Shares | 2.3% |
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Return on Equity | 20.8% | 20.8% |
Earnings Growth Rate | 19.7% | 19.7% |
Foreign Holdings | 0.0% | 0.0% |
Turnover Rate3 | 5% | — |
Expense Ratio3 |
| — |
Institutional Shares | 0.05% |
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Institutional Plus Shares | 0.025% |
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Short-Term Reserves | –0.2%4 | — |
Sector Diversification (% of equity exposure) | ||
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| Target |
| Fund | Index1 |
Consumer Discretionary | 8.1% | 8.1% |
Consumer Staples | 10.8 | 10.8 |
Energy | 16.2 | 16.2 |
Financials | 14.2 | 14.3 |
Health Care | 11.9 | 11.9 |
Industrials | 11.1 | 11.1 |
Information Technology | 16.5 | 16.5 |
Materials | 3.9 | 3.8 |
Telecommunication Services | 3.3 | 3.3 |
Utilities | 4.0 | 4.0 |
Volatility Measures5 |
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| Fund Versus |
| Target Index1 |
R-Squared | 1.00 |
Beta | 1.00 |
Ten Largest Holdings6 (% of total net assets) | ||
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ExxonMobil Corp. | integrated oil |
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| and gas | 4.2% |
General Electric Co. | industrial |
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| conglomerates | 2.4 |
Microsoft Corp. | systems software | 2.0 |
Chevron Corp. | integrated oil |
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| and gas | 1.8 |
AT&T Inc. | integrated |
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| telecommunication |
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| services | 1.8 |
The Procter & Gamble Co. | household products | 1.7 |
Johnson & Johnson | pharmaceuticals | 1.6 |
International Business |
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Machines Corp. | computer hardware | 1.5 |
Apple Inc. | computer hardware | 1.3 |
ConocoPhillips Co. | integrated oil |
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| and gas | 1.3 |
Top Ten |
| 19.6% |
Investment Focus
1 S&P 500 Index.
2 30-day SEC yield for the fund; annualized dividend yield for the index. See the Glossary on pages 26–27.
3 Annualized.
4 The fund invested a portion of its cash reserves in equity markets through the use of index futures contracts. After the effect of the futures investments, the fund’s temporary cash position was negative.
5 For an explanation of R-squared, beta, and other terms used here, see the Glossary on pages 26–27.
6 The holdings listed exclude any temporary cash investments and equity index products.
6
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at www.vanguard.com/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, 1997–June 30, 2008
Average Annual Total Returns: Periods Ended June 30, 2008 | ||||
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| Inception Date | One Year | Five Years | Ten Years |
Institutional Shares | 7/31/1990 | –13.13% | 7.57% | 2.92% |
Institutional Plus Shares | 7/7/1997 | –13.10 | 7.59 | 2.95 |
1 Six months ended June 30, 2008.
Note: See Financial Highlights tables on pages 17–18 for dividend and capital gains information.
7
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2008
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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| Market |
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| Value• |
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| Shares | ($000) |
Common Stocks (99.7%)1 |
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Consumer Discretionary (8.1%) |
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| McDonald’s Corp. | 6,731,180 | 378,427 |
| The Walt Disney Co. | 11,313,050 | 352,967 |
| Comcast Corp. Class A | 17,504,281 | 332,056 |
| Time Warner, Inc. | 21,248,832 | 314,483 |
| Home Depot, Inc. | 10,077,194 | 236,008 |
| Target Corp. | 4,622,645 | 214,907 |
| News Corp., Class A | 13,671,108 | 205,613 |
| Lowe’s Cos., Inc. | 8,692,296 | 180,365 |
* | Amazon.com, Inc. | 1,835,447 | 134,593 |
| NIKE, Inc. Class B | 2,253,224 | 134,315 |
* | Viacom Inc. Class B | 3,739,514 | 114,205 |
* | DIRECTV Group, Inc. | 4,218,879 | 109,311 |
| Clear Channel |
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| Communications, Inc. | 2,956,844 | 104,081 |
| Johnson Controls, Inc. | 3,524,004 | 101,068 |
| Staples, Inc. | 4,169,488 | 99,025 |
| Yum! Brands, Inc. | 2,813,268 | 98,718 |
| Carnival Corp. | 2,593,872 | 85,494 |
| Omnicom Group Inc. | 1,902,300 | 85,375 |
| Best Buy Co., Inc. | 2,054,337 | 81,352 |
| TJX Cos., Inc. | 2,522,379 | 79,379 |
| CBS Corp. | 4,025,958 | 78,466 |
| The McGraw-Hill Cos., Inc. | 1,907,983 | 76,548 |
* | Kohl’s Corp. | 1,821,228 | 72,922 |
* | Starbucks Corp. | 4,323,437 | 68,051 |
*^Ford Motor Co. | 13,314,465 | 64,043 | |
* | Coach, Inc. | 2,027,005 | 58,540 |
| Fortune Brands, Inc. | 912,684 | 56,961 |
| Harley-Davidson, Inc. | 1,404,883 | 50,941 |
| Macy’s Inc. | 2,497,281 | 48,497 |
| J.C. Penney Co., Inc. |
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| (Holding Co.) | 1,318,320 | 47,842 |
| Marriott International, Inc. |
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| Class A | 1,784,828 | 46,834 |
| International Game |
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| Technology | 1,838,643 | 45,929 |
| Starwood Hotels & |
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| Resorts Worldwide, Inc. | 1,107,871 | 44,392 |
| The Gap, Inc. | 2,661,707 | 44,371 |
* | Bed Bath & Beyond, Inc. | 1,536,282 | 43,170 |
| H & R Block, Inc. | 1,932,217 | 41,349 |
* | GameStop Corp. Class A | 960,517 | 38,805 |
| ^General Motors Corp. | 3,362,371 | 38,667 |
| Genuine Parts Co. | 971,847 | 38,563 |
| VF Corp. | 518,444 | 36,903 |
| Mattel, Inc. | 2,149,872 | 36,806 |
* | Apollo Group, Inc. Class A | 819,505 | 36,271 |
| Abercrombie & Fitch Co. | 516,089 | 32,348 |
| Nordstrom, Inc. | 1,041,943 | 31,571 |
* | AutoZone Inc. | 255,239 | 30,886 |
*^Sears Holdings Corp. | 415,229 | 30,586 | |
| Tiffany & Co. | 746,335 | 30,413 |
| Limited Brands, Inc. | 1,778,600 | 29,969 |
| Gannett Co., Inc. | 1,358,767 | 29,444 |
| Hasbro, Inc. | 823,254 | 29,407 |
| Newell Rubbermaid, Inc. | 1,644,426 | 27,610 |
| Whirlpool Corp. | 445,735 | 27,515 |
| Sherwin-Williams Co. | 586,739 | 26,949 |
| Darden Restaurants Inc. | 830,062 | 26,512 |
* | The Goodyear Tire & |
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| Rubber Co. | 1,428,583 | 25,472 |
| Eastman Kodak Co. | 1,712,038 | 24,705 |
* | Interpublic Group |
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| of Cos., Inc. | 2,803,433 | 24,110 |
* | Expedia, Inc. | 1,241,126 | 22,812 |
| E.W. Scripps Co. Class A | 533,131 | 22,146 |
| Polo Ralph Lauren Corp. | 341,929 | 21,466 |
| Black & Decker Corp. | 362,747 | 20,862 |
| The Stanley Works | 465,307 | 20,860 |
* | IAC/InterActiveCorp | 1,076,457 | 20,754 |
| Washington Post Co. |
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| Class B | 34,537 | 20,270 |
| Wyndham Worldwide Corp. | 1,046,427 | 18,742 |
| Snap-On Inc. | 340,831 | 17,727 |
| D. R. Horton, Inc. | 1,632,407 | 17,712 |
* | Office Depot, Inc. | 1,615,027 | 17,668 |
| Family Dollar Stores, Inc. | 830,457 | 16,559 |
| Leggett & Platt, Inc. | 984,060 | 16,503 |
8
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| Market |
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| Value• |
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* | Big Lots Inc. | 485,039 | 15,153 |
| Harman International |
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| Industries, Inc. | 344,855 | 14,274 |
| Wendy’s International, Inc. | 520,440 | 14,166 |
| ^New York Times Co. |
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| Class A | 849,699 | 13,077 |
| Pulte Homes, Inc. | 1,262,783 | 12,161 |
| Lennar Corp. Class A | 831,005 | 10,255 |
| Centex Corp. | 733,908 | 9,812 |
| RadioShack Corp. | 775,494 | 9,515 |
* | AutoNation, Inc. | 797,322 | 7,989 |
| Liz Claiborne, Inc. | 562,046 | 7,953 |
| KB Home | 455,486 | 7,711 |
| Jones Apparel Group, Inc. | 512,701 | 7,050 |
| Meredith Corp. | 218,606 | 6,184 |
| ^Dillard’s Inc. | 338,295 | 3,914 |
| Comcast Corp. Special |
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| Class A | 77,829 | 1,460 |
* | Viacom Inc. Class A | 18,015 | 551 |
| CBS Corp. Class A | 18,015 | 351 |
| News Corp., Class B | 4,500 | 69 |
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| 5,379,836 |
Consumer Staples (10.7%) |
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| The Procter & Gamble Co. | 18,128,710 | 1,102,407 |
| Wal-Mart Stores, Inc. | 13,816,705 | 776,499 |
| Philip Morris |
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| International Inc. | 12,525,409 | 618,630 |
| The Coca-Cola Co. | 11,862,324 | 616,604 |
| PepsiCo, Inc. | 9,418,442 | 598,919 |
| CVS/Caremark Corp. | 8,487,603 | 335,854 |
| Anheuser-Busch Cos., Inc. | 4,234,477 | 263,046 |
| Kraft Foods Inc. | 9,002,367 | 256,117 |
| Altria Group, Inc. | 12,436,746 | 255,699 |
| Colgate-Palmolive Co. | 3,015,757 | 208,389 |
| Walgreen Co. | 5,881,685 | 191,214 |
| Costco Wholesale Corp. | 2,572,883 | 180,462 |
| Kimberly-Clark Corp. | 2,484,751 | 148,538 |
| Archer-Daniels-Midland Co. | 3,823,821 | 129,054 |
| General Mills, Inc. | 1,989,354 | 120,893 |
| The Kroger Co. | 3,929,029 | 113,431 |
| Sysco Corp. | 3,566,796 | 98,122 |
| Avon Products, Inc. | 2,534,295 | 91,285 |
| H.J. Heinz Co. | 1,871,319 | 89,543 |
| Wm. Wrigley Jr. Co. | 1,049,672 | 81,643 |
| Safeway, Inc. | 2,601,202 | 74,264 |
| Kellogg Co. | 1,507,167 | 72,374 |
* | Lorillard, Inc. | 1,032,701 | 71,422 |
| ConAgra Foods, Inc. | 2,895,842 | 55,832 |
| Sara Lee Corp. | 4,194,924 | 51,388 |
| UST, Inc. | 877,279 | 47,908 |
| Reynolds American Inc. | 1,017,007 | 47,464 |
| Molson Coors Brewing Co. |
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| Class B | 830,919 | 45,144 |
| Campbell Soup Co. | 1,279,819 | 42,823 |
| The Clorox Co. | 818,882 | 42,746 |
| SuperValu Inc. | 1,259,730 | 38,913 |
| Brown-Forman Corp. |
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| Class B | 500,912 | 37,854 |
| The Hershey Co. | 995,421 | 32,630 |
| The Estee Lauder Cos. Inc. |
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| Class A | 679,406 | 31,558 |
| Coca-Cola Enterprises, Inc. | 1,708,606 | 29,559 |
| McCormick & Co., Inc. | 761,350 | 27,150 |
| Tyson Foods, Inc. | 1,618,737 | 24,184 |
* | Constellation Brands, Inc. |
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| Class A | 1,160,536 | 23,048 |
| The Pepsi Bottling |
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| Group, Inc. | 803,268 | 22,427 |
| Whole Foods Market, Inc. | 832,860 | 19,730 |
* | Dean Foods Co. | 902,680 | 17,711 |
| Wm. Wrigley Jr. Co. |
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| Class B | 224,830 | 17,492 |
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| 7,149,970 |
Energy (16.1%) |
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| ExxonMobil Corp. | 31,374,887 | 2,765,069 |
| Chevron Corp. | 12,282,039 | 1,217,518 |
| ConocoPhillips Co. | 9,158,965 | 864,515 |
| Schlumberger Ltd. | 7,084,958 | 761,137 |
| Occidental Petroleum Corp. | 4,873,272 | 437,912 |
| Devon Energy Corp. | 2,649,606 | 318,377 |
* | Transocean, Inc. | 1,893,394 | 288,534 |
| Apache Corp. | 1,980,878 | 275,342 |
| Halliburton Co. | 5,180,625 | 274,936 |
* | National Oilwell Varco Inc. | 2,465,474 | 218,737 |
| Marathon Oil Corp. | 4,203,890 | 218,056 |
| Hess Corp. | 1,668,161 | 210,505 |
| Anadarko Petroleum Corp. | 2,779,906 | 208,048 |
| XTO Energy, Inc. | 3,032,972 | 207,789 |
* | Weatherford |
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| International Ltd. | 4,035,652 | 200,128 |
| EOG Resources, Inc. | 1,474,192 | 193,414 |
| Chesapeake Energy Corp. | 2,856,055 | 188,385 |
| Baker Hughes, Inc. | 1,828,962 | 159,742 |
| Peabody Energy Corp. | 1,612,219 | 141,956 |
| Williams Cos., Inc. | 3,471,019 | 139,917 |
| Valero Energy Corp. | 3,138,470 | 129,242 |
| CONSOL Energy, Inc. | 1,085,257 | 121,950 |
| Murphy Oil Corp. | 1,127,982 | 110,599 |
| Spectra Energy Corp. | 3,758,372 | 108,016 |
| Noble Corp. | 1,595,897 | 103,669 |
| Noble Energy, Inc. | 1,022,608 | 102,833 |
| Smith International, Inc. | 1,193,037 | 99,189 |
* | Southwestern Energy Co. | 2,030,730 | 96,683 |
| El Paso Corp. | 4,170,865 | 90,675 |
* | Nabors Industries, Inc. | 1,671,560 | 82,291 |
* | Cameron |
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| International Corp. | 1,286,702 | 71,219 |
| ENSCO International, Inc. | 857,281 | 69,217 |
| Range Resources Corp. | 917,639 | 60,142 |
| BJ Services Co. | 1,745,225 | 55,742 |
9
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| Market |
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| Value• |
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| Shares | ($000) |
| Cabot Oil & Gas Corp. | 580,682 | 39,330 |
| Massey Energy Co. | 397,748 | 37,289 |
| Rowan Cos., Inc. | 668,146 | 31,236 |
| Sunoco, Inc. | 694,004 | 28,239 |
| Tesoro Corp. | 818,225 | 16,176 |
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| 10,743,754 |
| Financials (14.2%) |
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| JPMorgan Chase & Co. | 20,504,949 | 703,525 |
| Bank of America Corp. | 26,441,058 | 631,148 |
| Citigroup, Inc. | 32,328,414 | 541,824 |
| Wells Fargo & Co. | 19,611,262 | 465,767 |
| American International |
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| Group, Inc. | 15,965,447 | 422,446 |
| The Goldman Sachs |
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| Group, Inc. | 2,340,833 | 409,412 |
| U.S. Bancorp | 10,336,115 | 288,274 |
| American Express Co. | 6,878,872 | 259,127 |
| Bank of New York |
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| Mellon Corp. | 6,792,134 | 256,946 |
| Morgan Stanley | 6,574,659 | 237,148 |
| MetLife, Inc. | 4,217,994 | 222,583 |
| Wachovia Corp. | 12,694,100 | 197,139 |
| Merrill Lynch & Co., Inc. | 5,851,174 | 185,541 |
| AFLAC Inc. | 2,822,693 | 177,265 |
| State Street Corp. | 2,533,448 | 162,115 |
| The Travelers Cos., Inc. | 3,590,504 | 155,828 |
| Prudential Financial, Inc. | 2,589,329 | 154,686 |
| The Allstate Corp. | 3,270,672 | 149,110 |
| CME Group, Inc. | 323,586 | 123,995 |
| Fannie Mae | 6,320,575 | 123,314 |
| The Hartford Financial |
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| Services Group Inc. | 1,869,211 | 120,695 |
| Simon Property |
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| Group, Inc. REIT | 1,334,685 | 119,975 |
| PNC Financial |
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| Services Group | 2,053,832 | 117,274 |
| Charles Schwab Corp. | 5,514,506 | 113,268 |
| ACE Ltd. | 1,976,767 | 108,900 |
| The Chubb Corp. | 2,170,461 | 106,374 |
| Loews Corp. | 2,149,820 | 100,827 |
| T. Rowe Price Group Inc. | 1,542,051 | 87,080 |
| Franklin Resources Corp. | 926,422 | 84,907 |
| Capital One Financial Corp. | 2,228,394 | 84,701 |
| ProLogis REIT | 1,556,750 | 84,609 |
| Lehman Brothers |
|
|
| Holdings, Inc. | 4,137,194 | 81,958 |
| Aon Corp. | 1,774,089 | 81,502 |
| Marsh & McLennan |
|
|
| Cos., Inc. | 3,038,155 | 80,663 |
| NYSE Euronext | 1,573,697 | 79,723 |
| Northern Trust Corp. | 1,137,338 | 77,987 |
| SunTrust Banks, Inc. | 2,090,702 | 75,725 |
| Progressive Corp. of Ohio | 4,023,630 | 75,322 |
| BB&T Corp. | 3,247,589 | 73,948 |
| Vornado Realty Trust REIT | 802,691 | 70,637 |
| Lincoln National Corp. | 1,539,848 | 69,786 |
| The Principal |
|
|
| Financial Group, Inc. | 1,537,326 | 64,522 |
| Boston Properties, Inc. |
|
|
| REIT | 710,769 | 64,126 |
| Freddie Mac | 3,840,680 | 62,987 |
| Equity Residential REIT | 1,606,364 | 61,476 |
| Public Storage, Inc. REIT | 733,256 | 59,240 |
| General Growth |
|
|
| Properties Inc. REIT | 1,588,485 | 55,645 |
| Ameriprise Financial, Inc. | 1,319,142 | 53,649 |
* | SLM Corp. | 2,772,567 | 53,649 |
| Kimco Realty Corp. REIT | 1,506,616 | 52,008 |
| Hudson City Bancorp, Inc. | 3,082,952 | 51,424 |
| Leucadia National Corp. | 1,050,370 | 49,304 |
* | IntercontinentalExchange Inc. | 419,112 | 47,779 |
| Genworth Financial Inc. | 2,570,792 | 45,786 |
| Regions Financial Corp. | 4,125,915 | 45,014 |
| HCP, Inc. REIT | 1,395,066 | 44,377 |
| Plum Creek Timber |
|
|
| Co. Inc. REIT | 1,016,303 | 43,406 |
| Host Hotels & |
|
|
| Resorts Inc. REIT | 3,097,924 | 42,287 |
| Unum Group | 2,053,181 | 41,988 |
| ^Moody’s Corp. | 1,204,773 | 41,492 |
| Avalonbay |
|
|
| Communities, Inc. REIT | 457,099 | 40,755 |
| Assurant, Inc. | 568,780 | 37,517 |
| Discover Financial Services | 2,846,761 | 37,492 |
| Legg Mason Inc. | 838,136 | 36,518 |
| Safeco Corp. | 533,913 | 35,858 |
| Fifth Third Bancorp | 3,412,798 | 34,742 |
| M & T Bank Corp. | 457,647 | 32,282 |
| KeyCorp | 2,883,699 | 31,663 |
| Torchmark Corp. | 532,644 | 31,240 |
| ^Washington Mutual, Inc. | 6,288,340 | 31,001 |
| ^American Capital |
|
|
| Strategies, Ltd. | 1,204,794 | 28,638 |
| Developers Diversified |
|
|
| Realty Corp. REIT | 711,544 | 24,698 |
| Cincinnati Financial Corp. | 967,758 | 24,581 |
| Marshall & Ilsley Corp. | 1,535,621 | 23,541 |
| Janus Capital Group Inc. | 868,062 | 22,978 |
| Comerica, Inc. | 890,787 | 22,831 |
| XL Capital Ltd. Class A | 1,063,345 | 21,862 |
| ^National City Corp. | 4,516,317 | 21,543 |
| Sovereign Bancorp, Inc. | 2,845,729 | 20,945 |
| Zions Bancorp | 638,645 | 20,111 |
* | CB Richard Ellis Group, Inc. | 1,032,557 | 19,825 |
| Apartment Investment & |
|
|
| Management Co. |
|
|
| Class A REIT | 532,208 | 18,127 |
| Federated Investors, Inc. | 514,576 | 17,712 |
| Countrywide |
|
|
| Financial Corp. | 3,465,498 | 14,728 |
10
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Huntington Bancshares Inc. | 2,163,872 | 12,485 |
| CIT Group Inc. | 1,678,125 | 11,428 |
*^E*TRADE Financial Corp. | 2,811,227 | 8,827 | |
| First Horizon National Corp. | 1,102,603 | 8,192 |
| ^MBIA, Inc. | 1,244,353 | 5,463 |
| ^MGIC Investment Corp. | 736,852 | 4,502 |
|
|
| 9,445,298 |
Health Care (11.9%) |
|
| |
| Johnson & Johnson | 16,734,752 | 1,076,714 |
| Pfizer Inc. | 40,172,532 | 701,814 |
| Abbott Laboratories | 9,164,010 | 485,418 |
| Merck & Co., Inc. | 12,746,409 | 480,412 |
| Wyeth | 7,917,455 | 379,721 |
| Medtronic, Inc. | 6,668,751 | 345,108 |
* | Amgen, Inc. | 6,465,162 | 304,897 |
* | Gilead Sciences, Inc. | 5,477,589 | 290,038 |
| Eli Lilly & Co. | 5,874,019 | 271,145 |
| Bristol-Myers Squibb Co. | 11,754,916 | 241,328 |
| Baxter International, Inc. | 3,725,395 | 238,202 |
| UnitedHealth Group Inc. | 7,296,396 | 191,530 |
| Schering-Plough Corp. | 9,628,140 | 189,578 |
* | Celgene Corp. | 2,588,346 | 165,318 |
* | WellPoint Inc. | 3,124,709 | 148,924 |
| Covidien Ltd. | 2,965,846 | 142,034 |
* | Medco Health |
|
|
| Solutions, Inc. | 3,008,916 | 142,021 |
* | Thermo Fisher |
|
|
| Scientific, Inc. | 2,483,362 | 138,398 |
| Becton, Dickinson & Co. | 1,449,111 | 117,813 |
| Aetna Inc. | 2,878,968 | 116,685 |
* | Genzyme Corp. | 1,587,302 | 114,317 |
| Cardinal Health, Inc. | 2,119,202 | 109,308 |
* | Boston Scientific Corp. | 7,996,957 | 98,283 |
* | Biogen Idec Inc. | 1,739,766 | 97,235 |
| Allergan, Inc. | 1,826,282 | 95,058 |
* | Express Scripts Inc. | 1,491,436 | 93,543 |
* | Zimmer Holdings, Inc. | 1,374,573 | 93,540 |
| McKesson Corp. | 1,646,591 | 92,061 |
| Stryker Corp. | 1,418,003 | 89,164 |
* | St. Jude Medical, Inc. | 2,012,269 | 82,262 |
* | Forest Laboratories, Inc. | 1,809,905 | 62,876 |
* | Intuitive Surgical, Inc. | 229,825 | 61,915 |
| CIGNA Corp. | 1,667,316 | 59,006 |
| C.R. Bard, Inc. | 589,555 | 51,851 |
* | Laboratory Corp. of |
|
|
| America Holdings | 661,157 | 46,036 |
| Quest Diagnostics, Inc. | 937,217 | 45,427 |
* | Humana Inc. | 1,004,813 | 39,961 |
* | Varian Medical Systems, Inc. | 746,124 | 38,687 |
* | Waters Corp. | 594,297 | 38,332 |
| AmerisourceBergen Corp. | 955,372 | 38,205 |
* | Hospira, Inc. | 944,730 | 37,893 |
| Applera Corp.–Applied |
|
|
| Biosystems Group | 1,001,857 | 33,542 |
* | Barr Pharmaceuticals Inc. | 641,924 | 28,938 |
* | Coventry Health Care Inc. | 899,924 | 27,376 |
| IMS Health, Inc. | 1,074,459 | 25,035 |
* | Patterson Cos. | 765,334 | 22,493 |
* | Millipore Corp. | 326,686 | 22,169 |
| ^Mylan Inc. | 1,808,357 | 21,827 |
| PerkinElmer, Inc. | 703,294 | 19,587 |
* | Watson |
|
|
| Pharmaceuticals, Inc. | 620,427 | 16,857 |
* | Tenet Healthcare Corp. | 2,846,138 | 15,825 |
* | King Pharmaceuticals, Inc. | 1,456,466 | 15,249 |
|
|
| 7,900,956 |
Industrials (11.1%) |
|
| |
| General Electric Co. | 59,186,893 | 1,579,698 |
| United Parcel Service, Inc. | 6,061,994 | 372,631 |
| United Technologies Corp. | 5,778,964 | 356,562 |
| The Boeing Co. | 4,462,085 | 293,248 |
| 3M Co. | 4,182,160 | 291,036 |
| Caterpillar, Inc. | 3,650,337 | 269,468 |
| Union Pacific Corp. | 3,068,645 | 231,683 |
| Emerson Electric Co. | 4,636,284 | 229,264 |
| Honeywell International Inc. | 4,403,688 | 221,417 |
| General Dynamics Corp. | 2,366,442 | 199,254 |
| Lockheed Martin Corp. | 2,006,048 | 197,917 |
| Deere & Co. | 2,558,963 | 184,578 |
| Burlington Northern |
|
|
| Santa Fe Corp. | 1,740,993 | 173,908 |
| CSX Corp. | 2,404,682 | 151,038 |
| FedEx Corp. | 1,840,815 | 145,038 |
| Raytheon Co. | 2,491,232 | 140,206 |
| Norfolk Southern Corp. | 2,231,270 | 139,834 |
| Northrop Grumman Corp. | 2,031,564 | 135,912 |
| Danaher Corp. | 1,512,523 | 116,918 |
| Tyco International, Ltd. | 2,862,887 | 114,630 |
| Illinois Tool Works, Inc. | 2,359,462 | 112,098 |
| Waste Management, Inc. | 2,914,073 | 109,890 |
| Fluor Corp. | 526,191 | 97,914 |
| PACCAR, Inc. | 2,168,317 | 90,701 |
| Eaton Corp. | 977,481 | 83,056 |
| Precision Castparts Corp. | 827,272 | 79,724 |
| Cummins Inc. | 1,206,556 | 79,053 |
| Parker Hannifin Corp. | 995,849 | 71,024 |
| Textron, Inc. | 1,480,166 | 70,944 |
| Ingersoll-Rand Co. | 1,886,994 | 70,630 |
| ITT Industries, Inc. | 1,079,024 | 68,335 |
| L-3 Communications |
|
|
| Holdings, Inc. | 728,262 | 66,177 |
* | Jacobs Engineering |
|
|
| Group Inc. | 723,325 | 58,372 |
| Southwest Airlines Co. | 4,345,509 | 56,665 |
| C.H. Robinson |
|
|
| Worldwide Inc. | 1,013,443 | 55,577 |
| Expeditors International |
|
|
| of Washington, Inc. | 1,266,715 | 54,469 |
| Dover Corp. | 1,122,907 | 54,315 |
| Rockwell Collins, Inc. | 953,613 | 45,735 |
11
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Pitney Bowes, Inc. | 1,231,278 | 41,987 |
| Cooper Industries, Inc. |
|
|
| Class A | 1,032,681 | 40,791 |
| Rockwell Automation, Inc. | 870,665 | 38,074 |
| R.R. Donnelley & Sons Co. | 1,259,741 | 37,402 |
| Goodrich Corp. | 742,808 | 35,254 |
| Masco Corp. | 2,143,648 | 33,720 |
| W.W. Grainger, Inc. | 385,929 | 31,569 |
* | Terex Corp. | 595,148 | 30,573 |
| Pall Corp. | 710,331 | 28,186 |
| Avery Dennison Corp. | 632,433 | 27,783 |
| Equifax, Inc. | 769,208 | 25,861 |
* | Allied Waste Industries, Inc. | 2,003,460 | 25,284 |
| The Manitowoc Co., Inc. | 772,320 | 25,124 |
| Ryder System, Inc. | 340,220 | 23,434 |
| Robert Half |
|
|
| International, Inc. | 939,534 | 22,521 |
| Cintas Corp. | 776,056 | 20,573 |
* | Monster Worldwide Inc. | 735,274 | 15,154 |
* | Raytheon Co. |
|
|
| Warrants Exp. 6/16/11 | 20,998 | 408 |
|
|
| 7,372,617 |
Information Technology (16.4%) |
| ||
| Microsoft Corp. | 47,560,836 | 1,308,399 |
| International Business |
|
|
| Machines Corp. | 8,155,948 | 966,725 |
* | Apple Inc. | 5,234,989 | 876,547 |
* | Cisco Systems, Inc. | 35,077,019 | 815,891 |
| Intel Corp. | 34,013,419 | 730,608 |
* | Google Inc. | 1,379,980 | 726,449 |
| Hewlett-Packard Co. | 14,644,287 | 647,424 |
* | Oracle Corp. | 23,554,683 | 494,648 |
| QUALCOMM Inc. | 9,612,024 | 426,485 |
* | Dell Inc. | 12,000,897 | 262,580 |
| Texas Instruments, Inc. | 7,854,151 | 221,173 |
| Corning, Inc. | 9,351,968 | 215,563 |
* | EMC Corp. | 12,275,677 | 180,330 |
* | eBay Inc. | 6,564,374 | 179,404 |
* | Yahoo! Inc. | 8,170,227 | 168,797 |
| Applied Materials, Inc. | 8,048,710 | 153,650 |
| Automatic Data |
|
|
| Processing, Inc. | 3,078,428 | 128,986 |
* | Adobe Systems, Inc. | 3,158,187 | 124,401 |
| Western Union Co. | 4,394,231 | 108,625 |
| Tyco Electronics Ltd. | 2,837,901 | 101,654 |
| Motorola, Inc. | 13,392,743 | 98,303 |
* | Symantec Corp. | 4,988,941 | 96,536 |
* | Electronic Arts Inc. | 1,890,872 | 84,011 |
* | MEMC Electronic |
|
|
| Materials, Inc. | 1,352,525 | 83,234 |
* | Agilent Technologies, Inc. | 2,138,473 | 76,001 |
| Electronic Data |
|
|
| Systems Corp. | 2,986,295 | 73,582 |
* | Broadcom Corp. | 2,656,341 | 72,492 |
| Xerox Corp. | 5,339,431 | 72,403 |
* | Juniper Networks, Inc. | 3,117,641 | 69,149 |
* | NVIDIA Corp. | 3,294,480 | 61,673 |
| Paychex, Inc. | 1,904,560 | 59,575 |
* | Cognizant Technology |
|
|
| Solutions Corp. | 1,715,544 | 55,772 |
| Analog Devices, Inc. | 1,720,414 | 54,658 |
| CA, Inc. | 2,318,543 | 53,535 |
* | Intuit, Inc. | 1,906,386 | 52,559 |
* | Sun Microsystems, Inc. | 4,636,352 | 50,443 |
* | Autodesk, Inc. | 1,330,297 | 44,977 |
* | NetApp, Inc. | 2,040,121 | 44,189 |
* | Fiserv, Inc. | 973,635 | 44,174 |
* | VeriSign, Inc. | 1,156,181 | 43,704 |
| Linear Technology Corp. | 1,317,687 | 42,917 |
* | Computer Sciences Corp. | 897,392 | 42,034 |
| Xilinx, Inc. | 1,658,667 | 41,881 |
| KLA-Tencor Corp. | 1,009,806 | 41,109 |
* | BMC Software, Inc. | 1,134,501 | 40,842 |
| Fidelity National |
|
|
| Information Services, Inc. | 1,019,673 | 37,636 |
| Altera Corp. | 1,780,132 | 36,849 |
* | Akamai Technologies, Inc. | 999,037 | 34,756 |
| Microchip Technology, Inc. | 1,096,741 | 33,494 |
* | Citrix Systems, Inc. | 1,087,625 | 31,987 |
* | Affiliated Computer |
|
|
| Services, Inc. Class A | 572,369 | 30,616 |
* | Micron Technology, Inc. | 4,518,855 | 27,113 |
| National |
|
|
| Semiconductor Corp. | 1,281,623 | 26,325 |
| Total System Services, Inc. | 1,175,771 | 26,126 |
* | SanDisk Corp. | 1,333,511 | 24,937 |
* | Teradata Corp. | 1,067,356 | 24,699 |
* | LSI Corp. | 3,785,340 | 23,242 |
*^ Advanced Micro |
|
| |
| Devices, Inc. | 3,603,171 | 21,006 |
| Jabil Circuit, Inc. | 1,242,443 | 20,388 |
| Molex, Inc. | 824,690 | 20,131 |
* | Lexmark International, Inc. | 565,464 | 18,903 |
* | JDS Uniphase Corp. | 1,364,867 | 15,505 |
* | Compuware Corp. | 1,553,630 | 14,822 |
* | Novellus Systems, Inc. | 592,386 | 12,553 |
* | Ciena Corp. | 535,169 | 12,400 |
* | Novell, Inc. | 2,102,389 | 12,383 |
* | QLogic Corp. | 784,206 | 11,442 |
* | Teradyne, Inc. | 1,014,986 | 11,236 |
* | Tellabs, Inc. | 2,357,672 | 10,963 |
* | Convergys Corp. | 732,875 | 10,891 |
* | Unisys Corp. | 2,117,016 | 8,362 |
|
|
| 10,896,857 |
Materials (3.9%) |
|
| |
| Monsanto Co. | 3,258,929 | 412,059 |
| Freeport-McMoRan |
|
|
| Copper & Gold, Inc. |
|
|
| Class B | 2,275,060 | 266,614 |
| E.I. du Pont de |
|
|
| Nemours & Co. | 5,348,934 | 229,416 |
| Dow Chemical Co. | 5,525,073 | 192,880 |
12
|
|
| Market | |
|
|
| Value• | |
|
| Shares | ($000) | |
| Praxair, Inc. | 1,859,192 | 175,210 | |
| Alcoa Inc. | 4,840,340 | 172,413 | |
| Newmont Mining Corp. |
|
| |
| (Holding Co.) | 2,695,994 | 140,623 | |
| Nucor Corp. | 1,862,076 | 139,041 | |
| United States Steel Corp. | 698,623 | 129,092 | |
| Air Products & |
|
| |
| Chemicals, Inc. | 1,251,053 | 123,679 | |
| Weyerhaeuser Co. | 1,254,620 | 64,161 | |
| International Paper Co. | 2,539,629 | 59,173 | |
| PPG Industries, Inc. | 974,700 | 55,919 | |
| Ecolab, Inc. | 1,042,070 | 44,799 | |
| AK Steel Holding Corp. | 645,070 | 44,510 | |
| Sigma-Aldrich Corp. | 764,959 | 41,201 | |
| ^Vulcan Materials Co. | 649,710 | 38,840 | |
| Allegheny Technologies Inc. | 600,379 | 35,590 | |
| Rohm & Haas Co. | 744,841 | 34,590 | |
| Eastman Chemical Co. | 452,164 | 31,136 | |
| Ball Corp. | 580,907 | 27,733 | |
| MeadWestvaco Corp. | 1,027,817 | 24,503 | |
| International Flavors & |
|
| |
| Fragrances, Inc. | 478,383 | 18,686 | |
| Sealed Air Corp. | 947,159 | 18,005 | |
* | Pactiv Corp. | 776,842 | 16,492 | |
| Ashland, Inc. | 332,528 | 16,028 | |
| Bemis Co., Inc. | 588,330 | 13,190 | |
| Hercules, Inc. | 670,661 | 11,354 | |
| Titanium Metals Corp. | 583,247 | 8,160 | |
|
|
| 2,585,097 | |
Telecommunication Services (3.3%) |
| |||
| AT&T Inc. | 35,277,717 | 1,188,506 | |
| Verizon |
|
| |
| Communications Inc. | 16,927,182 | 599,222 | |
| Sprint Nextel Corp. | 16,929,944 | 160,835 | |
* | American Tower Corp. |
|
| |
| Class A | 2,355,130 | 99,504 | |
| Embarq Corp. | 875,256 | 41,373 | |
| Qwest Communications |
|
| |
| International Inc. | 9,028,923 | 35,484 | |
| Windstream Corp. | 2,653,894 | 32,749 | |
| CenturyTel, Inc. | 624,690 | 22,233 | |
| Citizens |
|
| |
| Communications Co. | 1,921,018 | 21,784 | |
|
|
| 2,201,690 | |
Utilities (4.0%) |
|
| ||
| Exelon Corp. | 3,895,101 | 350,403 | |
| Dominion Resources, Inc. | 3,432,231 | 162,997 | |
| Southern Co. | 4,556,446 | 159,111 | |
| FPL Group, Inc. | 2,423,335 | 158,922 | |
| FirstEnergy Corp. | 1,809,935 | 149,012 | |
| Public Service |
|
| |
| Enterprise Group, Inc. | 3,019,821 | 138,700 | |
| Entergy Corp. | 1,137,136 | 137,002 | |
| Duke Energy Corp. | 7,509,872 | 130,522 | |
| PPL Corp. | 2,215,217 | 115,790 | |
| Edison International | 1,934,752 | 99,408 | |
| American Electric |
|
| |
| Power Co., Inc. | 2,383,951 | 95,906 | |
| Constellation |
|
|
| Energy Group, Inc. | 1,059,442 | 86,980 |
| PG&E Corp. | 2,122,135 | 84,228 |
| Sempra Energy | 1,486,683 | 83,923 |
* | AES Corp. | 3,989,757 | 76,643 |
| Questar Corp. | 1,029,072 | 73,105 |
| Progress Energy, Inc. | 1,551,634 | 64,905 |
| Consolidated Edison Inc. | 1,618,700 | 63,275 |
| Ameren Corp. | 1,243,716 | 52,522 |
| Xcel Energy, Inc. | 2,559,127 | 51,362 |
| Allegheny Energy, Inc. | 997,821 | 50,001 |
| DTE Energy Co. | 968,878 | 41,119 |
| CenterPoint Energy Inc. | 1,949,473 | 31,289 |
| Pepco Holdings, Inc. | 1,196,254 | 30,684 |
| NiSource, Inc. | 1,628,421 | 29,181 |
| TECO Energy, Inc. | 1,247,514 | 26,809 |
* | Dynegy, Inc. | 2,951,155 | 25,232 |
| Integrys Energy Group, Inc. | 453,663 | 23,060 |
| CMS Energy Corp. | 1,332,026 | 19,847 |
| Pinnacle West Capital Corp. | 594,642 | 18,297 |
| Nicor Inc. | 266,940 | 11,369 |
|
|
| 2,641,604 |
Total Common Stocks |
|
| |
(Cost $57,665,415) |
| 66,317,679 | |
Temporary Cash Investments (0.3%)1 |
|
| |
Money Market Fund (0.3%) |
|
| |
2 | Vanguard Market |
|
|
| Liquidity Fund, |
|
|
| 2.405%—Note E | 171,352,295 | 171,352 |
|
| Face |
|
|
| Amount |
|
|
| ($000) |
|
U.S. Agency Obligations (0.0%) |
|
| |
3 | Federal Home Loan |
|
|
| Mortgage Corp., |
|
|
4 | 2.105%, 8/25/08 | 4,500 | 4,485 |
3 | Federal Home Loan |
|
|
| Mortgage Corp., |
|
|
4 | 2.097%, 8/29/08 | 7,000 | 6,974 |
3 | Federal National |
|
|
| Mortgage Assn., |
|
|
4 | 2.124%, 8/1/08 | 10,000 | 9,981 |
|
|
| 21,440 |
Total Temporary Cash Investments |
|
| |
(Cost $192,796) |
| 192,792 | |
Total Investments (100.0%) |
|
| |
(Cost $57,858,211) |
| 66,510,471 |
| Market |
| Value• |
| ($000) |
Other Assets and Liabilities (0.0%) |
|
Other Assets | 888,734 |
Liabilities—Note E | (907,055) |
| (18,321) |
Net Assets (100%) | 66,492,150 |
|
|
|
|
At June 30, 2008, net assets consisted of:5 | |
| Amount |
| ($000) |
Paid-in Capital | 60,515,952 |
Undistributed Net Investment Income | 25,337 |
Accumulated Net Realized Losses | (2,695,115) |
Unrealized Appreciation (Depreciation) |
|
Investment Securities | 8,652,260 |
Futures Contracts | (6,284) |
Net Assets | 66,492,150 |
|
|
|
|
Institutional Shares—Net Assets |
|
Applicable to 361,265,862 outstanding |
|
$.001 par value shares of beneficial |
|
interest (unlimited authorization) | 42,256,619 |
Net Asset Value Per Share— |
|
Institutional Shares | $116.97 |
|
|
|
|
Institutional Plus Shares—Net Assets |
|
Applicable to 207,193,199 outstanding |
|
$.001 par value shares of beneficial |
|
interest (unlimited authorization) | 24,235,531 |
Net Asset Value Per Share— |
|
Institutional Plus Shares | $116.97 |
• 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 0.0%, 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.
4 Securities with a value of $21,440,000 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.
14
Statement of Operations
| Six Months Ended |
| June 30, 2008 |
| ($000) |
Investment Income |
|
Income |
|
Dividends | 690,620 |
Interest1 | 2,401 |
Security Lending | 4,388 |
Total Income | 697,409 |
Expenses |
|
The Vanguard Group—Note B |
|
Management and Administrative—Institutional Shares | 10,883 |
Management and Administrative—Institutional Plus Shares | 3,117 |
Total Expenses | 14,000 |
Net Investment Income | 683,409 |
Realized Net Gain (Loss) |
|
Investment Securities Sold | 602,869 |
Futures Contracts | (15,888) |
Realized Net Gain (Loss) | 586,981 |
Change in Unrealized Appreciation (Depreciation) |
|
Investment Securities | (9,983,158) |
Futures Contracts | (5,451) |
Change in Unrealized Appreciation (Depreciation) | (9,988,609) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (8,718,219) |
1 Interest income from an affiliated company of the fund was $2,115,000.
15
Statement of Changes in Net Assets
| Six Months Ended | Year Ended |
| June 30, | December 31, |
| 2008 | 2007 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net Investment Income | 683,409 | 1,343,103 |
Realized Net Gain (Loss) | 586,981 | 391,528 |
Change in Unrealized Appreciation (Depreciation) | (9,988,609) | 1,927,273 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (8,718,219) | 3,661,904 |
Distributions |
|
|
Net Investment Income |
|
|
Institutional Shares | (422,553) | (870,694) |
Institutional Plus Shares | (244,939) | (470,683) |
Realized Capital Gain |
|
|
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
Total Distributions | (667,492) | (1,341,377) |
Capital Share Transactions—Note F |
|
|
Institutional Shares | 2,405,550 | (1,000,775) |
Institutional Plus Shares | 1,849,451 | 4,765,899 |
Net Increase (Decrease) from Capital Share Transactions | 4,255,001 | 3,765,124 |
Total Increase (Decrease) | (5,130,710) | 6,085,651 |
Net Assets |
|
|
Beginning of Period | 71,622,860 | 65,537,209 |
End of Period1 | 66,492,150 | 71,622,860 |
1 Net Assets—End of Period includes undistributed net investment income of $25,337,000 and $9,420,000.
16
Financial Highlights
Institutional Shares |
|
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| Six Months |
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| Ended |
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| ||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 |
Net Asset Value, Beginning of Period | $134.14 | $129.59 | $114.01 | $110.70 | $101.78 | $80.45 |
Investment Operations |
|
|
|
|
|
|
Net Investment Income | 1.226 | 2.56 | 2.24 | 2.05 | 2.031 | 1.54 |
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
on Investments | (17.197) | 4.55 | 15.58 | 3.31 | 8.91 | 21.32 |
Total from Investment Operations | (15.971) | 7.11 | 17.82 | 5.36 | 10.94 | 22.86 |
Distributions |
|
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|
|
|
|
Dividends from Net Investment Income | (1.199) | (2.56) | (2.24) | (2.05) | (2.02) | (1.53) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.199) | (2.56) | (2.24) | (2.05) | (2.02) | (1.53) |
Net Asset Value, End of Period | $116.97 | $134.14 | $129.59 | $114.01 | $110.70 | $101.78 |
|
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Total Return | –11.92% | 5.47% | 15.78% | 4.91% | 10.86% | 28.66% |
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Ratios/Supplemental Data |
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Net Assets, End of Period (Millions) | $42,257 | $45,847 | $45,243 | $39,154 | $34,990 | $29,458 |
Ratio of Total Expenses to |
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|
|
|
|
|
Average Net Assets | 0.05%2 | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to |
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|
|
|
|
|
Average Net Assets | 1.99%2 | 1.90% | 1.87% | 1.87% | 2.00%1 | 1.74% |
Portfolio Turnover Rate3 | 5%2 | 7% | 8% | 8% | 5% | 4% |
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 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
17
Institutional Plus Shares |
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| Six Months |
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| Ended |
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| ||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 |
Net Asset Value, Beginning of Period | $134.14 | $129.59 | $114.01 | $110.71 | $101.78 | $80.45 |
Investment Operations |
|
|
|
|
|
|
Net Investment Income | 1.241 | 2.597 | 2.269 | 2.068 | 2.0511 | 1.562 |
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
on Investments | (17.197) | 4.548 | 15.580 | 3.310 | 8.925 | 21.320 |
Total from Investment Operations | (15.956) | 7.145 | 17.849 | 5.378 | 10.976 | 22.882 |
Distributions |
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|
|
|
|
Dividends from Net Investment Income | (1.214) | (2.595) | (2.269) | (2.078) | (2.046) | (1.552) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.214) | (2.595) | (2.269) | (2.078) | (2.046) | (1.552) |
Net Asset Value, End of Period | $116.97 | $134.14 | $129.59 | $114.01 | $110.71 | $101.78 |
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Total Return | –11.91% | 5.50% | 15.81% | 4.93% | 10.90% | 28.69% |
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Ratios/Supplemental Data |
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Net Assets, End of Period (Millions) | $24,236 | $25,776 | $20,294 | $17,095 | $13,493 | $8,805 |
Ratio of Total Expenses to |
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|
|
|
|
|
Average Net Assets | 0.025%2 | 0.025% | 0.025% | 0.025% | 0.025% | 0.025% |
Ratio of Net Investment Income to |
|
|
|
|
|
|
Average Net Assets | 2.02%2 | 1.93% | 1.90% | 1.90% | 2.02%1 | 1.76% |
Portfolio Turnover Rate3 | 5%2 | 7% | 8% | 8% | 5% | 4% |
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 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. See accompanying Notes, which are an integral part of the Financial Statements.
18
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. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2004–2007) and for the period ended June 30, 2008, and has concluded that no provision for federal income tax is required in the fund’s 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.
19
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, 2008, the fund realized $27,918,000 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 losses 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, 2007, the fund had available realized losses of $3,066,300,000 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, $663,742,000 through December 31, 2014, $54,429,000 through December 31, 2015, and $80,058,000 through December 31, 2016. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2008; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balances above.
At June 30, 2008, the cost of investment securities for tax purposes was $57,858,211,000. Net unrealized appreciation of investment securities for tax purposes was $8,652,260,000, consisting of unrealized gains of $17,362,878,000 on securities that had risen in value since their purchase and $8,710,618,000 in unrealized losses on securities that had fallen in value since their purchase.
20
At June 30, 2008, the aggregate settlement value of open futures contracts expiring in September 2008 and the related unrealized appreciation (depreciation) were:
|
|
| ($000) |
|
| Aggregate | Unrealized |
| Number of | Settlement | Appreciation |
Futures Contracts | Long Contracts | Value | (Depreciation) |
E-mini S&P 500 Index | 1,442 | 92,368 | (809) |
S&P 500 Index | 285 | 91,278 | (5,475) |
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, 2008, the fund purchased $5,994,025,000 of investment securities and sold $1,701,211,000 of investment securities, other than temporary cash investments.
E. The market value of securities on loan to broker-dealers at June 30, 2008, was $155,687,000, for which the fund received cash collateral of $171,352,000.
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| June 30, 2008 | December 31, 2007 | |||
| Amount | Shares |
| Amount | Shares |
| ($000) | (000) |
| ($000) | (000) |
Institutional Shares |
|
|
|
|
|
Issued | 5,853,770 | 47,064 |
| 9,610,752 | 71,317 |
Issued in Lieu of Cash Distributions | 383,976 | 3,222 |
| 788,394 | 5,802 |
Redeemed | (3,832,196) | (30,808) |
| (11,399,921) | (84,455) |
Net Increase (Decrease)—Institutional Shares | 2,405,550 | 19,478 |
| (1,000,775) | (7,336) |
Institutional Plus Shares |
|
|
|
|
|
Issued | 3,361,417 | 27,257 |
| 7,888,529 | 58,605 |
Issued in Lieu of Cash Distributions | 236,929 | 1,988 |
| 452,601 | 3,329 |
Redeemed | (1,748,895) | (14,202) |
| (3,575,231) | (26,382) |
Net Increase (Decrease)—Institutional Plus Shares | 1,849,451 | 15,043 |
| 4,765,899 | 35,552 |
21
G. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements, effective for the fund’s current fiscal period.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the fund’s investments as of June 30, 2008, based on the inputs used to value them:
| Investments | Futures |
| in Securities | Contracts |
Valuation Inputs | ($000) | ($000) |
Level 1—Quoted prices | 66,489,031 | (6,284) |
Level 2—Other significant observable inputs | 21,440 | — |
Level 3—Significant unobservable inputs | — | — |
Total | 66,510,471 | (6,284) |
22
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, 2008 |
|
|
|
| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
Institutional Index Fund | 12/31/2007 | 6/30/2008 | Period1 |
Based on Actual Fund Return |
|
|
|
Institutional Shares | $1,000.00 | $880.79 | $0.23 |
Institutional Plus Shares | 1,000.00 | 880.90 | 0.12 |
Based on Hypothetical 5% Yearly Return |
|
|
|
Institutional Shares | $1,000.00 | $1,024.61 | $0.25 |
Institutional Plus Shares | 1,000.00 | 1,024.74 | 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.
23
Note that the expenses shown in the table on page 23 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.
24
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 the short and long term, and took into account the organizational depth and stability of the advisor. The board noted that 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.
25
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%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that 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.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
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. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
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.
26
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 fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (in the case of bonds) or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
27
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of the funds. Among board members’ responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee’s retirement, resignation, or death; or otherwise as specified in the fund’s organizational documents. Any trustee may be removed at a shareholders’ meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
Chairman of the Board, Chief Executive Officer, and Trustee | |
|
|
John J. Brennan1 |
|
Born 1954 | Principal Occupation(s) During the Past Five Years: Chairman of the 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; Director of Vanguard Marketing Corporation. |
Chief Executive Officer |
|
156 Vanguard Funds Overseen |
|
|
|
Independent Trustees |
|
|
|
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 |
156 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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Emerson U. Fullwood |
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Born 1948 | Principal Occupation(s) During the Past Five Years: Executive Chief Staff and Marketing |
Trustee Since January 2008 | Officer for North America since 2004 and Corporate Vice President of Xerox Corporation |
156 Vanguard Funds Overseen | (photocopiers and printers); Director of SPX Corporation (multi-industry manufacturing), |
| of the United Way of Rochester, and of the Boy Scouts of America. |
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Rajiv L. Gupta |
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Born 1945 | Principal Occupation(s) During the Past Five Years: Chairman, President, and |
Trustee Since December 20012 | Chief Executive Officer of Rohm and Haas Co. (chemicals); Board Member of |
156 Vanguard Funds Overseen | the American Chemistry Council; Director of Tyco International, Ltd. (diversified |
| manufacturing and services) since 2005. |
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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 |
156 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; Trustee of |
| the National Constitution Center since 2007. |
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 |
156 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 and Director of Faculty |
156 Vanguard Funds Overseen | Recruiting, Harvard Business School; Director and Chairman of UNX, Inc. (equities |
| trading firm); 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 |
156 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 |
156 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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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. |
156 Vanguard Funds Overseen |
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F. William McNabb III |
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Born 1957 | Principal Occupation(s) During the Past Five Years: President of The Vanguard Group, Inc., |
President Since March 2008 | and of each of the investment companies served by The Vanguard Group since 2008; |
156 Vanguard Funds Overseen | Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group |
| (1995–2008). |
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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 |
156 Vanguard Funds Overseen | The Vanguard Group, and of each of the investment companies served by The Vanguard |
| Group, since 2005; Director and Senior Vice President of Vanguard Marketing Corporation |
| since 2005; Principal of The Vanguard Group (1997–2006). |
Vanguard Senior Management Team |
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R. Gregory Barton | Kathleen C. Gubanich | Michael S. Miller | Glenn W. Reed |
Mortimer J. Buckley | Paul A. Heller | Ralph K. Packard | 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 | Standard & Poor’s 500 and S&P 500 are trademarks |
| of The McGraw-Hill Companies, Inc., and have been |
Institutional Investor Services > 800-523-1036 | licensed for use by The Vanguard Group, Inc. Vanguard |
| mutual funds are not sponsored, endorsed, sold, or |
Text Telephone for People | promoted by Standard & Poor’s, and Standard & Poor’s |
With Hearing Impairment > 800-952-3335 | makes no representation regarding the advisability of |
| investing in the funds. |
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This material may be used in conjunction |
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with the offering of shares of any Vanguard | All other marks are the exclusive property of their |
fund only if preceded or accompanied by | respective owners. |
the fund’s current prospectus. |
|
| All comparative mutual fund data are from Lipper Inc. |
| or Morningstar, Inc., unless otherwise noted. |
You can review and copy information about your fund |
|
at the SEC’s Public Reference Room in Washington, D.C. | You can obtain a free copy of Vanguard’s proxy voting |
To find out more about this public service, call the SEC | guidelines by visiting our website, www.vanguard.com, |
at 202-551-8090. Information about your fund is also | and searching for “proxy voting guidelines,” or by |
available on the SEC’s website, and you can receive | calling Vanguard at 800-662-2739. The guidelines are |
copies of this information, for a fee, by sending a | also available from the SEC’s website, www.sec.gov. |
request in either of two ways: via e-mail addressed to | In addition, you may obtain a free report on how your |
publicinfo@sec.gov or via regular mail addressed to the | fund voted the proxies for securities it owned during |
Public Reference Section, Securities and Exchange | the 12 months ended June 30. To get the report, visit |
Commission, Washington, DC 20549-0102. | either www.vanguard.com or www.sec.gov. |
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| © 2008 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
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| Q942 082008 |
> | For the six months ended June 30, 2008, Vanguard Institutional Total Bond Market Index returned 1.2%. |
> | The fund’s return outpaced the average result for its peers and slightly exceeded the return of its target index. |
> | Treasuries outperformed other investment-grade bonds during the period. |
Contents |
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Your Fund’s Total Returns | 1 |
Chairman’s Letter | 2 |
Fund Profile | 6 |
Performance Summary | 7 |
Financial Statements | 8 |
About Your Fund’s Expenses | 59 |
Trustees Approve Advisory Arrangement | 61 |
Glossary | 62 |
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, 2008 |
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| Ticker | Total |
| Symbol | Returns |
Vanguard Institutional Total Bond Market Index Fund | VITBX | 1.2% |
Lehman U.S. Aggregate Bond Index |
| 1.1 |
Average Intermediate Investment Grade Debt Fund1 |
| –0.8 |
Your Fund’s Performance at a Glance | ||||
December 31, 2007–June 30, 2008 | ||||
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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 | $51.19 | $50.58 | $1.216 | $0.000 |
1 | Derived from data provided by Lipper Inc. |
1
Chairman’s Letter
Dear Shareholder,
During the first six months of 2008, the corporate bond market remained under pressure as investors’ risk tolerance fluctuated amid the ongoing credit crunch. Intermediate- and long-term bond prices fell during the period, which drove up their yields. Short-term bonds produced the best returns, as their yields declined.
For the half-year, Vanguard Institutional Total Bond Market Index Fund posted a return of 1.2%, slightly higher than the result for its target benchmark and well above the average for its mutual fund peers. The fund’s yield was 4.87% on June 30, up slightly from its 4.84% level at the beginning of 2008.
Bond investors continued to prefer short-term, high-quality issues
Bonds fared better than stocks during the six months, though they managed only modest returns. As distress continued in the credit markets, fixed income investors showed a marked preference for the safety of short-term, high-quality issues, most notably U.S. Treasury securities.
The broad taxable bond market returned 1.1%, as measured by the fund’s target benchmark, the Lehman Brothers U.S. Aggregate Bond Index. The tax-exempt bond market experienced unusual turbulence en route to a flat return for the period.
2
At its June meeting, the Federal Reserve Board voted to leave its target for the federal funds rate unchanged at 2.00%, marking the end of an aggressive rate-cutting campaign that began in September 2007. The central bank’s decision to hold rates steady signaled its growing concern about near-term inflation.
Stocks worldwide struggled in downbeat economic environment
The broad U.S. stock market faltered during the half-year as investors digested a series of dispiriting economic developments. Prices for oil and other commodities soared to new highs, the housing market further deteriorated, consumer confidence wavered, and the unresolved credit-market problems haunted the financial sector.
Against that backdrop, U.S. stocks grew increasingly volatile, falling in the first three months, then rallying in April and May before falling again (sharply) in June. For the six months ended June 30, the broad U.S. stock market returned –10.9%. Small-capitalization stocks performed better than large-caps, and growth stocks outpaced their value-oriented counterparts.
International stocks traced a similar path, and only a handful of major foreign markets posted positive results for the period.
Short-term bonds posted the highest fixed income returns
The Institutional Total Bond Market Index Fund’s capital return for the fiscal half year was –1.2%, as a modest rise in longer-term rates and weakness in the corporate
Market Barometer |
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| Total Returns |
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| Periods Ended June 30, 2008 | |
| Six Months | One Year | Five Years1 |
Bonds |
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Lehman U.S. Aggregate Bond Index (Broad taxable market) | 1.1% | 7.1% | 3.9% |
Lehman Municipal Bond Index | 0.0 | 3.2 | 3.5 |
Citigroup 3-Month Treasury Bill Index | 1.1 | 3.3 | 3.1 |
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Stocks |
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Russell 1000 Index (Large-caps) | –11.2% | –12.4% | 8.2% |
Russell 2000 Index (Small-caps) | –9.4 | –16.2 | 10.3 |
Dow Jones Wilshire 5000 Index (Entire market) | –10.9 | –12.5 | 8.8 |
MSCI All Country World Index ex USA (International) | –9.8 | –6.2 | 19.4 |
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CPI |
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Consumer Price Index | 4.2% | 5.0% | 3.6% |
1 Annualized.
sector put pressure on its share price. The fund’s income return of 2.4% more than offset this modest capital decline.
During the period, the Federal Reserve slashed its target for the federal funds rate four times to increase liquidity and stimulate the slowing U.S. economy. In this volatile environment, investors flocked to secure investments such as Treasury securities. The “flight to quality,” which was most pronounced at the beginning and end of the period, proved challenging for higher-yielding and riskier corporate bonds.
The Institutional Total Bond Market Index Fund, which is composed of a mixture of securities, including Treasuries and investment-grade corporate bonds, performed better than corporate bond indexes with similar average maturity, but below comparable Treasury indexes.
In general, shorter-term bonds outperformed longer-term securities, a result in part of the Fed’s aggressive rate-cutting. As short-term yields declined, prices rose, enhancing the relative performance of these securities. In contrast, the yields of long-term securities climbed, reducing their prices and also their returns. Concerns about higher inflation contributed to the modest rise in longer-term yields.
Your fund met its objective in a tricky market
Over the six months, the Institutional Total Bond Market Index Fund succeeded in its goal of closely tracking its target; in fact, owing to some unusual market circumstances, it modestly outperformed the index for the period. This performance is a testament to the skills of the fund’s managers.
In seeking to capture the benchmark return, your fund’s advisor, Vanguard Fixed Income Group, employs proprietary trading and portfolio-construction methods. The managers are supported in their task by the fund’s low costs—a critical factor in close tracking, since an index has no operating or transaction costs.
Bond indexing is useful in any market environment
The market volatility of the fiscal six months created a challenging investment environment. Although the fund’s return was modest, its broad diversification provided some protection from the market’s weakest segments, underscoring the value of an indexing strategy for the fixed income component of a carefully balanced portfolio. The Institutional Total Bond Market Index Fund provides an extremely low-cost vehicle for implementing such a strategy.
4
As I close this report to you, it’s my pleasure to introduce the fund’s new president, F. William McNabb III. Bill is a man of great character and integrity who is intimately familiar with all aspects of Vanguard—from how we serve our clients to how we invest for them.
Bill and I have worked together very closely for more than two decades. I’m thrilled that the fund’s board elected him president, effective March 1, and designated him to succeed me as chief executive officer, a role he will assume later this year, after an orderly transition. Bill and the rest of our team will serve you and our other clients extremely well in the years ahead.
Thank you for investing with Vanguard.
Sincerely,
John J. Brennan
Chairman and Chief Executive Officer
July 22, 2008
5
Fund Profile
As of June 30, 2008
Financial Attributes |
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| Target |
| Fund | Index1 |
Number of Issues | 2,595 | 9,457 |
Yield2 | 4.9% | 5.1% |
Yield to Maturity | 5.1%3 | 5.1% |
Average Coupon | 5.4% | 5.4% |
Average Effective Maturity | 7.5 years | 7.5 years |
Average Quality4 | Aa1 | Aa1 |
Average Duration | 4.7 years | 4.7 years |
Expense Ratio5 | 0.05% |
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Short-Term Reserves | 1.3% | — |
Sector Diversification6 (% of portfolio) |
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Asset-Backed/Commercial Mortgage-Backed | 5.3% |
Finance | 8.8 |
Foreign | 3.1 |
Government Mortgage-Backed | 39.6 |
Industrial | 9.6 |
Treasury/Agency | 30.3 |
Utilities | 2.0 |
Other | 1.3 |
Distribution by Maturity (% of portfolio) |
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Under 1 Year | 1.4% |
1–5 Years | 38.7 |
5–10 Years | 47.1 |
10–20 Years | 6.6 |
20–30 Years | 6.1 |
Over 30 Years | 0.1 |
Volatility Measures7 |
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| Fund Versus |
| Target Index1 |
R-Squared | 1.00 |
Beta | 1.02 |
Distribution by Credit Quality4 (% of portfolio) |
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Aaa | 77.7% |
Aa | 6.0 |
A | 8.8 |
Baa | 7.5 |
Investment Focus
1 Lehman U.S. Aggregate Bond Index.
2 30-day SEC yield for the fund; index yield assumes that all bonds are called or prepaid at the earliest possible date. See the Glossary on page 62.
3 Before expenses.
4 Moody’s Investors Service.
5 Annualized.
6 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.
7 For an explanation of R-squared, beta, and other terms used here, see the Glossary on page 62.
6
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at www.vanguard.com/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, 2008 | ||||
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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 |
2007 | 1.7 | 5.3 | 7.0 | 7.0 |
20082 | –1.2 | 2.4 | 1.2 | 1.1 |
Average Annual Total Returns: Periods Ended June 30, 2008 | |||||||
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| Since Inception | ||
| Inception Date | One Year | Five Years | Capital | Income | Total | |
Institutional Total Bond Market |
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Index Fund | 4/26/2002 | 7.33% | 3.87% | 0.25% | 4.71% | 4.96% | |
1 Lehman U.S. Aggregate Bond Index.
2 Six months ended June 30, 2008.
Note: See Financial Highlights table on page 54 for dividend and capital gains information.
7
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2008
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 (69.0%) |
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U.S. Government Securities (21.2%) |
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U.S. Treasury Bond | 12.000% | 8/15/13 | 2,500 | 2,529 |
U.S. Treasury Bond | 13.250% | 5/15/14 | 750 | 819 |
U.S. Treasury Bond | 10.625% | 8/15/15 | 360 | 515 |
U.S. Treasury Bond | 9.875% | 11/15/15 | 16,550 | 23,038 |
U.S. Treasury Bond | 9.250% | 2/15/16 | 75 | 102 |
U.S. Treasury Bond | 7.500% | 11/15/16 | 3,375 | 4,217 |
U.S. Treasury Bond | 8.750% | 5/15/17 | 23,850 | 32,134 |
U.S. Treasury Bond | 8.875% | 8/15/17 | 61,030 | 83,106 |
U.S. Treasury Bond | 4.250% | 11/15/17 | 16,650 | 17,004 |
U.S. Treasury Bond | 9.125% | 5/15/18 | 34,500 | 48,413 |
U.S. Treasury Bond | 9.000% | 11/15/18 | 25 | 35 |
U.S. Treasury Bond | 8.875% | 2/15/19 | 10,375 | 14,462 |
U.S. Treasury Bond | 8.125% | 8/15/19 | 80 | 107 |
U.S. Treasury Bond | 8.750% | 5/15/20 | 2,315 | 3,256 |
U.S. Treasury Bond | 8.750% | 8/15/20 | 29,600 | 41,741 |
U.S. Treasury Bond | 7.875% | 2/15/21 | 20,880 | 27,849 |
U.S. Treasury Bond | 8.125% | 5/15/21 | 110 | 150 |
U.S. Treasury Bond | 8.125% | 8/15/21 | 28,950 | 39,562 |
U.S. Treasury Bond | 8.000% | 11/15/21 | 1,430 | 1,941 |
U.S. Treasury Bond | 7.250% | 8/15/22 | 7,500 | 9,664 |
U.S. Treasury Bond | 7.625% | 11/15/22 | 220 | 293 |
U.S. Treasury Bond | 6.250% | 8/15/23 | 16,975 | 20,187 |
U.S. Treasury Bond | 6.875% | 8/15/25 | 2,125 | 2,708 |
U.S. Treasury Bond | 6.000% | 2/15/26 | 12,400 | 14,522 |
U.S. Treasury Bond | 6.750% | 8/15/26 | 35,645 | 45,108 |
U.S. Treasury Bond | 6.500% | 11/15/26 | 50 | 62 |
U.S. Treasury Bond | 6.625% | 2/15/27 | 36,955 | 46,326 |
U.S. Treasury Bond | 6.375% | 8/15/27 | 275 | 337 |
U.S. Treasury Bond | 5.500% | 8/15/28 | 825 | 921 |
U.S. Treasury Bond | 5.250% | 11/15/28 | 2,750 | 2,983 |
U.S. Treasury Bond | 5.250% | 2/15/29 | 675 | 733 |
U.S. Treasury Bond | 6.125% | 8/15/29 | 5,210 | 6,287 |
U.S. Treasury Bond | 6.250% | 5/15/30 | 130 | 160 |
U.S. Treasury Bond | 5.375% | 2/15/31 | 2,765 | 3,075 |
U.S. Treasury Bond | 4.500% | 2/15/36 | 36,875 | 36,633 |
U.S. Treasury Bond | 4.750% | 2/15/37 | 3,800 | 3,928 |
U.S. Treasury Note | 3.125% | 9/15/08 | 425 | 426 |
U.S. Treasury Note | 3.125% | 10/15/08 | 440 | 442 |
8
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| Face | Market |
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| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
U.S. Treasury Note | 3.375% | 11/15/08 | 525 | 528 |
U.S. Treasury Note | 4.750% | 11/15/08 | 775 | 783 |
U.S. Treasury Note | 3.250% | 1/15/09 | 375 | 378 |
U.S. Treasury Note | 4.750% | 2/28/09 | 700 | 711 |
U.S. Treasury Note | 3.125% | 4/15/09 | 625 | 629 |
U.S. Treasury Note | 6.000% | 8/15/09 | 3,775 | 3,922 |
U.S. Treasury Note | 4.000% | 8/31/09 | 8,925 | 9,092 |
U.S. Treasury Note | 4.000% | 9/30/09 | 85,250 | 86,969 |
U.S. Treasury Note | 3.625% | 10/31/09 | 9,600 | 9,762 |
U.S. Treasury Note | 4.625% | 11/15/09 | 5,375 | 5,540 |
U.S. Treasury Note | 3.125% | 11/30/09 | 227,450 | 229,761 |
U.S. Treasury Note | 3.500% | 12/15/09 | 9,675 | 9,831 |
U.S. Treasury Note | 3.250% | 12/31/09 | 6,100 | 6,173 |
U.S. Treasury Note | 3.500% | 2/15/10 | 950 | 966 |
U.S. Treasury Note | 4.750% | 2/15/10 | 20,150 | 20,874 |
U.S. Treasury Note | 6.500% | 2/15/10 | 54,620 | 58,119 |
U.S. Treasury Note | 4.000% | 3/15/10 | 8,425 | 8,640 |
U.S. Treasury Note | 4.000% | 4/15/10 | 675 | 692 |
U.S. Treasury Note | 3.875% | 5/15/10 | 375 | 384 |
U.S. Treasury Note | 4.500% | 5/15/10 | 8,350 | 8,644 |
U.S. Treasury Note | 3.875% | 7/15/10 | 11,400 | 11,687 |
U.S. Treasury Note | 4.125% | 8/15/10 | 14,705 | 15,151 |
U.S. Treasury Note | 5.750% | 8/15/10 | 11,050 | 11,756 |
U.S. Treasury Note | 4.750% | 3/31/11 | 175 | 184 |
U.S. Treasury Note | 4.875% | 7/31/11 | 13,450 | 14,211 |
U.S. Treasury Note | 4.625% | 8/31/11 | 375 | 393 |
U.S. Treasury Note | 4.500% | 9/30/11 | 62,440 | 65,260 |
U.S. Treasury Note | 4.625% | 10/31/11 | 13,825 | 14,514 |
U.S. Treasury Note | 4.500% | 11/30/11 | 10,150 | 10,618 |
U.S. Treasury Note | 4.625% | 12/31/11 | 175 | 184 |
U.S. Treasury Note | 4.625% | 2/29/12 | 18,735 | 19,704 |
U.S. Treasury Note | 4.500% | 3/31/12 | 350 | 367 |
U.S. Treasury Note | 4.500% | 4/30/12 | 23,200 | 24,320 |
U.S. Treasury Note | 4.750% | 5/31/12 | 27,025 | 28,579 |
U.S. Treasury Note | 4.875% | 6/30/12 | 19,625 | 20,855 |
U.S. Treasury Note | 4.625% | 7/31/12 | 75,500 | 79,594 |
U.S. Treasury Note | 4.125% | 8/31/12 | 30,985 | 32,065 |
U.S. Treasury Note | 4.250% | 9/30/12 | 1,375 | 1,431 |
U.S. Treasury Note | 3.875% | 10/31/12 | 25,850 | 26,508 |
U.S. Treasury Note | 3.375% | 11/30/12 | 28,800 | 28,930 |
U.S. Treasury Note | 2.875% | 1/31/13 | 9,375 | 9,214 |
U.S. Treasury Note | 3.875% | 2/15/13 | 8,055 | 8,256 |
U.S. Treasury Note | 2.750% | 2/28/13 | 41,150 | 40,173 |
U.S. Treasury Note | 2.500% | 3/31/13 | 1,750 | 1,688 |
U.S. Treasury Note | 3.125% | 4/30/13 | 44,850 | 44,458 |
U.S. Treasury Note | 4.250% | 8/15/13 | 3,775 | 3,938 |
U.S. Treasury Note | 4.250% | 11/15/13 | 965 | 1,007 |
U.S. Treasury Note | 4.000% | 2/15/14 | 150 | 155 |
U.S. Treasury Note | 4.750% | 5/15/14 | 1,350 | 1,447 |
U.S. Treasury Note | 4.250% | 8/15/14 | 4,225 | 4,413 |
U.S. Treasury Note | 4.250% | 11/15/14 | 15,800 | 16,491 |
U.S. Treasury Note | 4.000% | 2/15/15 | 31,700 | 32,582 |
U.S. Treasury Note | 4.125% | 5/15/15 | 3,900 | 4,030 |
U.S. Treasury Note | 4.500% | 2/15/16 | 1,000 | 1,052 |
U.S. Treasury Note | 5.125% | 5/15/16 | 21,725 | 23,690 |
9
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| U.S. Treasury Note | 4.875% | 8/15/16 | 8,575 | 9,193 |
| U.S. Treasury Note | 4.625% | 11/15/16 | 14,875 | 15,691 |
| U.S. Treasury Note | 4.625% | 2/15/17 | 3,600 | 3,789 |
|
|
|
|
| 1,625,751 |
Agency Bonds and Notes (8.8%) |
|
|
|
| |
| Agency for International Development-Egypt |
|
|
| |
| (U.S. Government Guaranteed) | 4.450% | 9/15/15 | 800 | 809 |
1 | Federal Farm Credit Bank | 5.250% | 8/3/09 | 3,725 | 3,811 |
1 | Federal Farm Credit Bank | 5.250% | 9/13/10 | 825 | 857 |
1 | Federal Farm Credit Bank | 3.750% | 12/6/10 | 725 | 729 |
1 | Federal Farm Credit Bank | 2.625% | 4/21/11 | 1,925 | 1,872 |
1 | Federal Farm Credit Bank | 5.375% | 7/18/11 | 2,550 | 2,670 |
1 | Federal Farm Credit Bank | 3.875% | 8/25/11 | 1,850 | 1,858 |
1 | Federal Farm Credit Bank | 4.500% | 10/17/12 | 3,000 | 3,048 |
1 | Federal Farm Credit Bank | 4.875% | 12/16/15 | 800 | 811 |
1 | Federal Farm Credit Bank | 5.125% | 8/25/16 | 2,225 | 2,276 |
1 | Federal Farm Credit Bank | 4.875% | 1/17/17 | 1,150 | 1,154 |
1 | Federal Home Loan Bank | 5.375% | 7/17/09 | 1,450 | 1,484 |
1 | Federal Home Loan Bank | 5.250% | 8/5/09 | 625 | 639 |
1 | Federal Home Loan Bank | 5.250% | 9/11/09 | 4,300 | 4,407 |
1 | Federal Home Loan Bank | 5.000% | 9/18/09 | 7,500 | 7,676 |
1 | Federal Home Loan Bank | 4.500% | 10/9/09 | 5,000 | 5,090 |
1 | Federal Home Loan Bank | 6.500% | 11/13/09 | 1,300 | 1,358 |
1 | Federal Home Loan Bank | 5.000% | 12/11/09 | 2,825 | 2,899 |
1 | Federal Home Loan Bank | 3.750% | 1/8/10 | 200 | 202 |
1 | Federal Home Loan Bank | 3.875% | 1/15/10 | 11,700 | 11,829 |
1 | Federal Home Loan Bank | 2.750% | 3/12/10 | 1,950 | 1,934 |
1 | Federal Home Loan Bank | 4.375% | 3/17/10 | 3,000 | 3,059 |
1 | Federal Home Loan Bank | 4.875% | 5/14/10 | 20,775 | 21,396 |
1 | Federal Home Loan Bank | 7.625% | 5/14/10 | 6,125 | 6,602 |
1 | Federal Home Loan Bank | 2.750% | 6/18/10 | 1,850 | 1,832 |
1 | Federal Home Loan Bank | 3.500% | 7/16/10 | 3,650 | 3,664 |
1 | Federal Home Loan Bank | 4.750% | 12/10/10 | 775 | 798 |
1 | Federal Home Loan Bank | 3.625% | 12/17/10 | 1,550 | 1,558 |
1 | Federal Home Loan Bank | 2.625% | 3/11/11 | 10,000 | 9,746 |
1 | Federal Home Loan Bank | 3.125% | 6/10/11 | 2,725 | 2,682 |
1 | Federal Home Loan Bank | 5.375% | 8/19/11 | 22,575 | 23,722 |
1 | Federal Home Loan Bank | 4.875% | 11/18/11 | 10,100 | 10,456 |
1 | Federal Home Loan Bank | 4.625% | 10/10/12 | 12,700 | 12,965 |
1 | Federal Home Loan Bank | 3.375% | 2/27/13 | 750 | 727 |
1 | Federal Home Loan Bank | 3.625% | 5/29/13 | 1,350 | 1,320 |
1 | Federal Home Loan Bank | 5.375% | 6/14/13 | 1,000 | 1,050 |
1 | Federal Home Loan Bank | 5.125% | 8/14/13 | 8,400 | 8,755 |
1 | Federal Home Loan Bank | 4.500% | 9/16/13 | 7,100 | 7,196 |
1 | Federal Home Loan Bank | 5.500% | 8/13/14 | 6,625 | 7,031 |
1 | Federal Home Loan Bank | 5.375% | 5/18/16 | 13,575 | 14,226 |
1 | Federal Home Loan Bank | 5.625% | 6/13/16 | 350 | 347 |
1 | Federal Home Loan Bank | 5.125% | 10/19/16 | 425 | 435 |
1 | Federal Home Loan Bank | 4.750% | 12/16/16 | 3,075 | 3,094 |
1 | Federal Home Loan Bank | 4.875% | 5/17/17 | 650 | 659 |
1 | Federal Home Loan Bank | 5.250% | 12/11/20 | 2,700 | 2,777 |
1 | Federal Home Loan Bank | 5.625% | 6/11/21 | 175 | 186 |
1 | Federal Home Loan Bank | 5.500% | 7/15/36 | 3,000 | 3,118 |
1 | Federal Home Loan Mortgage Corp. | 6.625% | 9/15/09 | 2,875 | 3,000 |
1 | Federal Home Loan Mortgage Corp. | 4.750% | 11/3/09 | 25,000 | 25,575 |
1 | Federal Home Loan Mortgage Corp. | 7.000% | 3/15/10 | 4,500 | 4,782 |
1 | Federal Home Loan Mortgage Corp. | 2.875% | 4/30/10 | 3,000 | 2,983 |
10
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
1 | Federal Home Loan Mortgage Corp. | 2.875% | 6/28/10 | 2,950 | 2,930 |
1,2 | Federal Home Loan Mortgage Corp. | 4.125% | 7/12/10 | 23,214 | 23,618 |
1 | Federal Home Loan Mortgage Corp. | 6.875% | 9/15/10 | 2,691 | 2,891 |
1 | Federal Home Loan Mortgage Corp. | 4.750% | 1/18/11 | 3,350 | 3,456 |
1 | Federal Home Loan Mortgage Corp. | 3.250% | 2/25/11 | 2,500 | 2,485 |
1 | Federal Home Loan Mortgage Corp. | 6.000% | 6/15/11 | 9,700 | 10,341 |
1 | Federal Home Loan Mortgage Corp. | 5.250% | 7/18/11 | 23,000 | 24,037 |
1 | Federal Home Loan Mortgage Corp. | 5.750% | 1/15/12 | 13,000 | 13,789 |
1 | Federal Home Loan Mortgage Corp. | 5.500% | 8/20/12 | 5,000 | 5,280 |
1 | Federal Home Loan Mortgage Corp. | 4.625% | 10/25/12 | 3,475 | 3,552 |
1 | Federal Home Loan Mortgage Corp. | 4.125% | 12/21/12 | 2,450 | 2,452 |
1 | Federal Home Loan Mortgage Corp. | 4.500% | 1/15/13 | 1,975 | 2,007 |
1 | Federal Home Loan Mortgage Corp. | 3.750% | 6/28/13 | 8,000 | 7,847 |
1 | Federal Home Loan Mortgage Corp. | 4.500% | 7/15/13 | 950 | 964 |
1 | Federal Home Loan Mortgage Corp. | 4.875% | 11/15/13 | 10,350 | 10,653 |
1 | Federal Home Loan Mortgage Corp. | 5.000% | 7/15/14 | 10,650 | 11,021 |
1 | Federal Home Loan Mortgage Corp. | 4.500% | 1/15/15 | 6,200 | 6,215 |
1 | Federal Home Loan Mortgage Corp. | 5.050% | 1/26/15 | 1,300 | 1,338 |
1 | Federal Home Loan Mortgage Corp. | 4.750% | 1/19/16 | 9,000 | 9,079 |
1 | Federal Home Loan Mortgage Corp. | 5.250% | 4/18/16 | 8,000 | 8,299 |
1 | Federal Home Loan Mortgage Corp. | 5.125% | 10/18/16 | 2,000 | 2,056 |
1 | Federal Home Loan Mortgage Corp. | 5.000% | 4/18/17 | 5,000 | 5,088 |
1 | Federal Home Loan Mortgage Corp. | 5.500% | 8/23/17 | 5,000 | 5,267 |
1 | Federal Home Loan Mortgage Corp. | 4.875% | 6/13/18 | 3,100 | 3,118 |
1 | Federal Home Loan Mortgage Corp. | 5.000% | 12/14/18 | 3,159 | 2,951 |
1 | Federal Home Loan Mortgage Corp. | 6.750% | 9/15/29 | 1,000 | 1,192 |
1 | Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 9,989 | 12,036 |
1 | Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 227 | 259 |
1 | Federal National Mortgage Assn. | 5.125% | 7/13/09 | 3,000 | 3,063 |
1 | Federal National Mortgage Assn. | 6.625% | 9/15/09 | 9,015 | 9,397 |
1 | Federal National Mortgage Assn. | 7.250% | 1/15/10 | 5,105 | 5,419 |
1 | Federal National Mortgage Assn. | 3.250% | 2/10/10 | 2,950 | 2,956 |
1 | Federal National Mortgage Assn. | 3.875% | 2/15/10 | 10,800 | 10,941 |
1 | Federal National Mortgage Assn. | 4.750% | 3/12/10 | 19,200 | 19,702 |
1 | Federal National Mortgage Assn. | 4.125% | 5/15/10 | 1,000 | 1,017 |
1 | Federal National Mortgage Assn. | 3.000% | 7/12/10 | 3,750 | 3,731 |
1 | Federal National Mortgage Assn. | 4.250% | 8/15/10 | 8,000 | 8,157 |
1 | Federal National Mortgage Assn. | 6.625% | 11/15/10 | 900 | 966 |
1 | Federal National Mortgage Assn. | 4.750% | 12/15/10 | 1,075 | 1,109 |
1 | Federal National Mortgage Assn. | 6.250% | 2/1/11 | 400 | 420 |
1 | Federal National Mortgage Assn. | 2.750% | 4/11/11 | 40,000 | 39,146 |
1 | Federal National Mortgage Assn. | 5.125% | 4/15/11 | 3,175 | 3,301 |
1 | Federal National Mortgage Assn. | 6.000% | 5/15/11 | 5,000 | 5,317 |
1 | Federal National Mortgage Assn. | 5.000% | 10/15/11 | 1,850 | 1,921 |
1 | Federal National Mortgage Assn. | 4.875% | 5/18/12 | 2,000 | 2,065 |
1 | Federal National Mortgage Assn. | 4.375% | 9/15/12 | 1,050 | 1,066 |
1 | Federal National Mortgage Assn. | 3.625% | 2/12/13 | 3,000 | 2,937 |
1 | Federal National Mortgage Assn. | 4.750% | 2/21/13 | 500 | 512 |
1 | Federal National Mortgage Assn. | 4.375% | 3/15/13 | 1,450 | 1,465 |
1 | Federal National Mortgage Assn. | 4.625% | 5/1/13 | 2,875 | 2,812 |
1 | Federal National Mortgage Assn. | 4.625% | 10/15/13 | 10,650 | 10,843 |
1 | Federal National Mortgage Assn. | 5.125% | 1/2/14 | 550 | 549 |
1 | Federal National Mortgage Assn. | 4.125% | 4/15/14 | 7,500 | 7,434 |
1 | Federal National Mortgage Assn. | 4.625% | 10/15/14 | 15,000 | 15,193 |
1 | Federal National Mortgage Assn. | 5.000% | 4/15/15 | 2,000 | 2,059 |
1 | Federal National Mortgage Assn. | 4.375% | 10/15/15 | 10,000 | 9,912 |
1 | Federal National Mortgage Assn. | 5.375% | 7/15/16 | 5,000 | 5,227 |
11
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
1 | Federal National Mortgage Assn. | 5.250% | 9/15/16 | 9,725 | 10,085 |
1 | Federal National Mortgage Assn. | 4.875% | 12/15/16 | 4,700 | 4,753 |
1 | Federal National Mortgage Assn. | 5.000% | 2/13/17 | 14,700 | 14,966 |
1 | Federal National Mortgage Assn. | 7.125% | 1/15/30 | 2,100 | 2,617 |
1 | Federal National Mortgage Assn. | 7.250% | 5/15/30 | 10,900 | 13,797 |
1 | Federal National Mortgage Assn. | 5.625% | 7/15/37 | 800 | 827 |
1 | Financing Corp. | 9.800% | 4/6/18 | 950 | 1,307 |
| Private Export Funding Corp. | 7.200% | 1/15/10 | 2,375 | 2,516 |
| State of Israel (U.S. Government Guaranteed) | 5.500% | 9/18/23 | 450 | 487 |
| State of Israel (U.S. Government Guaranteed) | 5.500% | 12/4/23 | 350 | 379 |
| State of Israel (U.S. Government Guaranteed) | 5.500% | 4/26/24 | 225 | 244 |
1 | Tennessee Valley Auth. | 5.625% | 1/18/11 | 4,000 | 4,201 |
1 | Tennessee Valley Auth. | 5.500% | 7/18/17 | 3,700 | 3,877 |
1 | Tennessee Valley Auth. | 4.500% | 4/1/18 | 775 | 752 |
1 | Tennessee Valley Auth. | 7.125% | 5/1/30 | 3,375 | 4,171 |
1 | Tennessee Valley Auth. | 4.650% | 6/15/35 | 850 | 772 |
1 | Tennessee Valley Auth. | 5.500% | 6/15/38 | 375 | 384 |
1 | Tennessee Valley Auth. | 4.875% | 1/15/48 | 300 | 278 |
1 | Tennessee Valley Auth. | 5.375% | 4/1/56 | 1,575 | 1,587 |
|
|
|
|
| 674,012 |
Mortgage-Backed Securities (39.0%) |
|
|
|
| |
| Conventional Mortgage-Backed Securities (35.6%) |
|
|
| |
1,3 | Federal Home Loan Mortgage Corp. | 4.000% | 7/1/08–12/1/20 | 18,563 | 17,779 |
1,3 | Federal Home Loan Mortgage Corp. | 4.500% | 9/1/09–10/1/35 | 93,414 | 89,978 |
1,3 | Federal Home Loan Mortgage Corp. | 5.000% | 7/1/09–5/1/38 | 245,468 | 237,698 |
1,3 | Federal Home Loan Mortgage Corp. | 5.500% | 6/1/09–1/1/38 | 322,122 | 318,591 |
1,3 | Federal Home Loan Mortgage Corp. | 6.000% | 4/1/13–7/1/38 | 228,265 | 231,261 |
1,3 | Federal Home Loan Mortgage Corp. | 6.500% | 1/1/13–12/1/37 | 57,967 | 60,007 |
1,3 | Federal Home Loan Mortgage Corp. | 7.000% | 2/1/11–9/1/36 | 14,797 | 15,591 |
1,3 | Federal Home Loan Mortgage Corp. | 7.500% | 10/1/12–2/1/32 | 460 | 487 |
1,3 | Federal Home Loan Mortgage Corp. | 8.000% | 6/1/12–11/1/31 | 280 | 301 |
1,3 | Federal Home Loan Mortgage Corp. | 8.500% | 6/1/25–5/1/30 | 155 | 169 |
1,3 | Federal Home Loan Mortgage Corp. | 9.000% | 2/1/25–9/1/30 | 10 | 10 |
1,3 | Federal Home Loan Mortgage Corp. | 9.500% | 2/1/25 | — | — |
1,3 | Federal National Mortgage Assn. | 4.000% | 9/1/10–6/1/19 | 16,373 | 15,594 |
1,3 | Federal National Mortgage Assn. | 4.500% | 6/1/10–9/1/35 | 101,279 | 97,135 |
1,3 | Federal National Mortgage Assn. | 5.000% | 9/1/09–7/1/38 | 383,358 | 370,719 |
1,3 | Federal National Mortgage Assn. | 5.500% | 5/1/09–7/1/38 | 502,977 | 495,669 |
1,3 | Federal National Mortgage Assn. | 6.000% | 11/1/08–6/1/38 | 339,734 | 344,000 |
1,3 | Federal National Mortgage Assn. | 6.500% | 1/1/12–12/1/37 | 112,030 | 115,589 |
1,3 | Federal National Mortgage Assn. | 7.000% | 7/1/14–1/1/38 | 33,457 | 35,152 |
1,3 | Federal National Mortgage Assn. | 7.500% | 11/1/11–10/1/31 | 1,050 | 1,122 |
1,3 | Federal National Mortgage Assn. | 8.000% | 12/1/29–6/1/31 | 143 | 153 |
1,3 | Federal National Mortgage Assn. | 8.500% | 4/1/30–4/1/31 | 58 | 62 |
1,3 | Federal National Mortgage Assn. | 9.000% | 8/1/30 | 2 | 3 |
1,3 | Federal National Mortgage Assn. | 9.500% | 11/1/25 | 6 | 6 |
1,3 | Government National Mortgage Assn. | 4.000% | 9/15/18 | 118 | 113 |
1,3 | Government National Mortgage Assn. | 4.500% | 8/15/18–1/15/36 | 5,275 | 5,000 |
1,3 | Government National Mortgage Assn. | 5.000% | 2/15/18–6/15/38 | 48,619 | 47,175 |
1,3 | Government National Mortgage Assn. | 5.500% | 2/15/17–6/15/38 | 97,350 | 96,969 |
1,3 | Government National Mortgage Assn. | 6.000% | 9/15/13–1/20/38 | 86,048 | 87,333 |
1,3 | Government National Mortgage Assn. | 6.500% | 5/15/13–11/20/37 | 35,927 | 37,115 |
1,3 | Government National Mortgage Assn. | 7.000% | 10/15/10–9/15/36 | 5,611 | 5,938 |
1,3 | Government National Mortgage Assn. | 7.500% | 5/15/23–10/15/31 | 386 | 414 |
1,3 | Government National Mortgage Assn. | 8.000% | 7/15/25–11/15/30 | 377 | 408 |
1,3 | Government National Mortgage Assn. | 8.500% | 12/15/24–7/15/30 | 19 | 20 |
12
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
1,3 Government National Mortgage Assn. | 9.000% | 5/15/25–8/15/30 | 11 | 12 |
1,3 Government National Mortgage Assn. | 9.500% | 11/15/17 | 10 | 11 |
|
|
|
|
|
Mortgage-Backed Securities (3.4%) |
|
|
|
|
1,3 Federal Home Loan Mortgage Corp. | 4.305% | 4/1/36 | 4,438 | 4,435 |
1,3 Federal Home Loan Mortgage Corp. | 4.390% | 12/1/34 | 1,263 | 1,269 |
1,3 Federal Home Loan Mortgage Corp. | 4.572% | 9/1/34 | 630 | 633 |
1,3 Federal Home Loan Mortgage Corp. | 4.590% | 11/1/34 | 2,268 | 2,280 |
1,3 Federal Home Loan Mortgage Corp. | 4.606% | 4/1/35 | 2,593 | 2,605 |
1,3 Federal Home Loan Mortgage Corp. | 4.634% | 12/1/35 | 2,778 | 2,793 |
1,3 Federal Home Loan Mortgage Corp. | 4.656% | 7/1/35 | 1,022 | 1,028 |
1,3 Federal Home Loan Mortgage Corp. | 4.681% | 12/1/34 | 1,078 | 1,085 |
1,3 Federal Home Loan Mortgage Corp. | 4.793% | 7/1/35 | 3,983 | 4,012 |
1,3 Federal Home Loan Mortgage Corp. | 4.812% | 3/1/36 | 1,436 | 1,446 |
1,3 Federal Home Loan Mortgage Corp. | 4.981% | 5/1/35 | 1,326 | 1,341 |
1,3 Federal Home Loan Mortgage Corp. | 5.255% | 3/1/37 | 1,233 | 1,249 |
1,3 Federal Home Loan Mortgage Corp. | 5.262% | 3/1/36 | 2,717 | 2,757 |
1,3 Federal Home Loan Mortgage Corp. | 5.288% | 12/1/36 | 821 | 831 |
1,3 Federal Home Loan Mortgage Corp. | 5.327% | 12/1/35 | 2,543 | 2,572 |
1,3 Federal Home Loan Mortgage Corp. | 5.424% | 3/1/37 | 1,489 | 1,511 |
1,3 Federal Home Loan Mortgage Corp. | 5.437% | 4/1/37 | 3,237 | 3,286 |
1,3 Federal Home Loan Mortgage Corp. | 5.481% | 1/1/37 | 1,533 | 1,556 |
1,3 Federal Home Loan Mortgage Corp. | 5.488% | 2/1/36 | 1,165 | 1,180 |
1,3 Federal Home Loan Mortgage Corp. | 5.577% | 5/1/36 | 3,284 | 3,354 |
1,3 Federal Home Loan Mortgage Corp. | 5.580% | 6/1/37 | 3,240 | 3,290 |
1,3 Federal Home Loan Mortgage Corp. | 5.606% | 4/1/37 | 2,381 | 2,436 |
1,3 Federal Home Loan Mortgage Corp. | 5.684% | 12/1/36 | 3,336 | 3,403 |
1,3 Federal Home Loan Mortgage Corp. | 5.699% | 3/1/37 | 4,609 | 4,701 |
1,3 Federal Home Loan Mortgage Corp. | 5.709% | 9/1/36 | 7,759 | 7,901 |
1,3 Federal Home Loan Mortgage Corp. | 5.767% | 5/1/36 | 1,333 | 1,366 |
1,3 Federal Home Loan Mortgage Corp. | 5.801% | 3/1/37 | 1,009 | 1,029 |
1,3 Federal Home Loan Mortgage Corp. | 5.829% | 6/1/37 | 1,201 | 1,225 |
1,3 Federal Home Loan Mortgage Corp. | 5.846% | 4/1/37 | 5,445 | 5,565 |
1,3 Federal Home Loan Mortgage Corp. | 5.873% | 5/1/37 | 3,682 | 3,740 |
1,3 Federal Home Loan Mortgage Corp. | 5.877% | 12/1/36 | 1,977 | 2,019 |
1,3 Federal Home Loan Mortgage Corp. | 5.968% | 10/1/37 | 1,043 | 1,068 |
1,3 Federal Home Loan Mortgage Corp. | 6.126% | 8/1/37 | 898 | 916 |
1,3 Federal Home Loan Mortgage Corp. | 6.135% | 8/1/37 | 1,389 | 1,422 |
1,3 Federal Home Loan Mortgage Corp. | 6.522% | 2/1/37 | 3,276 | 3,366 |
1,3 Federal National Mortgage Assn. | 4.008% | 7/1/35 | 4,815 | 4,750 |
1,3 Federal National Mortgage Assn. | 4.138% | 5/1/34 | 2,056 | 2,049 |
1,3 Federal National Mortgage Assn. | 4.418% | 8/1/35 | 4,389 | 4,397 |
1,3 Federal National Mortgage Assn. | 4.438% | 7/1/35 | 638 | 640 |
1,3 Federal National Mortgage Assn. | 4.543% | 4/1/36 | 3,085 | 3,104 |
1,3 Federal National Mortgage Assn. | 4.571% | 1/1/35 | 1,249 | 1,257 |
1,3 Federal National Mortgage Assn. | 4.576% | 12/1/34 | 1,613 | 1,615 |
1,3 Federal National Mortgage Assn. | 4.585% | 11/1/34 | 4,712 | 4,673 |
1,3 Federal National Mortgage Assn. | 4.586% | 10/1/36 | 4,280 | 4,303 |
1,3 Federal National Mortgage Assn. | 4.629% | 9/1/34 | 991 | 998 |
1,3 Federal National Mortgage Assn. | 4.633% | 8/1/35 | 1,753 | 1,750 |
1,3 Federal National Mortgage Assn. | 4.636% | 11/1/33 | 693 | 696 |
1,3 Federal National Mortgage Assn. | 4.681% | 10/1/34 | 2,130 | 2,136 |
1,3 Federal National Mortgage Assn. | 4.692% | 11/1/34 | 919 | 924 |
1,3 Federal National Mortgage Assn. | 4.728% | 8/1/35 | 995 | 999 |
1,3 Federal National Mortgage Assn. | 4.744% | 9/1/34 | 915 | 923 |
1,3 Federal National Mortgage Assn. | 4.750% | 6/1/34 | 1,658 | 1,669 |
13
|
|
|
| Face | Market | |
|
|
| Maturity | Amount | Value• | |
|
| Coupon | Date | ($000) | ($000) | |
1,3 | Federal National Mortgage Assn. | 4.750% | 9/1/35 | 1,894 | 1,907 | |
1,3 | Federal National Mortgage Assn. | 4.754% | 5/1/35 | 6,815 | 6,861 | |
1,3 | Federal National Mortgage Assn. | 4.755% | 10/1/34 | 2,722 | 2,740 | |
1,3 | Federal National Mortgage Assn. | 4.774% | 4/1/36 | 4,542 | 4,573 | |
1,3 | Federal National Mortgage Assn. | 4.827% | 4/1/37 | 3,228 | 3,253 | |
1,3 | Federal National Mortgage Assn. | 4.850% | 11/1/35 | 2,103 | 2,120 | |
1,3 | Federal National Mortgage Assn. | 4.869% | 12/1/35 | 1,778 | 1,795 | |
1,3 | Federal National Mortgage Assn. | 4.872% | 7/1/35 | 2,466 | 2,487 | |
1,3 | Federal National Mortgage Assn. | 4.944% | 7/1/35 | 1,255 | 1,266 | |
1,3 | Federal National Mortgage Assn. | 4.950% | 5/1/37 | 5,659 | 5,682 | |
1,3 | Federal National Mortgage Assn. | 4.968% | 10/1/35 | 3,010 | 3,040 | |
1,3 | Federal National Mortgage Assn. | 4.969% | 11/1/33 | 572 | 572 | |
1,3 | Federal National Mortgage Assn. | 5.008% | 12/1/33 | 847 | 849 | |
1,3 | Federal National Mortgage Assn. | 5.034% | 8/1/37 | 9,192 | 9,263 | |
1,3 | Federal National Mortgage Assn. | 5.059% | 11/1/35 | 3,788 | 3,831 | |
1,3 | Federal National Mortgage Assn. | 5.068% | 2/1/36 | 528 | 534 | |
1,3 | Federal National Mortgage Assn. | 5.075% | 12/1/35 | 4,607 | 4,660 | |
1,3 | Federal National Mortgage Assn. | 5.105% | 1/1/36 | 2,199 | 2,225 | |
1,3 | Federal National Mortgage Assn. | 5.128% | 12/1/35 | 4,409 | 4,464 | |
1,3 | Federal National Mortgage Assn. | 5.278% | 3/1/37 | 2,194 | 2,216 | |
1,3 | Federal National Mortgage Assn. | 5.443% | 5/1/37 | 1,664 | 1,689 | |
1,3 | Federal National Mortgage Assn. | 5.462% | 2/1/36 | 2,649 | 2,695 | |
1,3 | Federal National Mortgage Assn. | 5.597% | 1/1/37 | 2,263 | 2,305 | |
1,3 | Federal National Mortgage Assn. | 5.602% | 7/1/36 | 1,125 | 1,150 | |
1,3 | Federal National Mortgage Assn. | 5.641% | 3/1/37 | 2,084 | 2,123 | |
1,3 | Federal National Mortgage Assn. | 5.662% | 6/1/36 | 799 | 815 | |
1,3 | Federal National Mortgage Assn. | 5.680% | 3/1/37 | 9,643 | 9,827 | |
1,3 | Federal National Mortgage Assn. | 5.691% | 2/1/37 | 4,452 | 4,539 | |
1,3 | Federal National Mortgage Assn. | 5.700% | 2/1/37 | 1,776 | 1,820 | |
1,3 | Federal National Mortgage Assn. | 5.739% | 12/1/36 | 9,417 | 9,611 | |
1,3 | Federal National Mortgage Assn. | 5.739% | 3/1/37 | 8,350 | 8,517 | |
1,3 | Federal National Mortgage Assn. | 5.759% | 4/1/36 | 2,251 | 2,297 | |
1,3 | Federal National Mortgage Assn. | 5.787% | 4/1/37 | 2,933 | 2,973 | |
1,3 | Federal National Mortgage Assn. | 5.790% | 4/1/37 | 12,482 | 12,741 | |
1,3 | Federal National Mortgage Assn. | 5.798% | 1/1/36 | 1,321 | 1,346 | |
1,3 | Federal National Mortgage Assn. | 5.815% | 6/1/37 | 1,842 | 1,879 | |
1,3 | Federal National Mortgage Assn. | 5.890% | 9/1/36 | 1,063 | 1,087 | |
1,3 | Federal National Mortgage Assn. | 5.962% | 11/1/36 | 1,405 | 1,438 | |
1,3 | Federal National Mortgage Assn. | 6.085% | 8/1/37 | 1,179 | 1,208 | |
1,3 | Federal National Mortgage Assn. | 6.095% | 6/1/36 | 298 | 305 | |
1,3 | Federal National Mortgage Assn. | 6.619% | 9/1/37 | 1,687 | 1,735 | |
|
|
|
|
| 2,985,575 | |
Total U.S. Government and Agency Obligations (Cost $5,262,035) |
| 5,285,338 | ||||
Corporate Bonds (27.1%) |
|
|
|
| ||
Asset-Backed/Commercial Mortgage-Backed Securities (6.7%) |
|
|
| |||
3,4 | American Express Credit Account Master Trust | 2.561% | 3/15/12 | 18,000 | 17,836 | |
5 | BA Covered Bond Issuer | 5.500% | 6/14/12 | 6,700 | 6,893 | |
3,4 | Banc of America Commercial Mortgage, Inc. | 4.050% | 11/10/38 | 350 | 345 | |
3 | Banc of America Commercial Mortgage, Inc. | 4.153% | 11/10/38 | 650 | 627 | |
3 | Banc of America Commercial Mortgage, Inc. | 4.877% | 7/10/42 | 4,100 | 3,862 | |
3 | Banc of America Commercial Mortgage, Inc. | 5.115% | 10/10/45 | 2,000 | 1,886 | |
3 | Banc of America Commercial Mortgage, Inc. | 5.634% | 7/10/46 | 1,900 | 1,830 | |
3 | Banc of America Commercial Mortgage, Inc. | 5.414% | 9/10/47 | 1,350 | 1,283 | |
3,4 | Banc of America Commercial Mortgage, Inc. | 6.158% | 2/10/51 | 4,075 | 4,003 | |
3,4 | Bank of America Credit Card Trust | 2.451% | 2/15/12 | 24,575 | 24,333 | |
3 | Bear Stearns Commercial Mortgage Securities, Inc. | 5.623% | 3/11/39 | 8,000 | 7,697 | |
14
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
3 | Bear Stearns Commercial Mortgage Securities, Inc. | 5.849% | 6/11/40 | 4,700 | 4,653 |
3 | Bear Stearns Commercial Mortgage Securities, Inc. | 5.405% | 12/11/40 | 4,625 | 4,435 |
3 | Bear Stearns Commercial Mortgage Securities, Inc. | 4.521% | 11/11/41 | 625 | 602 |
3 | Bear Stearns Commercial Mortgage Securities, Inc. | 5.742% | 9/11/42 | 2,250 | 2,134 |
3 | Bear Stearns Commercial Mortgage Securities, Inc. | 5.613% | 6/11/50 | 1,625 | 1,592 |
3 | Bear Stearns Commercial Mortgage Securities, Inc. | 5.694% | 6/11/50 | 7,825 | 7,399 |
3 | Capital Auto Receivables Asset Trust | 4.680% | 10/15/12 | 2,625 | 2,632 |
3,4 | Capital One Master Trust | 2.661% | 6/15/11 | 21,000 | 20,980 |
3,4 | Capital One Master Trust | 2.671% | 11/15/11 | 14,000 | 13,885 |
3 | Capital One Multi-Asset Execution Trust | 3.650% | 7/15/11 | 8,500 | 8,498 |
3 | Capital One Multi-Asset Execution Trust | 5.300% | 2/18/14 | 700 | 710 |
3 | Capital One Multi-Asset Execution Trust | 5.050% | 12/17/18 | 6,000 | 5,798 |
3,4 | Capital One Prime Auto Receivables Trust | 2.491% | 4/15/11 | 6,737 | 6,691 |
3,4 | Chase Credit Card Master Trust | 2.591% | 1/17/11 | 10,000 | 9,986 |
3,4 | Chase Issuance Trust | 2.481% | 2/15/11 | 7,000 | 6,970 |
3 | Chase Issuance Trust | 4.650% | 12/17/12 | 1,300 | 1,311 |
3 | Citibank Credit Card Issuance Trust | 3.500% | 8/16/10 | 29,225 | 29,223 |
3 | Citibank Credit Card Master Trust | 5.875% | 3/10/11 | 1,750 | 1,767 |
3 | Citigroup Commercial Mortgage Trust | 4.623% | 10/15/41 | 500 | 475 |
3,4 | Citigroup Commercial Mortgage Trust | 5.915% | 3/15/49 | 3,825 | 3,732 |
3,4 | Citigroup Commercial Mortgage Trust | 5.889% | 12/10/49 | 1,425 | 1,358 |
3,4 | Citigroup/Deutsche Bank |
|
|
|
|
| Commercial Mortgage Trust | 5.400% | 7/15/44 | 800 | 744 |
3 | Citigroup/Deutsche Bank |
|
|
|
|
| Commercial Mortgage Trust | 5.205% | 12/11/49 | 5,475 | 5,346 |
3 | Citigroup/Deutsche Bank |
|
|
|
|
| Commercial Mortgage Trust | 5.322% | 12/11/49 | 4,400 | 4,080 |
3 | Commercial Mortgage Pass-Through Certificates | 5.248% | 12/10/46 | 400 | 394 |
3,4 | Commercial Mortgage Pass-Through Certificates | 6.010% | 12/10/49 | 3,100 | 2,977 |
3 | Countrywide Home Loans | 4.802% | 5/25/33 | 220 | 213 |
3 | Credit Suisse First Boston |
|
|
|
|
| Mortgage Securities Corp. | 3.936% | 5/15/38 | 1,200 | 1,106 |
3 | Credit Suisse First Boston |
|
|
|
|
| Mortgage Securities Corp. | 5.100% | 8/15/38 | 6,200 | 5,849 |
3 | Credit Suisse Mortgage Capital Certificates | 6.021% | 6/15/38 | 3,025 | 2,966 |
3 | Credit Suisse Mortgage Capital Certificates | 5.609% | 2/15/39 | 12,550 | 12,084 |
3,4 | Credit Suisse Mortgage Capital Certificates | 5.913% | 6/15/39 | 3,175 | 3,028 |
3,4 | CWCapital Cobalt | 6.015% | 5/15/46 | 3,900 | 3,742 |
3 | DaimlerChrysler Auto Trust | 4.200% | 7/8/10 | 975 | 975 |
3 | DaimlerChrysler Auto Trust | 5.330% | 8/8/10 | 1,611 | 1,618 |
3 | DaimlerChrysler Auto Trust | 3.700% | 6/8/12 | 2,500 | 2,466 |
3 | Detroit Edison Securitization Funding LLC | 6.190% | 3/1/13 | 3,000 | 3,091 |
3,4 | Discover Card Master Trust | 5.650% | 12/15/15 | 3,475 | 3,490 |
3,4 | Discover Card Master Trust I | 2.491% | 5/15/11 | 15,000 | 14,956 |
3 | Ford Credit Auto Owner Trust | 4.300% | 8/15/09 | 22 | 22 |
3 | Ford Credit Auto Owner Trust | 4.370% | 10/15/12 | 2,500 | 2,453 |
3,4 | GE Capital Commercial Mortgage Corp. | 5.518% | 3/10/44 | 4,550 | 4,341 |
3 | GE Capital Credit Card Master Note Trust | 5.080% | 9/15/12 | 6,600 | 6,647 |
3 | GMAC Commercial Mortgage Securities, Inc. | 4.908% | 3/10/38 | 200 | 189 |
3 | GMAC Commercial Mortgage Securities, Inc. | 4.646% | 4/10/40 | 500 | 491 |
3,4 | Gracechurch Card Funding PLC | 2.481% | 9/15/10 | 17,000 | 16,959 |
3 | Greenwich Capital Commercial Funding Corp. | 4.948% | 1/11/35 | 1,050 | 1,033 |
3 | Greenwich Capital Commercial Funding Corp. | 5.317% | 6/10/36 | 1,900 | 1,847 |
3 | Greenwich Capital Commercial Funding Corp. | 5.117% | 4/10/37 | 775 | 779 |
3 | Greenwich Capital Commercial Funding Corp. | 5.224% | 4/10/37 | 3,550 | 3,371 |
3 | GS Mortgage Securities Corp. II | 5.993% | 8/10/45 | 2,675 | 2,569 |
3 | Harley-Davidson Motorcycle Trust | 3.200% | 5/15/12 | 244 | 242 |
15
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
3 | Harley-Davidson Motorcycle Trust | 5.210% | 6/17/13 | 6,440 | 6,562 |
3 | Honda Auto Receivables Owner Trust | 4.610% | 8/17/09 | 215 | 215 |
3 | Honda Auto Receivables Owner Trust | 5.300% | 7/21/10 | 2,422 | 2,436 |
3 | Honda Auto Receivables Owner Trust | 5.120% | 10/15/10 | 5,139 | 5,150 |
3 | Honda Auto Receivables Owner Trust | 4.880% | 9/18/14 | 1,200 | 1,207 |
3 | JPMorgan Chase Commercial Mortgage Securities | 5.160% | 4/15/43 | 4,736 | 4,761 |
3 | JPMorgan Chase Commercial Mortgage Securities | 6.065% | 4/15/45 | 3,600 | 3,543 |
3 | JPMorgan Chase Commercial Mortgage Securities | 5.992% | 6/15/49 | 6,275 | 6,237 |
3 | JPMorgan Chase Commercial Mortgage Securities | 6.007% | 6/15/49 | 3,275 | 3,143 |
3 | JPMorgan Chase Commercial Mortgage Securities | 5.794% | 2/12/51 | 5,250 | 4,997 |
3 | JPMorgan Chase Commercial Mortgage Securities | 5.855% | 2/12/51 | 1,350 | 1,334 |
3,4 | JPMorgan Chase Commercial Mortgage Securities | 5.882% | 2/15/51 | 3,225 | 3,089 |
3 | LB-UBS Commercial Mortgage Trust | 4.742% | 2/15/30 | 775 | 719 |
3 | LB-UBS Commercial Mortgage Trust | 4.553% | 7/15/30 | 200 | 199 |
3 | LB-UBS Commercial Mortgage Trust | 5.197% | 11/15/30 | 1,800 | 1,711 |
3 | LB-UBS Commercial Mortgage Trust | 4.853% | 9/15/31 | 2,500 | 2,470 |
3,4 | LB-UBS Commercial Mortgage Trust | 5.661% | 3/15/39 | 1,125 | 1,090 |
3 | LB-UBS Commercial Mortgage Trust | 5.430% | 2/15/40 | 2,625 | 2,448 |
3,4 | LB-UBS Commercial Mortgage Trust | 6.317% | 4/15/41 | 3,775 | 3,696 |
3 | LB-UBS Commercial Mortgage Trust | 5.866% | 9/15/45 | 3,620 | 3,465 |
3,4 | MBNA Credit Card Master Note Trust | 2.471% | 12/15/10 | 14,459 | 14,454 |
3,4 | MBNA Credit Card Master Note Trust | 2.601% | 2/15/11 | 19,000 | 18,974 |
3 | MBNA Credit Card Master Note Trust | 4.300% | 2/15/11 | 950 | 952 |
3,4 | MBNA Credit Card Master Note Trust | 2.461% | 9/15/11 | 10,000 | 9,935 |
3,4 | MBNA Credit Card Master Note Trust | 2.571% | 12/15/11 | 27,500 | 27,298 |
3,4 | MBNA Credit Card Master Note Trust | 2.491% | 2/15/12 | 4,000 | 3,972 |
3 | MBNA Master Credit Card Trust | 7.000% | 2/15/12 | 5,800 | 5,985 |
3 | Merrill Lynch Mortgage Trust | 5.236% | 11/12/35 | 725 | 701 |
3 | Merrill Lynch Mortgage Trust | 5.841% | 5/12/39 | 1,350 | 1,313 |
3,4 | Merrill Lynch Mortgage Trust | 6.023% | 6/12/50 | 10,600 | 10,193 |
3 | Merrill Lynch Mortgage Trust | 5.425% | 2/12/51 | 550 | 535 |
3 | Merrill Lynch Mortgage Trust | 5.690% | 2/12/51 | 1,700 | 1,600 |
3 | Merrill Lynch/ |
|
|
|
|
| Countrywide Commercial Mortgage Trust | 6.104% | 6/12/46 | 5,075 | 5,002 |
3 | Merrill Lynch/ |
|
|
|
|
| Countrywide Commercial Mortgage Trust | 5.378% | 8/12/48 | 3,050 | 2,835 |
3 | Merrill Lynch/ |
|
|
|
|
| Countrywide Commercial Mortgage Trust | 5.590% | 9/12/49 | 1,525 | 1,498 |
3 | Merrill Lynch/ |
|
|
|
|
| Countrywide Commercial Mortgage Trust | 5.700% | 9/12/49 | 4,250 | 4,020 |
3 | Morgan Stanley Capital I | 4.970% | 12/15/41 | 550 | 525 |
3 | Morgan Stanley Capital I | 5.168% | 1/14/42 | 550 | 522 |
3 | Morgan Stanley Capital I | 5.230% | 9/15/42 | 1,675 | 1,593 |
3 | Morgan Stanley Capital I | 5.943% | 10/15/42 | 500 | 489 |
3 | Morgan Stanley Capital I | 6.457% | 1/11/43 | 2,850 | 2,812 |
3 | Morgan Stanley Capital I | 5.809% | 12/12/49 | 225 | 214 |
3 | Morgan Stanley Capital I | 5.090% | 10/12/52 | 1,150 | 1,141 |
3 | Nissan Auto Receivables Owner Trust | 4.190% | 7/15/09 | 80 | 80 |
3 | Nissan Auto Receivables Owner Trust | 5.050% | 11/17/14 | 1,000 | 1,003 |
3 | PECO Energy Transition Trust | 7.625% | 3/1/10 | 4,421 | 4,529 |
3 | PG&E Energy Recovery Funding LLC | 4.140% | 9/25/12 | 350 | 350 |
3 | PG&E Energy Recovery Funding LLC | 5.030% | 3/25/14 | 750 | 756 |
3 | PSE&G Transition Funding LLC | 6.890% | 12/15/17 | 200 | 216 |
3 | Public Service New Hampshire Funding LLC | 6.480% | 5/1/15 | 675 | 700 |
3 | Salomon Brothers Mortgage Securities VII | 4.112% | 9/25/33 | 709 | 682 |
3 | USAA Auto Owner Trust | 4.550% | 2/16/10 | 242 | 242 |
3 | USAA Auto Owner Trust | 5.360% | 2/15/11 | 2,767 | 2,783 |
16
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
3 | Volkswagen Auto Loan Enhanced Trust | 4.800% | 7/20/09 | 62 | 62 |
3 | Wachovia Auto Owner Trust | 4.790% | 4/20/10 | 248 | 248 |
3 | Wachovia Bank Commercial Mortgage Trust | 4.719% | 1/15/41 | 500 | 498 |
3 | Wachovia Bank Commercial Mortgage Trust | 5.001% | 7/15/41 | 525 | 527 |
3 | Wachovia Bank Commercial Mortgage Trust | 5.118% | 7/15/42 | 284 | 268 |
3,4 | Wachovia Bank Commercial Mortgage Trust | 5.928% | 5/15/43 | 1,825 | 1,781 |
3 | Wachovia Bank Commercial Mortgage Trust | 4.699% | 5/15/44 | 2,150 | 1,983 |
3,4 | Wachovia Bank Commercial Mortgage Trust | 5.384% | 10/15/44 | 2,500 | 2,395 |
3,4 | Wachovia Bank Commercial Mortgage Trust | 5.440% | 12/15/44 | 4,750 | 4,533 |
3 | World Omni Auto Receivables Trust | 3.940% | 10/15/12 | 2,500 | 2,469 |
|
|
|
|
| 516,634 |
Finance (9.0%) |
|
|
|
| |
| Banking (3.9%) |
|
|
|
|
| Abbey National PLC | 7.950% | 10/26/29 | 1,250 | 1,272 |
| AmSouth Bank NA | 5.200% | 4/1/15 | 775 | 683 |
| BAC Capital Trust XI | 6.625% | 5/23/36 | 3,450 | 3,240 |
| Banc One Corp. | 7.625% | 10/15/26 | 175 | 183 |
5 | Banco Bilbao Vizcaya ARG | 5.750% | 7/20/17 | 3,375 | 3,571 |
| Bank of America Capital Trust XIV | 5.630% | 12/31/49 | 425 | 334 |
| Bank of America Corp. | 4.500% | 8/1/10 | 1,300 | 1,303 |
| Bank of America Corp. | 4.250% | 10/1/10 | 800 | 796 |
| Bank of America Corp. | 4.375% | 12/1/10 | 300 | 299 |
| Bank of America Corp. | 5.375% | 8/15/11 | 1,525 | 1,542 |
| Bank of America Corp. | 6.250% | 4/15/12 | 1,250 | 1,297 |
| Bank of America Corp. | 4.875% | 9/15/12 | 525 | 520 |
| Bank of America Corp. | 4.900% | 5/1/13 | 4,300 | 4,249 |
| Bank of America Corp. | 5.375% | 6/15/14 | 375 | 364 |
| Bank of America Corp. | 5.125% | 11/15/14 | 2,525 | 2,484 |
| Bank of America Corp. | 4.750% | 8/1/15 | 500 | 464 |
| Bank of America Corp. | 5.250% | 12/1/15 | 300 | 290 |
| Bank of America Corp. | 5.750% | 8/15/16 | 350 | 342 |
| Bank of America Corp. | 5.625% | 10/14/16 | 1,850 | 1,759 |
| Bank of America Corp. | 5.300% | 3/15/17 | 3,525 | 3,318 |
| Bank of America Corp. | 5.420% | 3/15/17 | 1,250 | 1,148 |
| Bank of America Corp. | 6.100% | 6/15/17 | 900 | 873 |
| Bank of America Corp. | 6.000% | 9/1/17 | 125 | 120 |
| Bank of America Corp. | 5.750% | 12/1/17 | 25 | 24 |
| Bank of America Corp. | 5.650% | 5/1/18 | 1,975 | 1,845 |
| Bank of America Corp. | 5.625% | 3/8/35 | 1,025 | 842 |
| Bank of America Corp. | 6.000% | 10/15/36 | 925 | 862 |
| Bank of America Corp. | 6.500% | 9/15/37 | 350 | 329 |
| Bank of New York Mellon | 4.950% | 1/14/11 | 1,075 | 1,086 |
| Bank of New York Mellon | 4.950% | 11/1/12 | 2,500 | 2,505 |
| Bank of New York Mellon | 4.950% | 3/15/15 | 1,350 | 1,303 |
| Bank of Tokyo-Mitsubishi | 8.400% | 4/15/10 | 500 | 531 |
| Bank One Corp. | 7.875% | 8/1/10 | 2,200 | 2,326 |
| Bank One Corp. | 5.250% | 1/30/13 | 725 | 719 |
| Bank One Corp. | 4.900% | 4/30/15 | 800 | 756 |
| BankAmerica Capital II | 8.000% | 12/15/26 | 900 | 910 |
| Barclays Bank PLC | 5.450% | 9/12/12 | 325 | 329 |
| Barclays Bank PLC | 6.278% | 12/29/49 | 375 | 307 |
| BB&T Corp. | 6.500% | 8/1/11 | 100 | 102 |
| BB&T Corp. | 4.750% | 10/1/12 | 1,425 | 1,374 |
| BB&T Corp. | 5.200% | 12/23/15 | 725 | 655 |
| BB&T Corp. | 5.625% | 9/15/16 | 700 | 641 |
| BB&T Corp. | 5.250% | 11/1/19 | 1,825 | 1,574 |
| BB&T Corp. | 6.750% | 6/7/36 | 1,025 | 916 |
17
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Charter One Bank N.A. | 5.500% | 4/26/11 | 1,000 | 1,013 |
3,5 | Citicorp Lease Pass-Through Trust | 8.040% | 12/15/19 | 225 | 241 |
3 | Citigroup Capital XXI | 8.300% | 12/21/57 | 2,550 | 2,397 |
| Citigroup, Inc. | 4.250% | 7/29/09 | 275 | 276 |
| Citigroup, Inc. | 4.125% | 2/22/10 | 775 | 768 |
| Citigroup, Inc. | 6.500% | 1/18/11 | 1,825 | 1,894 |
| Citigroup, Inc. | 5.100% | 9/29/11 | 2,425 | 2,408 |
| Citigroup, Inc. | 6.000% | 2/21/12 | 325 | 322 |
| Citigroup, Inc. | 5.250% | 2/27/12 | 5,000 | 4,960 |
| Citigroup, Inc. | 5.500% | 8/27/12 | 525 | 518 |
| Citigroup, Inc. | 5.625% | 8/27/12 | 3,100 | 3,070 |
| Citigroup, Inc. | 5.300% | 10/17/12 | 3,600 | 3,520 |
| Citigroup, Inc. | 5.125% | 5/5/14 | 300 | 282 |
| Citigroup, Inc. | 5.000% | 9/15/14 | 5,904 | 5,364 |
| Citigroup, Inc. | 4.875% | 5/7/15 | 75 | 68 |
| Citigroup, Inc. | 4.700% | 5/29/15 | 275 | 253 |
| Citigroup, Inc. | 5.300% | 1/7/16 | 325 | 306 |
| Citigroup, Inc. | 6.000% | 8/15/17 | 1,875 | 1,816 |
| Citigroup, Inc. | 6.125% | 11/21/17 | 1,550 | 1,507 |
| Citigroup, Inc. | 6.125% | 5/15/18 | 4,050 | 3,917 |
| Citigroup, Inc. | 6.625% | 6/15/32 | 2,875 | 2,620 |
| Citigroup, Inc. | 5.875% | 2/22/33 | 2,625 | 2,179 |
| Citigroup, Inc. | 6.000% | 10/31/33 | 550 | 463 |
| Citigroup, Inc. | 5.850% | 12/11/34 | 400 | 339 |
| Citigroup, Inc. | 6.875% | 3/5/38 | 2,975 | 2,881 |
| Colonial Bank NA | 6.375% | 12/1/15 | 125 | 105 |
| Comerica Bank | 5.750% | 11/21/16 | 1,850 | 1,669 |
| Comerica Bank | 5.200% | 8/22/17 | 450 | 378 |
| Compass Bank | 6.400% | 10/1/17 | 475 | 461 |
| Compass Bank | 5.900% | 4/1/26 | 225 | 190 |
| Credit Suisse First Boston USA, Inc. | 4.875% | 8/15/10 | 2,400 | 2,427 |
| Credit Suisse First Boston USA, Inc. | 5.250% | 3/2/11 | 900 | 914 |
| Credit Suisse First Boston USA, Inc. | 5.500% | 8/16/11 | 875 | 897 |
| Credit Suisse First Boston USA, Inc. | 6.125% | 11/15/11 | 350 | 358 |
| Credit Suisse First Boston USA, Inc. | 6.500% | 1/15/12 | 2,540 | 2,634 |
| Credit Suisse First Boston USA, Inc. | 5.500% | 8/15/13 | 2,350 | 2,351 |
| Credit Suisse First Boston USA, Inc. | 4.875% | 1/15/15 | 2,525 | 2,382 |
| Credit Suisse First Boston USA, Inc. | 5.125% | 8/15/15 | 1,150 | 1,062 |
| Credit Suisse First Boston USA, Inc. | 5.375% | 3/2/16 | 75 | 72 |
| Credit Suisse First Boston USA, Inc. | 7.125% | 7/15/32 | 1,375 | 1,500 |
| Credit Suisse First Boston USA, Inc. | 5.860% | 5/15/49 | 800 | 676 |
| Credit Suisse New York | 5.000% | 5/15/13 | 2,125 | 2,094 |
| Deutsche Bank AG London | 5.375% | 10/12/12 | 1,700 | 1,723 |
| Deutsche Bank AG London | 6.000% | 9/1/17 | 3,275 | 3,330 |
| Deutsche Bank Financial | 4.875% | 5/20/13 | 1,475 | 1,455 |
| Deutsche Bank Financial LLC | 5.375% | 3/2/15 | 1,150 | 1,118 |
| Fifth Third Bank | 4.200% | 2/23/10 | 525 | 504 |
| Fifth Third Bank | 6.250% | 5/1/13 | 750 | 689 |
| Fifth Third Bank | 4.750% | 2/1/15 | 675 | 568 |
| Fifth Third Bank | 4.500% | 6/1/18 | 700 | 539 |
| Fifth Third Bank | 8.250% | 3/1/38 | 1,200 | 971 |
| First Tennessee Bank | 5.050% | 1/15/15 | 125 | 107 |
| First Union Institutional Capital I | 8.040% | 12/1/26 | 175 | 169 |
| FirstStar Bank | 7.125% | 12/1/09 | 275 | 287 |
| Fleet Capital Trust II | 7.920% | 12/11/26 | 725 | 746 |
| Golden West Financial Corp. | 4.750% | 10/1/12 | 450 | 436 |
5 | HBOS Treasury Services PLC | 5.250% | 2/21/17 | 2,650 | 2,608 |
18
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
5 | HBOS Treasury Services PLC | 6.750% | 5/21/18 | 900 | 843 |
| HSBC Bank PLC | 6.950% | 3/15/11 | 350 | 364 |
| HSBC Bank USA | 4.625% | 4/1/14 | 1,900 | 1,825 |
| HSBC Bank USA | 5.875% | 11/1/34 | 1,225 | 1,096 |
| HSBC Bank USA | 5.625% | 8/15/35 | 1,425 | 1,217 |
| HSBC Holdings PLC | 7.500% | 7/15/09 | 1,300 | 1,332 |
| HSBC Holdings PLC | 7.350% | 11/27/32 | 125 | 125 |
| HSBC Holdings PLC | 6.500% | 5/2/36 | 1,550 | 1,450 |
| HSBC Holdings PLC | 6.500% | 9/15/37 | 2,225 | 2,069 |
| HSBC Holdings PLC | 6.800% | 6/1/38 | 150 | 142 |
5 | ICICI Bank Ltd. | 6.625% | 10/3/12 | 775 | 762 |
| JPM Capital Trust | 6.550% | 9/29/36 | 650 | 569 |
| JPMorgan Capital Trust | 5.875% | 3/15/35 | 1,525 | 1,259 |
| JPMorgan Chase & Co. | 6.750% | 2/1/11 | 1,000 | 1,041 |
| JPMorgan Chase & Co. | 5.600% | 6/1/11 | 2,200 | 2,257 |
| JPMorgan Chase & Co. | 4.850% | 6/16/11 | 2,275 | 2,290 |
| JPMorgan Chase & Co. | 4.500% | 1/15/12 | 4,625 | 4,583 |
| JPMorgan Chase & Co. | 6.625% | 3/15/12 | 400 | 419 |
| JPMorgan Chase & Co. | 5.375% | 10/1/12 | 4,175 | 4,218 |
| JPMorgan Chase & Co. | 5.750% | 1/2/13 | 1,075 | 1,085 |
| JPMorgan Chase & Co. | 4.750% | 5/1/13 | 625 | 602 |
| JPMorgan Chase & Co. | 4.875% | 3/15/14 | 260 | 257 |
| JPMorgan Chase & Co. | 5.125% | 9/15/14 | 295 | 277 |
| JPMorgan Chase & Co. | 4.750% | 3/1/15 | 1,625 | 1,543 |
| JPMorgan Chase & Co. | 5.250% | 5/1/15 | 3,650 | 3,594 |
| JPMorgan Chase & Co. | 5.150% | 10/1/15 | 1,175 | 1,125 |
| JPMorgan Chase & Co. | 5.875% | 6/13/16 | 525 | 516 |
| JPMorgan Chase & Co. | 6.125% | 6/27/17 | 700 | 688 |
| JPMorgan Chase & Co. | 5.850% | 8/1/35 | 100 | 81 |
| JPMorgan Chase & Co. | 6.400% | 5/15/38 | 1,500 | 1,409 |
| JPMorgan Chase Capital XXII | 6.450% | 2/2/37 | 2,700 | 2,315 |
| JPMorgan Chase Capital XXV | 6.800% | 10/1/37 | 1,175 | 1,044 |
| Key Bank NA | 7.000% | 2/1/11 | 300 | 301 |
| Key Bank NA | 5.500% | 9/17/12 | 950 | 864 |
| Key Bank NA | 4.950% | 9/15/15 | 800 | 679 |
| Key Bank NA | 5.450% | 3/3/16 | 1,600 | 1,338 |
| KeyCorp | 6.500% | 5/14/13 | 75 | 66 |
| Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 1,175 | 1,139 |
| Marshall & Ilsley Bank | 4.850% | 6/16/15 | 450 | 365 |
| Marshall & Ilsley Corp. | 4.375% | 8/1/09 | 900 | 875 |
| MBNA America Bank NA | 4.625% | 8/3/09 | 50 | 50 |
| MBNA America Bank NA | 6.625% | 6/15/12 | 650 | 688 |
| MBNA Corp. | 7.500% | 3/15/12 | 725 | 780 |
| MBNA Corp. | 6.125% | 3/1/13 | 550 | 569 |
| MBNA Corp. | 5.000% | 6/15/15 | 825 | 796 |
| Mellon Funding Corp. | 5.000% | 12/1/14 | 350 | 339 |
| National City Bank | 4.150% | 8/1/09 | 275 | 264 |
| National City Bank | 4.500% | 3/15/10 | 650 | 592 |
| National City Bank | 6.250% | 3/15/11 | 925 | 821 |
| National City Corp. | 4.900% | 1/15/15 | 750 | 574 |
| National City Corp. | 6.875% | 5/15/19 | 550 | 411 |
| NationsBank Corp. | 6.800% | 3/15/28 | 900 | 905 |
5 | Nationwide Building Society | 5.500% | 7/18/12 | 3,400 | 3,450 |
5 | Northern Rock PLC | 5.625% | 6/22/17 | 6,700 | 6,744 |
| PNC Bank NA | 4.875% | 9/21/17 | 2,075 | 1,833 |
| PNC Funding Corp. | 5.125% | 12/14/10 | 300 | 301 |
| PNC Funding Corp. | 5.250% | 11/15/15 | 1,075 | 1,003 |
19
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| PNC Funding Corp. | 5.625% | 2/1/17 | 225 | 210 |
| Regions Financial Corp. | 7.000% | 3/1/11 | 975 | 995 |
| Regions Financial Corp. | 6.375% | 5/15/12 | 2,275 | 2,247 |
3 | Regions Financial Corp. | 6.625% | 5/15/47 | 1,100 | 761 |
| Royal Bank of Canada | 4.125% | 1/26/10 | 2,300 | 2,317 |
| Royal Bank of Scotland Group PLC | 5.000% | 11/12/13 | 1,325 | 1,295 |
| Royal Bank of Scotland Group PLC | 5.050% | 1/8/15 | 2,250 | 2,150 |
| Royal Bank of Scotland Group PLC | 7.648% | 8/29/49 | 5,025 | 4,874 |
| Santander Central Hispano Issuances | 7.625% | 9/14/10 | 2,375 | 2,512 |
| Santander Finance Issuances | 6.375% | 2/15/11 | 475 | 490 |
| Sanwa Bank Ltd. | 8.350% | 7/15/09 | 1,175 | 1,220 |
| Sanwa Bank Ltd. | 7.400% | 6/15/11 | 2,400 | 2,549 |
| Southtrust Corp. | 5.800% | 6/15/14 | 225 | 221 |
| Sovereign Bancorp, Inc. | 4.800% | 9/1/10 | 1,100 | 970 |
| Sovereign Bancorp, Inc. | 8.750% | 5/30/18 | 450 | 454 |
5 | Standard Chartered PLC | 6.409% | 12/31/49 | 700 | 576 |
| State Street Capital Trust | 5.300% | 1/15/16 | 275 | 261 |
| Sumitomo Bank International Finance NV | 8.500% | 6/15/09 | 925 | 961 |
| Sumitomo Mitsui Banking Corp. | 8.000% | 6/15/12 | 3,090 | 3,356 |
| SunTrust Banks, Inc. | 4.250% | 10/15/09 | 1,000 | 992 |
| SunTrust Banks, Inc. | 6.375% | 4/1/11 | 200 | 208 |
| SunTrust Banks, Inc. | 5.250% | 11/5/12 | 850 | 836 |
| SunTrust Banks, Inc. | 6.000% | 9/11/17 | 800 | 771 |
| SunTrust Banks, Inc. | 7.250% | 3/15/18 | 275 | 274 |
| SunTrust Banks, Inc. | 6.000% | 2/15/26 | 1,075 | 907 |
3 | SunTrust Capital VIII | 6.100% | 12/1/66 | 350 | 283 |
| Swiss Bank Corp. | 7.000% | 10/15/15 | 675 | 711 |
| Swiss Bank Corp. | 7.375% | 6/15/17 | 175 | 189 |
| Synovus Financial Corp. | 5.125% | 6/15/17 | 600 | 507 |
| UBS AG | 5.875% | 7/15/16 | 3,050 | 3,011 |
| UBS AG | 5.875% | 12/20/17 | 1,550 | 1,527 |
| UBS AG | 5.750% | 4/25/18 | 1,050 | 1,025 |
| UFJ Finance Aruba AEC | 6.750% | 7/15/13 | 2,350 | 2,432 |
| Union Bank of California NA | 5.950% | 5/11/16 | 550 | 524 |
| Union Planters Corp. | 7.750% | 3/1/11 | 1,175 | 1,221 |
| UnionBanCal Corp. | 5.250% | 12/16/13 | 125 | 120 |
| US Bank NA | 6.375% | 8/1/11 | 1,275 | 1,340 |
| US Bank NA | 6.300% | 2/4/14 | 2,000 | 2,090 |
| US Bank NA | 4.950% | 10/30/14 | 575 | 565 |
| USB Capital IX | 6.189% | 4/15/49 | 700 | 524 |
| Wachovia Bank NA | 4.875% | 2/1/15 | 4,000 | 3,650 |
| Wachovia Bank NA | 5.000% | 8/15/15 | 175 | 158 |
| Wachovia Bank NA | 6.000% | 11/15/17 | 700 | 665 |
| Wachovia Bank NA | 5.850% | 2/1/37 | 3,250 | 2,644 |
| Wachovia Bank NA | 6.600% | 1/15/38 | 825 | 735 |
3,4 | Wachovia Capital Trust III | 5.800% | 3/15/42 | 1,650 | 1,139 |
| Wachovia Corp. | 7.875% | 2/15/10 | 1,850 | 1,939 |
| Wachovia Corp. | 4.375% | 6/1/10 | 1,000 | 989 |
| Wachovia Corp. | 5.300% | 10/15/11 | 400 | 394 |
| Wachovia Corp. | 5.500% | 5/1/13 | 2,250 | 2,179 |
| Wachovia Corp. | 4.875% | 2/15/14 | 425 | 384 |
| Wachovia Corp. | 5.625% | 10/15/16 | 625 | 580 |
| Wachovia Corp. | 5.750% | 6/15/17 | 3,300 | 3,047 |
| Wachovia Corp. | 5.750% | 2/1/18 | 1,200 | 1,105 |
5 | Wachovia Corp. | 8.000% | 12/15/26 | 775 | 799 |
| Wachovia Corp. | 7.500% | 4/15/35 | 100 | 100 |
| Wachovia Corp. | 5.500% | 8/1/35 | 1,050 | 810 |
20
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Wachovia Corp. | 6.550% | 10/15/35 | 100 | 88 |
Washington Mutual Bank | 6.875% | 6/15/11 | 1,400 | 1,204 |
Washington Mutual Bank | 5.500% | 1/15/13 | 925 | 766 |
Washington Mutual Bank | 5.125% | 1/15/15 | 1,175 | 890 |
Washington Mutual, Inc. | 4.200% | 1/15/10 | 50 | 46 |
Washington Mutual, Inc. | 5.000% | 3/22/12 | 1,225 | 1,027 |
Washington Mutual, Inc. | 5.250% | 9/15/17 | 1,775 | 1,384 |
Wells Fargo & Co. | 4.200% | 1/15/10 | 6,425 | 6,446 |
Wells Fargo & Co. | 4.875% | 1/12/11 | 950 | 963 |
Wells Fargo & Co. | 5.300% | 8/26/11 | 300 | 302 |
Wells Fargo & Co. | 5.125% | 9/1/12 | 650 | 645 |
Wells Fargo & Co. | 5.250% | 10/23/12 | 1,250 | 1,241 |
Wells Fargo & Co. | 4.375% | 1/31/13 | 200 | 191 |
Wells Fargo & Co. | 4.950% | 10/16/13 | 375 | 365 |
Wells Fargo & Co. | 5.625% | 12/11/17 | 1,600 | 1,538 |
Wells Fargo & Co. | 5.375% | 2/7/35 | 750 | 624 |
Wells Fargo Bank NA | 6.450% | 2/1/11 | 1,175 | 1,232 |
Wells Fargo Bank NA | 4.750% | 2/9/15 | 2,750 | 2,641 |
Wells Fargo Bank NA | 5.750% | 5/16/16 | 3,400 | 3,458 |
Wells Fargo Bank NA | 5.950% | 8/26/36 | 800 | 765 |
Wells Fargo Capital X | 5.950% | 12/15/36 | 50 | 45 |
Wells Fargo Capital XIII | 7.700% | 12/29/49 | 925 | 933 |
Wells Fargo Financial | 5.500% | 8/1/12 | 675 | 685 |
World Savings Bank, FSB | 4.125% | 12/15/09 | 200 | 198 |
Zions Bancorp. | 5.500% | 11/16/15 | 850 | 676 |
|
|
|
|
|
Brokerage (1.8%) |
|
|
|
|
Ameriprise Financial Inc. | 5.350% | 11/15/10 | 1,050 | 1,034 |
Ameriprise Financial Inc. | 5.650% | 11/15/15 | 875 | 830 |
Amvescap PLC | 5.375% | 2/27/13 | 25 | 23 |
Bear Stearns Co., Inc. | 4.550% | 6/23/10 | 1,350 | 1,338 |
Bear Stearns Co., Inc. | 4.500% | 10/28/10 | 400 | 395 |
Bear Stearns Co., Inc. | 5.500% | 8/15/11 | 75 | 74 |
Bear Stearns Co., Inc. | 5.350% | 2/1/12 | 4,250 | 4,214 |
Bear Stearns Co., Inc. | 5.700% | 11/15/14 | 1,450 | 1,396 |
Bear Stearns Co., Inc. | 5.300% | 10/30/15 | 400 | 371 |
Bear Stearns Co., Inc. | 5.550% | 1/22/17 | 1,250 | 1,155 |
Bear Stearns Co., Inc. | 6.400% | 10/2/17 | 900 | 892 |
Bear Stearns Co., Inc. | 7.250% | 2/1/18 | 1,200 | 1,255 |
BlackRock, Inc. | 6.250% | 9/15/17 | 525 | 529 |
Goldman Sachs Capital II | 5.793% | 6/1/49 | 1,125 | 796 |
Goldman Sachs Group, Inc. | 4.500% | 6/15/10 | 1,910 | 1,912 |
Goldman Sachs Group, Inc. | 6.875% | 1/15/11 | 1,775 | 1,847 |
Goldman Sachs Group, Inc. | 6.600% | 1/15/12 | 6,125 | 6,390 |
Goldman Sachs Group, Inc. | 5.450% | 11/1/12 | 1,675 | 1,685 |
Goldman Sachs Group, Inc. | 5.250% | 4/1/13 | 1,275 | 1,265 |
Goldman Sachs Group, Inc. | 4.750% | 7/15/13 | 1,650 | 1,596 |
Goldman Sachs Group, Inc. | 5.250% | 10/15/13 | 1,525 | 1,512 |
Goldman Sachs Group, Inc. | 5.150% | 1/15/14 | 2,525 | 2,526 |
Goldman Sachs Group, Inc. | 5.000% | 10/1/14 | 275 | 271 |
Goldman Sachs Group, Inc. | 5.125% | 1/15/15 | 2,250 | 2,172 |
Goldman Sachs Group, Inc. | 5.350% | 1/15/16 | 1,850 | 1,789 |
Goldman Sachs Group, Inc. | 5.625% | 1/15/17 | 1,775 | 1,651 |
Goldman Sachs Group, Inc. | 6.250% | 9/1/17 | 1,925 | 1,914 |
Goldman Sachs Group, Inc. | 5.950% | 1/18/18 | 3,350 | 3,213 |
Goldman Sachs Group, Inc. | 6.150% | 4/1/18 | 2,525 | 2,454 |
Goldman Sachs Group, Inc. | 5.950% | 1/15/27 | 1,375 | 1,184 |
21
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Goldman Sachs Group, Inc. | 6.125% | 2/15/33 | 350 | 306 |
| Goldman Sachs Group, Inc. | 6.345% | 2/15/34 | 1,150 | 980 |
| Goldman Sachs Group, Inc. | 6.450% | 5/1/36 | 675 | 605 |
| Goldman Sachs Group, Inc. | 6.750% | 10/1/37 | 5,650 | 5,231 |
| Janus Capital Group | 5.875% | 9/15/11 | 400 | 387 |
| Janus Capital Group | 6.700% | 6/15/17 | 375 | 348 |
| Jefferies Group Inc. | 6.450% | 6/8/27 | 2,300 | 1,801 |
| Jefferies Group Inc. | 6.250% | 1/15/36 | 925 | 673 |
| Lazard Group | 6.850% | 6/15/17 | 1,750 | 1,535 |
| Lehman Brothers Capital Trust VII | 5.857% | 11/29/49 | 750 | 480 |
| Lehman Brothers Holdings, Inc. | 3.950% | 11/10/09 | 675 | 657 |
| Lehman Brothers Holdings, Inc. | 4.250% | 1/27/10 | 1,050 | 1,018 |
| Lehman Brothers Holdings, Inc. | 4.500% | 7/26/10 | 2,275 | 2,187 |
| Lehman Brothers Holdings, Inc. | 5.000% | 1/14/11 | 500 | 484 |
| Lehman Brothers Holdings, Inc. | 6.625% | 1/18/12 | 4,025 | 3,997 |
| Lehman Brothers Holdings, Inc. | 5.250% | 2/6/12 | 400 | 381 |
| Lehman Brothers Holdings, Inc. | 6.000% | 7/19/12 | 200 | 193 |
| Lehman Brothers Holdings, Inc. | 5.625% | 1/24/13 | 1,600 | 1,519 |
| Lehman Brothers Holdings, Inc. | 5.750% | 5/17/13 | 1,650 | 1,578 |
| Lehman Brothers Holdings, Inc. | 5.500% | 4/4/16 | 950 | 861 |
| Lehman Brothers Holdings, Inc. | 5.750% | 1/3/17 | 125 | 110 |
| Lehman Brothers Holdings, Inc. | 6.500% | 7/19/17 | 3,600 | 3,351 |
| Lehman Brothers Holdings, Inc. | 6.750% | 12/28/17 | 2,100 | 1,981 |
| Lehman Brothers Holdings, Inc. | 6.875% | 5/2/18 | 2,000 | 1,943 |
| Lehman Brothers Holdings, Inc. | 7.000% | 9/27/27 | 1,600 | 1,497 |
3 | Lehman Brothers Holdings, Inc. | 6.000% | 5/3/32 | 550 | 454 |
| Lehman Brothers Holdings, Inc. | 7.500% | 5/11/38 | 1,450 | 1,342 |
| Merrill Lynch & Co., Inc. | 4.125% | 9/10/09 | 1,325 | 1,323 |
| Merrill Lynch & Co., Inc. | 4.250% | 2/8/10 | 2,150 | 2,119 |
| Merrill Lynch & Co., Inc. | 4.790% | 8/4/10 | 600 | 593 |
| Merrill Lynch & Co., Inc. | 5.770% | 7/25/11 | 975 | 980 |
| Merrill Lynch & Co., Inc. | 6.050% | 8/15/12 | 975 | 942 |
| Merrill Lynch & Co., Inc. | 6.150% | 4/25/13 | 2,825 | 2,755 |
| Merrill Lynch & Co., Inc. | 5.000% | 2/3/14 | 500 | 457 |
| Merrill Lynch & Co., Inc. | 5.450% | 7/15/14 | 550 | 523 |
| Merrill Lynch & Co., Inc. | 5.000% | 1/15/15 | 3,150 | 2,782 |
| Merrill Lynch & Co., Inc. | 5.700% | 5/2/17 | 2,325 | 2,062 |
| Merrill Lynch & Co., Inc. | 6.400% | 8/28/17 | 2,750 | 2,548 |
| Merrill Lynch & Co., Inc. | 6.875% | 4/25/18 | 1,875 | 1,782 |
| Merrill Lynch & Co., Inc. | 6.220% | 9/15/26 | 725 | 630 |
| Merrill Lynch & Co., Inc. | 6.110% | 1/29/37 | 1,975 | 1,608 |
| Merrill Lynch & Co., Inc. | 7.750% | 5/14/38 | 2,075 | 1,998 |
| Morgan Stanley Dean Witter | 4.000% | 1/15/10 | 3,325 | 3,300 |
| Morgan Stanley Dean Witter | 4.250% | 5/15/10 | 1,300 | 1,269 |
| Morgan Stanley Dean Witter | 6.750% | 4/15/11 | 2,175 | 2,242 |
| Morgan Stanley Dean Witter | 5.625% | 1/9/12 | 5,525 | 5,503 |
| Morgan Stanley Dean Witter | 5.750% | 8/31/12 | 600 | 596 |
| Morgan Stanley Dean Witter | 4.750% | 4/1/14 | 5,725 | 5,164 |
| Morgan Stanley Dean Witter | 6.000% | 4/28/15 | 1,950 | 1,878 |
| Morgan Stanley Dean Witter | 5.375% | 10/15/15 | 925 | 851 |
| Morgan Stanley Dean Witter | 5.750% | 10/18/16 | 1,175 | 1,075 |
| Morgan Stanley Dean Witter | 5.450% | 1/9/17 | 1,400 | 1,253 |
| Morgan Stanley Dean Witter | 5.550% | 4/27/17 | 375 | 336 |
| Morgan Stanley Dean Witter | 5.950% | 12/28/17 | 1,075 | 982 |
| Morgan Stanley Dean Witter | 6.625% | 4/1/18 | 3,450 | 3,284 |
| Morgan Stanley Dean Witter | 6.250% | 8/9/26 | 2,375 | 2,098 |
| Morgan Stanley Dean Witter | 7.250% | 4/1/32 | 1,200 | 1,217 |
22
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Finance Companies (1.7%) |
|
|
|
|
| Allied Capital Corp. | 6.000% | 4/1/12 | 375 | 350 |
| American Express Bank, FSB | 5.550% | 10/17/12 | 650 | 640 |
| American Express Bank, FSB | 5.500% | 4/16/13 | 1,950 | 1,939 |
| American Express Bank, FSB | 6.000% | 9/13/17 | 575 | 546 |
| American Express Centurion Bank | 4.375% | 7/30/09 | 775 | 780 |
| American Express Centurion Bank | 5.550% | 10/17/12 | 700 | 699 |
| American Express Centurion Bank | 6.000% | 9/13/17 | 725 | 723 |
| American Express Co. | 4.750% | 6/17/09 | 175 | 176 |
3 | American Express Co. | 6.800% | 9/1/16 | 700 | 664 |
| American Express Co. | 5.500% | 9/12/16 | 500 | 466 |
| American Express Co. | 6.150% | 8/28/17 | 1,525 | 1,456 |
| American Express Credit Corp. | 5.000% | 12/2/10 | 975 | 991 |
| American Express Credit Corp. | 5.875% | 5/2/13 | 1,600 | 1,593 |
5 | American Express Travel | 5.250% | 11/21/11 | 1,275 | 1,268 |
| American General Finance Corp. | 3.875% | 10/1/09 | 325 | 317 |
| American General Finance Corp. | 4.875% | 5/15/10 | 350 | 340 |
| American General Finance Corp. | 5.625% | 8/17/11 | 725 | 702 |
| American General Finance Corp. | 4.875% | 7/15/12 | 1,050 | 973 |
| American General Finance Corp. | 5.850% | 6/1/13 | 1,925 | 1,790 |
| American General Finance Corp. | 5.750% | 9/15/16 | 3,500 | 3,046 |
| American General Finance Corp. | 6.900% | 12/15/17 | 1,300 | 1,157 |
| Block Financial LLC | 7.875% | 1/15/13 | 200 | 214 |
| Capital One Bank | 5.750% | 9/15/10 | 1,375 | 1,364 |
| Capital One Capital III | 7.686% | 8/15/36 | 600 | 497 |
| Capital One Capital IV | 6.745% | 2/17/37 | 375 | 283 |
| Capital One Financial | 5.700% | 9/15/11 | 400 | 376 |
| Capital One Financial | 4.800% | 2/21/12 | 175 | 162 |
| Capital One Financial | 5.500% | 6/1/15 | 425 | 381 |
| Capital One Financial | 6.150% | 9/1/16 | 900 | 783 |
| Capital One Financial | 5.250% | 2/21/17 | 1,150 | 1,012 |
| Capital One Financial | 6.750% | 9/15/17 | 2,275 | 2,264 |
| Capmark Financial Group | 5.875% | 5/10/12 | 150 | 105 |
| Capmark Financial Group | 6.300% | 5/10/17 | 400 | 256 |
| CIT Group Co. of Canada | 4.650% | 7/1/10 | 800 | 687 |
| CIT Group Co. of Canada | 5.600% | 11/2/11 | 400 | 320 |
| CIT Group Co. of Canada | 5.200% | 6/1/15 | 675 | 473 |
| CIT Group, Inc. | 4.250% | 2/1/10 | 600 | 527 |
| CIT Group, Inc. | 5.200% | 11/3/10 | 325 | 276 |
| CIT Group, Inc. | 4.750% | 12/15/10 | 525 | 448 |
| CIT Group, Inc. | 5.600% | 4/27/11 | 175 | 143 |
| CIT Group, Inc. | 5.800% | 7/28/11 | 425 | 350 |
| CIT Group, Inc. | 7.625% | 11/30/12 | 275 | 239 |
| CIT Group, Inc. | 5.400% | 3/7/13 | 100 | 80 |
| CIT Group, Inc. | 5.125% | 9/30/14 | 2,650 | 1,905 |
| CIT Group, Inc. | 5.000% | 2/1/15 | 275 | 203 |
| CIT Group, Inc. | 5.400% | 1/30/16 | 525 | 388 |
| CIT Group, Inc. | 5.850% | 9/15/16 | 800 | 597 |
| CIT Group, Inc. | 5.650% | 2/13/17 | 3,800 | 2,769 |
| CIT Group, Inc. | 6.000% | 4/1/36 | 750 | 562 |
3 | CIT Group, Inc. | 6.100% | 3/15/67 | 25 | 12 |
| Countrywide Home Loan | 4.125% | 9/15/09 | 1,700 | 1,624 |
| Countrywide Home Loan | 4.000% | 3/22/11 | 1,425 | 1,295 |
| General Electric Capital Corp. | 5.250% | 10/27/09 | 700 | 717 |
| General Electric Capital Corp. | 4.875% | 10/21/10 | 1,600 | 1,630 |
| General Electric Capital Corp. | 6.125% | 2/22/11 | 5,420 | 5,679 |
| General Electric Capital Corp. | 5.500% | 4/28/11 | 1,450 | 1,494 |
23
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| General Electric Capital Corp. | 5.875% | 2/15/12 | 10,500 | 10,856 |
| General Electric Capital Corp. | 4.375% | 3/3/12 | 1,050 | 1,037 |
| General Electric Capital Corp. | 6.000% | 6/15/12 | 3,175 | 3,283 |
| General Electric Capital Corp. | 5.250% | 10/19/12 | 7,625 | 7,662 |
| General Electric Capital Corp. | 5.450% | 1/15/13 | 650 | 654 |
| General Electric Capital Corp. | 4.800% | 5/1/13 | 600 | 588 |
| General Electric Capital Corp. | 5.500% | 6/4/14 | 3,000 | 3,080 |
| General Electric Capital Corp. | 5.650% | 6/9/14 | 1,225 | 1,254 |
| General Electric Capital Corp. | 5.375% | 10/20/16 | 325 | 322 |
| General Electric Capital Corp. | 5.400% | 2/15/17 | 1,625 | 1,598 |
| General Electric Capital Corp. | 5.625% | 9/15/17 | 1,150 | 1,139 |
| General Electric Capital Corp. | 5.625% | 5/1/18 | 1,275 | 1,251 |
| General Electric Capital Corp. | 6.750% | 3/15/32 | 3,025 | 3,060 |
| General Electric Capital Corp. | 6.150% | 8/7/37 | 600 | 565 |
| General Electric Capital Corp. | 5.875% | 1/14/38 | 6,400 | 5,794 |
3 | General Electric Capital Corp. | 6.375% | 11/15/67 | 1,150 | 1,103 |
3 | HSBC Finance Capital Trust IX | 5.911% | 11/30/35 | 100 | 81 |
| HSBC Finance Corp. | 4.125% | 11/16/09 | 1,350 | 1,346 |
| HSBC Finance Corp. | 4.625% | 9/15/10 | 825 | 827 |
| HSBC Finance Corp. | 5.250% | 1/14/11 | 2,275 | 2,289 |
| HSBC Finance Corp. | 5.700% | 6/1/11 | 2,350 | 2,377 |
| HSBC Finance Corp. | 6.375% | 10/15/11 | 350 | 360 |
| HSBC Finance Corp. | 7.000% | 5/15/12 | 1,375 | 1,432 |
| HSBC Finance Corp. | 5.900% | 6/19/12 | 1,050 | 1,063 |
| HSBC Finance Corp. | 6.375% | 11/27/12 | 750 | 768 |
| HSBC Finance Corp. | 4.750% | 7/15/13 | 1,075 | 1,051 |
| HSBC Finance Corp. | 5.250% | 1/15/14 | 875 | 868 |
| HSBC Finance Corp. | 5.000% | 6/30/15 | 4,700 | 4,504 |
| International Lease Finance Corp. | 4.875% | 9/1/10 | 875 | 828 |
| International Lease Finance Corp. | 5.125% | 11/1/10 | 1,475 | 1,399 |
| International Lease Finance Corp. | 4.950% | 2/1/11 | 1,900 | 1,774 |
| International Lease Finance Corp. | 5.450% | 3/24/11 | 825 | 774 |
| International Lease Finance Corp. | 5.750% | 6/15/11 | 2,500 | 2,352 |
| International Lease Finance Corp. | 5.300% | 5/1/12 | 100 | 90 |
| International Lease Finance Corp. | 5.000% | 9/15/12 | 1,225 | 1,082 |
| International Lease Finance Corp. | 5.625% | 9/20/13 | 100 | 89 |
| International Lease Finance Corp. | 5.650% | 6/1/14 | 1,150 | 1,003 |
| iStar Financial Inc. | 6.000% | 12/15/10 | 250 | 213 |
| iStar Financial Inc. | 5.800% | 3/15/11 | 900 | 765 |
| iStar Financial Inc. | 5.650% | 9/15/11 | 425 | 358 |
| iStar Financial Inc. | 5.150% | 3/1/12 | 1,125 | 911 |
| iStar Financial Inc. | 5.950% | 10/15/13 | 200 | 158 |
| iStar Financial Inc. | 5.875% | 3/15/16 | 325 | 254 |
| iStar Financial Inc. | 5.850% | 3/15/17 | 200 | 154 |
| SLM Corp. | 4.500% | 7/26/10 | 450 | 412 |
| SLM Corp. | 5.400% | 10/25/11 | 4,100 | 3,654 |
| SLM Corp. | 5.050% | 11/14/14 | 750 | 619 |
| SLM Corp. | 8.450% | 6/15/18 | 900 | 859 |
| SLM Corp. | 5.625% | 8/1/33 | 1,075 | 809 |
|
|
|
|
|
|
| Insurance (1.2%) |
|
|
|
|
| ACE Capital Trust II | 9.700% | 4/1/30 | 225 | 246 |
| ACE INA Holdings, Inc. | 5.600% | 5/15/15 | 275 | 272 |
| ACE INA Holdings, Inc. | 5.700% | 2/15/17 | 950 | 920 |
| AEGON Funding Corp. | 5.750% | 12/15/20 | 100 | 94 |
| AEGON NV | 4.750% | 6/1/13 | 475 | 454 |
| Aetna, Inc. | 7.875% | 3/1/11 | 150 | 159 |
24
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Aetna, Inc. | 5.750% | 6/15/11 | 300 | 307 |
| Aetna, Inc. | 6.000% | 6/15/16 | 75 | 75 |
| Aetna, Inc. | 6.625% | 6/15/36 | 2,000 | 1,913 |
| Allied World Assurance | 7.500% | 8/1/16 | 725 | 686 |
| Allstate Corp. | 6.125% | 2/15/12 | 500 | 513 |
| Allstate Corp. | 5.000% | 8/15/14 | 950 | 951 |
| Allstate Corp. | 6.125% | 12/15/32 | 550 | 523 |
| Allstate Corp. | 5.550% | 5/9/35 | 250 | 214 |
3 | Allstate Corp. | 6.125% | 5/15/37 | 350 | 323 |
3 | Allstate Corp. | 6.500% | 5/15/57 | 450 | 401 |
| Allstate Life Global Funding | 5.375% | 4/30/13 | 850 | 846 |
| Ambac, Inc. | 5.950% | 12/5/35 | 1,050 | 373 |
| Ambac, Inc. | 6.150% | 2/7/87 | 125 | 19 |
| American General Capital II | 8.500% | 7/1/30 | 100 | 104 |
| American International Group, Inc. | 4.700% | 10/1/10 | 1,550 | 1,523 |
| American International Group, Inc. | 5.375% | 10/18/11 | 500 | 495 |
| American International Group, Inc. | 4.950% | 3/20/12 | 1,175 | 1,137 |
| American International Group, Inc. | 4.250% | 5/15/13 | 1,200 | 1,101 |
| American International Group, Inc. | 5.050% | 10/1/15 | 2,350 | 2,139 |
| American International Group, Inc. | 5.600% | 10/18/16 | 1,275 | 1,188 |
| American International Group, Inc. | 5.850% | 1/16/18 | 900 | 830 |
| American International Group, Inc. | 6.250% | 5/1/36 | 375 | 329 |
3,5 | American International Group, Inc. | 8.175% | 5/15/58 | 2,950 | 2,884 |
| Arch Capital Group Ltd. | 7.350% | 5/1/34 | 800 | 830 |
| Aspen Insurance Holdings Ltd. | 6.000% | 8/15/14 | 225 | 213 |
| Assurant, Inc. | 5.625% | 2/15/14 | 500 | 472 |
| Assurant, Inc. | 6.750% | 2/15/34 | 850 | 789 |
| AXA Financial, Inc. | 7.750% | 8/1/10 | 325 | 340 |
| AXA SA | 8.600% | 12/15/30 | 1,625 | 1,721 |
| Axis Capital Holdings | 5.750% | 12/1/14 | 175 | 170 |
| Berkshire Hathaway Finance Corp. | 4.125% | 1/15/10 | 1,085 | 1,098 |
| Berkshire Hathaway Finance Corp. | 4.200% | 12/15/10 | 350 | 356 |
| Berkshire Hathaway Finance Corp. | 4.750% | 5/15/12 | 425 | 433 |
5 | Berkshire Hathaway Finance Corp. | 4.600% | 5/15/13 | 500 | 494 |
| Berkshire Hathaway Finance Corp. | 4.625% | 10/15/13 | 850 | 847 |
| Berkshire Hathaway Finance Corp. | 5.100% | 7/15/14 | 50 | 51 |
| Berkshire Hathaway Finance Corp. | 4.850% | 1/15/15 | 2,000 | 1,988 |
5 | Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 550 | 549 |
| Chubb Corp. | 5.750% | 5/15/18 | 325 | 315 |
| Chubb Corp. | 6.000% | 5/11/37 | 1,175 | 1,073 |
| Chubb Corp. | 6.500% | 5/15/38 | 400 | 388 |
3 | Chubb Corp. | 6.375% | 3/29/67 | 300 | 277 |
| CIGNA Corp. | 7.875% | 5/15/27 | 150 | 155 |
| CIGNA Corp. | 6.150% | 11/15/36 | 1,050 | 926 |
| Cincinnati Financial Corp. | 6.920% | 5/15/28 | 400 | 404 |
| Cincinnati Financial Corp. | 6.125% | 11/1/34 | 375 | 343 |
| CNA Financial Corp. | 6.000% | 8/15/11 | 200 | 199 |
| CNA Financial Corp. | 5.850% | 12/15/14 | 1,275 | 1,204 |
| CNA Financial Corp. | 6.500% | 8/15/16 | 475 | 462 |
| Commerce Group, Inc. | 5.950% | 12/9/13 | 125 | 121 |
| Coventry Health Care Inc. | 6.300% | 8/15/14 | 675 | 638 |
3 | Everest Reinsurance Holdings, Inc. | 6.600% | 5/15/37 | 350 | 252 |
| Fidelity National Financial, Inc. | 7.300% | 8/15/11 | 400 | 400 |
| Fund American Cos., Inc. | 5.875% | 5/15/13 | 250 | 243 |
| GE Global Insurance Holdings Corp. | 6.450% | 3/1/19 | 575 | 555 |
| GE Global Insurance Holdings Corp. | 7.000% | 2/15/26 | 475 | 465 |
| GE Global Insurance Holdings Corp. | 7.750% | 6/15/30 | 350 | 360 |
25
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Genworth Financial, Inc. | 4.750% | 6/15/09 | 375 | 374 |
| Genworth Financial, Inc. | 5.125% | 3/15/11 | 650 | 640 |
| Genworth Financial, Inc. | 5.750% | 6/15/14 | 175 | 169 |
| Genworth Financial, Inc. | 4.950% | 10/1/15 | 100 | 89 |
| Genworth Financial, Inc. | 6.500% | 6/15/34 | 375 | 339 |
3 | Genworth Financial, Inc. | 6.150% | 11/15/66 | 200 | 157 |
| Hartford Financial Services Group, Inc. | 5.250% | 10/15/11 | 625 | 619 |
| Hartford Financial Services Group, Inc. | 5.500% | 10/15/16 | 250 | 236 |
| Hartford Financial Services Group, Inc. | 5.375% | 3/15/17 | 300 | 279 |
| Hartford Financial Services Group, Inc. | 6.300% | 3/15/18 | 125 | 123 |
| Hartford Financial Services Group, Inc. | 6.000% | 1/15/19 | 200 | 192 |
3 | Hartford Financial Services Group, Inc. | 8.125% | 6/15/38 | 275 | 269 |
| Hartford Financial Services Group, Inc. | 6.100% | 10/1/41 | 1,325 | 1,177 |
| Humana Inc. | 6.450% | 6/1/16 | 1,200 | 1,169 |
| Humana Inc. | 7.200% | 6/15/18 | 650 | 645 |
| Humana Inc. | 8.150% | 6/15/38 | 700 | 713 |
| ING Capital Funding Trust III | 5.775% | 12/8/49 | 1,650 | 1,396 |
| ING USA Global | 4.500% | 10/1/10 | 1,925 | 1,941 |
3 | Lincoln National Corp. | 6.050% | 4/20/67 | 225 | 188 |
| Lincoln National Corp. | 5.650% | 8/27/12 | 150 | 150 |
| Lincoln National Corp. | 6.150% | 4/7/36 | 1,575 | 1,493 |
3 | Lincoln National Corp. | 7.000% | 5/17/66 | 800 | 722 |
| Loews Corp. | 6.000% | 2/1/35 | 175 | 154 |
| Marsh & McLennan Cos., Inc. | 5.150% | 9/15/10 | 125 | 124 |
| Marsh & McLennan Cos., Inc. | 6.250% | 3/15/12 | 925 | 942 |
| Marsh & McLennan Cos., Inc. | 5.750% | 9/15/15 | 725 | 705 |
| MetLife, Inc. | 5.375% | 12/15/12 | 350 | 351 |
| MetLife, Inc. | 5.000% | 11/24/13 | 225 | 219 |
| MetLife, Inc. | 5.500% | 6/15/14 | 100 | 100 |
| MetLife, Inc. | 5.000% | 6/15/15 | 1,000 | 950 |
| MetLife, Inc. | 6.375% | 6/15/34 | 800 | 770 |
| MetLife, Inc. | 5.700% | 6/15/35 | 300 | 264 |
| MetLife, Inc. | 6.400% | 12/15/36 | 700 | 603 |
| Principal Financial Group, Inc. | 6.050% | 10/15/36 | 550 | 481 |
| Principal Life Income Funding | 5.125% | 3/1/11 | 600 | 603 |
| Principal Life Income Funding | 5.300% | 12/14/12 | 1,075 | 1,075 |
| Principal Life Income Funding | 5.300% | 4/24/13 | 650 | 650 |
| Principal Life Income Funding | 5.100% | 4/15/14 | 350 | 337 |
| Progressive Corp. | 6.375% | 1/15/12 | 500 | 511 |
| Progressive Corp. | 6.625% | 3/1/29 | 575 | 581 |
3 | Progressive Corp. | 6.700% | 6/15/37 | 700 | 601 |
| Protective Life Secured Trust | 4.850% | 8/16/10 | 500 | 504 |
| Prudential Financial, Inc. | 5.800% | 6/15/12 | 775 | 791 |
| Prudential Financial, Inc. | 5.150% | 1/15/13 | 325 | 319 |
| Prudential Financial, Inc. | 4.500% | 7/15/13 | 225 | 212 |
| Prudential Financial, Inc. | 4.750% | 4/1/14 | 400 | 375 |
| Prudential Financial, Inc. | 5.100% | 9/20/14 | 450 | 424 |
| Prudential Financial, Inc. | 5.500% | 3/15/16 | 125 | 118 |
| Prudential Financial, Inc. | 6.100% | 6/15/17 | 600 | 603 |
| Prudential Financial, Inc. | 6.000% | 12/1/17 | 500 | 485 |
| Prudential Financial, Inc. | 5.750% | 7/15/33 | 450 | 395 |
| Prudential Financial, Inc. | 5.400% | 6/13/35 | 450 | 371 |
| Prudential Financial, Inc. | 5.900% | 3/17/36 | 650 | 575 |
| Prudential Financial, Inc. | 5.700% | 12/14/36 | 2,825 | 2,307 |
| Safeco Corp. | 4.875% | 2/1/10 | 250 | 248 |
| St. Paul Travelers Cos., Inc. | 5.500% | 12/1/15 | 350 | 348 |
| St. Paul Travelers Cos., Inc. | 6.250% | 6/20/16 | 850 | 872 |
26
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Torchmark Corp. | 6.375% | 6/15/16 | 500 | 509 |
| Travelers Cos. Inc. | 5.750% | 12/15/17 | 750 | 738 |
3 | Travelers Cos. Inc. | 6.250% | 3/15/37 | 300 | 255 |
| Travelers Cos. Inc. | 6.250% | 6/15/37 | 600 | 553 |
| Travelers Property Casualty Corp. | 6.375% | 3/15/33 | 1,550 | 1,463 |
| UnitedHealth Group, Inc. | 4.125% | 8/15/09 | 1,075 | 1,069 |
| UnitedHealth Group, Inc. | 5.500% | 11/15/12 | 150 | 148 |
| UnitedHealth Group, Inc. | 4.875% | 2/15/13 | 625 | 606 |
| UnitedHealth Group, Inc. | 4.875% | 4/1/13 | 600 | 578 |
| UnitedHealth Group, Inc. | 5.000% | 8/15/14 | 250 | 236 |
| UnitedHealth Group, Inc. | 4.875% | 3/15/15 | 600 | 558 |
| UnitedHealth Group, Inc. | 6.000% | 6/15/17 | 300 | 292 |
| UnitedHealth Group, Inc. | 6.000% | 11/15/17 | 200 | 196 |
| UnitedHealth Group, Inc. | 6.000% | 2/15/18 | 1,000 | 962 |
| UnitedHealth Group, Inc. | 5.800% | 3/15/36 | 200 | 167 |
| UnitedHealth Group, Inc. | 6.500% | 6/15/37 | 350 | 320 |
| UnitedHealth Group, Inc. | 6.625% | 11/15/37 | 675 | 629 |
| UnitedHealth Group, Inc. | 6.875% | 2/15/38 | 725 | 694 |
| WellPoint Inc. | 4.250% | 12/15/09 | 125 | 124 |
| WellPoint Inc. | 5.000% | 1/15/11 | 1,075 | 1,066 |
| WellPoint Inc. | 6.375% | 1/15/12 | 275 | 280 |
| WellPoint Inc. | 5.000% | 12/15/14 | 575 | 547 |
| WellPoint Inc. | 5.250% | 1/15/16 | 100 | 93 |
| WellPoint Inc. | 5.875% | 6/15/17 | 800 | 777 |
| WellPoint Inc. | 5.950% | 12/15/34 | 1,275 | 1,111 |
| WellPoint Inc. | 5.850% | 1/15/36 | 1,650 | 1,413 |
| WellPoint Inc. | 6.375% | 6/15/37 | 1,075 | 967 |
| Willis North America Inc. | 5.625% | 7/15/15 | 500 | 471 |
| Willis North America Inc. | 6.200% | 3/28/17 | 500 | 442 |
| XL Capital Ltd. | 5.250% | 9/15/14 | 1,050 | 873 |
| XL Capital Ltd. | 6.375% | 11/15/24 | 125 | 105 |
| XL Capital Ltd. | 6.250% | 5/15/27 | 925 | 759 |
| XL Capital Ltd. | 6.500% | 12/15/49 | 550 | 372 |
|
|
|
|
|
|
| Real Estate Investment Trusts (0.4%) |
|
|
|
|
| AMB Property LP | 6.300% | 6/1/13 | 300 | 300 |
| Arden Realty LP | 5.250% | 3/1/15 | 100 | 98 |
| AvalonBay Communities, Inc. | 5.500% | 1/15/12 | 275 | 270 |
| AvalonBay Communities, Inc. | 5.750% | 9/15/16 | 125 | 119 |
| Boston Properties, Inc. | 6.250% | 1/15/13 | 600 | 606 |
| Boston Properties, Inc. | 5.625% | 4/15/15 | 375 | 358 |
| Brandywine Operating Partnership | 5.625% | 12/15/10 | 1,025 | 998 |
| Brandywine Operating Partnership | 5.750% | 4/1/12 | 1,000 | 942 |
| Brandywine Operating Partnership | 5.400% | 11/1/14 | 50 | 44 |
| Camden Property Trust | 5.700% | 5/15/17 | 525 | 481 |
| Colonial Realty LP | 5.500% | 10/1/15 | 975 | 849 |
| Developers Diversified Realty Corp. | 5.375% | 10/15/12 | 825 | 772 |
| Duke Realty LP | 5.625% | 8/15/11 | 200 | 195 |
| Duke Realty LP | 5.950% | 2/15/17 | 225 | 208 |
| ERP Operating LP | 6.625% | 3/15/12 | 175 | 179 |
| ERP Operating LP | 5.500% | 10/1/12 | 650 | 637 |
| ERP Operating LP | 5.125% | 3/15/16 | 1,075 | 966 |
| ERP Operating LP | 5.375% | 8/1/16 | 225 | 208 |
| ERP Operating LP | 5.750% | 6/15/17 | 425 | 393 |
| HCP Inc. | 6.700% | 1/30/18 | 400 | 359 |
| Health Care Property Investors, Inc. | 6.450% | 6/25/12 | 1,650 | 1,581 |
| Health Care REIT, Inc. | 6.200% | 6/1/16 | 1,650 | 1,493 |
27
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Hospitality Properties | 5.125% | 2/15/15 | 700 | 567 |
| HRPT Properties Trust | 6.250% | 8/15/16 | 250 | 227 |
| HRPT Properties Trust | 6.250% | 6/15/17 | 625 | 575 |
| Kimco Realty Corp. | 5.783% | 3/15/16 | 125 | 116 |
| Liberty Property LP | 5.125% | 3/2/15 | 1,975 | 1,773 |
| Liberty Property LP | 5.500% | 12/15/16 | 175 | 155 |
| National Retail Properties | 6.875% | 10/15/17 | 1,575 | 1,452 |
| Nationwide Health Properties, Inc. | 6.250% | 2/1/13 | 650 | 636 |
| ProLogis | 5.250% | 11/15/10 | 525 | 519 |
| ProLogis | 5.500% | 3/1/13 | 175 | 171 |
| ProLogis | 5.625% | 11/15/15 | 775 | 715 |
| ProLogis | 5.750% | 4/1/16 | 525 | 488 |
| ProLogis | 5.625% | 11/15/16 | 575 | 526 |
| Realty Income Corp. | 6.750% | 8/15/19 | 950 | 885 |
| Regency Centers LP | 6.750% | 1/15/12 | 1,275 | 1,275 |
| Simon Property Group Inc. | 4.600% | 6/15/10 | 825 | 818 |
| Simon Property Group Inc. | 4.875% | 8/15/10 | 300 | 298 |
| Simon Property Group Inc. | 5.600% | 9/1/11 | 500 | 495 |
| Simon Property Group Inc. | 5.000% | 3/1/12 | 350 | 340 |
| Simon Property Group Inc. | 5.300% | 5/30/13 | 225 | 218 |
| Simon Property Group Inc. | 5.750% | 12/1/15 | 950 | 910 |
| Simon Property Group Inc. | 6.100% | 5/1/16 | 200 | 197 |
| Simon Property Group Inc. | 5.250% | 12/1/16 | 2,100 | 1,915 |
| Simon Property Group Inc. | 5.875% | 3/1/17 | 950 | 907 |
| Simon Property Group Inc. | 6.125% | 5/30/18 | 975 | 936 |
| Tanger Factory Outlet Centers, Inc. | 6.150% | 11/15/15 | 525 | 483 |
| Vornado Realty | 5.600% | 2/15/11 | 925 | 910 |
|
|
|
|
|
|
| Other (0.0%) |
|
|
|
|
| XTRA Finance Corp. | 5.150% | 4/1/17 | 2,050 | 2,040 |
|
|
|
|
| 686,885 |
Industrial (9.5%) |
|
|
|
| |
| Basic Industry (0.7%) |
|
|
|
|
| Alcan, Inc. | 6.450% | 3/15/11 | 600 | 622 |
| Alcan, Inc. | 4.875% | 9/15/12 | 700 | 678 |
| Alcan, Inc. | 4.500% | 5/15/13 | 500 | 482 |
| Alcan, Inc. | 5.000% | 6/1/15 | 100 | 95 |
| Alcan, Inc. | 6.125% | 12/15/33 | 1,825 | 1,655 |
| Alcoa, Inc. | 5.720% | 2/23/19 | 1,815 | 1,697 |
| Alcoa, Inc. | 5.870% | 2/23/22 | 410 | 374 |
| Alcoa, Inc. | 5.900% | 2/1/27 | 25 | 22 |
5 | ArcelorMittal | 5.375% | 6/1/13 | 1,900 | 1,875 |
5 | ArcelorMittal | 6.125% | 6/1/18 | 825 | 804 |
| Barrick Gold Finance Inc. | 4.875% | 11/15/14 | 225 | 211 |
| BHP Billiton Finance | 4.800% | 4/15/13 | 775 | 752 |
| BHP Billiton Finance | 5.250% | 12/15/15 | 725 | 698 |
| BHP Finance USA Ltd. | 8.500% | 12/1/12 | 300 | 337 |
| BHP Finance USA Ltd. | 5.400% | 3/29/17 | 285 | 269 |
| Celulosa Arauco Constitution SA | 8.625% | 8/15/10 | 775 | 831 |
| Celulosa Arauco Constitution SA | 5.625% | 4/20/15 | 825 | 801 |
| Commercial Metals Co. | 6.500% | 7/15/17 | 300 | 306 |
| Dow Chemical Co. | 6.125% | 2/1/11 | 1,575 | 1,624 |
| Dow Chemical Co. | 6.000% | 10/1/12 | 125 | 128 |
| Dow Chemical Co. | 7.375% | 11/1/29 | 1,150 | 1,227 |
| E.I. du Pont de Nemours & Co. | 6.875% | 10/15/09 | 725 | 756 |
| E.I. du Pont de Nemours & Co. | 4.125% | 4/30/10 | 125 | 126 |
| E.I. du Pont de Nemours & Co. | 4.750% | 11/15/12 | 975 | 981 |
28
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| E.I. du Pont de Nemours & Co. | 5.000% | 1/15/13 | 100 | 101 |
| E.I. du Pont de Nemours & Co. | 5.250% | 12/15/16 | 75 | 76 |
| E.I. du Pont de Nemours & Co. | 6.500% | 1/15/28 | 175 | 182 |
| Eastman Chemical Co. | 7.250% | 1/15/24 | 525 | 512 |
| Eastman Chemical Co. | 7.600% | 2/1/27 | 275 | 291 |
| Falconbridge Ltd. | 7.350% | 6/5/12 | 275 | 290 |
| Freeport-McMoRan Copper & Gold Inc. | 8.250% | 4/1/15 | 1,425 | 1,471 |
| Freeport-McMoRan Copper & Gold Inc. | 8.375% | 4/1/17 | 1,775 | 1,877 |
| Inco Ltd. | 7.750% | 5/15/12 | 275 | 295 |
| Inco Ltd. | 5.700% | 10/15/15 | 450 | 436 |
| International Paper Co. | 5.850% | 10/30/12 | 292 | 282 |
| International Paper Co. | 5.300% | 4/1/15 | 550 | 488 |
| Lubrizol Corp. | 5.500% | 10/1/14 | 1,525 | 1,457 |
| Lubrizol Corp. | 6.500% | 10/1/34 | 850 | 796 |
| Monsanto Co. | 7.375% | 8/15/12 | 500 | 546 |
| Newmont Mining | 5.875% | 4/1/35 | 225 | 192 |
| Noranda, Inc. | 7.250% | 7/15/12 | 950 | 987 |
| Noranda, Inc. | 5.500% | 6/15/17 | 900 | 847 |
| Nucor Corp. | 5.000% | 6/1/13 | 300 | 301 |
| Nucor Corp. | 5.750% | 12/1/17 | 200 | 200 |
| Nucor Corp. | 5.850% | 6/1/18 | 775 | 781 |
| Nucor Corp. | 6.400% | 12/1/37 | 500 | 506 |
| Placer Dome, Inc. | 6.450% | 10/15/35 | 950 | 917 |
| Plum Creek Timber Co. | 5.875% | 11/15/15 | 525 | 464 |
| Potash Corp. of Saskatchewan | 7.750% | 5/31/11 | 1,775 | 1,912 |
| Praxair, Inc. | 3.950% | 6/1/13 | 950 | 910 |
| Praxair, Inc. | 5.250% | 11/15/14 | 750 | 750 |
| Praxair, Inc. | 5.200% | 3/15/17 | 25 | 24 |
| Rio Tinto Finance USA Ltd. | 5.875% | 7/15/13 | 850 | 855 |
| Rio Tinto Finance USA Ltd. | 6.500% | 7/15/18 | 850 | 851 |
| Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 400 | 406 |
3 | Rohm & Haas Co. | 9.800% | 4/15/20 | 289 | 337 |
| Rohm & Haas Co. | 7.850% | 7/15/29 | 875 | 942 |
| Southern Copper Corp. | 7.500% | 7/27/35 | 1,250 | 1,211 |
| Teck Cominco Ltd. | 6.125% | 10/1/35 | 675 | 598 |
| US Steel Corp. | 6.050% | 6/1/17 | 700 | 655 |
| US Steel Corp. | 7.000% | 2/1/18 | 700 | 696 |
| Vale Overseas Ltd. | 6.250% | 1/11/16 | 150 | 147 |
| Vale Overseas Ltd. | 6.250% | 1/23/17 | 475 | 462 |
| Vale Overseas Ltd. | 8.250% | 1/17/34 | 325 | 350 |
| Vale Overseas Ltd. | 6.875% | 11/21/36 | 2,850 | 2,679 |
| Weyerhaeuser Co. | 6.750% | 3/15/12 | 2,050 | 2,108 |
| Weyerhaeuser Co. | 7.375% | 3/15/32 | 1,925 | 1,933 |
| WMC Finance USA | 5.125% | 5/15/13 | 1,000 | 992 |
|
|
|
|
|
|
| Capital Goods (1.0%) |
|
|
|
|
3,5 | BAE Systems Asset Trust | 7.156% | 12/15/11 | 63 | 65 |
| Bemis Co. Inc. | 4.875% | 4/1/12 | 450 | 442 |
| Boeing Capital Corp. | 7.375% | 9/27/10 | 400 | 430 |
| Boeing Capital Corp. | 6.500% | 2/15/12 | 2,025 | 2,146 |
| Boeing Co. | 8.750% | 8/15/21 | 550 | 684 |
| Boeing Co. | 7.250% | 6/15/25 | 875 | 987 |
| Boeing Co. | 8.750% | 9/15/31 | 175 | 235 |
| Boeing Co. | 6.125% | 2/15/33 | 75 | 77 |
| Caterpillar Financial Services Corp. | 4.150% | 1/15/10 | 2,550 | 2,573 |
| Caterpillar Financial Services Corp. | 4.300% | 6/1/10 | 1,750 | 1,776 |
| Caterpillar Financial Services Corp. | 4.250% | 2/8/13 | 1,175 | 1,147 |
29
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Caterpillar Financial Services Corp. | 4.750% | 2/17/15 | 125 | 122 |
Caterpillar Financial Services Corp. | 4.625% | 6/1/15 | 275 | 267 |
Caterpillar, Inc. | 7.300% | 5/1/31 | 1,000 | 1,144 |
Caterpillar, Inc. | 7.375% | 3/1/97 | 775 | 857 |
CRH America Inc. | 5.625% | 9/30/11 | 525 | 514 |
CRH America Inc. | 6.950% | 3/15/12 | 800 | 798 |
CRH America Inc. | 5.300% | 10/15/13 | 450 | 418 |
CRH America Inc. | 6.000% | 9/30/16 | 1,050 | 972 |
CRH America Inc. | 6.400% | 10/15/33 | 350 | 292 |
Deere & Co. | 6.950% | 4/25/14 | 325 | 358 |
Deere & Co. | 8.100% | 5/15/30 | 1,175 | 1,440 |
Deere & Co. | 7.125% | 3/3/31 | 675 | 757 |
Dover Corp. | 4.875% | 10/15/15 | 675 | 656 |
Dover Corp. | 5.450% | 3/15/18 | 800 | 785 |
Dover Corp. | 6.600% | 3/15/38 | 450 | 466 |
Embraer Overseas Ltd. | 6.375% | 1/24/17 | 700 | 686 |
Emerson Electric Co. | 7.125% | 8/15/10 | 850 | 908 |
Emerson Electric Co. | 4.625% | 10/15/12 | 1,150 | 1,159 |
Emerson Electric Co. | 4.500% | 5/1/13 | 400 | 397 |
Emerson Electric Co. | 5.250% | 10/15/18 | 900 | 888 |
General Dynamics Corp. | 4.500% | 8/15/10 | 125 | 127 |
General Dynamics Corp. | 4.250% | 5/15/13 | 1,700 | 1,679 |
General Electric Co. | 5.000% | 2/1/13 | 5,000 | 5,022 |
General Electric Co. | 5.250% | 12/6/17 | 700 | 677 |
Hanson PLC | 5.250% | 3/15/13 | 175 | 171 |
Harsco Corp. | 5.750% | 5/15/18 | 750 | 749 |
Honeywell International, Inc. | 6.125% | 11/1/11 | 350 | 370 |
Honeywell International, Inc. | 5.625% | 8/1/12 | 650 | 675 |
Honeywell International, Inc. | 4.250% | 3/1/13 | 275 | 271 |
Honeywell International, Inc. | 5.400% | 3/15/16 | 1,175 | 1,195 |
Honeywell International, Inc. | 5.300% | 3/1/18 | 125 | 123 |
Honeywell International, Inc. | 5.700% | 3/15/36 | 125 | 119 |
John Deere Capital Corp. | 5.400% | 10/17/11 | 1,425 | 1,452 |
John Deere Capital Corp. | 5.350% | 1/17/12 | 450 | 461 |
John Deere Capital Corp. | 7.000% | 3/15/12 | 1,000 | 1,078 |
John Deere Capital Corp. | 5.500% | 4/13/17 | 200 | 199 |
Joy Global, Inc. | 6.000% | 11/15/16 | 250 | 249 |
Lafarge SA | 6.150% | 7/15/11 | 75 | 75 |
Lafarge SA | 6.500% | 7/15/16 | 900 | 874 |
Lafarge SA | 7.125% | 7/15/36 | 2,075 | 1,923 |
Lockheed Martin Corp. | 7.650% | 5/1/16 | 1,425 | 1,612 |
Lockheed Martin Corp. | 6.150% | 9/1/36 | 1,500 | 1,484 |
Martin Marietta Material | 6.600% | 4/15/18 | 850 | 846 |
Masco Corp. | 5.875% | 7/15/12 | 200 | 191 |
Masco Corp. | 4.800% | 6/15/15 | 1,375 | 1,189 |
Masco Corp. | 6.500% | 8/15/32 | 175 | 142 |
Minnesota Mining & Manufacturing Corp. | 5.125% | 11/6/09 | 175 | 180 |
Minnesota Mining & Manufacturing Corp. | 6.375% | 2/15/28 | 625 | 685 |
Minnesota Mining & Manufacturing Corp. | 5.700% | 3/15/37 | 600 | 606 |
Mohawk Industries Inc. | 5.750% | 1/15/11 | 2,500 | 2,488 |
Mohawk Industries Inc. | 6.125% | 1/15/16 | 1,400 | 1,334 |
Northrop Grumman Corp. | 7.125% | 2/15/11 | 1,350 | 1,432 |
Northrop Grumman Corp. | 7.750% | 3/1/16 | 275 | 313 |
Northrop Grumman Corp. | 7.750% | 2/15/31 | 1,300 | 1,526 |
Raytheon Co. | 4.850% | 1/15/11 | 775 | 780 |
Raytheon Co. | 5.500% | 11/15/12 | 725 | 742 |
Raytheon Co. | 5.375% | 4/1/13 | 75 | 76 |
30
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Raytheon Co. | 7.200% | 8/15/27 | 500 | 544 |
| Republic Services, Inc. | 6.750% | 8/15/11 | 350 | 358 |
| Republic Services, Inc. | 6.086% | 3/15/35 | 350 | 330 |
| Textron Financial Corp. | 4.600% | 5/3/10 | 2,100 | 2,093 |
| Textron Financial Corp. | 5.125% | 11/1/10 | 450 | 452 |
| Textron Financial Corp. | 5.400% | 4/28/13 | 475 | 470 |
| Textron, Inc. | 6.500% | 6/1/12 | 1,000 | 1,047 |
| TRW, Inc. | 7.750% | 6/1/29 | 350 | 411 |
| Tyco International Group SA | 6.125% | 11/1/08 | 500 | 501 |
| Tyco International Group SA | 6.125% | 1/15/09 | 100 | 100 |
| Tyco International Group SA | 6.750% | 2/15/11 | 2,575 | 2,661 |
| Tyco International Group SA | 6.000% | 11/15/13 | 125 | 121 |
5 | Tyco International Group SA | 7.000% | 12/15/19 | 1,175 | 1,209 |
| United Technologies Corp. | 4.375% | 5/1/10 | 725 | 738 |
| United Technologies Corp. | 7.125% | 11/15/10 | 250 | 269 |
| United Technologies Corp. | 6.350% | 3/1/11 | 1,025 | 1,085 |
| United Technologies Corp. | 6.100% | 5/15/12 | 300 | 317 |
| United Technologies Corp. | 4.875% | 5/1/15 | 325 | 323 |
| United Technologies Corp. | 5.375% | 12/15/17 | 700 | 696 |
| United Technologies Corp. | 8.875% | 11/15/19 | 850 | 1,092 |
| United Technologies Corp. | 7.500% | 9/15/29 | 350 | 404 |
| United Technologies Corp. | 5.400% | 5/1/35 | 500 | 462 |
| United Technologies Corp. | 6.050% | 6/1/36 | 1,850 | 1,843 |
| Vulcan Materials Co. | 6.300% | 6/15/13 | 375 | 378 |
| Vulcan Materials Co. | 7.000% | 6/15/18 | 675 | 686 |
| Waste Management, Inc. | 7.375% | 8/1/10 | 175 | 182 |
| Waste Management, Inc. | 6.375% | 11/15/12 | 225 | 229 |
|
|
|
|
|
|
| Communication (2.3%) |
|
|
|
|
| AT&T Inc. | 4.125% | 9/15/09 | 1,050 | 1,051 |
| AT&T Inc. | 5.300% | 11/15/10 | 650 | 668 |
| AT&T Inc. | 6.250% | 3/15/11 | 400 | 415 |
| AT&T Inc. | 7.300% | 11/15/11 | 975 | 1,033 |
| AT&T Inc. | 5.875% | 2/1/12 | 960 | 988 |
| AT&T Inc. | 5.875% | 8/15/12 | 1,315 | 1,357 |
| AT&T Inc. | 4.950% | 1/15/13 | 1,250 | 1,245 |
| AT&T Inc. | 5.100% | 9/15/14 | 3,650 | 3,600 |
| AT&T Inc. | 5.625% | 6/15/16 | 3,000 | 2,971 |
| AT&T Inc. | 5.600% | 5/15/18 | 2,350 | 2,296 |
| AT&T Inc. | 8.000% | 11/15/31 | 3,375 | 3,855 |
| AT&T Inc. | 6.450% | 6/15/34 | 975 | 973 |
| AT&T Inc. | 6.500% | 9/1/37 | 3,150 | 3,058 |
| AT&T Inc. | 6.300% | 1/15/38 | 2,550 | 2,410 |
| AT&T Wireless | 7.875% | 3/1/11 | 2,150 | 2,289 |
| AT&T Wireless | 8.125% | 5/1/12 | 2,225 | 2,437 |
| AT&T Wireless | 8.750% | 3/1/31 | 825 | 991 |
| America Movil SA de C.V. | 5.500% | 3/1/14 | 225 | 221 |
| America Movil SA de C.V. | 5.750% | 1/15/15 | 1,500 | 1,489 |
| America Movil SA de C.V. | 6.375% | 3/1/35 | 675 | 648 |
| America Movil SA de C.V. | 6.125% | 11/15/37 | 750 | 698 |
| BellSouth Capital Funding | 7.875% | 2/15/30 | 650 | 721 |
| BellSouth Corp. | 4.200% | 9/15/09 | 725 | 730 |
| BellSouth Corp. | 6.875% | 10/15/31 | 450 | 463 |
| BellSouth Corp. | 6.550% | 6/15/34 | 500 | 495 |
| BellSouth Corp. | 6.000% | 11/15/34 | 555 | 518 |
| BellSouth Telecommunications | 6.375% | 6/1/28 | 1,685 | 1,675 |
| British Sky Broadcasting Corp. | 8.200% | 7/15/09 | 125 | 129 |
31
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
British Telecommunications PLC | 8.625% | 12/15/10 | 1,100 | 1,182 |
British Telecommunications PLC | 5.950% | 1/15/18 | 775 | 741 |
British Telecommunications PLC | 9.125% | 12/15/30 | 2,000 | 2,439 |
CBS Corp. | 7.875% | 7/30/30 | 375 | 358 |
CenturyTel Enterprises | 6.875% | 1/15/28 | 175 | 149 |
CenturyTel, Inc. | 7.875% | 8/15/12 | 225 | 236 |
Cingular Wireless LLC | 6.500% | 12/15/11 | 2,200 | 2,286 |
Cingular Wireless LLC | 7.125% | 12/15/31 | 1,400 | 1,448 |
Comcast Cable Communications Holdings Inc. | 8.375% | 3/15/13 | 1,350 | 1,494 |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 175 | 213 |
Comcast Cable Communications, Inc. | 6.875% | 6/15/09 | 2,500 | 2,552 |
Comcast Cable Communications, Inc. | 6.750% | 1/30/11 | 3,500 | 3,634 |
Comcast Cable Communications, Inc. | 8.875% | 5/1/17 | 625 | 724 |
Comcast Corp. | 5.500% | 3/15/11 | 450 | 452 |
Comcast Corp. | 5.300% | 1/15/14 | 200 | 195 |
Comcast Corp. | 6.500% | 1/15/15 | 1,450 | 1,479 |
Comcast Corp. | 5.900% | 3/15/16 | 600 | 590 |
Comcast Corp. | 6.300% | 11/15/17 | 150 | 150 |
Comcast Corp. | 5.875% | 2/15/18 | 1,600 | 1,556 |
Comcast Corp. | 7.050% | 3/15/33 | 175 | 177 |
Comcast Corp. | 6.500% | 11/15/35 | 6,425 | 6,164 |
Comcast Corp. | 6.450% | 3/15/37 | 1,200 | 1,120 |
Cox Communications, Inc. | 4.625% | 1/15/10 | 1,000 | 990 |
Cox Communications, Inc. | 6.750% | 3/15/11 | 3,675 | 3,799 |
Cox Communications, Inc. | 7.125% | 10/1/12 | 450 | 472 |
Cox Communications, Inc. | 5.450% | 12/15/14 | 550 | 530 |
Deutsche Telekom International Finance | 8.500% | 6/15/10 | 3,775 | 3,990 |
Deutsche Telekom International Finance | 5.250% | 7/22/13 | 875 | 853 |
Deutsche Telekom International Finance | 5.750% | 3/23/16 | 650 | 645 |
Deutsche Telekom International Finance | 8.750% | 6/15/30 | 2,150 | 2,468 |
Embarq Corp. | 7.082% | 6/1/16 | 2,700 | 2,575 |
Embarq Corp. | 7.995% | 6/1/36 | 225 | 218 |
France Telecom | 7.750% | 3/1/11 | 2,500 | 2,659 |
France Telecom | 8.500% | 3/1/31 | 3,100 | 3,771 |
Gannett Co., Inc. | 6.375% | 4/1/12 | 1,000 | 970 |
Grupo Televisa SA | 6.625% | 3/18/25 | 625 | 616 |
GTE Corp. | 8.750% | 11/1/21 | 175 | 202 |
Koninklijke KPN NV | 8.000% | 10/1/10 | 765 | 812 |
Koninklijke KPN NV | 8.375% | 10/1/30 | 500 | 597 |
McGraw-Hill Cos. Inc. | 5.375% | 11/15/12 | 750 | 749 |
McGraw-Hill Cos. Inc. | 5.900% | 11/15/17 | 825 | 809 |
McGraw-Hill Cos. Inc. | 6.550% | 11/15/37 | 925 | 878 |
New England Telephone & Telegraph Co. | 7.875% | 11/15/29 | 1,575 | 1,749 |
News America Holdings, Inc. | 9.250% | 2/1/13 | 350 | 400 |
News America Holdings, Inc. | 8.000% | 10/17/16 | 425 | 475 |
News America Holdings, Inc. | 8.150% | 10/17/36 | 175 | 198 |
News America Inc. | 5.300% | 12/15/14 | 900 | 883 |
News America Inc. | 6.200% | 12/15/34 | 2,550 | 2,381 |
News America Inc. | 6.400% | 12/15/35 | 1,425 | 1,350 |
News America Inc. | 6.650% | 11/15/37 | 1,400 | 1,370 |
Omnicom Group Inc. | 5.900% | 4/15/16 | 50 | 49 |
Qwest Communications International Inc. | 7.875% | 9/1/11 | 775 | 775 |
Qwest Communications International Inc. | 8.875% | 3/15/12 | 775 | 792 |
Qwest Communications International Inc. | 7.500% | 10/1/14 | 1,300 | 1,274 |
Qwest Communications International Inc. | 6.500% | 6/1/17 | 500 | 448 |
R.R. Donnelley & Sons Co. | 4.950% | 5/15/10 | 925 | 906 |
R.R. Donnelley & Sons Co. | 5.625% | 1/15/12 | 300 | 294 |
32
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
R.R. Donnelley & Sons Co. | 4.950% | 4/1/14 | 125 | 115 |
R.R. Donnelley & Sons Co. | 5.500% | 5/15/15 | 175 | 166 |
Reed Elsevier Capital | 4.625% | 6/15/12 | 100 | 96 |
Rogers Wireless Inc. | 6.375% | 3/1/14 | 2,250 | 2,242 |
TCI Communications, Inc. | 8.750% | 8/1/15 | 675 | 755 |
TCI Communications, Inc. | 7.875% | 2/15/26 | 175 | 194 |
Telecom Italia Capital | 4.000% | 1/15/10 | 1,595 | 1,572 |
Telecom Italia Capital | 6.200% | 7/18/11 | 950 | 972 |
Telecom Italia Capital | 5.250% | 11/15/13 | 430 | 400 |
Telecom Italia Capital | 5.250% | 10/1/15 | 325 | 300 |
Telecom Italia Capital | 6.375% | 11/15/33 | 3,125 | 2,780 |
Telecom Italia Capital | 7.200% | 7/18/36 | 500 | 484 |
Tele-Communications, Inc. | 7.875% | 8/1/13 | 275 | 297 |
Telefonica Emisiones SAU | 5.984% | 6/20/11 | 1,375 | 1,405 |
Telefonica Emisiones SAU | 6.421% | 6/20/16 | 2,125 | 2,162 |
Telefonica Emisiones SAU | 7.045% | 6/20/36 | 2,750 | 2,913 |
Telefonica Europe BV | 7.750% | 9/15/10 | 1,425 | 1,500 |
Telefonica Europe BV | 8.250% | 9/15/30 | 400 | 471 |
Telefonos de Mexico SA | 4.750% | 1/27/10 | 375 | 375 |
Telefonos de Mexico SA | 5.500% | 1/27/15 | 2,900 | 2,824 |
Telus Corp. | 8.000% | 6/1/11 | 1,125 | 1,208 |
Thomson Corp. | 6.200% | 1/5/12 | 450 | 459 |
Thomson Corp. | 5.950% | 7/15/13 | 175 | 176 |
Thomson Corp. | 5.700% | 10/1/14 | 1,050 | 1,034 |
Thomson Corp. | 6.500% | 7/15/18 | 100 | 100 |
Thomson Corp. | 5.500% | 8/15/35 | 225 | 185 |
Time Warner Cable Inc. | 5.400% | 7/2/12 | 600 | 593 |
Time Warner Cable Inc. | 6.200% | 7/1/13 | 1,750 | 1,776 |
Time Warner Cable Inc. | 5.850% | 5/1/17 | 1,500 | 1,423 |
Time Warner Cable Inc. | 6.750% | 7/1/18 | 2,100 | 2,110 |
Time Warner Cable Inc. | 6.550% | 5/1/37 | 600 | 561 |
Time Warner Cable Inc. | 7.300% | 7/1/38 | 1,650 | 1,636 |
Time Warner Entertainment | 10.150% | 5/1/12 | 325 | 367 |
Time Warner Entertainment | 8.875% | 10/1/12 | 650 | 716 |
Time Warner Entertainment | 8.375% | 3/15/23 | 325 | 352 |
Time Warner Entertainment | 8.375% | 7/15/33 | 950 | 1,012 |
US Cellular | 6.700% | 12/15/33 | 325 | 296 |
US West Communications Group | 7.500% | 6/15/23 | 675 | 597 |
US West Communications Group | 6.875% | 9/15/33 | 675 | 547 |
Verizon Communications Corp. | 5.350% | 2/15/11 | 200 | 205 |
Verizon Communications Corp. | 5.550% | 2/15/16 | 2,200 | 2,149 |
Verizon Communications Corp. | 5.500% | 2/15/18 | 2,250 | 2,140 |
Verizon Communications Corp. | 6.100% | 4/15/18 | 450 | 447 |
Verizon Communications Corp. | 6.400% | 2/15/38 | 900 | 840 |
Verizon Global Funding Corp. | 7.250% | 12/1/10 | 450 | 477 |
Verizon Global Funding Corp. | 6.875% | 6/15/12 | 3,450 | 3,687 |
Verizon Global Funding Corp. | 7.375% | 9/1/12 | 1,050 | 1,133 |
Verizon Global Funding Corp. | 4.900% | 9/15/15 | 1,000 | 950 |
Verizon Global Funding Corp. | 7.750% | 12/1/30 | 450 | 478 |
Verizon Global Funding Corp. | 5.850% | 9/15/35 | 2,400 | 2,152 |
Verizon New England, Inc. | 6.500% | 9/15/11 | 575 | 592 |
Verizon New Jersey, Inc. | 5.875% | 1/17/12 | 675 | 689 |
Verizon New York, Inc. | 6.875% | 4/1/12 | 225 | 236 |
Verizon New York, Inc. | 7.375% | 4/1/32 | 225 | 234 |
Verizon Pennsylvania, Inc. | 5.650% | 11/15/11 | 850 | 857 |
Verizon Virginia, Inc. | 4.625% | 3/15/13 | 275 | 267 |
Viacom Inc. | 6.625% | 5/15/11 | 715 | 730 |
33
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Viacom Inc. | 5.625% | 8/15/12 | 460 | 456 |
| Viacom Inc. | 5.500% | 5/15/33 | 175 | 144 |
| Vodafone AirTouch PLC | 7.750% | 2/15/10 | 325 | 341 |
| Vodafone AirTouch PLC | 7.875% | 2/15/30 | 850 | 944 |
| Vodafone Group PLC | 5.350% | 2/27/12 | 1,875 | 1,896 |
| Vodafone Group PLC | 5.000% | 12/16/13 | 275 | 266 |
| Vodafone Group PLC | 5.375% | 1/30/15 | 800 | 772 |
| Vodafone Group PLC | 5.750% | 3/15/16 | 450 | 445 |
| Vodafone Group PLC | 5.625% | 2/27/17 | 1,000 | 963 |
| Vodafone Group PLC | 6.250% | 11/30/32 | 1,225 | 1,162 |
| Vodafone Group PLC | 6.150% | 2/27/37 | 300 | 280 |
| WPP Finance USA Corp. | 5.875% | 6/15/14 | 475 | 457 |
|
|
|
|
|
|
| Consumer Cyclical (1.3%) |
|
|
|
|
| Best Buy Co. | 6.750% | 7/15/13 | 1,475 | 1,485 |
| Brinker International | 5.750% | 6/1/14 | 125 | 112 |
| Costco Wholesale Corp. | 5.300% | 3/15/12 | 100 | 103 |
| Costco Wholesale Corp. | 5.500% | 3/15/17 | 1,925 | 1,942 |
| CVS Caremark Corp. | 4.000% | 9/15/09 | 75 | 75 |
| CVS Caremark Corp. | 5.750% | 8/15/11 | 800 | 816 |
3 | CVS Caremark Corp. | 6.302% | 6/1/37 | 700 | 606 |
| CVS Corp. | 4.875% | 9/15/14 | 225 | 216 |
| CVS Corp. | 6.125% | 8/15/16 | 250 | 251 |
| CVS Corp. | 6.250% | 6/1/27 | 1,100 | 1,080 |
| DaimlerChrysler North America Holding Corp. | 4.875% | 6/15/10 | 225 | 226 |
| DaimlerChrysler North America Holding Corp. | 8.000% | 6/15/10 | 200 | 210 |
| DaimlerChrysler North America Holding Corp. | 5.875% | 3/15/11 | 3,525 | 3,558 |
| DaimlerChrysler North America Holding Corp. | 5.750% | 9/8/11 | 1,525 | 1,539 |
| DaimlerChrysler North America Holding Corp. | 7.300% | 1/15/12 | 3,775 | 3,969 |
| DaimlerChrysler North America Holding Corp. | 6.500% | 11/15/13 | 2,475 | 2,550 |
| DaimlerChrysler North America Holding Corp. | 8.500% | 1/18/31 | 1,125 | 1,290 |
| Darden Restaurants Inc. | 5.625% | 10/15/12 | 625 | 605 |
| Darden Restaurants Inc. | 6.200% | 10/15/17 | 400 | 376 |
| Darden Restaurants Inc. | 6.800% | 10/15/37 | 425 | 362 |
| Federated Retail Holding | 5.350% | 3/15/12 | 825 | 766 |
| Federated Retail Holding | 5.900% | 12/1/16 | 2,275 | 1,989 |
| Federated Retail Holding | 6.375% | 3/15/37 | 1,075 | 837 |
| Home Depot Inc. | 3.750% | 9/15/09 | 625 | 619 |
| Home Depot Inc. | 4.625% | 8/15/10 | 1,025 | 1,018 |
| Home Depot Inc. | 5.250% | 12/16/13 | 1,200 | 1,162 |
| Home Depot Inc. | 5.400% | 3/1/16 | 1,550 | 1,411 |
| Home Depot Inc. | 5.875% | 12/16/36 | 1,100 | 899 |
| ITT Corp. | 7.375% | 11/15/15 | 1,150 | 1,134 |
| J.C. Penney Co., Inc. | 8.000% | 3/1/10 | 975 | 1,004 |
| J.C. Penney Co., Inc. | 7.950% | 4/1/17 | 825 | 849 |
| J.C. Penney Co., Inc. | 5.750% | 2/15/18 | 1,050 | 949 |
| J.C. Penney Co., Inc. | 6.375% | 10/15/36 | 950 | 804 |
| J.C. Penney Co., Inc. | 7.400% | 4/1/37 | 250 | 226 |
| Johnson Controls, Inc. | 5.250% | 1/15/11 | 250 | 253 |
| Johnson Controls, Inc. | 6.000% | 1/15/36 | 100 | 91 |
| Kohl’s Corp. | 6.250% | 12/15/17 | 375 | 356 |
| Kohl’s Corp. | 6.000% | 1/15/33 | 200 | 159 |
| Kohl’s Corp. | 6.875% | 12/15/37 | 325 | 294 |
| Limited Brands Inc. | 6.125% | 12/1/12 | 400 | 382 |
| Limited Brands Inc. | 5.250% | 11/1/14 | 150 | 127 |
| Limited Brands Inc. | 6.900% | 7/15/17 | 825 | 749 |
| Limited Brands Inc. | 7.600% | 7/15/37 | 450 | 401 |
34
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Lowe’s Cos., Inc. | 5.600% | 9/15/12 | 200 | 206 |
Lowe’s Cos., Inc. | 5.000% | 10/15/15 | 725 | 715 |
Lowe’s Cos., Inc. | 5.400% | 10/15/16 | 1,950 | 1,899 |
Lowe’s Cos., Inc. | 6.100% | 9/15/17 | 450 | 457 |
Lowe’s Cos., Inc. | 6.875% | 2/15/28 | 450 | 458 |
Lowe’s Cos., Inc. | 5.800% | 10/15/36 | 650 | 588 |
Lowe’s Cos., Inc. | 6.650% | 9/15/37 | 200 | 195 |
Macy’s Retail Holdings Inc. | 6.900% | 4/1/29 | 675 | 568 |
Macy’s Retail Holdings Inc. | 5.750% | 7/15/14 | 850 | 772 |
Macy’s Retail Holdings Inc. | 6.790% | 7/15/27 | 175 | 146 |
Macy’s Retail Holdings Inc. | 7.000% | 2/15/28 | 200 | 169 |
Marriott International | 4.625% | 6/15/12 | 275 | 254 |
Marriott International | 5.625% | 2/15/13 | 400 | 376 |
Marriott International | 6.200% | 6/15/16 | 400 | 374 |
Marriott International | 6.375% | 6/15/17 | 400 | 378 |
McDonald’s Corp. | 6.000% | 4/15/11 | 425 | 444 |
McDonald’s Corp. | 5.300% | 3/15/17 | 150 | 147 |
McDonald’s Corp. | 5.800% | 10/15/17 | 650 | 660 |
McDonald’s Corp. | 5.350% | 3/1/18 | 900 | 881 |
McDonald’s Corp. | 6.300% | 10/15/37 | 400 | 398 |
Nordstrom, Inc. | 6.250% | 1/15/18 | 175 | 170 |
Nordstrom, Inc. | 6.950% | 3/15/28 | 175 | 165 |
Nordstrom, Inc. | 7.000% | 1/15/38 | 275 | 262 |
Starwood Hotel Resorts | 7.875% | 5/1/12 | 1,125 | 1,118 |
Starwood Hotel Resorts | 6.250% | 2/15/13 | 400 | 386 |
Target Corp. | 7.500% | 8/15/10 | 225 | 240 |
Target Corp. | 6.350% | 1/15/11 | 275 | 288 |
Target Corp. | 5.875% | 3/1/12 | 800 | 830 |
Target Corp. | 5.125% | 1/15/13 | 975 | 988 |
Target Corp. | 4.000% | 6/15/13 | 335 | 323 |
Target Corp. | 5.875% | 7/15/16 | 575 | 584 |
Target Corp. | 6.000% | 1/15/18 | 2,000 | 2,003 |
Target Corp. | 7.000% | 7/15/31 | 1,400 | 1,466 |
Target Corp. | 6.350% | 11/1/32 | 125 | 124 |
Target Corp. | 6.500% | 10/15/37 | 750 | 719 |
Target Corp. | 7.000% | 1/15/38 | 1,700 | 1,730 |
The Walt Disney Co. | 5.700% | 7/15/11 | 1,250 | 1,303 |
The Walt Disney Co. | 6.375% | 3/1/12 | 675 | 715 |
The Walt Disney Co. | 5.625% | 9/15/16 | 1,350 | 1,380 |
The Walt Disney Co. | 5.875% | 12/15/17 | 900 | 935 |
Time Warner, Inc. | 6.750% | 4/15/11 | 800 | 823 |
Time Warner, Inc. | 5.500% | 11/15/11 | 50 | 50 |
Time Warner, Inc. | 6.875% | 5/1/12 | 150 | 154 |
Time Warner, Inc. | 9.125% | 1/15/13 | 2,275 | 2,535 |
Time Warner, Inc. | 9.150% | 2/1/23 | 275 | 314 |
Time Warner, Inc. | 6.625% | 5/15/29 | 1,625 | 1,540 |
Time Warner, Inc. | 7.625% | 4/15/31 | 2,210 | 2,312 |
Time Warner, Inc. | 7.700% | 5/1/32 | 1,465 | 1,514 |
Time Warner, Inc. | 6.500% | 11/15/36 | 825 | 739 |
Toll Brothers, Inc. | 5.150% | 5/15/15 | 275 | 240 |
Toyota Motor Credit Corp. | 4.250% | 3/15/10 | 3,025 | 3,078 |
Toyota Motor Credit Corp. | 4.350% | 12/15/10 | 500 | 511 |
Toyota Motor Credit Corp. | 5.450% | 5/18/11 | 300 | 311 |
VF Corp. | 5.950% | 11/1/17 | 425 | 418 |
VF Corp. | 6.450% | 11/1/37 | 375 | 355 |
Viacom Inc. | 5.750% | 4/30/11 | 725 | 724 |
Viacom Inc. | 6.250% | 4/30/16 | 225 | 217 |
35
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Viacom Inc. | 6.125% | 10/5/17 | 425 | 412 |
Viacom Inc. | 6.875% | 4/30/36 | 1,275 | 1,195 |
Wal-Mart Stores, Inc. | 6.875% | 8/10/09 | 100 | 104 |
Wal-Mart Stores, Inc. | 4.000% | 1/15/10 | 300 | 303 |
Wal-Mart Stores, Inc. | 4.125% | 7/1/10 | 1,900 | 1,925 |
Wal-Mart Stores, Inc. | 4.125% | 2/15/11 | 2,575 | 2,586 |
Wal-Mart Stores, Inc. | 4.250% | 4/15/13 | 600 | 596 |
Wal-Mart Stores, Inc. | 4.550% | 5/1/13 | 1,925 | 1,933 |
Wal-Mart Stores, Inc. | 7.250% | 6/1/13 | 650 | 729 |
Wal-Mart Stores, Inc. | 4.500% | 7/1/15 | 3,625 | 3,565 |
Wal-Mart Stores, Inc. | 5.375% | 4/5/17 | 200 | 202 |
Wal-Mart Stores, Inc. | 5.800% | 2/15/18 | 400 | 415 |
Wal-Mart Stores, Inc. | 5.875% | 4/5/27 | 2,475 | 2,413 |
Wal-Mart Stores, Inc. | 7.550% | 2/15/30 | 875 | 996 |
Wal-Mart Stores, Inc. | 5.250% | 9/1/35 | 275 | 238 |
Wal-Mart Stores, Inc. | 6.500% | 8/15/37 | 525 | 537 |
Wal-Mart Stores, Inc. | 6.200% | 4/15/38 | 125 | 123 |
Western Union Co. | 5.400% | 11/17/11 | 1,325 | 1,318 |
Western Union Co. | 5.930% | 10/1/16 | 575 | 562 |
Western Union Co. | 6.200% | 11/17/36 | 350 | 320 |
Yum! Brands, Inc. | 8.875% | 4/15/11 | 350 | 378 |
Yum! Brands, Inc. | 7.700% | 7/1/12 | 250 | 269 |
Yum! Brands, Inc. | 6.250% | 4/15/16 | 675 | 675 |
Yum! Brands, Inc. | 6.250% | 3/15/18 | 425 | 412 |
Yum! Brands, Inc. | 6.875% | 11/15/37 | 1,475 | 1,370 |
|
|
|
|
|
Consumer Noncyclical (2.1%) |
|
|
|
|
Abbott Laboratories | 3.750% | 3/15/11 | 650 | 647 |
Abbott Laboratories | 5.600% | 5/15/11 | 75 | 78 |
Abbott Laboratories | 5.150% | 11/30/12 | 600 | 613 |
Abbott Laboratories | 4.350% | 3/15/14 | 1,000 | 978 |
Abbott Laboratories | 5.875% | 5/15/16 | 3,525 | 3,649 |
Abbott Laboratories | 5.600% | 11/30/17 | 675 | 679 |
Allergan Inc. | 5.750% | 4/1/16 | 125 | 125 |
AmerisourceBergen Corp. | 5.875% | 9/15/15 | 1,125 | 1,086 |
Amgen Inc. | 4.000% | 11/18/09 | 1,125 | 1,130 |
Amgen Inc. | 4.850% | 11/18/14 | 725 | 693 |
Amgen Inc. | 5.850% | 6/1/17 | 1,650 | 1,630 |
Amgen Inc. | 6.375% | 6/1/37 | 700 | 672 |
Anheuser-Busch Cos., Inc. | 6.000% | 4/15/11 | 700 | 708 |
Anheuser-Busch Cos., Inc. | 5.500% | 1/15/18 | 550 | 513 |
Anheuser-Busch Cos., Inc. | 6.800% | 8/20/32 | 450 | 446 |
Anheuser-Busch Cos., Inc. | 5.750% | 4/1/36 | 1,300 | 1,114 |
Anheuser-Busch Cos., Inc. | 6.450% | 9/1/37 | 1,725 | 1,643 |
Archer-Daniels-Midland Co. | 5.450% | 3/15/18 | 1,150 | 1,110 |
Archer-Daniels-Midland Co. | 7.000% | 2/1/31 | 425 | 455 |
Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 1,325 | 1,280 |
Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 350 | 306 |
Archer-Daniels-Midland Co. | 6.450% | 1/15/38 | 375 | 369 |
AstraZeneca PLC | 5.400% | 9/15/12 | 2,650 | 2,710 |
AstraZeneca PLC | 5.400% | 6/1/14 | 275 | 282 |
AstraZeneca PLC | 5.900% | 9/15/17 | 1,500 | 1,537 |
AstraZeneca PLC | 6.450% | 9/15/37 | 2,800 | 2,852 |
Baxter Finco, BV | 4.750% | 10/15/10 | 850 | 864 |
Baxter International, Inc. | 5.900% | 9/1/16 | 625 | 639 |
Baxter International, Inc. | 6.250% | 12/1/37 | 375 | 376 |
Biogen Idec Inc. | 6.000% | 3/1/13 | 1,200 | 1,193 |
36
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Biogen Idec Inc. | 6.875% | 3/1/18 | 1,800 | 1,812 |
| Bottling Group LLC | 4.625% | 11/15/12 | 2,350 | 2,381 |
| Bottling Group LLC | 5.000% | 11/15/13 | 300 | 302 |
| Bottling Group LLC | 5.500% | 4/1/16 | 575 | 578 |
| Bristol-Myers Squibb Co. | 5.250% | 8/15/13 | 225 | 229 |
| Bristol-Myers Squibb Co. | 5.450% | 5/1/18 | 300 | 294 |
| Bristol-Myers Squibb Co. | 5.875% | 11/15/36 | 1,800 | 1,697 |
| Bristol-Myers Squibb Co. | 6.125% | 5/1/38 | 325 | 313 |
| Bristol-Myers Squibb Co. | 6.875% | 8/1/97 | 175 | 176 |
| Bunge Ltd. Finance Corp. | 5.100% | 7/15/15 | 250 | 227 |
| C.R. Bard, Inc. | 6.700% | 12/1/26 | 750 | 760 |
| Campbell Soup Co. | 6.750% | 2/15/11 | 1,300 | 1,371 |
| Cardinal Health, Inc. | 5.650% | 6/15/12 | 200 | 200 |
| Cardinal Health, Inc. | 5.800% | 10/15/16 | 575 | 568 |
| Cia. Brasil de Bebidas AmBev | 10.500% | 12/15/11 | 765 | 884 |
| Cia. Brasil de Bebidas AmBev | 8.750% | 9/15/13 | 275 | 314 |
| Clorox Co. | 4.200% | 1/15/10 | 1,475 | 1,461 |
| Clorox Co. | 5.000% | 1/15/15 | 300 | 285 |
| Coca-Cola Co. | 5.350% | 11/15/17 | 1,850 | 1,858 |
| Coca-Cola Enterprises Inc. | 4.375% | 9/15/09 | 850 | 861 |
| Coca-Cola Enterprises Inc. | 6.125% | 8/15/11 | 300 | 315 |
| Coca-Cola Enterprises Inc. | 8.500% | 2/1/22 | 500 | 612 |
| Coca-Cola Enterprises Inc. | 7.000% | 10/1/26 | 225 | 249 |
| Coca-Cola Enterprises Inc. | 6.950% | 11/15/26 | 775 | 861 |
| ConAgra Foods, Inc. | 7.875% | 9/15/10 | 666 | 705 |
| ConAgra Foods, Inc. | 7.125% | 10/1/26 | 450 | 470 |
| ConAgra Foods, Inc. | 7.000% | 10/1/28 | 100 | 104 |
| ConAgra Foods, Inc. | 8.250% | 9/15/30 | 250 | 289 |
| Covidien International | 5.450% | 10/15/12 | 1,125 | 1,130 |
| Covidien International | 6.000% | 10/15/17 | 1,175 | 1,189 |
| Covidien International | 6.550% | 10/15/37 | 750 | 753 |
| Diageo Capital PLC | 5.200% | 1/30/13 | 350 | 352 |
| Diageo Capital PLC | 5.750% | 10/23/17 | 1,075 | 1,061 |
| Diageo Finance BV | 5.300% | 10/28/15 | 150 | 148 |
5 | Dr. Pepper Snapple Group | 6.120% | 5/1/13 | 175 | 176 |
5 | Dr. Pepper Snapple Group | 6.820% | 5/1/18 | 550 | 557 |
5 | Dr. Pepper Snapple Group | 7.450% | 5/1/38 | 150 | 157 |
| Eli Lilly & Co. | 6.000% | 3/15/12 | 1,875 | 1,990 |
| Eli Lilly & Co. | 5.200% | 3/15/17 | 500 | 498 |
| Eli Lilly & Co. | 5.500% | 3/15/27 | 1,175 | 1,136 |
| Fortune Brands Inc. | 5.125% | 1/15/11 | 1,125 | 1,110 |
| Fortune Brands Inc. | 5.375% | 1/15/16 | 200 | 187 |
| Fortune Brands Inc. | 5.875% | 1/15/36 | 225 | 187 |
| Genentech Inc. | 4.400% | 7/15/10 | 175 | 178 |
| Genentech Inc. | 4.750% | 7/15/15 | 350 | 346 |
| Genentech Inc. | 5.250% | 7/15/35 | 225 | 204 |
| General Mills, Inc. | 6.000% | 2/15/12 | 1,958 | 2,010 |
| General Mills, Inc. | 5.650% | 9/10/12 | 25 | 26 |
| General Mills, Inc. | 5.700% | 2/15/17 | 1,425 | 1,412 |
| GlaxoSmithKline Capital Inc. | 4.850% | 5/15/13 | 2,300 | 2,291 |
| GlaxoSmithKline Capital Inc. | 4.375% | 4/15/14 | 1,700 | 1,654 |
| GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 2,300 | 2,276 |
| GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 2,550 | 2,535 |
| Grand Metropolitan Investment Corp. | 9.000% | 8/15/11 | 1,725 | 1,925 |
| H.J. Heinz Co. | 6.625% | 7/15/11 | 1,075 | 1,122 |
| H.J. Heinz Co. | 6.750% | 3/15/32 | 850 | 823 |
| Hasbro Inc. | 6.300% | 9/15/17 | 975 | 964 |
37
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Hershey Foods Corp. | 5.450% | 9/1/16 | 150 | 150 |
Hospira, Inc. | 4.950% | 6/15/09 | 250 | 249 |
Hospira, Inc. | 5.900% | 6/15/14 | 125 | 123 |
Johnson & Johnson | 3.800% | 5/15/13 | 400 | 396 |
Johnson & Johnson | 5.550% | 8/15/17 | 1,225 | 1,280 |
Johnson & Johnson | 5.150% | 7/15/18 | 225 | 228 |
Johnson & Johnson | 6.950% | 9/1/29 | 75 | 88 |
Johnson & Johnson | 4.950% | 5/15/33 | 425 | 393 |
Johnson & Johnson | 5.950% | 8/15/37 | 1,175 | 1,218 |
Johnson & Johnson | 5.850% | 7/15/38 | 1,075 | 1,097 |
Kellogg Co. | 6.600% | 4/1/11 | 2,775 | 2,903 |
Kellogg Co. | 4.250% | 3/6/13 | 400 | 389 |
Kellogg Co. | 7.450% | 4/1/31 | 675 | 759 |
Kimberly-Clark Corp. | 5.625% | 2/15/12 | 1,375 | 1,425 |
Kimberly-Clark Corp. | 4.875% | 8/15/15 | 875 | 852 |
Kimberly-Clark Corp. | 6.125% | 8/1/17 | 975 | 1,009 |
Kraft Foods, Inc. | 4.125% | 11/12/09 | 1,975 | 1,969 |
Kraft Foods, Inc. | 5.625% | 11/1/11 | 2,000 | 2,029 |
Kraft Foods, Inc. | 6.250% | 6/1/12 | 100 | 102 |
Kraft Foods, Inc. | 6.500% | 8/11/17 | 900 | 901 |
Kraft Foods, Inc. | 6.125% | 8/23/18 | 775 | 749 |
Kraft Foods, Inc. | 6.500% | 11/1/31 | 2,100 | 1,985 |
Kraft Foods, Inc. | 7.000% | 8/11/37 | 2,300 | 2,323 |
Kraft Foods, Inc. | 6.875% | 1/26/39 | 775 | 758 |
Kroger Co. | 6.800% | 4/1/11 | 1,250 | 1,307 |
Kroger Co. | 6.750% | 4/15/12 | 275 | 288 |
Kroger Co. | 6.200% | 6/15/12 | 500 | 517 |
Kroger Co. | 6.400% | 8/15/17 | 875 | 902 |
Kroger Co. | 6.800% | 12/15/18 | 975 | 1,022 |
Kroger Co. | 6.150% | 1/15/20 | 800 | 798 |
Kroger Co. | 7.700% | 6/1/29 | 1,425 | 1,579 |
Kroger Co. | 8.000% | 9/15/29 | 450 | 507 |
Laboratory Corp. of America | 5.625% | 12/15/15 | 375 | 346 |
McKesson Corp. | 7.750% | 2/1/12 | 450 | 480 |
Mckesson Corp. | 5.250% | 3/1/13 | 1,425 | 1,389 |
Medtronic Inc. | 4.375% | 9/15/10 | 175 | 177 |
Medtronic Inc. | 4.750% | 9/15/15 | 1,300 | 1,237 |
Merck & Co. | 4.375% | 2/15/13 | 325 | 326 |
Merck & Co. | 4.750% | 3/1/15 | 975 | 964 |
Merck & Co. | 6.400% | 3/1/28 | 1,225 | 1,284 |
Merck & Co. | 5.950% | 12/1/28 | 250 | 246 |
Molson Coors Capital Finance | 4.850% | 9/22/10 | 350 | 350 |
Newell Rubbermaid, Inc. | 4.000% | 5/1/10 | 275 | 269 |
Pepsi Bottling Group, Inc. | 7.000% | 3/1/29 | 450 | 503 |
PepsiAmericas Inc. | 5.750% | 7/31/12 | 550 | 561 |
PepsiAmericas Inc. | 5.000% | 5/15/17 | 600 | 560 |
Pepsico, Inc. | 5.150% | 5/15/12 | 475 | 492 |
Pepsico, Inc. | 4.650% | 2/15/13 | 450 | 456 |
Pepsico, Inc. | 5.000% | 6/1/18 | 900 | 877 |
Pfizer, Inc. | 4.500% | 2/15/14 | 1,050 | 1,043 |
Pharmacia Corp. | 6.600% | 12/1/28 | 725 | 769 |
Philip Morris International Inc | 5.650% | 5/16/18 | 1,875 | 1,826 |
Philip Morris International Inc. | 4.875% | 5/16/13 | 1,475 | 1,448 |
Philip Morris International Inc. | 6.375% | 5/16/38 | 1,025 | 998 |
Philips Electronics NV | 4.625% | 3/11/13 | 450 | 446 |
Philips Electronics NV | 5.750% | 3/11/18 | 1,075 | 1,054 |
Philips Electronics NV | 6.875% | 3/11/38 | 200 | 206 |
38
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Procter & Gamble Co. | 4.950% | 8/15/14 | 950 | 974 |
| Procter & Gamble Co. | 6.450% | 1/15/26 | 2,250 | 2,402 |
| Procter & Gamble Co. | 5.800% | 8/15/34 | 475 | 476 |
| Procter & Gamble Co. | 5.550% | 3/5/37 | 1,150 | 1,102 |
3 | Procter & Gamble Co. ESOP | 9.360% | 1/1/21 | 957 | 1,195 |
| Quest Diagnostic, Inc. | 5.450% | 11/1/15 | 1,200 | 1,138 |
| Quest Diagnostic, Inc. | 6.950% | 7/1/37 | 500 | 490 |
| Reynolds American Inc. | 6.500% | 7/15/10 | 350 | 357 |
| Reynolds American Inc. | 7.250% | 6/1/12 | 350 | 361 |
| Reynolds American Inc. | 7.250% | 6/1/13 | 700 | 720 |
| Reynolds American Inc. | 6.750% | 6/15/17 | 1,000 | 996 |
| Reynolds American Inc. | 7.250% | 6/15/37 | 700 | 687 |
| Safeway, Inc. | 4.950% | 8/16/10 | 650 | 653 |
| Safeway, Inc. | 6.500% | 3/1/11 | 825 | 847 |
| Safeway, Inc. | 5.800% | 8/15/12 | 225 | 230 |
| Safeway, Inc. | 6.350% | 8/15/17 | 225 | 229 |
| Safeway, Inc. | 7.250% | 2/1/31 | 925 | 987 |
| Schering-Plough Corp. | 5.550% | 12/1/13 | 2,475 | 2,493 |
| Schering-Plough Corp. | 6.750% | 12/1/33 | 600 | 612 |
| Sysco Corp. | 4.200% | 2/12/13 | 150 | 147 |
| Sysco Corp. | 5.250% | 2/12/18 | 500 | 499 |
| Sysco Corp. | 5.375% | 9/21/35 | 575 | 524 |
| Teva Pharmaceutical Finance LLC | 5.550% | 2/1/16 | 775 | 757 |
| Teva Pharmaceutical Finance LLC | 6.150% | 2/1/36 | 875 | 839 |
| Unilever Capital Corp. | 7.125% | 11/1/10 | 1,750 | 1,869 |
| Unilever Capital Corp. | 5.900% | 11/15/32 | 650 | 627 |
| UST, Inc. | 5.750% | 3/1/18 | 500 | 497 |
| Whirlpool Corp. | 5.500% | 3/1/13 | 1,825 | 1,802 |
| Wm. Wrigley Jr. Co. | 4.300% | 7/15/10 | 1,025 | 1,026 |
| Wm. Wrigley Jr. Co. | 4.650% | 7/15/15 | 325 | 315 |
| Wyeth | 6.950% | 3/15/11 | 625 | 662 |
| Wyeth | 5.500% | 3/15/13 | 1,625 | 1,659 |
| Wyeth | 5.500% | 2/1/14 | 450 | 442 |
| Wyeth | 5.500% | 2/15/16 | 175 | 175 |
| Wyeth | 5.450% | 4/1/17 | 275 | 272 |
| Wyeth | 6.450% | 2/1/24 | 175 | 180 |
| Wyeth | 6.500% | 2/1/34 | 1,800 | 1,857 |
| Wyeth | 6.000% | 2/15/36 | 400 | 388 |
| Wyeth | 5.950% | 4/1/37 | 2,125 | 2,043 |
|
|
|
|
|
|
| Energy (1.0%) |
|
|
|
|
| Alberta Energy Co. Ltd. | 7.375% | 11/1/31 | 400 | 430 |
| Amerada Hess Corp. | 6.650% | 8/15/11 | 275 | 288 |
| Amerada Hess Corp. | 7.875% | 10/1/29 | 1,450 | 1,663 |
| Amerada Hess Corp. | 7.125% | 3/15/33 | 1,450 | 1,595 |
| Anadarko Finance Co. | 6.750% | 5/1/11 | 1,275 | 1,320 |
| Anadarko Petroleum Corp. | 5.950% | 9/15/16 | 2,375 | 2,378 |
| Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 1,975 | 1,965 |
| Apache Corp. | 6.250% | 4/15/12 | 800 | 835 |
| Apache Corp. | 5.250% | 4/15/13 | 200 | 202 |
| Apache Corp. | 5.625% | 1/15/17 | 100 | 101 |
| Apache Corp. | 6.000% | 1/15/37 | 750 | 742 |
| Apache Finance Canada | 7.750% | 12/15/29 | 125 | 149 |
| Baker Hughes, Inc. | 6.875% | 1/15/29 | 175 | 188 |
| BJ Services Co. | 6.000% | 6/1/18 | 150 | 150 |
| Burlington Resources, Inc. | 6.680% | 2/15/11 | 775 | 818 |
| Burlington Resources, Inc. | 6.500% | 12/1/11 | 975 | 1,039 |
39
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Burlington Resources, Inc. | 7.200% | 8/15/31 | 200 | 228 |
| Burlington Resources, Inc. | 7.400% | 12/1/31 | 1,475 | 1,717 |
| Cameron International Corp. | 6.375% | 7/15/18 | 650 | 651 |
| Cameron International Corp. | 7.000% | 7/15/38 | 500 | 498 |
| Canadian Natural Resources | 5.450% | 10/1/12 | 700 | 704 |
| Canadian Natural Resources | 5.150% | 2/1/13 | 100 | 100 |
| Canadian Natural Resources | 4.900% | 12/1/14 | 750 | 725 |
| Canadian Natural Resources | 6.000% | 8/15/16 | 650 | 654 |
| Canadian Natural Resources | 5.700% | 5/15/17 | 600 | 586 |
| Canadian Natural Resources | 5.900% | 2/1/18 | 250 | 248 |
| Canadian Natural Resources | 7.200% | 1/15/32 | 1,300 | 1,402 |
| Canadian Natural Resources | 6.450% | 6/30/33 | 975 | 961 |
| Canadian Natural Resources | 6.500% | 2/15/37 | 650 | 643 |
| Canadian Natural Resources | 6.250% | 3/15/38 | 1,075 | 1,021 |
| Canadian Natural Resources | 6.750% | 2/1/39 | 50 | 50 |
| Conoco Funding Co. | 6.350% | 10/15/11 | 1,275 | 1,351 |
| Conoco Funding Co. | 7.250% | 10/15/31 | 175 | 201 |
| ConocoPhillips | 8.750% | 5/25/10 | 575 | 626 |
| ConocoPhillips Canada | 5.300% | 4/15/12 | 2,100 | 2,162 |
| ConocoPhillips Canada | 5.625% | 10/15/16 | 1,300 | 1,330 |
| ConocoPhillips Canada | 5.950% | 10/15/36 | 1,000 | 1,004 |
| Devon Energy Corp. | 7.950% | 4/15/32 | 900 | 1,066 |
| Devon Financing Corp. | 6.875% | 9/30/11 | 1,325 | 1,403 |
| Devon Financing Corp. | 7.875% | 9/30/31 | 650 | 763 |
| Diamond Offshore Drilling | 4.875% | 7/1/15 | 50 | 48 |
| Encana Corp. | 4.750% | 10/15/13 | 75 | 73 |
| Encana Corp. | 5.900% | 12/1/17 | 1,500 | 1,497 |
| Encana Corp. | 6.500% | 8/15/34 | 1,250 | 1,213 |
| Encana Corp. | 6.625% | 8/15/37 | 1,450 | 1,462 |
| Encana Holdings Finance Corp. | 5.800% | 5/1/14 | 750 | 760 |
| EOG Resources Inc. | 5.875% | 9/15/17 | 1,325 | 1,334 |
| Halliburton Co. | 5.500% | 10/15/10 | 500 | 517 |
| Husky Energy Inc. | 6.250% | 6/15/12 | 175 | 180 |
| Husky Energy Inc. | 6.800% | 9/15/37 | 650 | 644 |
| Kerr McGee Corp. | 6.875% | 9/15/11 | 850 | 890 |
| Kerr McGee Corp. | 6.950% | 7/1/24 | 1,250 | 1,303 |
| Kerr McGee Corp. | 7.875% | 9/15/31 | 200 | 237 |
| Marathon Oil Corp. | 6.125% | 3/15/12 | 1,225 | 1,257 |
| Marathon Oil Corp. | 6.000% | 7/1/12 | 500 | 514 |
| Marathon Oil Corp. | 6.600% | 10/1/37 | 2,175 | 2,147 |
5 | Nabors Industries Inc. | 6.150% | 2/15/18 | 225 | 226 |
| Nexen, Inc. | 5.050% | 11/20/13 | 350 | 345 |
| Nexen, Inc. | 5.650% | 5/15/17 | 550 | 528 |
| Nexen, Inc. | 7.875% | 3/15/32 | 200 | 224 |
| Nexen, Inc. | 6.400% | 5/15/37 | 1,850 | 1,775 |
| Noble Energy Inc. | 8.000% | 4/1/27 | 550 | 595 |
| Norsk Hydro | 7.250% | 9/23/27 | 1,575 | 1,798 |
| Norsk Hydro | 7.150% | 1/15/29 | 275 | 312 |
| Occidental Petroleum | 4.250% | 3/15/10 | 1,000 | 1,008 |
| Occidental Petroleum | 6.750% | 1/15/12 | 350 | 375 |
| Ocean Energy, Inc. | 7.250% | 10/1/11 | 50 | 53 |
| PanCanadian Energy Corp. | 7.200% | 11/1/31 | 425 | 448 |
| Petro-Canada | 4.000% | 7/15/13 | 725 | 680 |
| Petro-Canada | 7.875% | 6/15/26 | 325 | 354 |
| Petro-Canada | 7.000% | 11/15/28 | 275 | 271 |
| Petro-Canada | 5.350% | 7/15/33 | 275 | 231 |
| Petro-Canada | 5.950% | 5/15/35 | 350 | 312 |
40
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Petro-Canada Financial Partnership | 5.000% | 11/15/14 | 1,025 | 971 |
| Petro-Canada Financial Partnership | 6.050% | 5/15/18 | 950 | 933 |
| Questar Market Resources | 6.050% | 9/1/16 | 375 | 364 |
| Shell International Finance | 5.625% | 6/27/11 | 625 | 655 |
| Shell International Finance | 4.950% | 3/22/12 | 475 | 488 |
| Shell International Finance | 5.200% | 3/22/17 | 400 | 411 |
| Suncor Energy, Inc. | 6.100% | 6/1/18 | 450 | 455 |
| Suncor Energy, Inc. | 5.950% | 12/1/34 | 275 | 253 |
| Suncor Energy, Inc. | 6.500% | 6/15/38 | 1,300 | 1,262 |
| Suncor Energy, Inc. | 6.850% | 6/1/39 | 325 | 330 |
| Sunoco, Inc. | 4.875% | 10/15/14 | 125 | 118 |
| Sunoco, Inc. | 5.750% | 1/15/17 | 350 | 330 |
| Talisman Energy, Inc. | 5.125% | 5/15/15 | 100 | 96 |
| Talisman Energy, Inc. | 5.850% | 2/1/37 | 1,475 | 1,262 |
| Tosco Corp. | 8.125% | 2/15/30 | 1,525 | 1,876 |
| Transocean Inc. | 5.250% | 3/15/13 | 300 | 300 |
| Transocean Inc. | 6.000% | 3/15/18 | 875 | 876 |
| Transocean Inc. | 7.500% | 4/15/31 | 450 | 493 |
| Transocean Inc. | 6.800% | 3/15/38 | 875 | 894 |
| Valero Energy Corp. | 6.875% | 4/15/12 | 850 | 882 |
| Valero Energy Corp. | 7.500% | 4/15/32 | 1,050 | 1,070 |
| Valero Energy Corp. | 6.625% | 6/15/37 | 1,600 | 1,465 |
| Weatherford International Inc. | 6.350% | 6/15/17 | 825 | 838 |
| Weatherford International Inc. | 6.500% | 8/1/36 | 1,650 | 1,592 |
| Weatherford International Inc. | 6.800% | 6/15/37 | 200 | 203 |
| XTO Energy, Inc. | 5.900% | 8/1/12 | 450 | 458 |
| XTO Energy, Inc. | 6.250% | 4/15/13 | 500 | 516 |
| XTO Energy, Inc. | 4.900% | 2/1/14 | 200 | 195 |
| XTO Energy, Inc. | 5.000% | 1/31/15 | 125 | 120 |
| XTO Energy, Inc. | 5.300% | 6/30/15 | 250 | 242 |
| XTO Energy, Inc. | 6.250% | 8/1/17 | 1,600 | 1,619 |
| XTO Energy, Inc. | 6.100% | 4/1/36 | 75 | 71 |
| XTO Energy, Inc. | 6.750% | 8/1/37 | 850 | 852 |
|
|
|
|
|
|
| Technology (0.6%) |
|
|
|
|
| Agilent Technologies Inc. | 6.500% | 11/1/17 | 1,300 | 1,271 |
| BMC Software Inc. | 7.250% | 6/1/18 | 350 | 356 |
| Cisco Systems Inc. | 5.250% | 2/22/11 | 3,250 | 3,341 |
| Cisco Systems Inc. | 5.500% | 2/22/16 | 3,025 | 3,058 |
| Computer Sciences Corp. | 5.000% | 2/15/13 | 550 | 532 |
5 | Dell Inc. | 4.700% | 4/15/13 | 800 | 777 |
5 | Dell Inc. | 5.650% | 4/15/18 | 450 | 436 |
5 | Dell Inc. | 6.500% | 4/15/38 | 600 | 586 |
| Electronic Data Systems | 7.125% | 10/15/09 | 125 | 129 |
| Electronic Data Systems | 6.500% | 8/1/13 | 725 | 744 |
| Equifax Inc. | 6.300% | 7/1/17 | 200 | 192 |
| Equifax Inc. | 7.000% | 7/1/37 | 300 | 276 |
| Fiserv, Inc. | 6.125% | 11/20/12 | 1,600 | 1,593 |
| Fiserv, Inc. | 6.800% | 11/20/17 | 1,025 | 1,033 |
| Harris Corp. | 5.000% | 10/1/15 | 550 | 525 |
| Hewlett-Packard Co. | 5.250% | 3/1/12 | 275 | 281 |
| Hewlett-Packard Co. | 4.500% | 3/1/13 | 500 | 494 |
| Hewlett-Packard Co. | 5.400% | 3/1/17 | 975 | 954 |
| Hewlett-Packard Co. | 5.500% | 3/1/18 | 400 | 391 |
| IBM International Group Capital | 5.050% | 10/22/12 | 1,750 | 1,787 |
| International Business Machines Corp. | 4.950% | 3/22/11 | 600 | 615 |
| International Business Machines Corp. | 7.500% | 6/15/13 | 775 | 872 |
41
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| International Business Machines Corp. | 5.700% | 9/14/17 | 6,550 | 6,643 |
| International Business Machines Corp. | 7.000% | 10/30/25 | 450 | 489 |
| International Business Machines Corp. | 6.220% | 8/1/27 | 1,100 | 1,103 |
| International Business Machines Corp. | 5.875% | 11/29/32 | 225 | 219 |
| International Business Machines Corp. | 7.125% | 12/1/96 | 125 | 135 |
| Intuit Inc. | 5.400% | 3/15/12 | 425 | 416 |
| Intuit Inc. | 5.750% | 3/15/17 | 225 | 211 |
| Lexmark International Inc. | 5.900% | 6/1/13 | 300 | 292 |
| Lexmark International Inc. | 6.650% | 6/1/18 | 775 | 757 |
| Motorola, Inc. | 7.625% | 11/15/10 | 201 | 208 |
| Motorola, Inc. | 5.375% | 11/15/12 | 500 | 458 |
| Motorola, Inc. | 7.500% | 5/15/25 | 150 | 140 |
| Motorola, Inc. | 6.500% | 9/1/25 | 50 | 37 |
| Motorola, Inc. | 6.500% | 11/15/28 | 225 | 172 |
| Motorola, Inc. | 6.625% | 11/15/37 | 600 | 470 |
| National Semiconductor | 6.600% | 6/15/17 | 1,200 | 1,202 |
| Oracle Corp. | 5.000% | 1/15/11 | 1,175 | 1,198 |
| Oracle Corp. | 5.250% | 1/15/16 | 1,150 | 1,134 |
| Pitney Bowes, Inc. | 4.625% | 10/1/12 | 550 | 544 |
| Pitney Bowes, Inc. | 3.875% | 6/15/13 | 500 | 480 |
| Pitney Bowes, Inc. | 4.750% | 1/15/16 | 2,725 | 2,547 |
| Science Applications International Corp. | 6.250% | 7/1/12 | 100 | 104 |
| Science Applications International Corp. | 5.500% | 7/1/33 | 100 | 84 |
| Tyco Electronics Group | 6.550% | 10/1/17 | 675 | 686 |
| Xerox Capital Trust I | 8.000% | 2/1/27 | 525 | 509 |
| Xerox Corp. | 7.125% | 6/15/10 | 975 | 1,008 |
| Xerox Corp. | 6.875% | 8/15/11 | 300 | 310 |
| Xerox Corp. | 5.500% | 5/15/12 | 500 | 496 |
| Xerox Corp. | 7.625% | 6/15/13 | 300 | 311 |
| Xerox Corp. | 6.400% | 3/15/16 | 500 | 500 |
| Xerox Corp. | 6.750% | 2/1/17 | 450 | 455 |
|
|
|
|
|
|
| Transportation (0.4%) |
|
|
|
|
| American Airlines, Inc. | 7.024% | 10/15/09 | 1,750 | 1,689 |
| American Airlines, Inc. | 7.858% | 10/1/11 | 175 | 162 |
| Burlington Northern Santa Fe Corp. | 6.750% | 7/15/11 | 575 | 602 |
| Burlington Northern Santa Fe Corp. | 5.650% | 5/1/17 | 2,350 | 2,313 |
| Burlington Northern Santa Fe Corp. | 7.000% | 12/15/25 | 550 | 571 |
| Burlington Northern Santa Fe Corp. | 6.200% | 8/15/36 | 1,400 | 1,355 |
| Burlington Northern Santa Fe Corp. | 6.150% | 5/1/37 | 625 | 587 |
| Canadian National Railway Co. | 6.375% | 10/15/11 | 425 | 444 |
| Canadian National Railway Co. | 4.400% | 3/15/13 | 275 | 268 |
| Canadian National Railway Co. | 5.850% | 11/15/17 | 75 | 76 |
| Canadian National Railway Co. | 6.800% | 7/15/18 | 1,200 | 1,302 |
| Canadian National Railway Co. | 6.250% | 8/1/34 | 275 | 277 |
| Canadian National Railway Co. | 6.200% | 6/1/36 | 625 | 626 |
| Canadian Pacific Rail | 6.250% | 10/15/11 | 1,475 | 1,502 |
| Canadian Pacific Rail | 7.125% | 10/15/31 | 175 | 172 |
| Canadian Pacific Rail | 5.950% | 5/15/37 | 200 | 171 |
| CNF, Inc. | 6.700% | 5/1/34 | 575 | 512 |
| Continental Airlines, Inc. | 6.563% | 2/15/12 | 550 | 495 |
3 | Continental Airlines, Inc. | 6.648% | 9/15/17 | 1,564 | 1,415 |
| CSX Corp. | 6.750% | 3/15/11 | 1,200 | 1,243 |
| CSX Corp. | 6.300% | 3/15/12 | 475 | 485 |
| CSX Corp. | 5.600% | 5/1/17 | 75 | 70 |
| CSX Corp. | 7.900% | 5/1/17 | 300 | 322 |
| CSX Corp. | 6.150% | 5/1/37 | 500 | 417 |
42
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Delta Air Lines |
|
|
|
|
| Enhanced Equipment Trust Certificates | 6.417% | 7/2/12 | 500 | 448 |
3 | Delta Air Lines |
|
|
|
|
| Enhanced Equipment Trust Certificates | 6.718% | 1/2/23 | 462 | 379 |
| Delta Air Lines, Inc. | 7.111% | 9/18/11 | 500 | 458 |
3 | Delta Air Lines, Inc. | 6.821% | 8/10/22 | 973 | 822 |
| FedEx Corp. | 5.500% | 8/15/09 | 525 | 532 |
| Norfolk Southern Corp. | 6.750% | 2/15/11 | 2,000 | 2,095 |
| Norfolk Southern Corp. | 7.700% | 5/15/17 | 275 | 308 |
| Norfolk Southern Corp. | 9.750% | 6/15/20 | 633 | 794 |
| Norfolk Southern Corp. | 7.800% | 5/15/27 | 325 | 370 |
| Norfolk Southern Corp. | 7.050% | 5/1/37 | 1,650 | 1,774 |
| Norfolk Southern Corp. | 7.900% | 5/15/97 | 325 | 366 |
| Ryder System Inc. | 5.950% | 5/2/11 | 350 | 353 |
| Ryder System Inc. | 5.850% | 3/1/14 | 325 | 321 |
| Ryder System Inc. | 5.850% | 11/1/16 | 150 | 143 |
| Southwest Airlines Co. | 6.500% | 3/1/12 | 1,650 | 1,606 |
| Southwest Airlines Co. | 5.750% | 12/15/16 | 475 | 424 |
| Southwest Airlines Co. | 5.125% | 3/1/17 | 100 | 85 |
3 | Southwest Airlines Co. | 6.150% | 8/1/22 | 295 | 279 |
| Union Pacific Corp. | 3.625% | 6/1/10 | 250 | 246 |
| Union Pacific Corp. | 6.125% | 1/15/12 | 50 | 52 |
| Union Pacific Corp. | 6.500% | 4/15/12 | 300 | 314 |
| Union Pacific Corp. | 5.450% | 1/31/13 | 1,250 | 1,253 |
| Union Pacific Corp. | 5.750% | 11/15/17 | 1,550 | 1,530 |
| Union Pacific Corp. | 5.700% | 8/15/18 | 300 | 292 |
| Union Pacific Corp. | 6.625% | 2/1/29 | 600 | 611 |
3 | Union Pacific Railroad Co. | 6.176% | 1/2/31 | 248 | 240 |
3 | United Air Lines Inc. | 6.636% | 7/2/22 | 340 | 281 |
| United Parcel Service of America | 4.500% | 1/15/13 | 325 | 325 |
| United Parcel Service of America | 5.500% | 1/15/18 | 375 | 381 |
| United Parcel Service of America | 6.200% | 1/15/38 | 700 | 707 |
|
|
|
|
|
|
| Other (0.1%) |
|
|
|
|
| Black & Decker Corp. | 7.125% | 6/1/11 | 500 | 520 |
| Cintas Corp. | 6.125% | 12/1/17 | 425 | 431 |
| Cooper Industries, Inc. | 5.250% | 11/15/12 | 550 | 550 |
| Danaher Corp. | 5.625% | 1/15/18 | 375 | 375 |
| Eaton Corp. | 5.600% | 5/15/18 | 300 | 297 |
| Parker-Hannifin Corp. | 5.500% | 5/15/18 | 225 | 225 |
| Parker-Hannifin Corp. | 6.250% | 5/15/38 | 225 | 228 |
| Rockwell Automation | 5.650% | 12/1/17 | 300 | 300 |
| Rockwell Automation | 6.700% | 1/15/28 | 175 | 188 |
| Rockwell Automation | 6.250% | 12/1/37 | 775 | 776 |
|
|
|
|
| 727,826 |
Utilities (1.9%) |
|
|
|
| |
| Electric (1.4%) |
|
|
|
|
| AEP Texas Central Co. | 6.650% | 2/15/33 | 325 | 318 |
| Alabama Power Co. | 5.500% | 10/15/17 | 850 | 857 |
| American Electric Power Co., Inc. | 5.375% | 3/15/10 | 800 | 808 |
| American Water Capital Corp. | 6.085% | 10/15/17 | 1,175 | 1,131 |
| American Water Capital Corp. | 6.593% | 10/15/37 | 875 | 801 |
| Arizona Public Service Co. | 4.650% | 5/15/15 | 350 | 310 |
| Baltimore Gas & Electric Co. | 5.900% | 10/1/16 | 500 | 482 |
| Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 200 | 182 |
| Carolina Power & Light Co. | 6.500% | 7/15/12 | 1,500 | 1,582 |
| CenterPoint Energy Houston | 5.700% | 3/15/13 | 1,025 | 1,038 |
43
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Cincinnati Gas & Electric Co. | 5.700% | 9/15/12 | 225 | 230 |
| Cleveland Electric Illumination Co. | 7.880% | 11/1/17 | 175 | 193 |
| Columbus Southern Power | 5.850% | 10/1/35 | 500 | 437 |
| Commonwealth Edison Co. | 6.150% | 3/15/12 | 375 | 385 |
| Commonwealth Edison Co. | 5.950% | 8/15/16 | 1,525 | 1,512 |
| Commonwealth Edison Co. | 6.150% | 9/15/17 | 1,625 | 1,633 |
| Commonwealth Edison Co. | 6.450% | 1/15/38 | 1,100 | 1,082 |
| Connecticut Light & Power Co. | 6.350% | 6/1/36 | 1,350 | 1,286 |
| Consolidated Edison Co. of New York | 4.875% | 2/1/13 | 175 | 173 |
| Consolidated Edison Co. of New York | 5.375% | 12/15/15 | 275 | 277 |
| Consolidated Edison Co. of New York | 5.500% | 9/15/16 | 1,500 | 1,503 |
| Consolidated Edison Co. of New York | 5.300% | 3/1/35 | 50 | 43 |
| Consolidated Edison Co. of New York | 5.850% | 3/15/36 | 300 | 277 |
| Consolidated Edison Co. of New York | 6.200% | 6/15/36 | 400 | 387 |
| Consolidated Edison Co. of New York | 6.300% | 8/15/37 | 925 | 906 |
| Constellation Energy Group, Inc. | 6.125% | 9/1/09 | 300 | 304 |
| Constellation Energy Group, Inc. | 7.000% | 4/1/12 | 50 | 52 |
| Constellation Energy Group, Inc. | 4.550% | 6/15/15 | 2,500 | 2,232 |
| Constellation Energy Group, Inc. | 7.600% | 4/1/32 | 325 | 335 |
| Consumers Energy Co. | 5.000% | 2/15/12 | 350 | 344 |
| Consumers Energy Co. | 5.375% | 4/15/13 | 175 | 176 |
| Consumers Energy Co. | 5.500% | 8/15/16 | 675 | 661 |
| Detroit Edison Co. | 6.125% | 10/1/10 | 275 | 288 |
| Detroit Edison Co. | 5.700% | 10/1/37 | 375 | 348 |
3 | Dominion Resources, Inc. | 6.300% | 9/30/66 | 325 | 296 |
| Dominion Resources, Inc. | 4.750% | 12/15/10 | 650 | 655 |
| Dominion Resources, Inc. | 6.250% | 6/30/12 | 210 | 217 |
| Dominion Resources, Inc. | 5.150% | 7/15/15 | 1,875 | 1,818 |
| Dominion Resources, Inc. | 6.000% | 11/30/17 | 1,075 | 1,057 |
| Dominion Resources, Inc. | 6.300% | 3/15/33 | 75 | 71 |
| Dominion Resources, Inc. | 5.250% | 8/1/33 | 175 | 172 |
| Dominion Resources, Inc. | 5.950% | 6/15/35 | 500 | 455 |
| DTE Energy Co. | 7.050% | 6/1/11 | 175 | 183 |
| Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 1,325 | 1,265 |
| Duke Energy Carolinas LLC | 6.000% | 1/15/38 | 200 | 194 |
| Duke Energy Corp. | 6.250% | 1/15/12 | 1,200 | 1,250 |
| Duke Energy Corp. | 6.450% | 10/15/32 | 900 | 925 |
| El Paso Electric Co. | 6.000% | 5/15/35 | 125 | 107 |
| Energy East Corp. | 6.750% | 6/15/12 | 550 | 572 |
| Energy East Corp. | 6.750% | 7/15/36 | 750 | 719 |
5 | Entergy Gulf States, Inc. | 6.000% | 5/1/18 | 1,050 | 1,040 |
| Exelon Corp. | 4.900% | 6/15/15 | 575 | 528 |
| FirstEnergy Corp. | 6.450% | 11/15/11 | 4,825 | 4,921 |
| FirstEnergy Corp. | 7.375% | 11/15/31 | 700 | 753 |
| Florida Power & Light Co. | 5.550% | 11/1/17 | 250 | 255 |
| Florida Power & Light Co. | 5.950% | 10/1/33 | 400 | 401 |
| Florida Power & Light Co. | 5.625% | 4/1/34 | 775 | 742 |
| Florida Power & Light Co. | 4.950% | 6/1/35 | 575 | 500 |
| Florida Power & Light Co. | 5.400% | 9/1/35 | 600 | 557 |
| Florida Power & Light Co. | 5.650% | 2/1/37 | 675 | 636 |
| Florida Power & Light Co. | 5.850% | 5/1/37 | 700 | 692 |
| Florida Power & Light Co. | 5.950% | 2/1/38 | 500 | 498 |
| Florida Power Corp. | 4.500% | 6/1/10 | 425 | 429 |
| Florida Power Corp. | 4.800% | 3/1/13 | 775 | 769 |
| Florida Power Corp. | 5.650% | 6/15/18 | 550 | 557 |
| Florida Power Corp. | 6.350% | 9/15/37 | 650 | 661 |
| FPL Group Capital, Inc. | 5.625% | 9/1/11 | 250 | 258 |
44
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| FPL Group Capital, Inc. | 5.350% | 6/15/13 | 700 | 711 |
3 | FPL Group Capital, Inc. | 6.350% | 10/1/66 | 250 | 220 |
3 | FPL Group Capital, Inc. | 6.650% | 6/15/67 | 625 | 563 |
| Illinois Power | 6.125% | 11/15/17 | 375 | 361 |
| Indiana Michigan Power Co. | 6.050% | 3/15/37 | 2,250 | 1,992 |
3 | Integrys Energy Group | 6.110% | 12/1/66 | 800 | 672 |
| Jersey Central Power & Light | 5.625% | 5/1/16 | 275 | 262 |
| Jersey Central Power & Light | 5.650% | 6/1/17 | 450 | 430 |
| Kansas City Power & Light | 6.050% | 11/15/35 | 175 | 154 |
| MidAmerican Energy Co. | 5.650% | 7/15/12 | 350 | 360 |
| MidAmerican Energy Co. | 5.950% | 7/15/17 | 1,050 | 1,081 |
| MidAmerican Energy Co. | 6.750% | 12/30/31 | 725 | 758 |
| MidAmerican Energy Co. | 5.750% | 11/1/35 | 275 | 257 |
| MidAmerican Energy Holdings Co. | 5.875% | 10/1/12 | 900 | 932 |
| MidAmerican Energy Holdings Co. | 5.000% | 2/15/14 | 175 | 171 |
| MidAmerican Energy Holdings Co. | 6.125% | 4/1/36 | 3,700 | 3,555 |
| MidAmerican Energy Holdings Co. | 5.950% | 5/15/37 | 950 | 888 |
| MidAmerican Energy Holdings Co. | 6.500% | 9/15/37 | 825 | 833 |
| National Rural Utilities Cooperative Finance Corp. | 7.250% | 3/1/12 | 3,225 | 3,427 |
| National Rural Utilities Cooperative Finance Corp. | 5.500% | 7/1/13 | 575 | 581 |
| National Rural Utilities Cooperative Finance Corp. | 5.450% | 4/10/17 | 200 | 196 |
| National Rural Utilities Cooperative Finance Corp. | 5.450% | 2/1/18 | 700 | 683 |
| National Rural Utilities Cooperative Finance Corp. | 8.000% | 3/1/32 | 225 | 263 |
| NiSource Finance Corp. | 7.875% | 11/15/10 | 550 | 576 |
| NiSource Finance Corp. | 5.400% | 7/15/14 | 175 | 166 |
| NiSource Finance Corp. | 5.250% | 9/15/17 | 550 | 493 |
| NiSource Finance Corp. | 5.450% | 9/15/20 | 600 | 520 |
| Northern States Power Co. | 5.250% | 3/1/18 | 175 | 173 |
| Northern States Power Co. | 6.250% | 6/1/36 | 150 | 155 |
| NStar Electric Co. | 4.875% | 4/15/14 | 175 | 173 |
| NStar Electric Co. | 5.625% | 11/15/17 | 1,025 | 1,043 |
| Ohio Edison | 6.400% | 7/15/16 | 425 | 429 |
| Ohio Power Co. | 6.000% | 6/1/16 | 350 | 344 |
| Oncor Electric Delivery Co. | 6.375% | 5/1/12 | 675 | 684 |
| Oncor Electric Delivery Co. | 6.375% | 1/15/15 | 1,050 | 1,036 |
| Oncor Electric Delivery Co. | 7.000% | 5/1/32 | 1,000 | 974 |
| Oncor Electric Delivery Co. | 7.250% | 1/15/33 | 125 | 125 |
| Pacific Gas & Electric Co. | 4.200% | 3/1/11 | 225 | 223 |
| Pacific Gas & Electric Co. | 4.800% | 3/1/14 | 1,400 | 1,359 |
| Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 300 | 298 |
| Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 2,500 | 2,412 |
| Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 750 | 707 |
| PacifiCorp | 6.900% | 11/15/11 | 500 | 536 |
| PacifiCorp | 7.700% | 11/15/31 | 250 | 290 |
| PacifiCorp | 5.250% | 6/15/35 | 175 | 150 |
| PECO Energy Co. | 5.350% | 3/1/18 | 250 | 244 |
| Pennsylvania Electric Co. | 6.050% | 9/1/17 | 225 | 218 |
| Pepco Holdings, Inc. | 6.450% | 8/15/12 | 825 | 837 |
| Pepco Holdings, Inc. | 7.450% | 8/15/32 | 175 | 187 |
| PPL Energy Supply LLC | 6.400% | 11/1/11 | 1,325 | 1,357 |
| PPL Energy Supply LLC | 6.200% | 5/15/16 | 1,075 | 1,037 |
| PPL Energy Supply LLC | 6.000% | 12/15/36 | 325 | 286 |
| Progress Energy, Inc. | 7.100% | 3/1/11 | 1,430 | 1,504 |
| Progress Energy, Inc. | 5.625% | 1/15/16 | 500 | 499 |
| Progress Energy, Inc. | 7.750% | 3/1/31 | 350 | 402 |
| Progress Energy, Inc. | 7.000% | 10/30/31 | 50 | 53 |
| PSE&G Power LLC | 7.750% | 4/15/11 | 850 | 905 |
45
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| PSE&G Power LLC | 6.950% | 6/1/12 | 1,050 | 1,098 |
| PSE&G Power LLC | 5.500% | 12/1/15 | 775 | 742 |
| PSE&G Power LLC | 8.625% | 4/15/31 | 75 | 92 |
| PSI Energy Inc. | 5.000% | 9/15/13 | 500 | 495 |
| Public Service Co. of Colorado | 7.875% | 10/1/12 | 1,875 | 2,091 |
| Public Service Co. of Colorado | 5.500% | 4/1/14 | 275 | 284 |
| Public Service Co. of Colorado | 6.250% | 9/1/37 | 100 | 104 |
| Public Service Co. of Oklahoma | 6.625% | 11/15/37 | 675 | 653 |
| Public Service Electric & Gas | 5.800% | 5/1/37 | 1,950 | 1,902 |
| Puget Sound Energy Inc. | 5.483% | 6/1/35 | 100 | 84 |
| Puget Sound Energy Inc. | 6.274% | 3/15/37 | 650 | 609 |
| SCANA Corp. | 6.875% | 5/15/11 | 1,325 | 1,385 |
| Sierra Pacific Power Co. | 6.000% | 5/15/16 | 350 | 347 |
| Sierra Pacific Power Co. | 6.750% | 7/1/37 | 700 | 684 |
| South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 100 | 97 |
| Southern California Edison Co. | 5.000% | 1/15/14 | 1,175 | 1,165 |
| Southern California Edison Co. | 5.000% | 1/15/16 | 100 | 99 |
| Southern California Edison Co. | 6.650% | 4/1/29 | 250 | 263 |
| Southern California Edison Co. | 6.000% | 1/15/34 | 75 | 76 |
| Southern California Edison Co. | 5.750% | 4/1/35 | 225 | 220 |
| Southern California Edison Co. | 5.350% | 7/15/35 | 225 | 206 |
| Southern California Edison Co. | 5.625% | 2/1/36 | 125 | 118 |
| Southern California Edison Co. | 5.550% | 1/15/37 | 1,400 | 1,309 |
| Southern Co. | 5.300% | 1/15/12 | 1,375 | 1,398 |
| Southern Power Co. | 6.250% | 7/15/12 | 175 | 182 |
| Southern Power Co. | 4.875% | 7/15/15 | 750 | 707 |
| Tampa Electric Co. | 6.550% | 5/15/36 | 400 | 391 |
| Toledo Edison Co. | 6.150% | 5/15/37 | 300 | 265 |
| Transalta Corp. | 6.650% | 5/15/18 | 200 | 197 |
| Union Electric Co. | 5.400% | 2/1/16 | 300 | 285 |
| Virginia Electric & Power Co. | 5.100% | 11/30/12 | 500 | 499 |
| Virginia Electric & Power Co. | 5.400% | 1/15/16 | 1,000 | 983 |
| Virginia Electric & Power Co. | 6.000% | 1/15/36 | 950 | 898 |
| Virginia Electric & Power Co. | 6.000% | 5/15/37 | 600 | 563 |
| Virginia Electric & Power Co. | 6.350% | 11/30/37 | 250 | 246 |
| Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 175 | 161 |
| Wisconsin Energy Corp. | 6.500% | 4/1/11 | 400 | 418 |
3 | Wisconsin Energy Corp. | 6.250% | 5/15/67 | 1,750 | 1,520 |
| Wisconsin Power & Light Co. | 6.375% | 8/15/37 | 600 | 604 |
| Xcel Energy, Inc. | 5.613% | 4/1/17 | 131 | 128 |
| Xcel Energy, Inc. | 6.500% | 7/1/36 | 425 | 418 |
|
|
|
|
|
|
| Natural Gas (0.5%) |
|
|
|
|
| AGL Capital Corp. | 7.125% | 1/14/11 | 300 | 313 |
| Atmos Energy Corp. | 4.000% | 10/15/09 | 400 | 396 |
| Atmos Energy Corp. | 4.950% | 10/15/14 | 475 | 450 |
| Boardwalk Pipelines LLC | 5.500% | 2/1/17 | 125 | 117 |
| CenterPoint Energy Resources | 7.875% | 4/1/13 | 750 | 803 |
| CenterPoint Energy Resources | 6.150% | 5/1/16 | 650 | 645 |
| Consolidated Natural Gas | 6.250% | 11/1/11 | 1,375 | 1,427 |
| Consolidated Natural Gas | 5.000% | 12/1/14 | 950 | 920 |
| Duke Capital Corp. | 7.500% | 10/1/09 | 250 | 259 |
| Duke Capital Corp. | 5.500% | 3/1/14 | 1,050 | 1,024 |
| Duke Capital Corp. | 6.750% | 2/15/32 | 175 | 168 |
| Duke Energy Field Services | 7.875% | 8/16/10 | 225 | 237 |
| Duke Energy Field Services | 8.125% | 8/16/30 | 275 | 300 |
| El Paso Natural Gas Co. | 5.950% | 4/15/17 | 300 | 287 |
46
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Energy Transfer Partners LP | 5.650% | 8/1/12 | 1,325 | 1,335 |
| Energy Transfer Partners LP | 5.950% | 2/1/15 | 175 | 173 |
| Energy Transfer Partners LP | 6.125% | 2/15/17 | 300 | 290 |
| Energy Transfer Partners LP | 6.625% | 10/15/36 | 550 | 527 |
| Enterprise Products Operating LP | 4.950% | 6/1/10 | 700 | 702 |
| Enterprise Products Operating LP | 5.600% | 10/15/14 | 875 | 853 |
| Enterprise Products Operating LP | 6.300% | 9/15/17 | 750 | 750 |
| Enterprise Products Operating LP | 6.875% | 3/1/33 | 100 | 97 |
| KeySpan Corp. | 7.625% | 11/15/10 | 100 | 107 |
| KeySpan Corp. | 8.000% | 11/15/30 | 200 | 221 |
| Kinder Morgan Energy Partners LP | 7.125% | 3/15/12 | 600 | 630 |
| Kinder Morgan Energy Partners LP | 5.850% | 9/15/12 | 925 | 932 |
| Kinder Morgan Energy Partners LP | 5.000% | 12/15/13 | 450 | 434 |
| Kinder Morgan Energy Partners LP | 5.125% | 11/15/14 | 425 | 404 |
| Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 300 | 292 |
| Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 450 | 470 |
| Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 100 | 88 |
| Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 450 | 451 |
| Magellan Midstream Partners, LP | 5.650% | 10/15/16 | 100 | 95 |
| National Grid PLC | 6.300% | 8/1/16 | 1,825 | 1,810 |
| NuStar Energy LP | 7.650% | 4/15/18 | 750 | 760 |
| ONEOK Inc. | 5.200% | 6/15/15 | 450 | 427 |
| ONEOK Inc. | 6.000% | 6/15/35 | 225 | 200 |
| ONEOK Partners, LP | 5.900% | 4/1/12 | 1,800 | 1,815 |
| ONEOK Partners, LP | 6.150% | 10/1/16 | 725 | 719 |
| ONEOK Partners, LP | 6.650% | 10/1/36 | 2,275 | 2,170 |
| ONEOK Partners, LP | 6.850% | 10/15/37 | 700 | 686 |
| Panhandle Eastern Pipeline | 6.200% | 11/1/17 | 1,425 | 1,345 |
| Plains All American Pipeline LP | 6.500% | 5/1/18 | 75 | 74 |
| San Diego Gas & Electric | 5.300% | 11/15/15 | 225 | 225 |
| San Diego Gas & Electric | 5.350% | 5/15/35 | 100 | 92 |
| San Diego Gas & Electric | 6.125% | 9/15/37 | 50 | 50 |
| Sempra Energy | 7.950% | 3/1/10 | 20 | 21 |
| Southern California Gas Co. | 5.750% | 11/15/35 | 350 | 339 |
5 | Southern Natural Gas | 5.900% | 4/1/17 | 2,875 | 2,792 |
| Teppco Partners, LP | 6.650% | 4/15/18 | 575 | 580 |
| Texas Gas Transmission | 4.600% | 6/1/15 | 975 | 887 |
| Trans-Canada Pipelines | 4.000% | 6/15/13 | 675 | 635 |
| Trans-Canada Pipelines | 5.600% | 3/31/34 | 1,225 | 1,096 |
| Trans-Canada Pipelines | 5.850% | 3/15/36 | 800 | 709 |
| Trans-Canada Pipelines | 6.200% | 10/15/37 | 250 | 229 |
3 | Trans-Canada Pipelines | 6.350% | 5/15/67 | 525 | 461 |
| Williams Cos., Inc. | 7.125% | 9/1/11 | 725 | 755 |
| Williams Cos., Inc. | 7.625% | 7/15/19 | 1,400 | 1,479 |
| Williams Cos., Inc. | 7.500% | 1/15/31 | 675 | 689 |
| Williams Cos., Inc. | 7.750% | 6/15/31 | 385 | 411 |
| Williams Cos., Inc. | 8.750% | 3/15/32 | 500 | 570 |
|
|
|
|
| 148,680 |
Total Corporate Bonds (Cost $2,141,183) |
|
|
| 2,080,025 | |
Sovereign Bonds (U.S. Dollar-Denominated) (2.9%) |
|
|
| ||
| Asian Development Bank | 4.125% | 9/15/10 | 200 | 204 |
| Asian Development Bank | 5.593% | 7/16/18 | 1,700 | 1,841 |
| Canadian Mortgage & Housing | 4.800% | 10/1/10 | 25 | 26 |
| China Development Bank | 4.750% | 10/8/14 | 575 | 555 |
| China Development Bank | 5.000% | 10/15/15 | 175 | 171 |
| Corp. Andina de Fomento | 5.200% | 5/21/13 | 375 | 371 |
47
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Corp. Andina de Fomento | 5.750% | 1/12/17 | 2,150 | 2,117 |
| Development Bank of Japan | 4.250% | 6/9/15 | 175 | 173 |
| Eksportfinans | 5.500% | 5/25/16 | 825 | 868 |
| Eksportfinans | 5.500% | 6/26/17 | 850 | 902 |
| European Investment Bank | 5.000% | 2/8/10 | 200 | 206 |
| European Investment Bank | 4.000% | 3/3/10 | 3,575 | 3,630 |
| European Investment Bank | 4.625% | 9/15/10 | 1,975 | 2,041 |
| European Investment Bank | 3.250% | 2/15/11 | 3,350 | 3,343 |
| European Investment Bank | 5.250% | 6/15/11 | 4,425 | 4,623 |
| European Investment Bank | 3.125% | 7/15/11 | 2,125 | 2,103 |
| European Investment Bank | 2.875% | 3/15/13 | 2,400 | 2,313 |
| European Investment Bank | 3.250% | 5/15/13 | 2,750 | 2,679 |
| European Investment Bank | 4.250% | 7/15/13 | 4,700 | 4,760 |
| European Investment Bank | 4.625% | 5/15/14 | 3,025 | 3,086 |
| European Investment Bank | 4.875% | 2/16/16 | 500 | 516 |
| European Investment Bank | 5.125% | 9/13/16 | 300 | 316 |
| European Investment Bank | 4.875% | 1/17/17 | 1,725 | 1,783 |
| European Investment Bank | 5.125% | 5/30/17 | 3,025 | 3,178 |
| Export-Import Bank of Korea | 4.500% | 8/12/09 | 175 | 175 |
| Export-Import Bank of Korea | 4.625% | 3/16/10 | 175 | 176 |
| Export-Import Bank of Korea | 5.125% | 2/14/11 | 1,450 | 1,452 |
| Export-Import Bank of Korea | 5.500% | 10/17/12 | 1,650 | 1,662 |
| Export-Import Bank of Korea | 5.125% | 3/16/15 | 400 | 381 |
| Federation of Malaysia | 8.750% | 6/1/09 | 750 | 779 |
| Federation of Malaysia | 7.500% | 7/15/11 | 2,050 | 2,206 |
| Federative Republic of Brazil | 9.250% | 10/22/10 | 575 | 637 |
| Federative Republic of Brazil | 11.000% | 1/11/12 | 625 | 749 |
| Federative Republic of Brazil | 7.875% | 3/7/15 | 1,000 | 1,120 |
| Federative Republic of Brazil | 6.000% | 1/17/17 | 2,250 | 2,289 |
3 | Federative Republic of Brazil | 8.000% | 1/15/18 | 3,300 | 3,665 |
| Federative Republic of Brazil | 8.875% | 4/15/24 | 675 | 859 |
| Federative Republic of Brazil | 8.750% | 2/4/25 | 1,650 | 2,038 |
| Federative Republic of Brazil | 10.125% | 5/15/27 | 1,825 | 2,582 |
| Federative Republic of Brazil | 8.250% | 1/20/34 | 2,100 | 2,585 |
| Federative Republic of Brazil | 7.125% | 1/20/37 | 1,250 | 1,378 |
| Federative Republic of Brazil | 11.000% | 8/17/40 | 3,825 | 5,059 |
| Financement Quebec | 5.000% | 10/25/12 | 550 | 569 |
| Inter-American Development Bank | 8.500% | 3/15/11 | 575 | 642 |
| Inter-American Development Bank | 4.750% | 10/19/12 | 1,600 | 1,663 |
| Inter-American Development Bank | 4.250% | 9/14/15 | 75 | 75 |
| Inter-American Development Bank | 7.000% | 6/15/25 | 725 | 896 |
| International Bank for |
|
|
|
|
| Reconstruction & Development | 4.125% | 6/24/09 | 1,025 | 1,031 |
| International Bank for |
|
|
|
|
| Reconstruction & Development | 4.125% | 8/12/09 | 775 | 779 |
| International Bank for |
|
|
|
|
| Reconstruction & Development | 8.875% | 3/1/26 | 450 | 646 |
| Japan Bank International | 4.750% | 5/25/11 | 225 | 232 |
| Japan Bank International | 4.375% | 11/26/12 | 1,000 | 1,009 |
| Japan Bank International | 4.250% | 6/18/13 | 2,650 | 2,669 |
| Japan Finance Corp. | 5.875% | 3/14/11 | 1,600 | 1,691 |
| Japan Finance Corp. | 4.625% | 4/21/15 | 600 | 603 |
| Japan Finance Corp. | 5.000% | 5/16/17 | 100 | 103 |
| KFW International Finance Inc. | 4.500% | 9/21/09 | 2,475 | 2,515 |
| KFW International Finance Inc. | 4.875% | 10/19/09 | 1,350 | 1,382 |
| Korea Development Bank | 4.750% | 7/20/09 | 450 | 452 |
| Korea Development Bank | 4.625% | 9/16/10 | 625 | 632 |
48
|
|
|
| Face | Market |
|
|
| Maturity | Amount | Value• |
|
| Coupon | Date | ($000) | ($000) |
| Korea Development Bank | 5.300% | 1/17/13 | 1,000 | 998 |
| Korea Development Bank | 5.750% | 9/10/13 | 1,975 | 1,984 |
| Korea Electric Power | 7.750% | 4/1/13 | 1,325 | 1,458 |
| Kreditanstalt fur Wiederaufbau | 5.000% | 6/1/10 | 2,125 | 2,206 |
| Kreditanstalt fur Wiederaufbau | 4.250% | 6/15/10 | 6,150 | 6,213 |
| Kreditanstalt fur Wiederaufbau | 4.625% | 1/20/11 | 500 | 515 |
| Kreditanstalt fur Wiederaufbau | 3.250% | 2/15/11 | 700 | 700 |
| Kreditanstalt fur Wiederaufbau | 3.750% | 6/27/11 | 3,175 | 3,195 |
| Kreditanstalt fur Wiederaufbau | 4.750% | 5/15/12 | 1,725 | 1,784 |
| Kreditanstalt fur Wiederaufbau | 3.250% | 3/15/13 | 7,575 | 7,397 |
| Kreditanstalt fur Wiederaufbau | 3.500% | 5/16/13 | 1,450 | 1,421 |
| Kreditanstalt fur Wiederaufbau | 4.125% | 10/15/14 | 275 | 271 |
| Kreditanstalt fur Wiederaufbau | 5.125% | 3/14/16 | 2,665 | 2,777 |
| Kreditanstalt fur Wiederaufbau | 4.500% | 7/16/18 | 1,400 | 1,396 |
| Landeskreditbank |
|
|
|
|
| Baden-Wuerttemberg–Foerderbank | 4.250% | 9/15/10 | 250 | 253 |
| Landwirtschaftliche Rentenbank | 5.250% | 7/2/12 | 1,375 | 1,448 |
| Landwirtschaftliche Rentenbank | 3.250% | 3/15/13 | 2,700 | 2,632 |
| Landwirtschaftliche Rentenbank | 4.875% | 11/16/15 | 275 | 285 |
| Mass Transit Railway Corp. | 7.500% | 11/8/10 | 675 | 723 |
| Nordic Investment Bank | 2.875% | 6/15/09 | 550 | 549 |
| Oesterreichische Kontrollbank | 4.250% | 10/6/10 | 725 | 748 |
| Oesterreichische Kontrollbank | 4.500% | 3/9/15 | 125 | 127 |
| Oesterreichische Kontrollbank | 5.000% | 4/25/17 | 750 | 783 |
| Ontario Hydro Electric | 7.450% | 3/31/13 | 700 | 799 |
| Pemex Project Funding Master Trust | 9.125% | 10/13/10 | 115 | 126 |
5 | Pemex Project Funding Master Trust | 5.750% | 3/1/18 | 3,150 | 3,150 |
5 | Pemex Project Funding Master Trust | 6.625% | 6/15/35 | 1,300 | 1,280 |
| Pemex Project Funding Master Trust | 6.625% | 6/15/35 | 1,450 | 1,428 |
5 | Pemex Project Funding Master Trust | 6.625% | 6/15/38 | 800 | 819 |
| People’s Republic of China | 4.750% | 10/29/13 | 375 | 377 |
| Petrobras International Finance | 6.125% | 10/6/16 | 2,075 | 2,073 |
| Petrobras International Finance | 5.875% | 3/1/18 | 200 | 193 |
| Petrobras International Finance | 8.375% | 12/10/18 | 600 | 689 |
| Province of Manitoba | 7.500% | 2/22/10 | 625 | 661 |
| Province of Nova Scotia | 5.750% | 2/27/12 | 225 | 239 |
| Province of Ontario | 3.625% | 10/21/09 | 625 | 624 |
| Province of Ontario | 2.750% | 2/22/11 | 2,500 | 2,450 |
| Province of Ontario | 5.000% | 10/18/11 | 525 | 544 |
| Province of Ontario | 4.750% | 1/19/16 | 900 | 911 |
| Province of Ontario | 5.450% | 4/27/16 | 4,325 | 4,578 |
| Province of Quebec | 5.000% | 7/17/09 | 2,175 | 2,213 |
| Province of Quebec | 6.125% | 1/22/11 | 850 | 901 |
| Province of Quebec | 4.600% | 5/26/15 | 275 | 273 |
| Province of Quebec | 5.125% | 11/14/16 | 2,450 | 2,516 |
| Province of Quebec | 4.625% | 5/14/18 | 1,675 | 1,642 |
| Province of Quebec | 7.500% | 9/15/29 | 2,425 | 3,133 |
| Province of Saskatchewan | 7.375% | 7/15/13 | 200 | 232 |
| Quebec Hydro Electric | 6.300% | 5/11/11 | 1,250 | 1,335 |
| Quebec Hydro Electric | 7.500% | 4/1/16 | 1,200 | 1,422 |
| Quebec Hydro Electric | 8.050% | 7/7/24 | 1,325 | 1,734 |
| Region of Lombardy, Italy | 5.804% | 10/25/32 | 750 | 814 |
| Republic of Chile | 7.125% | 1/11/12 | 925 | 998 |
| Republic of Chile | 5.500% | 1/15/13 | 175 | 180 |
| Republic of Hungary | 4.750% | 2/3/15 | 1,525 | 1,484 |
| Republic of Italy | 6.000% | 2/22/11 | 2,825 | 2,975 |
| Republic of Italy | 3.500% | 7/15/11 | 1,050 | 1,045 |
49
|
|
| Face | Market |
|
| Maturity | Amount | Value• |
| Coupon | Date | ($000) | ($000) |
Republic of Italy | 5.625% | 6/15/12 | 3,600 | 3,826 |
Republic of Italy | 4.750% | 1/25/16 | 4,250 | 4,323 |
Republic of Italy | 5.250% | 9/20/16 | 1,750 | 1,840 |
Republic of Italy | 6.875% | 9/27/23 | 3,100 | 3,704 |
Republic of Italy | 5.375% | 6/15/33 | 625 | 638 |
Republic of Korea | 4.250% | 6/1/13 | 2,300 | 2,241 |
Republic of Korea | 5.625% | 11/3/25 | 250 | 246 |
Republic of Poland | 6.250% | 7/3/12 | 1,325 | 1,404 |
Republic of Poland | 5.250% | 1/15/14 | 1,000 | 1,010 |
Republic of South Africa | 7.375% | 4/25/12 | 2,475 | 2,613 |
Republic of South Africa | 6.500% | 6/2/14 | 325 | 333 |
Republic of South Africa | 5.875% | 5/30/22 | 400 | 372 |
State of Israel | 4.625% | 6/15/13 | 225 | 224 |
State of Israel (U.S. Government Guaranteed) | 5.500% | 11/9/16 | 1,575 | 1,606 |
Swedish Export Credit Corp. | 4.000% | 6/15/10 | 450 | 451 |
Swedish Export Credit Corp. | 4.500% | 9/27/10 | 800 | 825 |
Swedish Export Credit Corp. | 5.125% | 3/1/17 | 400 | 414 |
United Mexican States | 9.875% | 2/1/10 | 975 | 1,061 |
United Mexican States | 8.375% | 1/14/11 | 2,875 | 3,127 |
United Mexican States | 7.500% | 1/14/12 | 203 | 220 |
United Mexican States | 6.375% | 1/16/13 | 4,016 | 4,227 |
United Mexican States | 6.625% | 3/3/15 | 47 | 50 |
United Mexican States | 11.375% | 9/15/16 | 100 | 139 |
United Mexican States | 5.625% | 1/15/17 | 3,775 | 3,815 |
United Mexican States | 8.300% | 8/15/31 | 1,100 | 1,372 |
United Mexican States | 6.750% | 9/27/34 | 6,670 | 7,070 |
Total Sovereign Bonds (Cost $218,099) |
|
|
| 220,038 |
Taxable Municipal Bonds (0.2%) |
|
|
|
|
Connecticut GO | 5.850% | 3/15/32 | 1,000 | 1,032 |
Illinois (Taxable Pension) GO | 4.950% | 6/1/23 | 3,100 | 2,977 |
Illinois (Taxable Pension) GO | 5.100% | 6/1/33 | 5,450 | 5,131 |
Kansas Dev. Finance Auth. Rev. |
|
|
|
|
(Public Employee Retirement System) | 5.501% | 5/1/34 | 675 | 675 |
New Jersey Econ. Dev. Auth. State Pension Rev. | 7.425% | 2/15/29 | 500 | 603 |
New Jersey Turnpike Auth. Rev. | 4.252% | 1/1/16 | 10 | 10 |
New Jersey Turnpike Auth. Rev. | 4.252% | 1/1/16 | 290 | 275 |
Oregon (Taxable Pension) GO | 5.762% | 6/1/23 | 225 | 227 |
Oregon (Taxable Pension) GO | 5.892% | 6/1/27 | 450 | 455 |
Oregon School Board Assn. | 4.759% | 6/30/28 | 300 | 268 |
Oregon School Board Assn. | 5.528% | 6/30/28 | 100 | 99 |
Tobacco Settlement Finance Auth. Rev. | 7.467% | 6/1/47 | 690 | 632 |
Wisconsin Public Service Rev. | 4.800% | 5/1/13 | 275 | 275 |
Wisconsin Public Service Rev. | 5.700% | 5/1/26 | 275 | 273 |
Total Taxable Municipal Bonds (Cost $13,156) |
|
|
| 12,932 |
50
|
|
| Market |
|
|
| Value• |
| Coupon | Shares | ($000) |
Temporary Cash Investments (0.5%) |
|
|
|
6 Vanguard Market Liquidity Fund |
|
|
|
(Cost $39,086) | 2.405% | 39,086,265 | 39,086 |
Total Investments (99.7%) (Cost $7,673,559) |
|
| 7,637,419 |
Other Assets and Liabilities (0.3%) |
|
|
|
Other Assets |
|
| 227,215 |
Liabilities |
|
| (201,358) |
|
|
| 25,857 |
Net Assets (100%) |
|
|
|
Applicable to 151,519,474 outstanding $.001 par value shares of |
| ||
beneficial interest (unlimited authorization) |
|
| 7,663,276 |
Net Asset Value Per Share |
|
| $50.58 |
|
|
|
|
|
|
|
|
At June 30, 2008, net assets consisted of:7 |
|
|
|
|
| Amount | Per |
|
| ($000) | Share |
Paid-in Capital |
| 7,659,432 | $50.56 |
Overdistributed Net Investment Income |
| (4,010) | (.03) |
Accumulated Net Realized Gains |
| 44,025 | .29 |
Unrealized Depreciation |
|
|
|
Investment Securities |
| (36,140) | (.24) |
Swap Contracts |
| (31) | — |
Net Assets |
| 7,663,276 | $50.58 |
• | 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.
2 Securities with a value of $916,000 have been segregated as collateral for open swap contracts.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Adjustable-rate note.
5 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, 2008, the aggregate value of these securities was $47,631,000, representing 0.6% of net assets.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
7 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.
51
Statement of Operations
| Six Months Ended |
| June 30, 2008 |
| ($000) |
Investment Income |
|
Income |
|
Interest1 | 187,489 |
Total Income | 187,489 |
Expenses |
|
The Vanguard Group—Note B |
|
Management and Administrative | 1,908 |
Total Expenses | 1,908 |
Net Investment Income | 185,581 |
Realized Net Gain (Loss) |
|
Investment Securities Sold | 47,738 |
Swap Contracts | (10,591) |
Realized Net Gain (Loss) | 37,147 |
Change in Unrealized Appreciation (Depreciation) |
|
Investment Securities | (131,698) |
Swap Contracts | (2,449) |
Change in Unrealized Appreciation (Depreciation) | (134,147) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 88,581 |
1 Interest income from an affiliated company of the fund was $1,401,000.
52
Statement of Changes in Net Assets
| Six Months Ended | Year Ended |
| June 30, | December 31, |
| 2008 | 2007 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net Investment Income | 185,581 | 335,978 |
Realized Net Gain (Loss) | 37,147 | 12,377 |
Change in Unrealized Appreciation (Depreciation) | (134,147) | 106,753 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 88,581 | 455,108 |
Distributions |
|
|
Net Investment Income | (181,695) | (331,057) |
Realized Capital Gain | — | — |
Total Distributions | (181,695) | (331,057) |
Capital Share Transactions—Note E |
|
|
Issued | 1,168,266 | 3,531,288 |
Issued in Lieu of Cash Distributions | 165,967 | 302,753 |
Redeemed | (1,176,185) | (1,185,983) |
Net Increase (Decrease) from Capital Share Transactions | 158,048 | 2,648,058 |
Total Increase (Decrease) | 64,934 | 2,772,109 |
Net Assets |
|
|
Beginning of Period | 7,598,342 | 4,826,233 |
End of Period1 | 7,663,276 | 7,598,342 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($4,010,000) and $2,633,000.
53
Financial Highlights
| Six Months |
|
|
|
|
|
| Ended |
|
|
|
|
|
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 |
Net Asset Value, Beginning of Period | $51.19 | $50.32 | $50.79 | $51.79 | $51.80 | $51.89 |
Investment Operations |
|
|
|
|
|
|
Net Investment Income | 1.239 | 2.596 | 2.540 | 2.263 | 2.104 | 1.952 |
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
on Investments | (.633) | .830 | (.429) | (1.007) | .106 | .133 |
Total from Investment Operations | .606 | 3.426 | 2.111 | 1.256 | 2.210 | 2.085 |
Distributions |
|
|
|
|
|
|
Dividends from Net Investment Income | (1.216) | (2.556) | (2.581) | (2.256) | (2.193) | (1.997) |
Distributions from Realized Capital Gains | — | — | — | — | (.027) | (.178) |
Total Distributions | (1.216) | (2.556) | (2.581) | (2.256) | (2.220) | (2.175) |
Net Asset Value, End of Period | $50.58 | $51.19 | $50.32 | $50.79 | $51.79 | $51.80 |
|
|
|
|
|
|
|
Total Return | 1.17% | 7.01% | 4.30% | 2.47% | 4.36% | 4.08% |
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
Net Assets, End of Period (Millions) | $7,663 | $7,598 | $4,826 | $2,861 | $1,170 | $1,185 |
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 | 4.86%* | 5.17% | 5.08% | 4.47% | 4.08% | 3.81% |
Portfolio Turnover Rate1 | 69%* | 62% | 63% | 68% | 88% | 91% |
1 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.
54
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 service 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. 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.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2004–2007) and for the period ended June 30, 2008, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
55
4. 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.
5. 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 $10,529,000 have been reclassified from accumulated net realized gains 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, 2008, the fund had $4,010,000 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, 2007, the fund had available realized losses of $3,598,000 to offset future net capital gains through December 31, 2014. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2008; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2008, the cost of investment securities for tax purposes was $7,673,559,000. Net unrealized depreciation of investment securities for tax purposes was $36,140,000, consisting of unrealized gains of $60,717,000 on securities that had risen in value since their purchase and $96,857,000 in unrealized losses on securities that had fallen in value since their purchase.
56
At June 30, 2008, 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) |
6/3/13 | LEH | 11,775 | 4.183% | (2.681%) | (31) |
7/2/13 | LEH | 49,475 | 4.263% | (2.783%) | — |
|
|
|
|
| (31) |
Total Return Swaps |
|
|
|
|
|
|
|
| Unrealized |
|
| Notional | Floating | Appreciation |
|
| Amount | Interest | (Depreciation) |
Reference Entity/Termination Date | Dealer1 | ($000) | Rate Paid3 | ($000) |
Commercial Mortgage-Backed Securities Index |
|
|
|
|
7/31/08 | LEH | 31,000 | 2.621% | — |
7/31/08 | BA | 25,000 | 2.713% | — |
8/31/08 | BA | 17,000 | 2.913% | — |
10/31/08 | BA | 15,000 | 3.013% | — |
1/31/09 | LEH | 6,700 | 3.721% | — |
4/30/09 | BA | 30,000 | 3.213% | — |
D. During the six months ended June 30, 2008, the portfolio purchased $413,163,000 of investment securities and sold $279,323,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $2,247,370,000 and $2,262,659,000, respectively.
E. Capital shares issued and redeemed were:
| Six Months Ended | Year Ended |
| June 30, 2008 | December 31, 2007 |
| Shares | Shares |
| (000) | (000) |
Issued | 22,723 | 70,013 |
Issued in Lieu of Cash Distributions | 3,235 | 6,008 |
Redeemed | (22,886) | (23,488) |
Net Increase (Decrease) in Shares Outstanding | 3,072 | 52,533 |
1 BA—Bank of America, N.A.
LEH—Lehman Brothers Special Financing Inc.
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.
57
F. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements, effective for the fund’s current fiscal period.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—quoted prices in active markets for identical securities.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the fund’s investments as of June 30, 2008, based on the inputs used to value them:
| Investments | Swap |
| in Securities | Contracts |
Valuation Inputs | ($000) | ($000) |
Level 1—Quoted prices | 39,086 | — |
Level 2—Other significant observable inputs | 7,598,333 | (31) |
Level 3—Significant unobservable inputs | — | — |
Total | 7,637,419 | (31) |
58
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, 2008 |
|
|
|
| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
Institutional Total Bond Market Index Fund | 12/31/2007 | 6/30/2008 | Period1 |
Based on Actual Fund Return | $1,000.00 | $1,011.73 | $0.25 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,024.61 | 0.25 |
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.
59
Note that the expenses shown in the table on page 59 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.
60
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 the short and long term, and took into account the organizational depth and stability of the advisor. The board noted that 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, head of Fixed Income Portfolio Management and principal of Vanguard, 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 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 will consider whether to renew the advisory arrangement again after a one-year period.
61
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. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
62
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (in the case of bonds) or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
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.
63
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; Director of Vanguard Marketing Corporation. |
Chief Executive Officer |
|
156 Vanguard Funds Overseen |
|
|
|
Independent Trustees |
|
|
|
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 |
156 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. |
|
|
Emerson U. Fullwood |
|
Born 1948 | Principal Occupation(s) During the Past Five Years: Executive Chief Staff and Marketing |
Trustee Since January 2008 | Officer for North America since 2004 and Corporate Vice President of Xerox Corporation |
156 Vanguard Funds Overseen | (photocopiers and printers); Director of SPX Corporation (multi-industry manufacturing), |
| of the United Way of Rochester, and of the Boy Scouts of America. |
|
|
Rajiv L. Gupta |
|
Born 1945 | Principal Occupation(s) During the Past Five Years: Chairman, President, and |
Trustee Since December 20012 | Chief Executive Officer of Rohm and Haas Co. (chemicals); Board Member of |
156 Vanguard Funds Overseen | the American Chemistry Council; Director of Tyco International, Ltd. (diversified |
| manufacturing and services) since 2005. |
|
|
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 |
156 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; Trustee of |
| the National Constitution Center since 2007. |
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 |
156 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 and Director of Faculty |
156 Vanguard Funds Overseen | Recruiting, Harvard Business School; Director and Chairman of UNX, Inc. (equities |
| trading firm); Chair of the Investment Committee of HighVista Strategies LLC (private |
| investment firm) since 2005. |
|
|
Alfred M. Rankin, Jr. |
|
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 |
156 Vanguard Funds Overseen | of Goodrich Corporation (industrial products/aircraft systems and services). |
|
|
|
|
J. Lawrence Wilson |
|
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 |
156 Vanguard Funds Overseen | AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University |
| and of Culver Educational Foundation. |
|
|
|
|
Executive Officers1 |
|
|
|
Thomas J. Higgins |
|
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. |
156 Vanguard Funds Overseen |
|
|
|
|
|
F. William McNabb III |
|
Born 1957 | Principal Occupation(s) During the Past Five Years: President of The Vanguard Group, Inc., |
President Since March 2008 | and of each of the investment companies served by The Vanguard Group since 2008; |
156 Vanguard Funds Overseen | Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group |
| (1995–2008). |
|
|
Heidi Stam |
|
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 |
156 Vanguard Funds Overseen | The Vanguard Group, and of each of the investment companies served by The Vanguard |
| Group, since 2005; Director and Senior Vice President of Vanguard Marketing Corporation |
| since 2005; Principal of The Vanguard Group (1997–2006). |
Vanguard Senior Management Team |
|
| |
|
|
|
|
R. Gregory Barton | Kathleen C. Gubanich | Michael S. Miller | Glenn W. Reed |
Mortimer J. Buckley | Paul A. Heller | Ralph K. Packard | George U. Sauter |
Founder |
|
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 |
|
| All other marks are the exclusive property of their |
Institutional Investor Services > 800-523-1036 | respective owners. |
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| Q3372 082008 |
> | In the first half of 2008, Vanguard Institutional Total Stock Market Index Fund closely tracked its target index and returned –10.8% for both share classes. |
> | After a springtime rally, equities fell sharply in June, erasing gains across the board. Growth stocks generally fared better than their value-oriented counterparts. |
> | With oil prices soaring, energy stocks were the market’s best performers. Financials remained the worst. |
Contents |
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Your Fund’s Total Returns | 1 |
Chairman’s Letter | 2 |
Fund Profile | 6 |
Performance Summary | 7 |
Financial Statements | 8 |
About Your Fund’s Expenses | 53 |
Trustees Approve Advisory Arrangement | 55 |
Glossary | 56 |
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, 2008 |
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|
| Ticker | Total |
| Symbol | Returns |
Vanguard Institutional Total Stock Market Index Fund |
|
|
Institutional Shares1 | VITNX | –10.8% |
Institutional Plus Shares2 | VITPX | –10.8 |
MSCI® US Broad Market Index |
| –10.9 |
Average Multi-Cap Core Fund3 |
| –10.6 |
Your Fund’s Performance at a Glance |
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| ||
December 31, 2007–June 30, 2008 |
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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 | $31.89 | $28.17 | $0.272 | $0.000 |
Institutional Plus Shares | 31.89 | 28.17 | 0.275 | 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,
Many of the market currents that emerged in mid-to-late 2007 gained force in the first half of 2008, creating stiff headwinds for equities. The credit crunch continued and commodity prices—especially for oil, foodstuffs, and precious metals—soared, fanning concerns that global economic growth engines might stall.
Stocks rallied in April and May on some positive news from the credit markets but sank in June—the worst monthly performance since September 2002. After a few years of relative calm, stock market volatility returned to more normal levels.
Despite the market seesaw, Vanguard Institutional Total Stock Market Index Fund met its primary objective of closely tracking its benchmark—the Morgan Stanley Capital International® (MSCI) US Broad Market Index. Both the Institutional and the Institutional Plus Shares returned –10.8% for the half-year.
Stocks worldwide struggled in downbeat economic environment
During the half-year, U.S. stock investors had to digest a series of dispiriting economic developments. Prices for oil and other commodities soared to new highs, the housing market deteriorated further, consumer confidence wavered, and unresolved problems in the credit markets haunted the financial sector.
2
Against that backdrop, stocks grew increasingly volatile, creating whiplash in the second quarter. For the six months ended June 30, the broad U.S. market returned –10.9%. Small-capitalization stocks performed better than large-caps, and growth stocks outpaced their value-oriented counterparts.
International stocks traced a similar path, and only a handful of major foreign markets posted positive results for the period.
Bond investors continued to prefer short-term, high-quality issues
Bonds fared better than stocks during the six months but managed only modest returns. Fixed income investors showed a marked preference for the safety of short-term, high-quality issues, most notably U.S. Treasury securities. The broad taxable bond market returned 1.1%. The tax-exempt bond market experienced unusual turbulence en route to a flat return for the period.
At its June meeting, the Federal Reserve Board voted to leave its target for the federal funds rate unchanged at 2.00%, marking the end of an aggressive rate-cutting campaign that began in September 2007. The central bank’s decision signaled its growing concern about near-term inflation.
Market Barometer |
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| Total Returns |
| Periods Ended June 30, 2008 | ||
| Six Months | One Year | Five Years1 |
Stocks |
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|
|
Russell 1000 Index (Large-caps) | –11.2% | –12.4% | 8.2% |
Russell 2000 Index (Small-caps) | –9.4 | –16.2 | 10.3 |
Dow Jones Wilshire 5000 Index (Entire market) | –10.9 | –12.5 | 8.8 |
MSCI All Country World Index ex USA (International) | –9.8 | –6.2 | 19.4 |
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|
Bonds |
|
|
|
Lehman U.S. Aggregate Bond Index (Broad taxable market) | 1.1% | 7.1% | 3.9% |
Lehman Municipal Bond Index | 0.0 | 3.2 | 3.5 |
Citigroup 3-Month Treasury Bill Index | 1.1 | 3.3 | 3.1 |
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|
CPI |
|
|
|
Consumer Price Index | 4.2% | 5.0% | 3.6% |
1 | Annualized. |
3
Energy and materials advanced; all other sectors retreated
Growth stocks outperformed value stocks during the half-year, and investors favored small and mid-sized companies over large-capitalization equities.
These trends were somewhat muted within the Institutional Total Stock Market Index Fund. Although large-company holdings dominate the portfolio, the fund invests across all market-cap and style categories as it seeks to capture the return of the broad U.S. equity market. This extensive diversification tends to smooth out the peaks and valleys of discrete market segment returns within and across time periods.
The energy sector (representing about 13% of fund assets, on average) was the standout performer for the half-year. Soaring oil prices sustained high activity levels in oil and gas exploration, production, equipment, and services companies, although profit margins of refiners and marketers were squeezed. Stocks of some coal producers—enjoying coal’s popularity as an oil alternative—notched gains of more than 100%, contributing to a 13% return for the fund’s energy sector holdings. Materials, one of the portfolio’s smallest sectors (only 4% of assets, on average), returned 2% on rising prices and robust demand for other commodities and industrial building blocks, especially from non-U.S. markets.
All other market sectors lost ground. Financials was the fund’s largest holding (17% of assets, on average) and the largest detractor; the sector’s –27% return trimmed more than 4.5 percentage points from the fund’s total return. Most financial firms—including commercial and investment banks, asset managers, mortgage lenders, and insurance companies—continued to grapple with one or more issues related to the liquidity crunch, debt-rating concerns, and the erosion of home values.
Reversing course from 2007, information technology—the fund’s second-largest position—slumped. Businesses and individuals, wary about growth prospects, scaled back or postponed spending in many areas. Software, semiconductor, and Internet-related companies notably struggled. Overall, tech stocks returned –12% and trimmed 2 percentage points from the fund’s total return.
Chart a balanced course, and then stick with it
At Vanguard, we encourage investors—large and small—to maintain a long-term focus. When the economic outlook is uncertain and markets are unsteady, it’s best not to make rash investment decisions. We believe the key to investment success is to determine an appropriately diversified mix of stock, bond, and money market funds, then stick with it, because asset allocation is the most important determinant of long-term performance.
4
Whether markets are rising or falling, the hallmark of a successful index fund is its ability to deliver market-tracking returns. Meeting this challenge requires skilled portfolio management, such as that embodied in the sophisticated risk-control and trading systems developed over several decades by Vanguard Quantitative Equity Group, the fund’s advisor. And low expense ratios give Vanguard’s index funds a performance edge in more closely tracking their index benchmarks, which incur no expenses. For institutional portfolios, this can be a significant benefit that compounds over time.
For more than 30 years, indexing has proven its worth in helping investors capture market returns—including those of the mid- and small-cap arenas. Vanguard Institutional Total Stock Market Index Fund’s portfolio of more than 3,000 stocks can provide an efficient, low-cost means to capture the returns of the broad U.S. stock market. As a core holding, the fund can provide a foundation upon which to build a balanced portfolio that holds other asset classes, including bonds, to help you achieve your institution’s investment goals.
As I close this report to you, it’s my pleasure to introduce the fund’s new president, F. William McNabb III. Bill is a man of great character and integrity who is intimately familiar with all aspects of Vanguard—from how we serve our clients to how we invest for them.
Bill and I have worked together very closely for more than two decades. I’m thrilled that the fund’s board elected him president, effective March 1, and designated him to succeed me as chief executive officer, a role he will assume later this year, after an orderly transition. Bill and the rest of our team will serve you and our other clients extremely well in the years ahead.
Thank you for investing with Vanguard.
Sincerely,
John J. Brennan
Chairman and Chief Executive Officer
July 22, 2008
5
Fund Profile
As of June 30, 2008
Portfolio Characteristics |
|
|
|
| Target |
| Fund | Index1 |
Number of Stocks | 3,318 | 3,842 |
Median Market Cap | $32.5B | $32.5B |
Price/Earnings Ratio | 17.0x | 17.0x |
Price/Book Ratio | 2.4x | 2.4x |
Yield2 |
| 2.1% |
Institutional Shares | 2.1% |
|
Institutional Plus Shares | 2.1% |
|
Return on Equity | 19.8% | 19.8% |
Earnings Growth Rate | 19.8% | 19.8% |
Foreign Holdings | 0.0% | 0.0% |
Turnover Rate3 | 8% | — |
Expense Ratio3 |
|
|
Institutional Shares | 0.045% |
|
Institutional Plus Shares | 0.025% |
|
Short-Term Reserves | –0.2%4 | — |
Sector Diversification (% of equity exposure) | ||
|
| Target |
| Fund | Index1 |
Consumer Discretionary | 8.9% | 8.9% |
Consumer Staples | 9.3 | 9.3 |
Energy | 15.2 | 15.2 |
Financials | 14.6 | 14.6 |
Health Care | 11.8 | 11.8 |
Industrials | 11.7 | 11.7 |
Information Technology | 16.8 | 16.8 |
Materials | 4.4 | 4.4 |
Telecommunication Services | 3.1 | 3.1 |
Utilities | 4.2 | 4.2 |
Volatility Measures5 |
|
| Fund Versus |
| Target Index1 |
R-Squared | 1.00 |
Beta | 1.00 |
Ten Largest Holdings6 (% of total net assets) | ||
|
|
|
ExxonMobil Corp. | integrated oil and gas | 3.3% |
General Electric Co. | Industrial conglomerates | 1.9 |
Microsoft Corp. | systems software | 1.6 |
Chevron Corp. | integrated oil and gas | 1.5 |
AT&T Inc. | Integrated telecommunication services | 1.4 |
The Procter & Gamble Co. | household products | 1.3 |
Johnson & Johnson | pharmaceuticals | 1.3 |
International Business Machines Corp. | computer hardware | 1.2 |
Apple Inc. | computer hardware | 1.0 |
ConocoPhillips Co. | integrated oil and gas |
|
Top Ten |
| 15.5% |
Investment Focus
1 | MSCI US Broad Market Index. |
2 | 30-day SEC yield for the fund; annualized dividend yield for the index. See the Glossary on pages 56–57. |
3 | Annualized. |
4 | The fund invested a portion of its cash reserves in equity markets through the use of index futures contracts. After the effect of the futures investments, the fund’s temporary cash position was negative. |
5 | For an explanation of R-squared, beta, and other terms used here, see the Glossary on pages 56–57. |
6 | The holdings listed exclude any temporary cash investments and equity index products. |
6
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at www.vanguard.com/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, 2008
Average Annual Total Returns: Periods Ended June 30, 2008 |
| |||
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|
|
|
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|
|
| Since |
| Inception Date | One Year | Five Years | Inception |
Institutional Shares | 8/31/2001 | –12.43% | 8.74% | 4.96% |
Institutional Plus Shares | 5/31/2001 | –12.41 | 8.76 | 3.40 |
1 | Six months ended June 30, 2008. |
2 | Dow Jones Wilshire 5000 Index through April 8, 2005; MSCI US Broad Market Index thereafter. Note: See Financial Highlights tables on pages 47 and 48 for dividend and capital gains information. |
7
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2008
The fund provides a complete list of its holdings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at www.sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
|
|
| Market | |
|
|
| Value• | |
|
| Shares | ($000) | |
Common Stocks (99.4%)1 |
| |||
Consumer Discretionary (8.8%) |
| |||
| McDonald’s Corp. | 795,010 | 44,695 | |
| The Walt Disney Co. | 1,234,904 | 38,529 | |
| Time Warner, Inc. | 2,468,810 | 36,538 | |
| Comcast Corp. Class A | 1,891,775 | 35,887 | |
| Home Depot, Inc. | 1,165,285 | 27,291 | |
| Target Corp. | 537,198 | 24,974 | |
| News Corp., Class A | 1,528,600 | 22,990 | |
| Lowe’s Cos., Inc. | 1,006,965 | 20,895 | |
* | Amazon.com, Inc. | 216,067 | 15,844 | |
| NIKE, Inc. Class B | 257,545 | 15,352 | |
* | DIRECTV Group, Inc. | 475,950 | 12,332 | |
| Johnson Controls, Inc. | 410,431 | 11,771 | |
* | Viacom Inc. Class B | 383,202 | 11,703 | |
| Staples, Inc. | 488,792 | 11,609 | |
| Yum! Brands, Inc. | 328,713 | 11,535 | |
| Clear Channel Communications, Inc. | 327,021 | 11,511 | |
| Omnicom Group Inc. | 221,723 | 9,951 | |
| Carnival Corp. | 301,895 | 9,950 | |
| Best Buy Co., Inc. | 246,597 | 9,765 | |
| TJX Cos., Inc. | 301,818 | 9,498 | |
| The McGraw-Hill Cos., Inc. | 227,564 | 9,130 | |
* | Kohl’s Corp. | 206,638 | 8,274 | |
* | Liberty Media Corp. | 340,816 | 8,258 | |
| CBS Corp. | 411,067 | 8,012 | |
* | Starbucks Corp. | 501,779 | 7,898 | |
* | Coach, Inc. | 243,575 | 7,034 | |
| Fortune Brands, Inc. | 106,290 | 6,634 | |
| The Gap, Inc. | 364,008 | 6,068 | |
| Harley-Davidson, Inc. | 165,339 | 5,995 | |
* | Liberty Media Corp.- Interactive Series A | 400,762 | 5,915 | |
* | Ford Motor Co. | 1,202,484 | 5,784 | |
| Macy’s Inc. | 290,690 | 5,645 | |
| International Game Technology | 216,443 | 5,407 | |
| J.C. Penney Co., Inc. (Holding Co.) | 145,441 | 5,278 | |
| Starwood Hotels & Resorts Worldwide, Inc. | 129,988 | 5,209 | |
| Marriott International, Inc. Class A | 196,260 | 5,150 | |
* | Bed Bath & Beyond, Inc. | 181,403 | 5,097 |
| H & R Block, Inc. | 225,092 | 4,817 |
| Genuine Parts Co. | 116,177 | 4,610 |
* | Apollo Group, Inc. Class A | 98,008 | 4,338 |
| VF Corp. | 60,710 | 4,321 |
| Mattel, Inc. | 251,249 | 4,301 |
* | GameStop Corp. Class A | 105,742 | 4,272 |
* | DISH Network Corp. | 145,110 | 4,249 |
* | Discovery Holding Co. Class A | 186,157 | 4,088 |
*^ | Sears Holdings Corp. | 52,307 | 3,853 |
| Tiffany & Co. | 93,768 | 3,821 |
* | AutoZone Inc. | 31,222 | 3,778 |
| Abercrombie & Fitch Co. | 59,814 | 3,749 |
* | Liberty Global, Inc. Class A | 118,080 | 3,711 |
| Limited Brands, Inc. | 219,862 | 3,705 |
| Tim Hortons, Inc. | 128,493 | 3,686 |
* | Cablevision Systems NY Group Class A | 159,713 | 3,610 |
^ | General Motors Corp. | 312,795 | 3,597 |
| BorgWarner, Inc. | 80,682 | 3,581 |
^ | Garmin Ltd. | 82,515 | 3,535 |
| Wynn Resorts Ltd. | 43,087 | 3,505 |
* | Las Vegas Sands Corp. | 73,751 | 3,499 |
* | Liberty Global, Inc. Series C | 114,726 | 3,483 |
| Nordstrom, Inc. | 114,822 | 3,479 |
| Gannett Co., Inc. | 159,261 | 3,451 |
| Sherwin-Williams Co. | 73,270 | 3,365 |
| Ross Stores, Inc. | 93,812 | 3,332 |
* | Time Warner Cable, Inc. | 124,900 | 3,307 |
| Whirlpool Corp. | 52,893 | 3,265 |
| Newell Rubbermaid, Inc. | 193,289 | 3,245 |
| Hasbro, Inc. | 88,955 | 3,177 |
8
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| Market |
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| Value• |
|
| Shares | ($000) |
| Darden Restaurants Inc. | 94,515 | 3,019 |
* | Priceline.com, Inc. | 25,242 | 2,914 |
| Eastman Kodak Co. | 200,216 | 2,889 |
* | The Goodyear Tire & |
|
|
| Rubber Co. | 158,267 | 2,822 |
* | Interpublic Group |
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|
| of Cos., Inc. | 326,958 | 2,812 |
| Virgin Media Inc. | 193,508 | 2,634 |
*^ | Mohawk Industries, Inc. | 40,362 | 2,587 |
* | IAC/InterActiveCorp | 132,925 | 2,563 |
| Advance Auto Parts, Inc. | 65,674 | 2,550 |
| E.W. Scripps Co. Class A | 61,380 | 2,550 |
| Polo Ralph Lauren Corp. | 40,594 | 2,549 |
* | Urban Outfitters, Inc. | 80,728 | 2,518 |
| Washington Post Co. Class B | 4,255 | 2,497 |
* | Expedia, Inc. | 134,930 | 2,480 |
| Black & Decker Corp. | 42,811 | 2,462 |
| Autoliv, Inc. | 51,924 | 2,421 |
| DeVry, Inc. | 44,420 | 2,382 |
* | MGM Mirage, Inc. | 69,334 | 2,350 |
* | ITT Educational Services, Inc. | 27,590 | 2,280 |
| Wyndham Worldwide Corp. | 123,357 | 2,209 |
| The Stanley Works | 48,981 | 2,196 |
| Royal Caribbean Cruises, Ltd. | 96,553 | 2,170 |
*^ | CarMax, Inc. | 151,138 | 2,145 |
* | Dollar Tree, Inc. | 65,108 | 2,128 |
| D. R. Horton, Inc. | 195,812 | 2,125 |
| Strayer Education, Inc. | 10,055 | 2,102 |
| Snap-On Inc. | 39,924 | 2,076 |
* | Office Depot, Inc. | 188,700 | 2,064 |
| Comcast Corp. Special Class A | 109,441 | 2,053 |
* | Big Lots Inc. | 63,079 | 1,971 |
| Leggett & Platt, Inc. | 116,948 | 1,961 |
| WABCO Holdings Inc. | 41,866 | 1,945 |
| Service Corp. International | 193,275 | 1,906 |
*^ | Lamar Advertising Co. Class A | 51,413 | 1,852 |
| Family Dollar Stores, Inc. | 92,867 | 1,852 |
*^ | Sirius Satellite Radio, Inc. | 956,092 | 1,836 |
| American Eagle Outfitters, Inc. | 133,885 | 1,825 |
* | Hanesbrands Inc. | 65,843 | 1,787 |
| PetSmart, Inc. | 89,172 | 1,779 |
| Burger King Holdings Inc. | 65,723 | 1,761 |
* | Toll Brothers, Inc. | 93,332 | 1,748 |
* | XM Satellite Radio Holdings, Inc. | 216,172 | 1,695 |
* | O’Reilly Automotive, Inc. | 75,817 | 1,695 |
| Harman International Industries, Inc. | 40,129 | 1,661 |
| Wendy’s International, Inc. | 60,677 | 1,652 |
* | Penn National Gaming, Inc. | 51,049 | 1,641 |
* | LKQ Corp. | 84,276 | 1,523 |
| Guess ?, Inc. | 39,261 | 1,470 |
* | DreamWorks Animation SKG, Inc. | 49,306 | 1,470 |
| Tupperware Brands Corp. | 42,798 | 1,465 |
| Pulte Homes, Inc. | 151,241 | 1,456 |
* | Aeropostale, Inc. | 46,375 | 1,453 |
| New York Times Co. Class A | 94,253 | 1,451 |
| Phillips-Van Heusen Corp. | 39,432 | 1,444 |
| Gentex Corp. | 99,895 | 1,443 |
* | Scientific Games Corp. | 48,090 | 1,424 |
* | NVR, Inc. | 2,829 | 1,415 |
* | The Warnaco Group, Inc. | 31,208 | 1,375 |
| John Wiley & Sons Class A | 30,433 | 1,370 |
| Brinker International, Inc. | 72,353 | 1,367 |
| Foot Locker, Inc. | 106,939 | 1,331 |
| Orient-Express Hotel Ltd. | 29,724 | 1,291 |
* | Getty Images, Inc. | 37,248 | 1,264 |
| ^Williams-Sonoma, Inc. | 63,400 | 1,258 |
* | Liberty Media Corp.-Capital Series A | 86,129 | 1,240 |
| Sotheby’s | 46,931 | 1,238 |
* | Deckers Outdoor Corp. | 8,608 | 1,198 |
* | Bally Technologies Inc. | 34,620 | 1,170 |
* | Marvel Entertainment, Inc. | 35,614 | 1,145 |
| Centex Corp. | 85,518 | 1,143 |
| Lennar Corp. Class A | 90,318 | 1,115 |
| RadioShack Corp. | 86,287 | 1,059 |
* | Dick’s Sporting Goods, Inc. | 59,130 | 1,049 |
* | WMS Industries, Inc. | 35,169 | 1,047 |
* | AnnTaylor Stores Corp. | 43,161 | 1,034 |
*^ | Saks Inc. | 93,918 | 1,031 |
| MDC Holdings, Inc. | 25,664 | 1,002 |
* | Panera Bread Co. | 21,445 | 992 |
* | Fossil, Inc. | 34,006 | 989 |
| Matthews International Corp. | 21,663 | 980 |
| Liz Claiborne, Inc. | 68,934 | 975 |
^ | Polaris Industries, Inc. | 24,134 | 975 |
* | Rent-A-Center, Inc. | 47,118 | 969 |
| Wolverine World Wide, Inc. | 35,930 | 958 |
* | AutoNation, Inc. | 94,819 | 950 |
* | Jack in the Box Inc. | 41,894 | 939 |
* | Chipotle Mexican Grill, Inc. Class B | 12,353 | 931 |
* | Career Education Corp. | 63,706 | 931 |
| Arbitron Inc. | 19,497 | 926 |
| Hillenbrand Inc. | 43,272 | 926 |
* | J. Crew Group, Inc. | 27,922 | 922 |
| KB Home | 53,529 | 906 |
*^ | Netflix.com, Inc. | 34,398 | 897 |
| Weight Watchers International, Inc. | 25,147 | 896 |
| Barnes & Noble, Inc. | 35,898 | 892 |
* | Jarden Corp. | 48,832 | 891 |
9
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|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Exide Technologies | 52,574 | 881 |
* | Quiksilver, Inc. | 88,729 | 871 |
* | Lions Gate Entertainment Corp. | 83,057 | 860 |
* | Chipotle Mexican Grill, Inc. | 10,307 | 852 |
| International Speedway Corp. | 21,397 | 835 |
* | The Gymboree Corp. | 20,785 | 833 |
| Regal Entertainment Group Class A | 54,488 | 833 |
| Jones Apparel Group, Inc. | 59,912 | 824 |
* | Vail Resorts Inc. | 18,980 | 813 |
| Regis Corp. | 30,672 | 808 |
* | CTC Media, Inc. | 32,029 | 790 |
* | Morningstar, Inc. | 10,726 | 773 |
| Meredith Corp. | 26,650 | 754 |
* | The Cheesecake Factory Inc. | 46,962 | 747 |
* | Timberland Co. | 45,017 | 736 |
| OfficeMax, Inc. | 52,709 | 733 |
* | TRW Automotive Holdings Corp. | 39,195 | 724 |
| Bob Evans Farms, Inc. | 24,762 | 708 |
* | Tractor Supply Co. | 24,382 | 708 |
* | Corinthian Colleges, Inc. | 60,304 | 700 |
* | Gaylord Entertainment Co. | 29,185 | 699 |
*^ | Life Time Fitness, Inc. | 23,241 | 687 |
* | Lear Corp. | 47,791 | 678 |
| Interactive Data Corp. | 26,707 | 671 |
* | Carter’s, Inc. | 48,558 | 671 |
* | Scholastic Corp. | 23,390 | 670 |
| Aaron Rents, Inc. | 29,758 | 665 |
* | Chico’s FAS, Inc. | 122,496 | 658 |
| Ryland Group, Inc. | 29,890 | 652 |
* | Zale Corp. | 34,166 | 645 |
| Brunswick Corp. | 60,537 | 642 |
* | Coinstar, Inc. | 19,609 | 641 |
| Choice Hotels International, Inc. | 23,787 | 630 |
* | Sonic Corp. | 42,446 | 628 |
| The Buckle, Inc. | 13,582 | 621 |
| Ethan Allen Interiors, Inc. | 24,784 | 610 |
| ArvinMeritor, Inc. | 48,143 | 601 |
| ^Pool Corp. | 33,045 | 587 |
* | Capella Education Co. | 9,700 | 579 |
* | CEC Entertainment Inc. | 20,582 | 577 |
| Men’s Wearhouse, Inc. | 34,621 | 564 |
*^ | Crocs, Inc. | 69,954 | 560 |
* | The Children’s Place Retail Stores, Inc. | 15,359 | 554 |
^ | Thor Industries, Inc. | 25,450 | 541 |
* | Collective Brands, Inc. | 45,474 | 529 |
| Brown Shoe Co., Inc. | 38,403 | 520 |
| Callaway Golf Co. | 43,687 | 517 |
* | Live Nation, Inc. | 47,577 | 503 |
^ | Boyd Gaming Corp. | 39,348 | 494 |
*^ | Under Armour, Inc. | 19,227 | 493 |
| CBRL Group, Inc. | 20,019 | 491 |
| ^Dillard’s Inc. | 42,398 | 491 |
* | ATC Technology Corp. | 20,441 | 476 |
*^ | Blue Nile Inc. | 11,004 | 468 |
| Belo Corp. Class A | 62,343 | 456 |
| CKE Restaurants Inc. | 35,527 | 443 |
| News Corp., Class B | 28,707 | 441 |
| American Greetings Corp. Class A | 35,492 | 438 |
* | Tenneco Automotive, Inc. | 32,088 | 434 |
* | Papa John’s International, Inc. | 16,305 | 434 |
*^ | Iconix Brand Group Inc. | 35,631 | 430 |
* | Fuel Systems Solutions, Inc. | 11,172 | 430 |
* | Finish Line, Inc. | 48,054 | 418 |
| Furniture Brands International Inc. | 31,259 | 418 |
* | Pinnacle Entertainment, Inc. | 39,806 | 418 |
* | The Dress Barn, Inc. | 30,707 | 411 |
*^ | Overstock.com, Inc. | 15,527 | 403 |
* | Valassis Communications, Inc. | 31,959 | 400 |
| Asbury Automotive Group, Inc. | 30,361 | 390 |
* | Buffalo Wild Wings Inc. | 15,280 | 379 |
* | Hibbett Sports Inc. | 17,892 | 378 |
*^ | Blockbuster Inc. Class A | 150,944 | 377 |
| Harte-Hanks, Inc. | 32,126 | 368 |
* | Pacific Sunwear of California, Inc. | 43,019 | 367 |
* | P.F. Chang’s China Bistro, Inc. | 16,418 | 367 |
* | CSK Auto Corp. | 34,768 | 364 |
| Borders Group, Inc. | 60,710 | 364 |
* | Pre-Paid Legal Services, Inc. | 8,916 | 362 |
* | Maidenform Brands, Inc. | 26,604 | 359 |
| Churchill Downs, Inc. | 10,151 | 354 |
* | Charming Shoppes, Inc. | 75,657 | 347 |
*^ | Lululemon Athletica, Inc. | 11,915 | 346 |
*^ | DineEquity, Inc. | 9,124 | 341 |
* | America’s Car-Mart, Inc. | 18,487 | 331 |
* | California Pizza Kitchen, Inc. | 29,512 | 330 |
| Group 1 Automotive, Inc. | 16,569 | 329 |
*^ | Quantum Fuel Systems Technologies |
|
|
| Worldwide, Inc. | 106,553 | 328 |
*^ | Charter Communications, Inc. | 308,521 | 324 |
| Genesco, Inc. | 10,488 | 324 |
| Stewart Enterprises, Inc. Class A | 44,350 | 319 |
* | Clear Channel Outdoor Holdings, Inc. Class A | 17,825 | 318 |
* | Skechers U.S.A., Inc. | 16,048 | 317 |
* | Tween Brands, Inc. | 19,204 | 316 |
| Cooper Tire & Rubber Co. | 40,301 | 316 |
10
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|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| CSS Industries, Inc. | 13,038 | 316 |
| Circuit City Stores, Inc. | 107,945 | 312 |
| National CineMedia Inc. | 29,071 | 310 |
| ^The McClatchy Co. Class A | 45,433 | 308 |
* | JAKKS Pacific, Inc. | 13,942 | 305 |
* | Domino’s Pizza, Inc. | 26,293 | 302 |
* | Helen of Troy Ltd. | 17,599 | 284 |
| Fred’s, Inc. | 25,224 | 284 |
| Jackson Hewitt Tax Service Inc. | 22,752 | 278 |
*^ | Cabela’s Inc. | 25,100 | 276 |
^ | NutriSystem, Inc. | 19,508 | 276 |
| K-Swiss, Inc. | 18,728 | 275 |
* | Cache, Inc. | 25,650 | 274 |
* | Leapfrog Enterprises, Inc. | 32,928 | 274 |
* | Champion Enterprises, Inc. | 46,789 | 274 |
| Penske Automotive Group Inc. | 18,466 | 272 |
| Movado Group, Inc. | 13,719 | 272 |
* | Learning Tree International, Inc. | 15,837 | 271 |
| Cato Corp. Class A | 18,774 | 267 |
| bebe stores, inc. | 27,636 | 266 |
* | AFC Enterprises, Inc. | 33,238 | 266 |
* | Alloy, Inc. | 36,292 | 262 |
* | Cox Radio, Inc. | 22,112 | 261 |
^ | Brookfield Homes Corp. | 20,918 | 257 |
| Systemax Inc. | 14,469 | 255 |
* | Hayes Lemmerz International, Inc. | 89,701 | 255 |
* | Perry Ellis International Corp. | 11,978 | 254 |
| American Axle & Manufacturing Holdings, Inc. | 31,763 | 254 |
| Christopher & Banks Corp. | 36,896 | 251 |
* | 99 Cents Only Stores | 37,682 | 249 |
* | RC2 Corp. | 13,295 | 247 |
^ | Columbia Sportswear Co. | 6,693 | 246 |
| Blyth, Inc. | 20,444 | 246 |
^ | Tempur-Pedic International Inc. | 31,335 | 245 |
| Hearst-Argyle Television Inc. | 12,409 | 238 |
* | Cavco Industries, Inc. | 7,236 | 237 |
| Sauer-Danfoss, Inc. | 7,564 | 236 |
^ | Ameristar Casinos, Inc. | 16,983 | 235 |
| Bassett Furniture Industries, Inc. | 19,750 | 233 |
* | Steiner Leisure Ltd. | 8,193 | 232 |
* | Fisher Communications, Inc. | 6,717 | 231 |
| Idearc Inc. | 96,197 | 226 |
| The Pep Boys (Manny, Moe & Jack) | 25,858 | 225 |
* | 1-800-FLOWERS.COM, Inc. | 34,939 | 225 |
| Big 5 Sporting Goods Corp. | 29,511 | 223 |
* | Denny’s Corp. | 78,147 | 222 |
* | Audiovox Corp. | 22,552 | 221 |
* | Charlotte Russe Holding Inc. | 12,324 | 219 |
| UniFirst Corp. | 4,888 | 218 |
| O’Charley’s Inc. | 21,697 | 218 |
* | Cumulus Media Inc. | 55,153 | 217 |
| Cherokee Inc. | 10,691 | 215 |
* | Morgans Hotel Group | 20,740 | 214 |
* | Mediacom Communications Corp. | 39,867 | 213 |
| Standard Motor Products, Inc. | 25,851 | 211 |
* | Entravision Communications Corp. | 52,225 | 210 |
* | BJ’s Restaurants Inc. | 21,500 | 209 |
* | G-III Apparel Group, Ltd. | 16,925 | 209 |
* | Build-A-Bear-Workshop, Inc. | 28,609 | 208 |
* | True Religion Apparel, Inc. | 7,729 | 206 |
* | Sally Beauty Co. Inc. | 31,812 | 206 |
* | Carriage Services, Inc. | 31,084 | 205 |
| Modine Manufacturing Co. | 16,520 | 204 |
*^ | Conn’s, Inc. | 12,627 | 203 |
| CKX, Inc. | 23,117 | 202 |
| Triarc Cos., Inc. Class B | 31,584 | 200 |
| Sonic Automotive, Inc. | 15,339 | 198 |
* | Volcom, Inc. | 8,219 | 197 |
| Stage Stores, Inc. | 16,624 | 194 |
* | A.C. Moore Arts & Crafts, Inc. | 27,439 | 193 |
* | Bluegreen Corp. | 31,894 | 193 |
* | The Princeton Review, Inc. | 28,495 | 193 |
* | RCN Corp. | 17,787 | 192 |
| CPI Corp. | 10,229 | 192 |
| ^Beazer Homes USA, Inc. | 33,776 | 188 |
* | Visteon Corp. | 71,202 | 187 |
| Haverty Furniture Cos., Inc. | 18,470 | 185 |
| Landry’s Restaurants, Inc. | 10,282 | 185 |
| Superior Industries International, Inc. | 10,943 | 185 |
* | Coldwater Creek Inc. | 34,840 | 184 |
^ | Winnebago Industries, Inc. | 17,981 | 183 |
^ | La-Z-Boy Inc. | 23,896 | 183 |
* | thinkorswim Group, Inc. | 25,580 | 180 |
| Sinclair Broadcast Group, Inc. | 23,450 | 178 |
| Ruby Tuesday, Inc. | 32,815 | 177 |
* | New York & Co., Inc. | 19,325 | 176 |
* | Jo-Ann Stores, Inc. | 7,650 | 176 |
| Entercom Communications Corp. | 24,735 | 174 |
* | Martha Stewart Living Omnimedia, Inc. | 23,291 | 172 |
^ | Talbots Inc. | 14,765 | 171 |
* | Hartmarx Corp. | 78,695 | 171 |
* | Drew Industries, Inc. | 10,700 | 171 |
| Books-a-Million Inc. | 22,260 | 171 |
| Arctic Cat, Inc. | 21,444 | 168 |
* | 4Kids Entertainment Inc. | 22,543 | 167 |
* | Hot Topic, Inc. | 30,863 | 167 |
11
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|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | American Public |
|
|
| Education, Inc. | 4,188 | 164 |
* | Meritage Corp. | 10,747 | 163 |
| Ambassadors Group, Inc. | 10,900 | 163 |
* | Steven Madden, Ltd. | 8,840 | 162 |
* | Texas Roadhouse, Inc. | 17,794 | 160 |
* | Emmis Communications, Inc. | 63,231 | 159 |
* | Red Robin Gourmet Burgers, Inc. | 5,744 | 159 |
* | Unifi, Inc. | 63,092 | 159 |
| Oxford Industries, Inc. | 8,252 | 158 |
| Citadel Broadcasting Corp. | 129,384 | 158 |
* | MarineMax, Inc. | 21,790 | 156 |
* | PetMed Express, Inc. | 12,528 | 153 |
* | Luby’s, Inc. | 24,996 | 152 |
* | Midas Inc. | 11,109 | 150 |
| Speedway Motorsports, Inc. | 7,331 | 149 |
| Carmike Cinemas, Inc. | 25,449 | 149 |
*^ | Source Interlink Cos., Inc. | 66,878 | 148 |
* | Harris Interactive Inc. | 73,072 | 147 |
*^ | Jos. A. Bank Clothiers, Inc. | 5,465 | 146 |
* | Shutterfly, Inc. | 11,700 | 143 |
| The Marcus Corp. | 9,463 | 141 |
* | R.H. Donnelley Corp. | 46,539 | 140 |
| Warner Music Group Corp. | 19,113 | 136 |
| World Wrestling Entertainment, Inc. | 8,592 | 133 |
* | Universal Technical Institute Inc. | 10,627 | 132 |
* | Citi Trends Inc. | 5,822 | 132 |
| Dover Downs Gaming & Entertainment, Inc. | 20,370 | 131 |
* | Cost Plus, Inc. | 52,236 | 131 |
* | Peet’s Coffee & Tea Inc. | 6,486 | 129 |
^ | Standard Pacific Corp. | 37,993 | 128 |
* | Amerigon Inc. | 17,513 | 125 |
* | Krispy Kreme Doughnuts, Inc. | 24,873 | 124 |
| M/I Homes, Inc. | 7,750 | 122 |
| Kenneth Cole Productions, Inc. | 9,481 | 120 |
* | Town Sports International Holdings, Inc. | 12,800 | 120 |
* | Shuffle Master, Inc. | 23,868 | 118 |
| Gray Television, Inc. | 40,912 | 117 |
| Lee Enterprises, Inc. | 29,094 | 116 |
* | Pier 1 Imports Inc. | 32,922 | 113 |
* | Knology, Inc. | 10,300 | 113 |
* | The Wet Seal, Inc. Class A | 23,297 | 111 |
| Sealy Corp. | 19,178 | 110 |
* | Zumiez Inc. | 6,580 | 109 |
| Cinemark Holdings Inc. | 8,300 | 108 |
| National Presto Industries, Inc. | 1,679 | 108 |
* | dELiA*S, Inc. | 53,372 | 107 |
* | drugstore.com, Inc. | 56,043 | 106 |
* | Cosi, Inc. | 41,596 | 104 |
* | Hovnanian Enterprises Inc. Class A | 18,870 | 103 |
* | Playboy Enterprises, Inc. Class B | 20,792 | 103 |
^ | Media General, Inc. Class A | 8,580 | 103 |
* | Fleetwood Enterprises, Inc. | 38,890 | 102 |
* | Casual Male Retail Group, Inc. | 33,081 | 101 |
* | Universal Electronics, Inc. | 4,809 | 101 |
* | Benihana Inc. Class A | 15,613 | 99 |
| FTD Group, Inc. | 7,345 | 98 |
| Marine Products Corp. | 14,499 | 96 |
| Shiloh Industries, Inc. | 10,059 | 94 |
* | Stamps.com Inc. | 7,526 | 94 |
| Monro Muffler Brake, Inc. | 6,011 | 93 |
| Weyco Group, Inc. | 3,422 | 91 |
* | Lodgian, Inc. | 11,585 | 91 |
| Journal Communications, Inc. | 18,701 | 90 |
* | Gaiam, Inc. | 6,533 | 88 |
* | Raser Technologies, Inc. | 9,000 | 88 |
* | Core-Mark Holding Co., Inc. | 3,300 | 86 |
| Stanley Furniture Co., Inc. | 7,945 | 86 |
* | Gander Mountain Co. | 23,201 | 86 |
* | Russ Berrie and Co., Inc. | 10,735 | 86 |
| Nautilus Inc. | 16,820 | 85 |
* | Lazare Kaplan International, Inc. | 9,594 | 85 |
* | Retail Ventures, Inc. | 18,472 | 85 |
*^ | Ambassadors International, Inc. | 19,311 | 85 |
* | Multimedia Games Inc. | 19,005 | 84 |
| PRIMEDIA Inc. | 17,570 | 82 |
| Lithia Motors, Inc. | 16,224 | 80 |
| AH Belo Corp. | 13,921 | 79 |
| Libbey, Inc. | 10,533 | 78 |
* | Dorman Products, Inc. | 9,693 | 78 |
| Strattec Security Corp. | 2,145 | 75 |
* | Rentrak Corp. | 5,100 | 72 |
| Spartan Motors, Inc. | 9,508 | 71 |
* | Stoneridge, Inc. | 4,152 | 71 |
* | MTR Gaming Group Inc. | 14,362 | 69 |
* | Steinway Musical Instruments Inc. | 2,549 | 67 |
| Beasley Broadcast Group, Inc. | 14,447 | 66 |
* | Westwood One, Inc. | 52,594 | 66 |
* | ValueVision Media, Inc. | 17,983 | 64 |
* | LodgeNet Interactive Corp. | 12,943 | 64 |
* | Monarch Casino & Resort, Inc. | 5,227 | 62 |
* | Century Casinos, Inc. | 18,779 | 62 |
* | Isle of Capri Casinos, Inc. | 12,307 | 59 |
| Escalade, Inc. | 10,730 | 58 |
* | Lin TV Corp. | 9,610 | 57 |
| Monaco Coach Corp. | 18,424 | 56 |
* | Smith & |
|
|
| Wesson Holding Corp. | 10,660 | 56 |
12
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | DSW Inc. Class A | 4,700 | 55 |
* | Interstate Hotels & Resorts, Inc. | 21,192 | 55 |
* | The Dixie Group, Inc. | 8,200 | 54 |
* | Navarre Corp. | 32,814 | 54 |
*^ | Syntax-Brillian Corp. | 102,736 | 53 |
| Skyline Corp. | 2,242 | 53 |
* | Empire Resorts Inc. | 17,520 | 51 |
*^ | Palm Harbor Homes, Inc. | 9,203 | 51 |
* | Sturm, Ruger & Co., Inc. | 6,785 | 48 |
* | Reading International Inc. Class A | 5,900 | 46 |
* | Shoe Carnival, Inc. | 3,817 | 45 |
^ | Bon-Ton Stores, Inc. | 8,610 | 45 |
* | Steak n Shake Co. | 6,891 | 44 |
* | Fairchild Corp. | 20,404 | 43 |
| GateHouse Media, Inc. | 17,199 | 42 |
* | Tuesday Morning Corp. | 9,665 | 40 |
* | West Marine, Inc. | 9,677 | 40 |
* | Kirkland’s, Inc. | 17,131 | 39 |
* | Select Comfort Corp. | 22,497 | 37 |
| Stein Mart, Inc. | 8,072 | 36 |
*^ | Six Flags, Inc. | 30,481 | 35 |
* | Mothers Work, Inc. | 3,380 | 34 |
* | Acme Communications, Inc. | 24,286 | 34 |
* | Benihana Inc. | 5,006 | 31 |
| Lifetime Brands, Inc. | 3,800 | 31 |
^ | Orleans Homebuilders, Inc. | 8,178 | 30 |
* | California Coastal Communities, Inc. | 7,820 | 30 |
* | Regent Communications, Inc. | 32,631 | 29 |
* | Radio One, Inc. Class D | 22,460 | 29 |
* | Einstein Noah Restaurant Group Inc. | 2,600 | 29 |
* | Pomeroy IT Solutions, Inc. | 6,047 | 28 |
* | Coachmen Industries, Inc. | 12,960 | 27 |
| Craftmade International, Inc. | 4,100 | 27 |
* | Dolan Media Co. | 1,400 | 25 |
* | Trans World Entertainment Corp. | 8,888 | 25 |
* | Charles & Colvard Ltd. | 22,028 | 25 |
| Noble International, Ltd. | 5,409 | 24 |
* | McCormick & Schmick’s Seafood Restaurants, Inc. | 2,500 | 24 |
*^ | Caribou Coffee Co. | 12,577 | 23 |
* | New Motion, Inc. | 5,453 | 23 |
* | Red Lion Hotels Corp. | 2,812 | 22 |
* | Hastings Entertainment, Inc. | 2,708 | 22 |
* | Trump Entertainment Resorts, Inc. | 10,947 | 21 |
| Dover Motorsports, Inc. | 4,074 | 21 |
* | Nexcen Brands, Inc. | 35,670 | 20 |
* | Magna Entertainment Corp. Class A | 35,119 | 20 |
* | Progressive Gaming International Corp. | 15,642 | 20 |
* | Spanish Broadcasting System, Inc. | 16,763 | 19 |
| Salem Communications Corp. | 9,254 | 18 |
* | Concord Camera Corp. | 4,848 | 17 |
* | DEI Holdings, Inc. | 10,134 | 17 |
*^ | WCI Communities, Inc. | 11,577 | 17 |
* | Saga Communications, Inc. | 3,300 | 17 |
* | Youbet.com, Inc. | 11,828 | 15 |
* | Ashworth, Inc. | 3,818 | 13 |
* | Hollywood Media Corp. | 5,240 | 13 |
| Triarc Cos., Inc. Class A | 1,994 | 13 |
* | Riviera Holdings Corp. | 1,220 | 12 |
* | Nexstar Broadcasting Group, Inc. | 2,995 | 12 |
* | Emerson Radio Corp. | 8,900 | 12 |
* | Eddie Bauer Holding, Inc. | 2,700 | 11 |
* | Daily Journal Corp. | 260 | 11 |
* | Buca, Inc. | 27,132 | 11 |
* | Great Wolf Resorts, Inc. | 2,310 | 10 |
* | Jamba Inc. | 5,000 | 9 |
* | Proliance International Inc. | 9,319 | 9 |
* | Franklin Covey Co. | 929 | 8 |
* | Tarragon Corp. | 4,005 | 7 |
*^ | Comstock Homebuilding Cos., Inc. | 19,060 | 7 |
* | Outdoor Channel Holdings Inc. | 974 | 7 |
* | Ruth’s Hospitality Group Inc. | 1,000 | 5 |
* | Woodbridge Holdings Corp. | 4,421 | 5 |
* | Blockbuster Inc. Class B | 2,111 | 4 |
* | S&K Famous Brands Inc. | 1,198 | 4 |
* | REX Stores Corp. | 309 | 4 |
| Flexsteel Industries, Inc. | 300 | 3 |
* | Radio One, Inc. | 1,680 | 2 |
* | E. Gottschalk & Co., Inc. | 623 | 1 |
* | Gaming Partners International | 282 | 1 |
* | Young Broadcasting Inc. | 3,877 | 1 |
* | Gadzooks, Inc. | 3,843 | — |
|
|
| 859,621 |
Consumer Staples (9.2%) |
|
| |
| The Procter & Gamble Co. | 2,124,345 | 129,181 |
| Wal-Mart Stores, Inc. | 1,658,626 | 93,215 |
| The Coca-Cola Co. | 1,443,823 | 75,050 |
| Philip Morris International Inc. | 1,453,950 | 71,811 |
| PepsiCo, Inc. | 1,105,674 | 70,310 |
| CVS/Caremark Corp. | 988,571 | 39,118 |
| Anheuser-Busch Cos., Inc. | 506,730 | 31,478 |
| Kraft Foods Inc. | 1,058,687 | 30,120 |
| Altria Group, Inc. | 1,455,650 | 29,928 |
13
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Colgate-Palmolive Co. | 352,047 | 24,326 |
| Walgreen Co. | 684,727 | 22,260 |
| Costco Wholesale Corp. | 300,255 | 21,060 |
| Kimberly-Clark Corp. | 290,168 | 17,346 |
| General Mills, Inc. | 233,204 | 14,172 |
| Archer-Daniels-Midland Co. | 400,409 | 13,514 |
| The Kroger Co. | 443,457 | 12,803 |
| Sysco Corp. | 416,669 | 11,463 |
| Avon Products, Inc. | 295,055 | 10,628 |
| H.J. Heinz Co. | 218,013 | 10,432 |
| Wm. Wrigley Jr. Co. | 132,752 | 10,325 |
| Kellogg Co. | 188,684 | 9,061 |
| Bunge Ltd. | 83,455 | 8,987 |
| Safeway, Inc. | 304,435 | 8,692 |
* | Lorillard, Inc. | 120,066 | 8,304 |
| ConAgra Foods, Inc. | 337,512 | 6,507 |
| Sara Lee Corp. | 495,453 | 6,069 |
| Reynolds American Inc. | 122,651 | 5,724 |
| UST, Inc. | 103,216 | 5,637 |
| Campbell Soup Co. | 158,919 | 5,317 |
| The Clorox Co. | 96,227 | 5,023 |
| Molson Coors Brewing Co. Class B | 84,629 | 4,598 |
| SuperValu Inc. | 146,445 | 4,524 |
* | Dr. Pepper Snapple Group, Inc. | 174,978 | 3,671 |
| The Hershey Co. | 109,786 | 3,599 |
| Coca-Cola Enterprises, Inc. | 202,493 | 3,503 |
| The Estee Lauder Cos. Inc. Class A | 71,256 | 3,310 |
| Brown-Forman Corp. Class B | 39,424 | 2,979 |
| McCormick & Co., Inc. | 79,888 | 2,849 |
| Tyson Foods, Inc. | 188,557 | 2,817 |
| The Pepsi Bottling Group, Inc. | 99,934 | 2,790 |
* | Energizer Holdings, Inc. | 37,980 | 2,776 |
* | Constellation Brands, Inc. Class A | 133,102 | 2,643 |
| Church & Dwight, Inc. | 45,967 | 2,590 |
| Corn Products International, Inc. | 51,669 | 2,537 |
| Whole Foods Market, Inc. | 97,165 | 2,302 |
* | Central European Distribution Corp. | 28,436 | 2,109 |
* | Dean Foods Co. | 104,793 | 2,056 |
| Hormel Foods Corp. | 51,473 | 1,781 |
* | BJ’s Wholesale Club, Inc. | 44,685 | 1,729 |
* | Smithfield Foods, Inc. | 84,270 | 1,675 |
| Flowers Foods, Inc. | 57,681 | 1,635 |
| Alberto-Culver Co. | 61,596 | 1,618 |
| J.M. Smucker Co. | 37,625 | 1,529 |
* | Hansen Natural Corp. | 51,110 | 1,473 |
| Herbalife Ltd. | 34,996 | 1,356 |
* | NBTY, Inc. | 41,733 | 1,338 |
| Del Monte Foods Co. | 140,059 | 994 |
* | Darling International, Inc. | 57,356 | 948 |
| Longs Drug Stores, Inc. | 22,483 | 947 |
| Ruddick Corp. | 26,943 | 924 |
| PepsiAmericas, Inc. | 44,946 | 889 |
| Universal Corp. (VA) | 19,214 | 869 |
* | Ralcorp Holdings, Inc. | 17,308 | 856 |
| Wm. Wrigley Jr. Co. Class B | 10,178 | 792 |
| Casey’s General Stores, Inc. | 33,893 | 785 |
* | Chattem, Inc. | 11,580 | 753 |
* | Bare Escentuals, Inc. | 38,167 | 715 |
* | Hain Celestial Group, Inc. | 27,874 | 654 |
* | Green Mountain Coffee Roasters, Inc. | 17,270 | 649 |
* | Winn-Dixie Stores, Inc. | 38,760 | 621 |
*^ | Rite Aid Corp. | 387,510 | 616 |
* | United Natural Foods, Inc. | 31,201 | 608 |
| Nu Skin Enterprises, Inc. | 38,159 | 569 |
| Lancaster Colony Corp. | 17,969 | 544 |
| ^Cal-Maine Foods, Inc. | 15,453 | 510 |
* | Chiquita Brands International, Inc. | 29,546 | 448 |
| The Andersons, Inc. | 10,963 | 446 |
| Pilgrim’s Pride Corp. | 33,636 | 437 |
* | TreeHouse Foods Inc. | 17,852 | 433 |
| J & J Snack Foods Corp. | 14,376 | 394 |
* | Alliance One International, Inc. | 68,293 | 349 |
| Inter Parfums, Inc. | 23,160 | 347 |
* | The Great Atlantic & Pacific Tea Co., Inc. | 14,573 | 333 |
* | American Oriental Bioengineering, Inc. | 33,361 | 329 |
| Nash-Finch Co. | 9,529 | 327 |
| Ingles Markets, Inc. | 13,807 | 322 |
| WD-40 Co. | 10,954 | 320 |
^ | Tootsie Roll Industries, Inc. | 12,608 | 317 |
* | Prestige Brands Holdings Inc. | 27,762 | 296 |
| Vector Group Ltd. | 18,093 | 292 |
| Sanderson Farms, Inc. | 8,133 | 281 |
* | Omega Protein Corp. | 16,265 | 243 |
* | Boston Beer Co., Inc. Class A | 5,407 | 220 |
| Arden Group Inc. Class A | 1,722 | 218 |
* | Elizabeth Arden, Inc. | 13,237 | 201 |
| Alico, Inc. | 5,705 | 198 |
| PriceSmart, Inc. | 9,347 | 185 |
*^ | Lifeway Foods, Inc. | 15,308 | 182 |
| Spartan Stores, Inc. | 7,663 | 176 |
* | The Pantry, Inc. | 16,527 | 176 |
| Coca-Cola Bottling Co. | 4,435 | 164 |
*^ | Star Scientific, Inc. | 135,369 | 162 |
^ | Mannatech, Inc. | 28,460 | 155 |
| Lance, Inc. | 7,553 | 142 |
| Reddy Ice Holdings, Inc. | 9,960 | 136 |
* | John B. Sanfilippo & Son, Inc. | 15,463 | 135 |
14
|
|
| Market | |
|
|
| Value• | |
|
| Shares | ($000) | |
| Weis Markets, Inc. | 3,893 | 126 | |
* | Zapata Corp. | 17,400 | 122 | |
* | Parlux Fragrances, Inc. | 20,700 | 104 | |
| B&G Foods Inc. | 11,000 | 103 | |
* | Central Garden and Pet Co. | 19,812 | 90 | |
*^ | USANA Health Sciences, Inc. | 3,274 | 88 | |
| Imperial Sugar Co. | 5,100 | 79 | |
| Oil-Dri Corp. of America | 4,218 | 76 | |
* | Central Garden & Pet Co. Class A | 18,392 | 75 | |
| Griffin Land & Nurseries, Inc. | 2,432 | 75 | |
* | Revlon, Inc. Class A | 85,724 | 73 | |
* | Medifast, Inc. | 11,962 | 63 | |
| Farmer Brothers, Inc. | 2,875 | 61 | |
* | Spectrum Brands Inc. | 23,540 | 60 | |
* | Nutraceutical International Corp. | 2,905 | 35 | |
*^ | Jones Soda Co. | 10,640 | 34 | |
| Diamond Foods, Inc. | 1,200 | 28 | |
| MGP Ingredients, Inc. | 4,634 | 27 | |
| Susser Holdings Corp. | 2,415 | 23 | |
| National Beverage Corp. | 3,040 | 22 | |
* | Inventure Group, Inc. | 5,177 | 9 | |
| Tasty Baking Co. Class A | 1,568 | 9 | |
| Schiff Nutrition International, Inc. | 484 | 3 | |
* | Monterey Pasta Co. | 1,069 | 2 | |
* | Cusine Solutions, Inc. | 700 | 2 | |
|
|
| 897,644 | |
Energy (15.1%) |
|
| ||
| ExxonMobil Corp. | 3,692,956 | 325,460 | |
| Chevron Corp. | 1,433,450 | 142,098 | |
| ConocoPhillips Co. | 1,024,014 | 96,657 | |
| Schlumberger Ltd. | 826,795 | 88,823 | |
| Occidental Petroleum Corp. | 567,819 | 51,024 | |
| Devon Energy Corp. | 291,502 | 35,027 | |
* | Transocean, Inc. | 219,470 | 33,445 | |
| Halliburton Co. | 607,739 | 32,253 | |
| Apache Corp. | 229,898 | 31,956 | |
| Marathon Oil Corp. | 490,506 | 25,443 | |
* | National Oilwell Varco Inc. | 285,986 | 25,373 | |
| Hess Corp. | 199,283 | 25,148 | |
| XTO Energy, Inc. | 352,416 | 24,144 | |
| Anadarko Petroleum Corp. | 322,077 | 24,104 | |
* | Weatherford International Ltd. | 468,630 | 23,239 | |
| EOG Resources, Inc. | 170,515 | 22,372 | |
| Chesapeake Energy Corp. | 337,392 | 22,254 | |
| Baker Hughes, Inc. | 213,788 | 18,672 | |
| Williams Cos., Inc. | 404,264 | 16,296 | |
| Peabody Energy Corp. | 183,754 | 16,180 | |
| Valero Energy Corp. | 380,439 | 15,666 | |
| CONSOL Energy, Inc. | 126,009 | 14,160 | |
| Spectra Energy Corp. | 437,138 | 12,563 | |
| Murphy Oil Corp. | 124,352 | 12,193 | |
| Noble Corp. | 185,505 | 12,050 | |
| Noble Energy, Inc. | 118,854 | 11,952 |
| Smith International, Inc. | 138,511 | 11,516 |
* | Southwestern Energy Co. | 235,696 | 11,221 |
| El Paso Corp. | 484,358 | 10,530 |
* | Ultra Petroleum Corp. | 105,514 | 10,361 |
* | Nabors Industries, Inc. | 195,827 | 9,641 |
* | Cameron International Corp. | 151,324 | 8,376 |
| ENSCO International, Inc. | 99,635 | 8,045 |
| Arch Coal, Inc. | 99,053 | 7,432 |
* | Petrohawk Energy Corp. | 150,488 | 6,969 |
* | FMC Technologies Inc. | 89,852 | 6,912 |
| Range Resources Corp. | 103,856 | 6,807 |
| Diamond Offshore Drilling, Inc. | 47,994 | 6,678 |
| BJ Services Co. | 202,845 | 6,479 |
| Pioneer Natural Resources Co. | 82,523 | 6,460 |
* | Denbury Resources, Inc. | 169,168 | 6,175 |
* | Newfield Exploration Co. | 90,466 | 5,903 |
* | Plains Exploration & Production Co. | 78,104 | 5,699 |
* | Pride International, Inc. | 115,444 | 5,459 |
| Massey Energy Co. | 55,151 | 5,170 |
| Helmerich & Payne, Inc. | 71,586 | 5,156 |
* | Alpha Natural Resources, Inc. | 48,092 | 5,016 |
| Cabot Oil & Gas Corp. | 67,730 | 4,587 |
* | Forest Oil Corp. | 57,933 | 4,316 |
| Cimarex Energy Co. | 57,050 | 3,975 |
| Patterson-UTI Energy, Inc. | 106,590 | 3,841 |
| Rowan Cos., Inc. | 77,288 | 3,613 |
| Sunoco, Inc. | 81,373 | 3,311 |
* | SandRidge Energy, Inc. | 49,271 | 3,182 |
* | Whiting Petroleum Corp. | 29,315 | 3,110 |
* | Exterran Holdings, Inc. | 43,213 | 3,089 |
* | Superior Energy Services, Inc. | 55,880 | 3,081 |
* | Oceaneering International, Inc. | 38,056 | 2,932 |
* | Patriot Coal Corp. | 18,518 | 2,839 |
| St. Mary Land & Exploration Co. | 43,564 | 2,816 |
| Foundation Coal Holdings, Inc. | 31,228 | 2,766 |
* | Quicksilver Resources, Inc. | 71,414 | 2,759 |
* | Unit Corp. | 32,642 | 2,708 |
* | Encore Acquisition Co. | 35,836 | 2,695 |
* | Comstock Resources, Inc. | 30,772 | 2,598 |
* | Helix Energy Solutions Group, Inc. | 59,988 | 2,498 |
* | Kinder Morgan Management, LLC | 46,048 | 2,480 |
* | Atwood Oceanics, Inc. | 19,801 | 2,462 |
* | Continental Resources, Inc. | 34,883 | 2,418 |
15
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Hercules Offshore, Inc. | 61,443 | 2,336 |
| Tidewater Inc. | 35,828 | 2,330 |
* | Dresser Rand Group, Inc. | 59,431 | 2,324 |
* | EXCO Resources, Inc. | 61,539 | 2,271 |
| Penn Virginia Corp. | 28,814 | 2,173 |
* | Oil States International, Inc. | 34,217 | 2,171 |
* | Core Laboratories N.V. | 15,182 | 2,161 |
* | W-H Energy Services, Inc. | 21,401 | 2,049 |
* | Mariner Energy Inc. | 54,617 | 2,019 |
| Tesoro Corp. | 95,456 | 1,887 |
* | IHS Inc. Class A | 25,289 | 1,760 |
| Frontier Oil Corp. | 72,203 | 1,726 |
| Overseas Shipholding Group Inc. | 20,608 | 1,639 |
| Berry Petroleum Class A | 26,307 | 1,549 |
* | Swift Energy Co. | 21,003 | 1,387 |
* | SEACOR Holdings Inc. | 15,049 | 1,347 |
* | Dril-Quip, Inc. | 21,292 | 1,341 |
* | Arena Resources, Inc. | 24,736 | 1,307 |
* | Bill Barrett Corp. | 21,832 | 1,297 |
* | Carrizo Oil & Gas, Inc. | 18,816 | 1,281 |
* | Concho Resources, Inc. | 34,337 | 1,281 |
| W&T Offshore, Inc. | 21,194 | 1,240 |
* | Stone Energy Corp. | 18,771 | 1,237 |
* | TETRA Technologies, Inc. | 51,669 | 1,225 |
* | Global Industries Ltd. | 68,265 | 1,224 |
* | Complete Production Services, Inc. | 33,207 | 1,209 |
*^ | International Coal Group, Inc. | 90,583 | 1,182 |
* | Delta Petroleum Corp. | 46,049 | 1,175 |
* | Willbros Group, Inc. | 26,600 | 1,165 |
* | Grey Wolf, Inc. | 128,510 | 1,160 |
| Atlas America, Inc. | 25,527 | 1,150 |
*^ | Goodrich Petroleum Corp. | 13,558 | 1,124 |
| Holly Corp. | 30,390 | 1,122 |
*^ | BPZ Energy, Inc. | 36,275 | 1,066 |
* | ION Geophysical Corp. | 59,103 | 1,031 |
* | James River Coal Co. | 17,549 | 1,030 |
* | Rosetta Resources, Inc. | 35,208 | 1,003 |
| Crosstex Energy, Inc. | 27,124 | 940 |
*^ | Oilsands Quest, Inc. | 144,558 | 940 |
* | Bristow Group, Inc. | 18,833 | 932 |
* | Hornbeck Offshore Services, Inc. | 16,436 | 929 |
* | Contango Oil & Gas Co. | 9,600 | 892 |
* | CNX Gas Corp. | 20,972 | 882 |
* | Brigham Exploration Co. | 55,566 | 880 |
| CARBO Ceramics Inc. | 14,762 | 861 |
* | PetroQuest Energy, Inc. | 31,860 | 857 |
| Lufkin Industries, Inc. | 10,270 | 855 |
*^ | McMoRan Exploration Co. | 29,936 | 824 |
* | ATP Oil & Gas Corp. | 19,989 | 789 |
* | Parker Drilling Co. | 78,756 | 788 |
* | Clayton Williams Energy, Inc. | 7,111 | 782 |
* | Gulfmark Offshore, Inc. | 12,722 | 740 |
| Gulf Island Fabrication, Inc. | 14,763 | 722 |
* | Basic Energy Services Inc. | 22,709 | 715 |
* | Vaalco Energy, Inc. | 82,965 | 703 |
* | Petroleum Development Corp. | 10,533 | 700 |
* | NATCO Group Inc. | 12,627 | 689 |
* | Pioneer Drilling Co. | 35,133 | 661 |
* | GMX Resources Inc. | 8,835 | 655 |
* | Callon Petroleum Co. | 23,749 | 650 |
* | Matrix Service Co. | 27,140 | 626 |
* | Enbridge Energy Management LLC | 11,823 | 605 |
* | Energy Partners, Ltd. | 34,674 | 517 |
* | Bois d’Arc Energy, Inc. | 19,975 | 486 |
* | Bronco Drilling Co., Inc. | 26,040 | 479 |
* | Dawson Geophysical Co. | 8,031 | 478 |
* | Parallel Petroleum Corp. | 22,879 | 461 |
*^ | USEC Inc. | 72,509 | 441 |
| General Maritime Corp. | 16,523 | 429 |
* | T-3 Energy Services, Inc. | 5,300 | 421 |
* | Abraxas Petroleum Corp. | 77,810 | 421 |
| Arlington Tankers Ltd. | 18,008 | 418 |
* | Newpark Resources, Inc. | 46,583 | 366 |
* | Warren Resources Inc. | 24,247 | 356 |
| World Fuel Services Corp. | 16,046 | 352 |
| RPC Inc. | 19,518 | 328 |
* | Double Eagle Petroleum Co. | 17,148 | 313 |
* | PHI Inc. Non-Voting Shares | 6,963 | 280 |
* | Allis-Chalmers Energy Inc. | 15,670 | 279 |
* | FX Energy, Inc. | 51,135 | 269 |
* | Gasco Energy Inc. | 64,680 | 268 |
* | Harvest Natural Resources, Inc. | 23,788 | 263 |
* | Union Drilling, Inc. | 12,040 | 261 |
* | Cal Dive International, Inc. | 18,168 | 260 |
* | Endeavor International Corp. | 111,692 | 242 |
* | TXCO Resources Inc. | 19,654 | 231 |
*^ | Evergreen Energy, Inc. | 130,819 | 228 |
^ | Western Refining, Inc. | 18,327 | 217 |
* | The Meridian Resource Corp. | 72,640 | 214 |
* | ENGlobal Corp. | 14,800 | 211 |
* | Harken Energy Corp. | 16,344 | 189 |
* | CVR Energy, Inc. | 9,600 | 185 |
*^ | Aventine Renewable Energy Holdings, Inc. | 39,247 | 173 |
* | Trico Marine Services, Inc. | 4,001 | 146 |
*^ | Cheniere Energy, Inc. | 31,466 | 137 |
* | Gulfport Energy Corp. | 8,000 | 132 |
* | Edge Petroleum Corp. | 24,405 | 132 |
* | Superior Well Services, Inc. | 4,000 | 127 |
^ | Alon USA Energy, Inc. | 9,956 | 119 |
* | Veneco Inc. | 4,985 | 116 |
* | CanArgo Energy Corp. | 391,800 | 115 |
* | Natural Gas Services Group | 3,600 | 110 |
16
|
|
| Market | |
|
|
| Value• | |
|
| Shares | ($000) | |
*^ | SulphCo, Inc. | 48,050 | 109 | |
*^ | VeraSun Energy Corp. | 26,255 | 108 | |
| Delek US Holdings, Inc. | 11,306 | 104 | |
* | OYO Geospace Corp. | 1,729 | 102 | |
* | Rentech, Inc. | 52,445 | 100 | |
* | Toreador Resources Corp. | 10,900 | 93 | |
* | Westmoreland Coal Co. | 3,998 | 84 | |
* | Kodiak Oil & Gas Corp. | 17,400 | 79 | |
* | Credo Pete Corp. | 5,386 | 74 | |
*^ | Verenium Corp. | 31,133 | 60 | |
*^ | Pacific Ethanol, Inc. | 26,820 | 49 | |
* | Syntroleum Corp. | 28,304 | 48 | |
| Cano Petroleum Inc. | 3,500 | 28 | |
* | Uranium Resources Inc. | 7,500 | 28 | |
| Panhandle Royalty Co. | 600 | 20 | |
*^ | Transmeridian Exploration Inc. | 12,400 | 8 | |
|
|
| 1,470,493 | |
Financials (14.5%) |
|
| ||
| JPMorgan Chase & Co. | 2,383,565 | 81,780 | |
| Bank of America Corp. | 3,066,331 | 73,193 | |
| Citigroup, Inc. | 3,593,722 | 60,231 | |
| Wells Fargo & Co. | 2,199,663 | 52,242 | |
| American International Group, Inc. | 1,654,439 | 43,776 | |
| The Goldman Sachs Group, Inc. | 246,033 | 43,031 | |
| U.S. Bancorp | 1,194,250 | 33,308 | |
| Bank of New York Mellon Corp. | 788,075 | 29,813 | |
| American Express Co. | 718,518 | 27,067 | |
| MetLife, Inc. | 489,750 | 25,844 | |
| Morgan Stanley | 686,527 | 24,763 | |
| Wachovia Corp. | 1,476,216 | 22,926 | |
* | Berkshire Hathaway Inc. Class B | 5,406 | 21,689 | |
| AFLAC Inc. | 336,095 | 21,107 | |
| Merrill Lynch & Co., Inc. | 635,909 | 20,165 | |
| State Street Corp. | 294,779 | 18,863 | |
| The Travelers Cos., Inc. | 428,573 | 18,600 | |
| Prudential Financial, Inc. | 306,776 | 18,327 | |
| The Allstate Corp. | 367,860 | 16,771 | |
| Fannie Mae | 735,373 | 14,347 | |
| The Hartford Financial Services Group Inc. | 216,965 | 14,009 | |
| Charles Schwab Corp. | 680,858 | 13,985 | |
| Simon Property Group, Inc. REIT | 154,224 | 13,863 | |
| PNC Financial Services Group | 238,697 | 13,630 | |
| CME Group, Inc. | 33,912 | 12,995 | |
| ACE Ltd. | 227,866 | 12,553 | |
| The Chubb Corp. | 255,866 | 12,540 | |
| Loews Corp. | 226,268 | 10,612 | |
| Franklin Resources Corp. | 115,386 | 10,575 | |
| Capital One Financial Corp. | 258,024 | 9,807 | |
| T. Rowe Price Group Inc. | 173,307 | 9,787 | |
| ProLogis REIT | 178,565 | 9,705 | |
| Marsh & McLennan Cos., Inc. | 359,738 | 9,551 | |
| Northern Trust Corp. | 137,286 | 9,414 | |
| Aon Corp. | 190,288 | 8,742 |
| BB&T Corp. | 377,415 | 8,594 |
| Lincoln National Corp. | 186,293 | 8,443 |
| SunTrust Banks, Inc. | 232,075 | 8,406 |
| Vornado Realty Trust REIT | 95,298 | 8,386 |
| Progressive Corp. of Ohio | 445,305 | 8,336 |
| Lehman Brothers Holdings, Inc. | 409,456 | 8,111 |
| The Principal Financial Group, Inc. | 179,104 | 7,517 |
| Boston Properties, Inc. REIT | 82,772 | 7,468 |
| Freddie Mac | 446,949 | 7,330 |
| Public Storage, Inc. REIT | 88,407 | 7,142 |
| Equity Residential REIT | 186,430 | 7,135 |
| Invesco, Ltd. | 290,500 | 6,966 |
| Ameriprise Financial, Inc. | 157,361 | 6,400 |
* | SLM Corp. | 322,647 | 6,243 |
| Leucadia National Corp. | 122,868 | 5,767 |
| Annaly Mortgage Management Inc. REIT | 365,332 | 5,666 |
| Kimco Realty Corp. REIT | 157,097 | 5,423 |
| Hudson City Bancorp, Inc. | 323,104 | 5,389 |
| Genworth Financial Inc. | 300,127 | 5,345 |
| General Growth Properties Inc. REIT | 151,553 | 5,309 |
| Regions Financial Corp. | 478,804 | 5,224 |
| Moody’s Corp. | 151,650 | 5,223 |
* | Berkshire Hathaway Inc. Class A | 43 | 5,192 |
| Nymex Holdings Inc. | 61,129 | 5,164 |
| HCP, Inc. REIT | 161,822 | 5,148 |
| Plum Creek Timber Co. Inc. REIT | 119,064 | 5,085 |
| Unum Group | 239,663 | 4,901 |
| Avalonbay Communities, Inc. REIT | 54,074 | 4,821 |
| Host Hotels & Resorts Inc. REIT | 344,737 | 4,706 |
| NYSE Euronext | 91,484 | 4,635 |
| Assurant, Inc. | 69,198 | 4,564 |
* | Intercontinental Exchange Inc. | 38,795 | 4,423 |
| Safeco Corp. | 62,018 | 4,165 |
| Ventas, Inc. REIT | 95,542 | 4,067 |
| Legg Mason Inc. | 91,981 | 4,008 |
| Discover Financial Services | 298,602 | 3,933 |
| Torchmark Corp. | 63,860 | 3,745 |
| People’s United Financial Inc. | 238,242 | 3,717 |
17
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| KeyCorp | 335,863 | 3,688 |
| Fifth Third Bancorp | 358,499 | 3,650 |
| New York Community Bancorp, Inc. | 201,278 | 3,591 |
| M & T Bank Corp. | 49,451 | 3,488 |
| Everest Re Group, Ltd. | 43,632 | 3,478 |
| AMB Property Corp. REIT | 68,484 | 3,450 |
| SL Green Realty Corp. REIT | 40,804 | 3,375 |
| Willis Group Holdings Ltd. | 99,569 | 3,123 |
| The Macerich Co. REIT | 50,026 | 3,108 |
| American Capital Strategies, Ltd. | 129,884 | 3,087 |
| Washington Mutual, Inc. | 622,597 | 3,069 |
| Eaton Vance Corp. | 76,271 | 3,033 |
| Janus Capital Group Inc. | 113,882 | 3,014 |
* | TD Ameritrade Holding Corp. | 165,043 | 2,986 |
| Axis Capital Holdings Ltd. | 99,524 | 2,967 |
| Developers Diversified Realty Corp. REIT | 84,029 | 2,917 |
| Regency Centers Corp. REIT | 48,357 | 2,859 |
| Federal Realty Investment Trust REIT | 40,753 | 2,812 |
| Cincinnati Financial Corp. | 109,478 | 2,781 |
| Sovereign Bancorp, Inc. | 376,804 | 2,773 |
| W.R. Berkley Corp. | 112,678 | 2,722 |
| Comerica, Inc. | 104,518 | 2,679 |
| PartnerRe Ltd. | 38,646 | 2,672 |
| Health Care Inc. REIT | 59,597 | 2,652 |
| Marshall & Ilsley Corp. | 166,671 | 2,555 |
* | Nasdaq Stock Market Inc. | 95,792 | 2,543 |
| XL Capital Ltd. Class A | 123,311 | 2,535 |
* | CB Richard Ellis Group, Inc. | 126,449 | 2,428 |
| White Mountains Insurance Group Inc. | 5,646 | 2,422 |
* | Markel Corp. | 6,587 | 2,417 |
| Rayonier Inc. REIT | 54,439 | 2,311 |
| Duke Realty Corp. REIT | 101,430 | 2,277 |
* | Affiliated Managers Group, Inc. | 25,204 | 2,270 |
| Apartment Investment & Management Co. |
|
|
| Class A REIT | 66,477 | 2,264 |
| Zions Bancorp | 70,828 | 2,230 |
| SEI Investments Co. | 94,650 | 2,226 |
| Federated Investors, Inc. | 63,711 | 2,193 |
^ | The St. Joe Co. | 63,558 | 2,181 |
| Alexandria Real Estate Equities, Inc. REIT | 22,314 | 2,172 |
| Liberty Property Trust REIT | 63,898 | 2,118 |
* | Arch Capital Group Ltd. | 31,832 | 2,111 |
| UDR, Inc. REIT | 93,443 | 2,091 |
| Nationwide Health Properties, Inc. REIT | 65,866 | 2,074 |
^ | National City Corp. | 418,557 | 1,997 |
| Renaissance Re Holdings Ltd. | 43,494 | 1,943 |
| Waddell & Reed Financial, Inc. | 55,213 | 1,933 |
| Essex Property Trust, Inc. REIT | 17,399 | 1,853 |
| Cullen/Frost Bankers, Inc. | 36,765 | 1,833 |
| Fidelity National Financial, Inc. Class A | 142,777 | 1,799 |
| Old Republic International Corp. | 151,841 | 1,798 |
| Raymond James Financial, Inc. | 67,208 | 1,774 |
| Taubman Co. REIT | 36,425 | 1,772 |
| Digital Realty Trust, Inc. REIT | 43,274 | 1,770 |
| Protective Life Corp. | 46,107 | 1,754 |
^ | Allied Capital Corp. | 124,662 | 1,732 |
| Countrywide Financial Corp. | 400,534 | 1,702 |
| Commerce Bancshares, Inc. | 42,632 | 1,691 |
| Synovus Financial Corp. | 193,563 | 1,690 |
| Camden Property Trust REIT | 38,121 | 1,687 |
| HCC Insurance Holdings, Inc. | 79,700 | 1,685 |
| Associated Banc-Corp. | 83,665 | 1,614 |
| Bank of Hawaii Corp. | 33,667 | 1,609 |
| Weingarten Realty Investors REIT | 52,917 | 1,604 |
^ | Realty Income Corp. REIT | 70,408 | 1,602 |
| StanCorp Financial Group, Inc. | 34,067 | 1,600 |
| Nationwide Financial Services, Inc. | 33,075 | 1,588 |
| Hospitality Properties Trust REIT | 64,907 | 1,588 |
| Mack-Cali Realty Corp. REIT | 46,459 | 1,588 |
| Arthur J. Gallagher & Co. | 65,073 | 1,568 |
| The Hanover Insurance Group Inc. | 36,273 | 1,542 |
| BRE Properties Inc. Class A REIT | 35,349 | 1,530 |
| Senior Housing Properties Trust REIT | 77,402 | 1,512 |
| Douglas Emmett, Inc. REIT | 66,686 | 1,465 |
| Brown & Brown, Inc. | 83,444 | 1,451 |
* | Philadelphia Consolidated Holding Corp. | 42,328 | 1,438 |
| Capital Source Inc. REIT | 129,641 | 1,436 |
| First American Corp. | 53,990 | 1,425 |
| Apollo Investment Corp. | 98,905 | 1,417 |
| Forest City Enterprise Class A | 43,647 | 1,406 |
| Huntington Bancshares Inc. | 242,359 | 1,398 |
| American Financial Group, Inc. | 51,220 | 1,370 |
| Aspen Insurance Holdings Ltd. | 57,799 | 1,368 |
| Union Ban Cal Corp. | 33,516 | 1,355 |
18
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| CIT Group Inc. | 196,358 | 1,337 |
| Jones Lang LaSalle Inc. | 21,917 | 1,319 |
| Valley National Bancorp | 83,222 | 1,312 |
^ | Jefferies Group, Inc. | 77,218 | 1,299 |
* | Conseco, Inc. | 128,769 | 1,277 |
| Highwood Properties, Inc. REIT | 39,860 | 1,252 |
* | Alleghany Corp. | 3,755 | 1,247 |
| Wilmington Trust Corp. | 47,001 | 1,243 |
| iStar Financial Inc. REIT | 93,398 | 1,234 |
| Potlatch Corp. REIT | 27,163 | 1,226 |
^ | Popular, Inc. | 184,318 | 1,215 |
| BioMed Realty Trust, Inc. REIT | 49,501 | 1,214 |
| Fulton Financial Corp. | 120,771 | 1,214 |
| City National Corp. | 28,706 | 1,208 |
| Platinum Underwriters Holdings, Ltd. | 36,950 | 1,205 |
| Astoria Financial Corp. | 59,600 | 1,197 |
* | Knight Capital Group, Inc. Class A | 64,755 | 1,164 |
| Endurance Specialty Holdings Ltd. | 37,717 | 1,161 |
| Corporate Office Properties Trust, Inc. REIT | 33,270 | 1,142 |
| Hilb, Rogal and Hamilton Co. | 25,790 | 1,121 |
* | MSCI, Inc.-Class A Shares | 30,746 | 1,116 |
| Erie Indemnity Co. Class A | 24,115 | 1,113 |
| Home Properties, Inc. REIT | 23,018 | 1,106 |
* | SVB Financial Group | 22,960 | 1,105 |
| IPC Holdings Ltd. | 41,337 | 1,097 |
| Washington Federal Inc. | 60,558 | 1,096 |
| Allied World Assurance Holdings, Ltd. | 27,173 | 1,077 |
| Kilroy Realty Corp. REIT | 22,768 | 1,071 |
| HRPT Properties Trust REIT | 157,807 | 1,068 |
| Westamerica Bancorporation | 20,310 | 1,068 |
| National Retail Properties REIT | 50,875 | 1,063 |
| Entertainment Properties Trust REIT | 21,421 | 1,059 |
| Transatlantic Holdings, Inc. | 18,451 | 1,042 |
| Washington REIT | 34,504 | 1,037 |
* | ProAssurance Corp. | 21,434 | 1,031 |
| UMB Financial Corp. | 19,996 | 1,025 |
* | Investment Technology Group, Inc. | 30,134 | 1,008 |
*^ | E*TRADE Financial Corp. | 320,852 | 1,007 |
| Montpelier Re Holdings Ltd. | 67,673 | 998 |
| CBL & Associates Properties, Inc. REIT | 43,634 | 997 |
| DCT Industrial Trust Inc. REIT | 116,698 | 966 |
| First Horizon National Corp. | 129,192 | 960 |
| Brandywine Realty Trust REIT | 60,758 | 958 |
| TCF Financial Corp. | 78,946 | 950 |
| First Niagara Financial Group, Inc. | 72,538 | 933 |
| Reinsurance Group of America, Inc. | 21,431 | 933 |
| TFS Financial Corp. | 80,313 | 931 |
| Unitrin, Inc. | 33,716 | 930 |
| Mid-America Apartment Communities, Inc. REIT | 18,118 | 925 |
| BancorpSouth, Inc. | 52,137 | 912 |
| FirstMerit Corp. | 55,851 | 911 |
* | Interactive Brokers Group, Inc. | 28,200 | 906 |
| Post Properties, Inc. REIT | 30,308 | 902 |
| Zenith National Insurance Corp. | 25,635 | 901 |
| Mercury General Corp. | 18,891 | 883 |
| NewAlliance Bancshares, Inc. | 69,778 | 871 |
| BOK Financial Corp. | 16,266 | 869 |
| Whitney Holdings Corp. | 47,478 | 869 |
| Healthcare Realty Trust Inc. REIT | 35,914 | 854 |
| First Industrial Realty Trust REIT | 30,650 | 842 |
| Susquehanna Bancshares, Inc. | 60,209 | 824 |
| International Bancshares Corp. | 38,547 | 824 |
| Extra Space Storage Inc. REIT | 52,701 | 809 |
| Omega Healthcare Investors, Inc. REIT | 48,001 | 799 |
| Odyssey Re Holdings Corp. | 22,061 | 783 |
| Tanger Factory Outlet Centers, Inc. REIT | 21,750 | 781 |
| American Campus Communities, Inc. REIT | 27,900 | 777 |
| MFA Mortgage Investments, Inc. REIT | 118,895 | 775 |
| Assured Guaranty Ltd. | 41,694 | 750 |
| Prosperity Bancshares, Inc. | 28,040 | 750 |
* | Signature Bank | 28,747 | 741 |
| DiamondRock Hospitality Co. REIT | 66,547 | 725 |
| EastGroup Properties, Inc. REIT | 16,878 | 724 |
* | Argo Group International Holdings | 21,299 | 715 |
| Employers Holdings, Inc. | 34,311 | 710 |
^ | Colonial BancGroup, Inc. | 160,506 | 709 |
| Delphi Financial Group, Inc. | 30,578 | 708 |
19
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| F.N.B. Corp. | 59,927 | 706 |
| Equity Lifestyle Properties, Inc. REIT | 16,041 | 706 |
| Selective Insurance Group | 37,511 | 704 |
^ | Umpqua Holdings Corp. | 57,652 | 699 |
| LaSalle Hotel Properties REIT | 27,731 | 697 |
| Options Xpress Holdings Inc. | 31,102 | 695 |
| Sunstone Hotel Investors, Inc. REIT | 41,618 | 691 |
*^ | AmeriCredit Corp. | 79,745 | 687 |
| First Financial Bankshares, Inc. | 14,995 | 687 |
| Webster Financial Corp. | 36,654 | 682 |
| Ares Capital Corp. | 67,514 | 681 |
| R.L.I. Corp. | 13,679 | 677 |
| Sterling Bancshares, Inc. | 74,309 | 675 |
| Old National Bancorp | 46,789 | 667 |
| United Bankshares, Inc. | 29,069 | 667 |
| City Holding Co. | 16,338 | 666 |
| S & T Bancorp, Inc. | 22,762 | 661 |
| Hancock Holding Co. | 16,403 | 644 |
| Equity One, Inc. REIT | 31,272 | 643 |
| Infinity Property & Casualty Corp. | 15,445 | 641 |
| Acadia Realty Trust REIT | 27,691 | 641 |
| National Penn Bancshares Inc. | 47,932 | 637 |
| First Midwest Bancorp, Inc. | 33,707 | 629 |
| Colonial Properties Trust REIT | 31,351 | 628 |
| Cash America International Inc. | 20,227 | 627 |
| NBT Bancorp, Inc. | 30,339 | 625 |
| Inland Real Estate Corp. REIT | 43,324 | 625 |
^ | Cousins Properties, Inc. REIT | 26,942 | 622 |
| Pennsylvania REIT | 26,850 | 621 |
| Max Re Capital Ltd. | 29,122 | 621 |
| First Commonwealth Financial Corp. | 66,320 | 619 |
| Pacific Capital Bancorp | 43,867 | 604 |
| CVB Financial Corp. | 63,996 | 604 |
^ | Greenhill & Co., Inc. | 11,154 | 601 |
| Community Bank System, Inc. | 28,938 | 597 |
^ | MBIA, Inc. | 131,415 | 577 |
* | PHH Corp. | 37,582 | 577 |
| MB Financial, Inc. | 25,594 | 575 |
| The Phoenix Cos., Inc. | 75,430 | 574 |
* | LaBranche & Co. Inc. | 80,793 | 572 |
| Trustmark Corp. | 31,905 | 563 |
*^ | KBW Inc. | 27,316 | 562 |
| PS Business Parks, Inc. REIT | 10,793 | 557 |
| Brookline Bancorp, Inc. | 56,295 | 538 |
| American Physicians Capital, Inc. | 11,082 | 537 |
| Bank Mutual Corp. | 52,859 | 531 |
| Glacier Bancorp, Inc. | 32,791 | 524 |
| Lexington Realty Trust REIT | 38,462 | 524 |
| IBERIABANK Corp. | 11,749 | 522 |
| MGIC Investment Corp. | 84,785 | 518 |
| First BanCorp Puerto Rico | 81,543 | 517 |
| Chemical Financial Corp. | 24,911 | 508 |
| Cedar Shopping Centers, Inc. REIT | 43,120 | 505 |
| National Financial Partners Corp. | 25,138 | 498 |
^ | Private Bancorp, Inc. | 16,393 | 498 |
| Horace Mann Educators Corp. | 35,092 | 492 |
| Strategic Hotels and Resorts, Inc. REIT | 52,091 | 488 |
^ | Anthracite Capital Inc. REIT | 69,258 | 488 |
* | Hilltop Holdings Inc. | 47,137 | 486 |
^ | Cathay General Bancorp | 44,247 | 481 |
* | FCStone Group, Inc. | 17,100 | 478 |
| Provident Financial Services Inc. | 33,520 | 470 |
| Calamos Asset Management, Inc. | 27,526 | 469 |
* | FPIC Insurance Group, Inc. | 10,319 | 468 |
| Wintrust Financial Corp. | 19,395 | 463 |
| Dime Community Bancshares | 27,824 | 459 |
* | Stifel Financial Corp. | 13,189 | 454 |
| Community Trust Bancorp Inc. | 17,265 | 453 |
| Saul Centers, Inc. REIT | 9,479 | 445 |
*^ | MF Global Ltd. | 70,007 | 442 |
* | Forestar Real Estate Group, Inc. | 22,964 | 437 |
* | Piper Jaffray Cos., Inc. | 14,899 | 437 |
* | Investors Bancorp, Inc. | 33,203 | 434 |
| Capstead Mortgage Corp. REIT | 39,946 | 433 |
| Harleysville Group, Inc. | 12,715 | 430 |
| Sovran Self Storage, Inc. REIT | 10,281 | 427 |
^ | East West Bancorp, Inc. | 60,379 | 426 |
^ | Redwood Trust, Inc. REIT | 18,663 | 425 |
| PacWest Bancorp | 28,227 | 420 |
* | Amerisafe Inc. | 25,789 | 411 |
| GFI Group Inc. | 44,696 | 403 |
* | EZCORP, Inc. | 31,365 | 400 |
| Columbia Banking System, Inc. | 20,610 | 398 |
| First Citizens BancShares Class A | 2,849 | 397 |
| Franklin Street Properties Corp. REIT | 31,117 | 393 |
| BancFirst Corp. | 9,179 | 393 |
| Financial Federal Corp. | 17,858 | 392 |
^ | Park National Corp. | 7,237 | 390 |
* | Navigators Group, Inc. | 7,195 | 389 |
| Capitol Federal Financial | 10,298 | 387 |
| Capital Southwest Corp. | 3,699 | 386 |
20
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| First Community Bancshares, Inc. | 13,544 | 382 |
| Anworth Mortgage Asset Corp. REIT | 58,025 | 378 |
| Central Pacific Financial Co. | 35,385 | 377 |
| WesBanco, Inc. | 21,765 | 373 |
| BankFinancial Corp. | 28,689 | 373 |
| Amtrust Financial Services Inc. | 29,538 | 372 |
| Ashford Hospitality Trust REIT | 80,178 | 370 |
| FelCor Lodging Trust, Inc. REIT | 35,270 | 370 |
| TrustCo Bank NY | 49,858 | 370 |
| Berkshire Hills Bancorp, Inc. | 15,490 | 366 |
| Gamco Investors Inc. Class A | 7,308 | 363 |
| Northwest Bancorp, Inc. | 16,616 | 363 |
| Safety Insurance Group, Inc. | 10,094 | 360 |
^ | United Community Banks, Inc. | 41,960 | 358 |
* | Pinnacle Financial Partners, Inc. | 17,804 | 358 |
| American Equity Investment Life Holding Co. | 43,787 | 357 |
| Provident New York Bancorp, Inc. | 32,241 | 357 |
| U.S. Global Investors, Inc. Class A | 21,126 | 354 |
| First Financial Bancorp | 37,097 | 341 |
| Abington Community Bancorp Inc. | 37,316 | 340 |
* | World Acceptance Corp. | 10,021 | 337 |
| National Health Investors REIT | 11,608 | 331 |
^ | Frontier Financial Corp. | 38,465 | 328 |
^ | Gladstone Capital Corp. | 21,485 | 327 |
| Asset Acceptance Capital Corp. | 26,683 | 326 |
^ | Capital City Bank Group, Inc. | 14,693 | 320 |
* | Alexander’s, Inc. REIT | 1,010 | 314 |
* | Beneficial Mutual Bancorp, Inc. | 28,224 | 312 |
| Presidential Life Corp. | 19,593 | 302 |
| First Merchants Corp. | 16,641 | 302 |
* | PICO Holdings, Inc. | 6,946 | 302 |
* | Ocwen Financial Corp. | 64,694 | 301 |
| Maguire Properties, Inc. REIT | 24,623 | 300 |
| Federal Agricultural Mortgage Corp. Class C | 12,037 | 298 |
* | Enstar Group Ltd. | 3,400 | 298 |
* | United America Indemnity, Ltd. | 22,100 | 295 |
*^ | Citizens, Inc. | 47,530 | 291 |
| ProCentury Corp. | 18,285 | 290 |
| Gramercy Capital Corp. REIT | 24,868 | 288 |
| Arrow Financial Corp. | 15,897 | 288 |
| FBL Financial Group, Inc. Class A | 14,406 | 286 |
| Medical Properties Trust Inc. REIT | 28,092 | 284 |
| LTC Properties, Inc. REIT | 11,070 | 283 |
^ | Cohen & Steers, Inc. | 10,879 | 283 |
*^ | Avatar Holding, Inc. | 9,241 | 280 |
* | BGC Partners, Inc. | 36,843 | 278 |
| Clifton Savings Bancorp, Inc. | 28,385 | 276 |
| Associated Estates Realty Corp. REIT | 25,573 | 274 |
| Education Realty Trust, Inc. REIT | 23,305 | 272 |
^ | First Busey Corp. | 19,775 | 261 |
| DuPont Fabros Technology Inc. | 13,957 | 260 |
| Kite Realty Group Trust REIT | 20,750 | 259 |
| American Land Lease, Inc. REIT | 13,479 | 256 |
^ | Cascade Bancorp | 32,979 | 254 |
^ | Ambac Financial Group, Inc. | 188,020 | 252 |
| Anchor Bancorp Wisconsin Inc. | 34,847 | 244 |
* | First Cash Financial Services, Inc. | 16,000 | 240 |
| United Fire & Casualty Co. | 8,876 | 239 |
| Agree Realty Corp. REIT | 10,833 | 239 |
* | Guaranty Bancorp | 65,579 | 236 |
| SWS Group, Inc. | 14,202 | 236 |
| EMC Insurance Group, Inc. | 9,739 | 235 |
*^ | CompuCredit Corp. | 39,028 | 234 |
* | TradeStation Group, Inc. | 23,040 | 234 |
| Bancorp Rhode Island Inc. | 8,155 | 233 |
| Advance America, Cash Advance Centers, Inc. | 44,888 | 228 |
^ | Enterprise Financial Services Corp. | 11,986 | 226 |
| Sanders Morris Harris Group Inc. | 33,002 | 224 |
* | Dollar Financial Corp. | 14,780 | 223 |
^ | Citizens Banking Corp. | 79,057 | 223 |
* | Ameriserv Financial Inc. | 75,453 | 223 |
^ | Arbor Realty Trust, Inc. REIT | 24,762 | 222 |
| Boston Private Financial Holdings, Inc. | 39,123 | 222 |
| Hercules Technology Growth Capital, Inc. | 24,700 | 221 |
*^ | Portfolio Recovery Associates, Inc. | 5,795 | 217 |
| MCG Capital Corp. | 54,099 | 215 |
* | Crawford & Co. Class B | 26,931 | 215 |
^ | Sierra Bancorp | 12,949 | 214 |
| U-Store-It Trust REIT | 17,822 | 213 |
21
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Stewart Information Services Corp. | 10,956 | 212 |
| Kearny Financial Corp. | 19,200 | 211 |
^ | Newcastle Investment Corp. REIT | 30,001 | 210 |
| Resource America, Inc. | 22,502 | 210 |
| National Western Life Insurance Co. Class A | 954 | 208 |
| Glimcher Realty Trust REIT | 18,562 | 208 |
| LandAmerica Financial Group, Inc. | 9,344 | 207 |
| Baldwin & Lyons, Inc. Class B | 11,854 | 207 |
| UCBH Holdings, Inc. | 91,618 | 206 |
| Hanmi Financial Corp. | 39,333 | 205 |
| Consolidated-Tomoka Land Co. | 4,867 | 205 |
| Medallion Financial Corp. | 21,587 | 203 |
| Donegal Group Inc. Class A | 12,779 | 203 |
| Amcore Financial, Inc. | 35,495 | 201 |
^ | RAIT Financial Trust REIT | 26,606 | 197 |
*^ | Ladenburg Thalmann Financial Services, Inc. | 129,695 | 196 |
| The South Financial Group, Inc. | 49,381 | 194 |
^ | Provident Bankshares Corp. | 30,121 | 192 |
^ | Corus Bankshares Inc. | 46,082 | 192 |
| CFS Bancorp, Inc. | 16,181 | 191 |
| American National Bankshares Inc. | 10,449 | 190 |
| First Potomac REIT | 12,381 | 189 |
| Parkway Properties Inc. REIT | 5,510 | 186 |
| Harleysville National Corp. | 16,158 | 180 |
| Capitol Bancorp Ltd. | 20,016 | 180 |
* | Tejon Ranch Co. | 4,965 | 179 |
| CoBiz Inc. | 27,019 | 178 |
| Ameris Bancorp | 20,373 | 177 |
| NorthStar Realty Finance Corp. REIT | 21,140 | 176 |
| Cadence Financial Corp. | 16,200 | 175 |
^ | BRT Realty Trust REIT | 14,585 | 175 |
| Investors Real Estate Trust REIT | 18,323 | 175 |
| City Bank Lynnwood (WA) | 19,280 | 166 |
| First Source Corp. | 10,221 | 165 |
| Independent Bank Corp. (MA) | 6,864 | 164 |
| OneBeacon Insurance Group Ltd. | 9,300 | 163 |
| CapLease, Inc. REIT | 21,720 | 163 |
| Lakeland Bancorp, Inc. | 13,305 | 162 |
| State Auto Financial Corp. | 6,702 | 160 |
^ | Capital Trust Class A REIT | 8,339 | 160 |
| NYMAGIC, Inc. | 8,297 | 159 |
* | Encore Capital Group, Inc. | 17,200 | 152 |
| Universal Health Realty Income REIT | 5,061 | 152 |
| Bryn Mawr Bank Corp. | 8,596 | 150 |
| Tower Group, Inc. | 6,957 | 147 |
| Quanta Capital Holdings Ltd. | 55,481 | 146 |
* | PMA Capital Corp. Class A | 15,832 | 146 |
| Banner Corp. | 16,216 | 144 |
* | Pennsylvania Commerce Bancorp, Inc. | 5,972 | 144 |
| First Financial Holdings, Inc. | 8,344 | 143 |
| Getty Realty Holding Corp. REIT | 9,776 | 141 |
| ^Ames National Corp. | 8,299 | 139 |
| Friedman, Billings, Ramsey Group, Inc. REIT | 92,285 | 138 |
* | CNA Surety Corp. | 10,946 | 138 |
| ^Alesco Financial, Inc. REIT | 68,070 | 136 |
| Flushing Financial Corp. | 7,052 | 134 |
*^Western Alliance Bancorp | 16,963 | 132 | |
| Atlantic Coast Federal Corp. | 17,399 | 129 |
| Student Loan Corp. | 1,309 | 128 |
| Center Financial Corp. | 15,049 | 127 |
| Sterling Financial Corp. | 30,346 | 126 |
| Oriental Financial Group Inc. | 8,785 | 125 |
| Advanta Corp. Class B | 19,500 | 123 |
| WSFS Financial Corp. | 2,698 | 120 |
| Eastern Virginia Bankshares, Inc. | 7,487 | 120 |
| Center Bancorp, Inc. | 13,580 | 119 |
| The PMI Group Inc. | 60,473 | 118 |
| First Defiance Financial Corp. | 7,312 | 117 |
| Compass Diversified Trust | 10,218 | 117 |
* | eHealth, Inc. | 6,600 | 117 |
* | Guaranty Financial Group, Inc. | 21,664 | 116 |
| Sun Communities, Inc. REIT | 6,380 | 116 |
* | Penson Worldwide, Inc. | 9,728 | 116 |
*^First Federal Financial Corp. | 14,443 | 116 | |
| The First Marblehead Corp. | 44,916 | 115 |
| Simmons First National Corp. | 4,109 | 115 |
| Cascade Financial Corp. | 17,500 | 114 |
| Urstadt Biddle Properties Class A REIT | 7,698 | 113 |
* | Clayton Holdings, Inc. | 18,866 | 113 |
| First of Long Island Corp. | 5,666 | 113 |
| Nelnet, Inc. | 9,846 | 111 |
| BankAtlantic Bancorp, Inc. Class A | 61,387 | 108 |
| ^ASTA Funding, Inc. | 11,755 | 107 |
| Republic Bancorp, Inc. Class A | 4,328 | 106 |
* | Greenlight Capital Re. Ltd. | 4,649 | 106 |
| Suffolk Bancorp | 3,576 | 105 |
| First State Bancorporation | 19,054 | 105 |
| CBRE Realty Finance Inc. REIT | 29,818 | 103 |
| Cardinal Financial Corp. | 16,306 | 102 |
22
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Flagstone Reinsurance |
|
|
| Holdings Ltd. | 8,519 | 100 |
* | American Independence Corp. | 15,579 | 100 |
| Ameriana Bancorp | 11,143 | 99 |
| Ramco-Gershenson |
|
|
| Properties Trust REIT | 4,805 | 99 |
* | MarketAxess Holdings, Inc. | 12,708 | 96 |
| First Financial Corp. (IN) | 3,130 | 96 |
| First Bancorp (NC) | 7,508 | 95 |
* | Marlin Business Services Inc. | 13,638 | 95 |
| Mission West Properties Inc. |
|
|
| REIT | 8,567 | 94 |
| Heartland Financial USA, Inc. | 5,111 | 93 |
| OceanFirst Financial Corp. | 5,012 | 90 |
| Merchants Bancshares, Inc. | 4,026 | 90 |
| Castlepoint Holdings Ltd. | 9,700 | 88 |
* | First Acceptance Corp. | 27,451 | 88 |
| Camco Financial Corp. | 8,512 | 86 |
| VIST Financial Corp. | 6,411 | 86 |
| Capital Bank Corp. | 9,471 | 84 |
| S.Y. Bancorp, Inc. | 3,884 | 83 |
| ^Flagstar Bancorp, Inc. | 26,809 | 81 |
| Prospect Energy Corp. | 6,100 | 80 |
| Columbia Bancorp (OR) | 11,149 | 80 |
| MVC Capital, Inc. | 5,660 | 77 |
* | Texas Capital Bancshares, Inc. | 4,757 | 76 |
| Colony Bankcorp, Inc. | 6,706 | 75 |
* | Reis, Inc. | 13,650 | 75 |
| LSB Corp. | 4,999 | 75 |
| Hersha Hospitality Trust REIT | 9,885 | 75 |
* | Rewards Network Inc. | 18,117 | 74 |
| German American Bancorp | 6,316 | 73 |
| Century Bancorp, Inc. Class A | 4,105 | 73 |
* | Ampal-American Israel Corp. | 16,148 | 73 |
| Camden National Corp. | 3,106 | 72 |
| ^Crystal River Capital Inc. REIT | 19,629 | 72 |
| Greene County Bancshares | 5,100 | 72 |
| Nara Bancorp, Inc. | 6,629 | 71 |
| Renasant Corp. | 4,799 | 71 |
* | First Mercury Financial Corp. | 4,000 | 71 |
| Bank of Granite Corp. | 9,915 | 70 |
| Washington Trust |
|
|
| Bancorp, Inc. | 3,553 | 70 |
| Radian Group, Inc. | 47,146 | 68 |
| Financial Institutions, Inc. | 4,247 | 68 |
| ^W Holding Co., Inc. | 78,453 | 67 |
| Citizens First Bancorp, Inc. | 11,243 | 67 |
| Sandy Spring Bancorp, Inc. | 4,053 | 67 |
| ^BancTrust Financial |
|
|
| Group, Inc. | 10,076 | 66 |
| Investors Title Co. | 1,347 | 66 |
| Chimera Investment Corp. | 6,700 | 60 |
| First Place Financial Corp. | 6,247 | 59 | ||
| NewBridge Bancorp. | 8,425 | 58 | ||
| Peoples Bancorp, Inc. | 3,062 | 58 | ||
| Tompkins Trustco, Inc. | 1,547 | 58 | ||
| Univest Corp. of Pennsylvania | 2,888 | 57 | ||
| Sterling Bancorp | 4,685 | 56 | ||
* | Wauwatosa Holdings, Inc. | 5,200 | 55 | ||
| Southside Bancshares, Inc. | 2,983 | 55 | ||
^ | Downey Financial Corp. | 19,744 | 55 | ||
| Union Bankshares Corp. | 3,639 | 54 | ||
| Massbank Corp. | 1,328 | 53 | ||
* | Community Bancorp | 10,370 | 52 | ||
| Comm Bancorp, Inc. | 1,169 | 51 | ||
| Winthrop Realty Trust Inc. |
|
| ||
| REIT | 14,238 | 51 | ||
| Heritage Commerce Corp. | 5,040 | 50 | ||
* | Maui Land & |
|
| ||
| Pineapple Co., Inc. | 1,676 | 49 | ||
| Southwest Bancorp, Inc. | 4,254 | 49 | ||
| Old Second Bancorp, Inc. | 4,202 | 49 | ||
| StellarOne Corp. | 3,335 | 49 | ||
| Irwin Financial Corp. | 18,070 | 49 | ||
* | Penn Treaty American Corp. | 9,773 | 47 | ||
| TowneBank | 3,100 | 47 | ||
| Smithtown Bancorp, Inc. | 2,863 | 47 | ||
^ | JER Investors Trust Inc. REIT | 7,293 | 46 | ||
| AmericanWest |
|
| ||
| Bancorporation | 20,121 | 46 | ||
* | Sun Bancorp, Inc. (NJ) | 4,449 | 45 | ||
* | SCPIE Holdings Inc. | 1,598 | 45 | ||
| Evercore Partners Inc. | 4,700 | 45 | ||
| Shore Bancshares, Inc. | 2,379 | 45 | ||
* | First Regional Bancorp | 7,914 | 44 | ||
^ | BankUnited Financial Corp. | 45,915 | 44 | ||
| Great Southern Bancorp, Inc. | 5,253 | 43 | ||
| Bank of the Ozarks, Inc. | 2,856 | 42 | ||
| North Valley Bancorp | 6,436 | 42 | ||
* | Oritani Financial Corp. | 2,600 | 42 | ||
| West Coast Bancorp | 4,749 | 41 | ||
| Credit Acceptance Corp. | 1,600 | 41 | ||
* | Consumer Portfolio |
|
| ||
| Services, Inc. | 27,451 | 40 | ||
^ | First South Bancorp, Inc. | 3,129 | 40 | ||
| TriCo Bancshares | 3,642 | 40 | ||
*^ | Impac Mortgage |
|
| ||
| Holdings, Inc. REIT | 48,838 | 39 | ||
| Integra Bank Corp. | 4,988 | 39 | ||
| Willow Grove Bancorp, Inc. | 4,746 | 39 | ||
| Independent Bank Corp. (MI) | 9,627 | 39 | ||
* | United PanAm Financial Corp. | 16,541 | 37 | ||
| Greater Community Bancorp | 2,293 | 37 | ||
^ | Macatawa Bank Corp. | 4,554 | 36 | ||
| First M&F Corp. | 2,867 | 36 | ||
| PremierWest Bancorp | 6,146 | 36 | |
^ | Seacoast Banking Corp. |
|
| |
| of Florida | 4,404 | 34 | |
23
|
|
| Market | |
|
|
| Value• | |
|
| Shares | ($000) | |
| Midwest Banc Holdings, Inc. | 6,867 | 33 | |
| Wilshire Bancorp Inc. | 3,876 | 33 | |
| ESB Financial Corp. | 3,408 | 33 | |
| Team Financial, Inc. | 5,258 | 32 | |
| Westfield Financial, Inc. | 3,461 | 31 | |
| PMC Commercial Trust REIT | 3,875 | 31 | |
| Monmouth Real Estate |
|
| |
| Investment Corp. REIT | 4,736 | 30 | |
* | BFC Financial Corp. | 39,976 | 30 | |
| Citizens & Northern Corp. | 1,803 | 30 | |
| First United Corp. | 1,615 | 29 | |
| NGP Capital Resources Co. | 1,900 | 29 | |
| ^IndyMac Bancorp, Inc. | 46,848 | 29 | |
| Mercantile Bank Corp. | 4,011 | 29 | |
| Citizens South Banking Corp. | 3,809 | 29 | |
* | Stratus Properties Inc. | 1,599 | 28 | |
| Peapack Gladstone |
|
| |
| Financial Corp. | 1,263 | 28 | |
| Meta Financial Group, Inc. | 1,049 | 28 | |
| United Community |
|
| |
| Financial Corp. | 7,340 | 28 | |
| Capital Corp. of the West | 7,079 | 27 | |
| West Bancorporation | 3,045 | 26 | |
| HMN Financial, Inc. | 1,711 | 26 | |
| Rome Bancorp, Inc. | 2,312 | 26 | |
| Heritage Financial Corp. | 1,610 | 26 | |
| UMH Properties, Inc. REIT | 2,870 | 25 | |
| Pacific Mercantile Bancorp | 3,238 | 25 | |
| TierOne Corp. | 5,200 | 24 | |
| Horizon Financial Corp. | 3,680 | 23 | |
| Westwood Holdings |
|
| |
| Group, Inc. | 560 | 22 | |
* | Virginia Commerce |
|
| |
| Bancorp, Inc. | 4,186 | 22 | |
| Provident Financial |
|
| |
| Holdings, Inc. | 2,290 | 22 | |
*^ | Franklin Bank Corp. | 35,024 | 21 | |
| Advanta Corp. Class A | 3,855 | 21 | |
* | The Bancorp Inc. | 2,757 | 21 | |
* | Cowen Group, Inc. | 2,700 | 21 | |
| ViewPoint Financial Group | 1,400 | 21 | |
| ^Thornburg Mortgage, Inc. |
|
| |
| REIT | 101,005 | 20 | |
* | First Mariner Bancorp, Inc. | 6,444 | 20 | |
* | First Keystone Financial, Inc. | 2,063 | 20 | |
| Farmers Capital Bank Corp. | 1,080 | 19 | |
| Deerfield Capital Corp. | 23,938 | 19 | |
| Imperial Capital Bancorp Inc. | 3,108 | 18 | |
| ^Security Bank Corp. | 2,998 | 18 | |
| One Liberty Properties, Inc. |
|
| |
| REIT | 1,038 | 17 | |
| Royal Bancshares of |
|
| |
| Pennsylvania, Inc. | 1,768 | 17 | ||
* | Seabright Insurance |
|
| ||
| Holdings, Inc. | 1,144 | 17 | ||
| Codorus Valley Bancorp, Inc. | 1,184 | 16 | ||
| BlackRock Kelso Capital Corp. | 1,700 | 16 | ||
| Pulaski Financial Corp. | 1,691 | 16 | ||
| Jefferson Bancshares, Inc. | 1,600 | 15 | ||
| Wainwright Bank & Trust Co. | 1,613 | 15 | ||
| Federal Agricultural |
|
| ||
| Mortgage Corp. Class A | 1,021 | 15 | ||
| Preferred Bank | 2,850 | 15 | ||
| Grubb & Ellis Co. | 3,694 | 14 | ||
| First Federal Bancshares of |
|
| ||
| Arkansas, Inc. | 1,606 | 14 | ||
| HopFed Bancorp, Inc. | 1,005 | 14 | ||
| Resource Capital Corp. REIT | 1,885 | 14 | ||
| TF Financial Corp. | 616 | 14 | ||
| PFF Bancorp, Inc. | 12,458 | 13 | ||
| American Mortgage |
|
| ||
| Acceptance Co. REIT | 20,830 | 13 | ||
| FNB Corp. (NC) | 1,696 | 13 | ||
* | BCSB Bancorp, Inc. | 1,195 | 13 | ||
| Brooke Corp. | 17,380 | 12 | ||
| National Interstate Corp. | 660 | 12 | ||
| Thomas Properties Group, Inc. | 1,100 | 11 | ||
| Northern States Financial Corp. | 599 | 11 | ||
* | Superior Bancorp | 1,211 | 10 | ||
| Lakeland Financial Corp. | 535 | 10 | ||
| Rainier Pacific Financial |
|
| ||
| Group Inc. | 975 | 9 | ||
| Unity Bancorp, Inc. | 1,310 | 9 | ||
| Habersham Bancorp | 1,210 | 9 | ||
^ | Vineyard National Bancorp Co. | 2,239 | 8 | ||
| Mainsource Financial |
|
| ||
| Group, Inc. | 531 | 8 | ||
| Meadowbrook Insurance |
|
| ||
| Group, Inc. | 1,500 | 8 | ||
| First Financial Service Corp. | 438 | 8 | ||
| Parkvale Financial Corp. | 316 | 7 | ||
| Firstbank Corp. | 820 | 7 | ||
| Indiana Community Bancorp | 438 | 7 | ||
*^ | Triad Guaranty, Inc. | 6,854 | 7 | ||
* | International Assets |
|
| ||
| Holding Corp. | 237 | 7 | ||
* | Republic First Bancorp, Inc. | 883 | 6 | ||
| Wayne Savings |
|
| ||
| Bancshares, Inc. | 673 | 6 | ||
| Timberland Bancorp, Inc. | 706 | 6 | ||
| HF Financial Corp. | 347 | 6 | ||
^ | Security Capital |
|
| ||
| Assurance, Ltd. | 16,983 | 5 | ||
| MutualFirst Financial Inc. | 500 | 5 | ||
* | FX Real Estate and |
|
| ||
| Entertainment Inc. | 2,509 | 5 |
| Northrim Bancorp Inc. | 256 | 5 |
24
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| State Bancorp, Inc. | 330 | 4 |
* | AMV Liquidating Trust | 34,500 | 4 |
| Peoples Financial Corp. | 166 | 3 |
* | Guaranty Financial Group |
|
|
| Rights Exp. 7/21/08 | 21,664 | 3 |
| Princeton National |
|
|
| Bancorp, Inc. | 100 | 3 |
* | Specialty Underwriters’ |
|
|
| Alliance, Inc. | 500 | 3 |
| 21st Century Holding Co. | 282 | 2 |
| TIB Financial Corp. | 376 | 2 |
* | FBR Capital Markets Corp. | 400 | 2 |
| MetroCorp Bancshares, Inc. | 159 | 2 |
* | National Atlantic |
|
|
| Holdings Corp | 290 | 2 |
| Harrington West Financial |
|
|
| Group, Inc. | 351 | 1 |
| Brooklyn Federal Bancorp | 44 | 1 |
|
|
| 1,414,408 |
Health Care (11.8%) |
|
| |
| Johnson & Johnson | 1,955,280 | 125,803 |
| Pfizer Inc. | 4,714,351 | 82,360 |
| Abbott Laboratories | 1,066,993 | 56,519 |
| Merck & Co., Inc. | 1,494,686 | 56,335 |
| Wyeth | 924,509 | 44,339 |
| Medtronic, Inc. | 780,545 | 40,393 |
* | Amgen, Inc. | 750,964 | 35,415 |
* | Gilead Sciences, Inc. | 641,283 | 33,956 |
| Eli Lilly & Co. | 704,865 | 32,537 |
| Bristol-Myers Squibb Co. | 1,366,695 | 28,058 |
| Baxter International, Inc. | 438,205 | 28,019 |
* | Genentech, Inc. | 327,356 | 24,846 |
| UnitedHealth Group Inc. | 864,176 | 22,685 |
| Schering-Plough Corp. | 1,118,626 | 22,026 |
* | Celgene Corp. | 300,589 | 19,199 |
* | WellPoint Inc. | 374,451 | 17,846 |
* | Medco Health |
|
|
| Solutions, Inc. | 362,052 | 17,089 |
| Covidien Ltd. | 342,439 | 16,399 |
* | Thermo Fisher |
|
|
| Scientific, Inc. | 290,252 | 16,176 |
| Aetna Inc. | 345,774 | 14,014 |
| Becton, Dickinson & Co. | 168,751 | 13,719 |
* | Genzyme Corp. | 183,850 | 13,241 |
| Cardinal Health, Inc. | 246,506 | 12,715 |
| Stryker Corp. | 199,007 | 12,514 |
* | Biogen Idec Inc. | 205,853 | 11,505 |
* | Boston Scientific Corp. | 928,418 | 11,410 |
| McKesson Corp. | 199,652 | 11,163 |
* | Zimmer Holdings, Inc. | 162,293 | 11,044 |
| Allergan, Inc. | 211,498 | 11,008 |
* | St. Jude Medical, Inc. | 237,860 | 9,724 |
* | Express Scripts Inc. | 148,674 | 9,325 |
* | Forest Laboratories, Inc. | 215,487 | 7,486 |
* | Intuitive Surgical, Inc. | 26,560 | 7,155 |
| CIGNA Corp. | 193,225 | 6,838 |
| C.R. Bard, Inc. | 69,813 | 6,140 |
| Quest Diagnostics, Inc. | 114,268 | 5,539 |
* | Laboratory Corp. of |
|
|
| America Holdings | 76,319 | 5,314 |
* | Humana Inc. | 117,621 | 4,678 |
| AmerisourceBergen Corp. | 112,653 | 4,505 |
* | Varian Medical Systems, Inc. | 86,820 | 4,502 |
* | Waters Corp. | 69,481 | 4,482 |
* | Hospira, Inc. | 108,855 | 4,366 |
* | DaVita, Inc. | 74,249 | 3,945 |
| Applera Corp.– |
|
|
| Applied Biosystems Group | 116,186 | 3,890 |
* | Hologic, Inc. | 176,538 | 3,849 |
* | Covance, Inc. | 44,214 | 3,803 |
| DENTSPLY International Inc. | 99,331 | 3,655 |
* | Illumina, Inc. | 38,479 | 3,352 |
* | Coventry Health Care Inc. | 106,967 | 3,254 |
* | Vertex Pharmaceuticals, Inc. | 96,298 | 3,223 |
* | Barr Pharmaceuticals Inc. | 71,080 | 3,204 |
* | Henry Schein, Inc. | 62,019 | 3,198 |
| Pharmaceutical Product |
|
|
| Development, Inc. | 74,217 | 3,184 |
* | Cephalon, Inc. | 46,939 | 3,130 |
* | Charles River |
|
|
| Laboratories, Inc. | 47,339 | 3,026 |
| IMS Health, Inc. | 127,174 | 2,963 |
| Beckman Coulter, Inc. | 43,503 | 2,938 |
* | Patterson Cos. | 87,547 | 2,573 |
* | Millipore Corp. | 37,873 | 2,570 |
| Mylan Inc. | 211,565 | 2,554 |
* | Invitrogen Corp. | 64,814 | 2,545 |
* | Edwards Lifesciences Corp. | 39,328 | 2,440 |
* | Amylin Pharmaceuticals, Inc. | 93,828 | 2,382 |
| PerkinElmer, Inc. | 82,563 | 2,299 |
* | Endo Pharmaceuticals |
|
|
| Holdings, Inc. | 93,368 | 2,259 |
| Omnicare, Inc. | 84,689 | 2,221 |
| Universal Health Services |
|
|
| Class B | 34,917 | 2,207 |
* | Community Health |
|
|
| Systems, Inc. | 66,611 | 2,197 |
* | Cerner Corp. | 47,624 | 2,152 |
* | IDEXX Laboratories Corp. | 42,358 | 2,065 |
* | Techne Corp. | 25,705 | 1,989 |
* | BioMarin Pharmaceutical Inc. | 67,445 | 1,955 |
* | ResMed Inc. | 54,184 | 1,937 |
* | Watson Pharmaceuticals, Inc. | 68,042 | 1,849 |
* | Health Net Inc. | 76,447 | 1,839 |
* | Tenet Healthcare Corp. | 329,698 | 1,833 |
* | Gen-Probe Inc. | 37,732 | 1,791 |
* | Alexion Pharmaceuticals, Inc. | 24,706 | 1,791 |
* | King Pharmaceuticals, Inc. | 170,644 | 1,787 |
25
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Perrigo Co. | 54,712 | 1,738 |
* | ImClone Systems, Inc. | 41,795 | 1,691 |
* | Inverness Medical |
|
|
| Innovations, Inc. | 50,979 | 1,691 |
* | OSI Pharmaceuticals, Inc. | 40,137 | 1,658 |
* | Pediatrix Medical Group, Inc. | 33,672 | 1,658 |
* | VCA Antech, Inc. | 58,636 | 1,629 |
* | Sepracor Inc. | 77,533 | 1,544 |
* | United Therapeutics Corp. | 15,606 | 1,525 |
* | Kinetic Concepts, Inc. | 37,489 | 1,496 |
* | Lincare Holdings, Inc. | 51,195 | 1,454 |
* | Psychiatric Solutions, Inc. | 38,020 | 1,439 |
* | HLTH Corp. | 125,820 | 1,424 |
* | Myriad Genetics, Inc. | 30,395 | 1,384 |
* | Onyx Pharmaceuticals, Inc. | 38,086 | 1,356 |
| Owens & |
|
|
| Minor, Inc. Holding Co. | 28,407 | 1,298 |
* | Immucor Inc. | 48,458 | 1,254 |
| STERIS Corp. | 43,471 | 1,250 |
* | Warner Chilcott Ltd. | 70,089 | 1,188 |
| Cooper Cos., Inc. | 31,881 | 1,184 |
* | Masimo Corp. | 32,645 | 1,121 |
| Hill-Rom Holdings, Inc. | 41,472 | 1,119 |
* | Health Management |
|
|
| Associates Class A | 170,026 | 1,107 |
* | Cepheid, Inc. | 39,006 | 1,097 |
* | Nuvasive, Inc. | 24,521 | 1,095 |
* | Varian, Inc. | 21,119 | 1,078 |
* | Valeant Pharmaceuticals |
|
|
| International | 62,857 | 1,075 |
* | LifePoint Hospitals, Inc. | 37,737 | 1,068 |
* | WellCare Health Plans Inc. | 29,241 | 1,057 |
* | Bio-Rad Laboratories, Inc. |
|
|
| Class A | 12,899 | 1,043 |
* | PAREXEL International Corp. | 39,558 | 1,041 |
* | HealthSouth Corp. | 61,619 | 1,025 |
* | Magellan Health Services, Inc. | 27,526 | 1,019 |
* | Haemonetics Corp. | 17,769 | 985 |
| West Pharmaceutical |
|
|
| Services, Inc. | 22,734 | 984 |
* | Savient Pharmaceuticals Inc. | 37,419 | 947 |
* | Amedisys Inc. | 18,755 | 946 |
* | Auxilium Pharmaceuticals, Inc. | 26,850 | 903 |
* | Isis Pharmaceuticals, Inc. | 64,862 | 884 |
* | Alkermes, Inc. | 70,141 | 867 |
| PDL BioPharma Inc. | 80,949 | 860 |
* | Dionex Corp. | 12,824 | 851 |
| Medicis Pharmaceutical Corp. | 39,200 | 815 |
*^ | ArthroCare Corp. | 19,509 | 796 |
* | Apria Healthcare Group Inc. | 40,624 | 788 |
* | Advanced Medical Optics, Inc. | 41,927 | 786 |
* | Martek Biosciences Corp. | 22,999 | 775 |
* | AMERIGROUP Corp. | 37,045 | 771 |
* | eResearch Technology, Inc. | 43,862 | 765 |
* | American Medical Systems |
|
|
| Holdings, Inc. | 50,981 | 762 |
| Analogic Corp. | 12,010 | 757 |
| Meridian Bioscience Inc. | 28,122 | 757 |
* | Healthways, Inc. | 25,122 | 744 |
* | AmSurg Corp. | 30,031 | 731 |
* | PSS World Medical, Inc. | 44,532 | 726 |
* | HealthExtras, Inc. | 24,054 | 725 |
* | Wright Medical Group, Inc. | 25,353 | 720 |
* | Sunrise Senior Living, Inc. | 31,787 | 715 |
* | The Medicines Co. | 35,860 | 711 |
* | Cubist Pharmaceuticals, Inc. | 39,713 | 709 |
* | Acorda Therapeutics Inc. | 21,600 | 709 |
* | CONMED Corp. | 26,658 | 708 |
* | Cyberonics, Inc. | 32,212 | 699 |
* | Alpharma, Inc. Class A | 31,004 | 698 |
*^ | Alnylam Pharmaceuticals Inc. | 25,290 | 676 |
* | Human Genome |
|
|
| Sciences, Inc. | 127,861 | 666 |
^ | Mentor Corp. | 23,821 | 663 |
* | K-V Pharmaceutical Co. |
|
|
| Class A | 33,848 | 654 |
* | Xenoport Inc. | 16,700 | 652 |
* | Thoratec Corp. | 37,375 | 650 |
| Sciele Pharma, Inc. | 33,544 | 649 |
| Datascope Corp. | 13,652 | 642 |
* | Applera Corp.-Celera |
|
|
| Genomics Group | 55,309 | 628 |
* | ABIOMED, Inc. | 35,377 | 628 |
* | Align Technology, Inc. | 59,794 | 627 |
* | Eclipsys Corp. | 33,800 | 621 |
| Chemed Corp. | 16,945 | 620 |
* | Integra LifeSciences Holdings | 13,681 | 609 |
* | Regeneron |
|
|
| Pharmaceuticals, Inc. | 42,042 | 607 |
* | Incyte Corp. | 79,678 | 606 |
* | inVentiv Health, Inc. | 21,114 | 587 |
* | AMN Healthcare |
|
|
| Services, Inc. | 34,444 | 583 |
* | Centene Corp. | 34,319 | 576 |
* | Seattle Genetics, Inc. | 67,069 | 567 |
* | Medarex, Inc. | 85,822 | 567 |
* | Conceptus, Inc. | 30,514 | 564 |
| Invacare Corp. | 27,207 | 556 |
* | CV Therapeutics, Inc. | 67,096 | 552 |
* | Theravance, Inc. | 45,931 | 545 |
* | Abaxis, Inc. | 21,681 | 523 |
* | Natus Medical Inc. | 24,755 | 518 |
| Landauer, Inc. | 9,178 | 516 |
* | Arena Pharmaceuticals, Inc. | 96,054 | 499 |
* | Affymetrix, Inc. | 47,393 | 488 |
* | Allos Therapeutics Inc. | 70,269 | 486 |
* | Kindred Healthcare, Inc. | 16,419 | 472 |
*^ | Dendreon Corp. | 105,423 | 469 |
26
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Rigel Pharmaceuticals, Inc. | 20,600 | 467 |
| Brookdale Senior Living Inc. | 21,863 | 445 |
* | CryoLife Inc. | 38,790 | 444 |
* | SurModics, Inc. | 9,851 | 442 |
* | HMS Holdings Corp. | 20,486 | 440 |
* | Bruker BioSciences Corp. | 33,328 | 428 |
* | The TriZetto Group, Inc. | 20,025 | 428 |
* | Bentley Pharmaceuticals, Inc. | 26,157 | 422 |
*^ | ev3 Inc. | 44,387 | 421 |
* | CorVel Corp. | 12,401 | 420 |
*^ | Enzon Pharmaceuticals, Inc. | 58,927 | 420 |
* | Albany Molecular |
|
|
| Research, Inc. | 31,552 | 419 |
* | Angiodynamics, Inc. | 30,466 | 415 |
* | Greatbatch, Inc. | 23,698 | 410 |
* | Healthspring, Inc. | 24,080 | 406 |
* | Assisted Living Concepts Inc. | 72,836 | 401 |
* | Par Pharmaceutical Cos. Inc. | 24,549 | 398 |
* | Adolor Corp. | 72,441 | 397 |
*^ | InterMune Inc. | 29,964 | 393 |
* | Allscripts Healthcare |
|
|
| Solutions, Inc. | 31,576 | 392 |
* | Cross Country Healthcare, Inc. | 26,933 | 388 |
* | Sequenom, Inc. | 23,919 | 382 |
* | Gentiva Health Services, Inc. | 19,196 | 366 |
* | Halozyme Therapeutics Inc. | 67,230 | 362 |
* | Air Methods Corp. | 14,390 | 360 |
* | Idenix Pharmaceuticals Inc. | 49,428 | 359 |
* | AMAG Pharmaceuticals, Inc. | 10,401 | 355 |
* | Alliance Imaging, Inc. | 40,720 | 353 |
* | ViroPharma Inc. | 31,762 | 351 |
* | AthenaHealth Inc. | 11,400 | 351 |
| Vital Signs, Inc. | 6,072 | 345 |
*^ | Luminex Corp. | 16,658 | 342 |
* | PharMerica Corp. | 14,653 | 331 |
* | Cypress Bioscience, Inc. | 46,017 | 331 |
* | Exelixis, Inc. | 63,356 | 317 |
*^ | Genomic Health, Inc. | 16,481 | 316 |
* | APP Pharmaceuticals, Inc. | 18,857 | 315 |
* | Exactech, Inc. | 11,935 | 307 |
* | Phase Forward Inc. | 16,750 | 301 |
* | Universal American Corp. | 29,359 | 300 |
* | Zoll Medical Corp. | 8,574 | 289 |
* | Array BioPharma Inc. | 61,150 | 287 |
* | Bio-Reference |
|
|
| Laboratories, Inc. | 12,728 | 284 |
* | Progenics |
|
|
| Pharmaceuticals, Inc. | 17,277 | 274 |
* | Akorn, Inc. | 82,380 | 273 |
* | Cell Genesys, Inc. | 103,676 | 270 |
* | Capital Senior Living Corp. | 35,679 | 269 |
* | Abraxis BioScience | 4,214 | 267 |
* | Caraco Pharmaceutical |
|
|
| ||
| Laboratories, Ltd. | 19,470 | 257 |
| ||
*^ | GTx, Inc. | 17,879 | 257 |
| ||
*^ | Biodel Inc. | 19,595 | 255 |
| ||
* | Zymogenetics, Inc. | 30,213 | 254 |
| ||
* | Sirona Dental Systems Inc. | 9,778 | 253 |
| ||
* | Orthofix International N.V. | 8,589 | 249 |
| ||
* | Cantel Medical Corp. | 24,130 | 244 |
| ||
* | Momenta |
|
|
| ||
| Pharmaceuticals, Inc. | 19,820 | 244 |
| ||
* | Barrier Therapeutics Inc. | 60,095 | 242 |
| ||
* | Amicas, Inc. | 84,849 | 241 |
| ||
* | American Dental Partners, Inc. | 20,269 | 241 |
| ||
* | ARIAD Pharmaceuticals, Inc. | 98,966 | 237 |
| ||
| Computer Programs and |
|
|
| ||
| Systems, Inc. | 13,588 | 235 |
| ||
* | DepoMed, Inc. | 72,500 | 233 |
| ||
* | Res-Care, Inc. | 13,019 | 231 |
| ||
* | Quidel Corp. | 13,405 | 221 |
| ||
* | Noven Pharmaceuticals, Inc. | 20,677 | 221 |
| ||
* | Accelrys Inc. | 44,558 | 215 |
| ||
* | Molina Healthcare Inc. | 8,500 | 207 |
| ||
* | Hanger Orthopedic Group, Inc. | 12,458 | 205 |
| ||
| National Healthcare Corp. | 4,480 | 205 |
| ||
* | Cerus Corp. | 49,988 | 204 |
| ||
*^ | Antigenics, Inc. | 104,228 | 201 |
| ||
* | Anika Resh Inc. | 23,258 | 200 |
| ||
* | Sun Healthcare Group Inc. | 14,700 | 197 |
| ||
* | MiddleBrook |
|
|
| ||
| Pharmaceuticals Inc. | 58,100 | 196 |
| ||
* | Symmetry Medical Inc. | 12,100 | 196 |
| ||
*^ | Accuray Inc. | 26,846 | 196 |
| ||
* | SonoSite, Inc. | 6,969 | 195 | |||
* | ArQule, Inc. | 59,912 | 195 | |||
* | Cutera, Inc. | 21,429 | 193 | |||
* | Allied Healthcare |
|
| |||
| International Inc. | 96,402 | 192 | |||
*^ | Pozen Inc. | 17,561 | 191 | |||
* | Omnicell, Inc. | 14,338 | 189 | |||
* | Kendle International Inc. | 5,107 | 186 | |||
* | Cardiac Science Corp. | 21,709 | 178 | |||
* | Acadia Pharmaceuticals Inc. | 48,160 | 178 | |||
* | Kensey Nash Corp. | 5,434 | 174 | |||
* | BioLase Technology, Inc. | 50,392 | 172 | |||
* | ATS Medical, Inc. | 80,631 | 172 | |||
* | Enzo Biochem, Inc. | 14,711 | 165 | |||
* | Anadys Pharmaceuticals Inc. | 72,238 | 163 | |||
* | ICU Medical, Inc. | 6,915 | 158 | |||
* | Salix Pharmaceuticals, Ltd. | 22,287 | 157 | |||
* | Durect Corp. | 42,373 | 155 | |||
* | Pain Therapeutics, Inc. | 19,676 | 155 | |||
* | Nektar Therapeutics | 46,303 | 155 | |||
* | Aspect Medical Systems, Inc. | 24,420 | 154 | |||
* | Altus Pharmaceuticals, Inc. | 34,484 | 153 |
* | Geron Corp. | 44,112 | 152 |
* | Caliper Life Sciences, Inc. | 58,415 | 151 |
27
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Harvard Bioscience, Inc. | 32,348 | 150 |
* | America Service Group Inc. | 16,255 | 149 |
* | BioScrip Inc. | 57,169 | 148 |
*^ | AVANT |
|
|
| Immunotherapeutics, Inc. | 10,048 | 146 |
*^ | BioCryst |
|
|
| Pharmaceuticals, Inc. | 49,974 | 140 |
* | Spectranetics Corp. | 14,143 | 139 |
* | Medical Action Industries Inc. | 13,400 | 139 |
*^ | MannKind Corp. | 46,035 | 138 |
* | Continucare Corp. | 58,599 | 138 |
* | Odyssey Healthcare, Inc. | 13,829 | 135 |
* | Cytokinetics, Inc. | 35,472 | 132 |
* | Third Wave Technologies | 11,723 | 131 |
* | Neogen Corp. | 5,653 | 129 |
* | I-Flow Corp. | 12,628 | 128 |
* | Palomar Medical |
|
|
| Technologies, Inc. | 12,812 | 128 |
* | Icad Inc. | 42,753 | 127 |
* | Cynosure Inc. | 6,300 | 125 |
* | PDI, Inc. | 13,965 | 122 |
* | LHC Group Inc. | 5,200 | 121 |
* | Vivus, Inc. | 18,062 | 121 |
* | IRIS International, Inc. | 7,638 | 120 |
* | MWI Veterinary Supply Inc. | 3,600 | 119 |
* | Merit Medical Systems, Inc. | 8,087 | 119 |
* | Ligand Pharmaceuticals Inc. |
|
|
| Class B | 44,900 | 117 |
* | US Physical Therapy, Inc. | 7,061 | 116 |
* | Dyax Corp. | 37,374 | 116 |
* | Candela Corp. | 48,877 | 114 |
* | Pharmanet Development |
|
|
| Group, Inc. | 6,980 | 110 |
*^ | Columbia Laboratories Inc. | 32,589 | 108 |
* | AVI BioPharma, Inc. | 94,496 | 106 |
* | Volcano Corp. | 8,620 | 105 |
* | Cougar Biotechnology Inc. | 4,300 | 102 |
* | Avanir Pharmaceuticals |
|
|
| Class A | 99,850 | 100 |
* | Cambrex Corp. | 16,866 | 99 |
* | Nabi Biopharmaceuticals | 25,074 | 99 |
*^ | Hansen Medical Inc. | 5,800 | 97 |
* | Providence Service Corp. | 4,531 | 96 |
* | BioSphere Medical Inc. | 27,491 | 95 |
*^ | Idera Pharmaceuticals, Inc. | 6,485 | 95 |
* | Inspire Pharmaceuticals, Inc. | 21,986 | 94 |
* | Emeritus Corp. | 6,436 | 94 |
* | Biomimetic Therapeutics, Inc. | 7,700 | 92 |
* | Rochester Medical Corp. | 8,732 | 91 |
* | RTI Biologics, Inc. | 10,353 | 91 |
* | Avigen, Inc. | 31,139 | 90 |
* | Vital Images, Inc. | 7,125 | 89 |
* | Sangamo BioSciences, Inc. | 8,747 | 87 | |
*^ | GenVec, Inc. | 59,342 | 85 | |
* | Clinical Data, Inc. | 5,921 | 84 | |
* | Dexcom Inc. | 13,965 | 84 | |
*^ | deCODE genetics, Inc. | 91,030 | 84 | |
* | MedAssets, Inc. | 4,900 | 84 | |
*^ | EPIX Pharmaceuticals Inc. | 48,285 | 84 | |
* | MedCath Corp. | 4,603 | 83 | |
* | Curis, Inc. | 55,105 | 81 | |
*^ | Acusphere, Inc. | 115,258 | 81 | |
| Psychemedics Corp. | 4,628 | 76 | |
* | RehabCare Group, Inc. | 4,677 | 75 | |
* | Immunomedics Inc. | 32,484 | 69 | |
* | Animal Health |
|
| |
| International, Inc. | 11,100 | 69 | |
* | Endologix, Inc. | 29,694 | 69 | |
* | Aastrom Biosciences, Inc. | 182,395 | 67 | |
* | Neurocrine Biosciences, Inc. | 15,959 | 67 | |
* | Allion Healthcare Inc. | 10,809 | 62 | |
* | Medivation Inc. | 5,100 | 60 | |
* | HealthTronics Surgical |
|
| |
| Services, Inc. | 17,998 | 59 | |
* | Theragenics Corp. | 15,331 | 56 | |
* | TomoTherapy, Inc. | 6,200 | 55 | |
* | NPS Pharmaceuticals Inc. | 12,157 | 54 | |
* | Five Star Quality Care, Inc. | 11,424 | 54 | |
* | ThermoGenesis Corp. | 37,607 | 53 | |
* | Discovery Laboratories, Inc. | 31,779 | 52 | |
* | ImmunoGen, Inc. | 17,118 | 52 | |
* | ADVENTRX |
|
| |
| Pharmaceuticals, Inc. | 137,900 | 51 | |
* | Osteotech, Inc. | 8,835 | 50 | |
| LCA-Vision Inc. | 10,487 | 50 | |
* | National Dentex Corp. | 3,944 | 50 | |
* | Clarient, Inc. | 24,101 | 49 | |
* | XOMA Ltd. | 28,554 | 48 | |
* | Medical Staffing Network |
|
| |
| Holdings, Inc. | 12,300 | 47 | |
* | Emisphere Technologies, Inc. | 17,560 | 47 | |
* | Corcept Therapeutics Inc. | 23,958 | 47 | |
* | OraSure Technologies, Inc. | 12,190 | 46 | |
* | Monogram Biosciences, Inc. | 40,153 | 44 | |
* | Hooper Holmes, Inc. | 42,124 | 43 | |
* | Omrix |
|
| |
| Biopharmaceuticals, Inc. | 2,720 | 43 | |
| Merge Healthcare Inc. | 35,735 | 41 | |
* | Lexicon Pharmaceuticals Inc. | 25,762 | 41 | |
* | Synovis Life Technologies, Inc. | 2,100 | 40 | |
* | CuraGen Corp. | 40,688 | 39 | |
*^ | Cell Therapeutics, Inc. | 81,081 | 39 | |
* | SRI/Surgical Express, Inc. | 10,677 | 39 | |
* | Somanetics Corp. | 1,801 | 38 | |
* | PhotoMedex, Inc. | 51,174 | 37 | |
* | Indevus Pharmaceuticals, Inc. | 23,135 | 36 |
* | Vascular Solutions, Inc. | 5,486 | 36 |
* | Penwest Pharmaceuticals Co. | 13,087 | 35 |
28
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Infinity Pharmaceuticals, Inc. | 4,318 | 34 |
* | Tercica, Inc. | 3,787 | 33 |
* | SuperGen, Inc. | 14,785 | 30 |
* | Pharmasset, Inc. | 1,500 | 28 |
* | Sonic Innovations, Inc. | 8,444 | 28 |
* | Maxygen Inc. | 8,174 | 28 |
| Trimeris, Inc. | 5,826 | 27 |
* | Micrus Endovascular Corp. | 1,927 | 27 |
* | Novavax, Inc. | 10,811 | 27 |
* | Vical, Inc. | 7,842 | 26 |
* | Telik, Inc. | 21,589 | 26 |
*^ | AtheroGenics, Inc. | 43,615 | 26 |
* | STAAR Surgical Co. | 7,813 | 24 |
* | Senomyx, Inc. | 4,700 | 23 |
* | StemCells, Inc. | 17,974 | 22 |
| ^Cytrx Corp. | 32,600 | 21 |
* | SciClone Pharmaceuticals, Inc. | 13,095 | 20 |
* | Peregrine |
|
|
| Pharmaceuticals, Inc. | 47,335 | 20 |
* | Ista Pharmaceuticals Inc. | 9,776 | 20 |
*^Accentia |
|
| |
| Biopharmaceuticals Inc. | 19,000 | 20 |
* | Repligen Corp. | 4,008 | 19 |
* | Metabolix Inc. | 1,900 | 19 |
* | Santarus Inc. | 9,196 | 18 |
* | NMT Medical, Inc. | 3,896 | 18 |
* | Hi-Tech Pharmacal Co., Inc. | 1,800 | 18 |
* | Hollis-Eden |
|
|
| Pharmaceuticals, Inc. | 11,684 | 18 |
* | Stereotaxis Inc. | 3,100 | 17 |
* | Orchid Cellmark, Inc. | 6,213 | 16 |
* | Biopure Corp. | 32,570 | 16 |
*^ | Nanogen, Inc. | 41,842 | 16 |
*^ | MDRNA Inc. | 12,794 | 16 |
* | Nighthawk Radiology |
|
|
| Holdings, Inc. | 2,175 | 15 |
* | Oxigene, Inc. | 11,910 | 15 |
* | Keryx Biopharmaceuticals, Inc. | 28,705 | 14 |
* | Strategic Diagnostics Inc. | 3,632 | 13 |
* | RXi Pharmaceuticals Corp. | 1,626 | 13 |
*^ | Critical Therapeutics, Inc. | 34,827 | 13 |
* | Rural/Metro Corp. | 6,345 | 13 |
* | EntreMed, Inc. | 23,118 | 13 |
* | Mediware Information |
|
|
| Systems, Inc. | 2,170 | 13 |
* | CardioDynamics |
|
|
| International Corp. | 9,124 | 13 |
* | Proxymed Pharmacy, Inc. | 34,003 | 12 |
* | Vermillion, Inc. | 5,240 | 12 |
* | Orthologic Corp. | 11,489 | 11 |
* | Pharmacopeia Drug |
|
|
| Discovery Inc. | 2,996 | 11 |
* | TorreyPines Therapeutics Inc. | 8,825 | 11 | |
* | Dynavax Technologies Corp. | 7,379 | 11 | |
* | Ore Pharmaceuticals, Inc. | 7,619 | 10 | |
* | La Jolla Pharmaceutical Co. | 4,549 | 10 | |
* | Nuvelo, Inc. | 15,404 | 9 | |
* | Titan Pharmaceuticals, Inc. | 5,836 | 8 | |
| Young Innovations, Inc. | 377 | 8 | |
* | Pharmacyclics, Inc. | 4,319 | 8 | |
* | Introgen Therapeutics, Inc. | 4,756 | 7 | |
* | IVAX Diagnostics, Inc. | 10,266 | 7 | |
* | Matrixx Initiatives, Inc. | 418 | 7 | |
* | Affymax Inc. | 400 | 6 | |
* | NitroMed, Inc. | 6,287 | 6 | |
* | Neurogen Corp. | 5,865 | 6 | |
* | Vanda Parmaceuticals, Inc. | 1,800 | 6 | |
* | GTC Biotherapeutics, Inc. | 12,722 | 5 | |
* | Dialysis Corp. of America | 665 | 5 | |
* | Orthovita, Inc. | 2,283 | 5 | |
* | Insmed Inc. | 11,508 | 5 | |
* | Northfield Laboratories, Inc. | 5,200 | 4 | |
* | Oscient |
|
| |
| Pharmaceuticals Corp. | 2,454 | 3 | |
* | NeoPharm, Inc. | 6,245 | 3 | |
* | Insulet Corp. | 200 | 3 | |
* | Heska Corp. | 2,582 | 3 | |
* | Panacos Pharmaceuticals Inc. | 6,632 | 3 | |
* | Interleukin Genetics, Inc. | 2,262 | 3 | |
* | Novamed, Inc. | 620 | 2 | |
* | SONUS |
|
| |
| Pharmaceuticals, Inc. | 7,483 | 2 | |
* | Immtech |
|
| |
| Pharmaceuticals Inc. | 2,364 | 2 | |
* | Vion Pharmaceuticals, Inc. | 2,031 | 2 | |
* | Emergency Medical |
|
| |
| Services LP Class A | 100 | 2 | |
* | Hemispherx Biopharma, Inc. | 2,632 | 2 | |
* | Anesiva, Inc. | 493 | 1 | |
*^Alfacell Corp. | 2,895 | 1 | ||
* | Lipid Sciences, Inc. | 2,862 | 1 | |
* | Epicept Corp. | 3,977 | 1 | |
* | Neurometrix Inc. | 640 | 1 | |
* | Neurobiological |
|
| |
| Technolgoies, Inc. | 619 | 1 | |
* | Zila, Inc. | 1,944 | 1 | |
* | Targeted Genetics Corp. | 542 | — | |
* | Threshold |
|
| |
| Pharmaceuticals, Inc. | 800 | — | |
|
|
| 1,142,970 | |
Industrials (11.7%) |
|
| ||
| General Electric Co. | 6,892,707 | 183,966 | |
| United Technologies Corp. | 642,926 | 39,669 | |
| The Boeing Co. | 501,677 | 32,970 | |
| 3M Co. | 464,164 | 32,301 | |
| Caterpillar, Inc. | 430,814 | 31,803 |
| United Parcel Service, Inc. | 477,560 | 29,356 |
| Emerson Electric Co. | 542,809 | 26,842 |
29
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Union Pacific Corp. | 342,068 | 25,826 |
| Honeywell International Inc. | 488,401 | 24,557 |
| Burlington Northern |
|
|
| Santa Fe Corp. | 240,615 | 24,035 |
| Lockheed Martin Corp. | 242,660 | 23,941 |
| Deere & Co. | 301,160 | 21,723 |
| General Dynamics Corp. | 236,270 | 19,894 |
| CSX Corp. | 278,758 | 17,509 |
| Raytheon Co. | 294,382 | 16,568 |
| Norfolk Southern Corp. | 260,105 | 16,301 |
| FedEx Corp. | 203,158 | 16,007 |
| Northrop Grumman Corp. | 221,818 | 14,840 |
| Illinois Tool Works, Inc. | 291,385 | 13,844 |
| Tyco International, Ltd. | 342,469 | 13,712 |
| Danaher Corp. | 176,039 | 13,608 |
| Waste Management, Inc. | 342,427 | 12,913 |
| Fluor Corp. | 61,099 | 11,369 |
| PACCAR, Inc. | 240,921 | 10,078 |
* | McDermott International, Inc. | 155,835 | 9,645 |
| Precision Castparts Corp. | 95,906 | 9,242 |
| Eaton Corp. | 107,976 | 9,175 |
| Cummins Inc. | 132,788 | 8,700 |
| Parker Hannifin Corp. | 116,603 | 8,316 |
| Textron, Inc. | 172,089 | 8,248 |
| Ingersoll-Rand Co. | 220,109 | 8,239 |
| L-3 Communications |
|
|
| Holdings, Inc. | 84,532 | 7,681 |
| ITT Industries, Inc. | 119,421 | 7,563 |
* | First Solar, Inc. | 27,212 | 7,424 |
* | Foster Wheeler Ltd. | 99,527 | 7,280 |
* | Jacobs Engineering |
|
|
| Group Inc. | 83,766 | 6,760 |
| Southwest Airlines Co. | 507,969 | 6,624 |
| Dover Corp. | 132,962 | 6,431 |
| C.H. Robinson |
|
|
| Worldwide Inc. | 117,155 | 6,425 |
| Expeditors International of |
|
|
| Washington, Inc. | 147,516 | 6,343 |
| Joy Global Inc. | 74,929 | 5,682 |
| Flowserve Corp. | 39,759 | 5,435 |
| Rockwell Collins, Inc. | 112,546 | 5,398 |
| Pitney Bowes, Inc. | 149,784 | 5,108 |
| Cooper Industries, Inc. |
|
|
| Class A | 123,420 | 4,875 |
| SPX Corp. | 36,191 | 4,767 |
| R.R. Donnelley & Sons Co. | 148,603 | 4,412 |
| Rockwell Automation, Inc. | 97,548 | 4,266 |
| Walter Industries, Inc. | 38,355 | 4,172 |
| KBR Inc. | 117,666 | 4,108 |
| Goodrich Corp. | 86,427 | 4,102 |
| Roper Industries Inc. | 61,319 | 4,040 |
| Masco Corp. | 255,760 | 4,023 |
* | Quanta Services, Inc. | 117,953 | 3,924 |
| Republic Services, Inc. |
|
|
| Class A | 128,327 | 3,811 |
| W.W. Grainger, Inc. | 46,375 | 3,793 |
| Bucyrus International, Inc. | 51,832 | 3,785 |
| Fastenal Co. | 87,558 | 3,779 |
* | Terex Corp. | 70,378 | 3,615 |
* | Shaw Group, Inc. | 57,821 | 3,573 |
| Ametek, Inc. | 74,166 | 3,502 |
| The Dun & Bradstreet Corp. | 39,659 | 3,476 |
| Pall Corp. | 84,992 | 3,372 |
* | AGCO Corp. | 63,471 | 3,326 |
| Manpower Inc. | 55,723 | 3,245 |
| Harsco Corp. | 58,429 | 3,179 |
* | Stericycle, Inc. | 60,352 | 3,120 |
| Equifax, Inc. | 90,206 | 3,033 |
| The Manitowoc Co., Inc. | 89,933 | 2,925 |
| Avery Dennison Corp. | 66,556 | 2,924 |
* | Allied Waste Industries, Inc. | 231,391 | 2,920 |
| Ryder System, Inc. | 40,247 | 2,772 |
| Cintas Corp. | 97,886 | 2,595 |
| Robert Half International, Inc. | 104,672 | 2,509 |
* | URS Corp. | 58,038 | 2,436 |
* | Corrections Corp. of America | 86,637 | 2,380 |
* | Kansas City Southern | 53,714 | 2,363 |
| Lincoln Electric Holdings, Inc. | 29,698 | 2,337 |
* | Alliant Techsystems, Inc. | 22,744 | 2,313 |
* | FTI Consulting, Inc. | 33,422 | 2,288 |
* | Covanta Holding Corp. | 85,629 | 2,285 |
| Pentair, Inc. | 65,251 | 2,285 |
* | ChoicePoint Inc. | 47,229 | 2,276 |
| DRS Technologies, Inc. | 28,672 | 2,257 |
* | Copart, Inc. | 52,337 | 2,241 |
* | General Cable Corp. | 36,392 | 2,214 |
| Donaldson Co., Inc. | 49,354 | 2,203 |
* | Gardner Denver Inc. | 37,197 | 2,113 |
| IDEX Corp. | 56,476 | 2,081 |
| The Brink’s Co. | 31,800 | 2,080 |
* | Energy Conversion |
|
|
| Devices, Inc. | 27,906 | 2,055 |
| Landstar System, Inc. | 36,946 | 2,040 |
| Trinity Industries, Inc. | 56,574 | 1,963 |
* | GrafTech International Ltd. | 71,517 | 1,919 |
| The Timken Co. | 56,721 | 1,868 |
| J.B. Hunt Transport |
|
|
| Services, Inc. | 56,015 | 1,864 |
*^ | SunPower Corp. Class A | 25,823 | 1,859 |
| Kennametal, Inc. | 53,354 | 1,737 |
* | Kirby Corp. | 35,675 | 1,712 |
* | Monster Worldwide Inc. | 80,850 | 1,666 |
| Graco, Inc. | 43,189 | 1,644 |
| Wabtec Corp. | 32,447 | 1,578 |
| Watson Wyatt & Co. Holdings | 29,185 | 1,544 |
* | Thomas & Betts Corp. | 40,692 | 1,540 |
| Nordson Corp. | 21,059 | 1,535 |
30
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Teleflex Inc. | 27,424 | 1,524 |
*^ | USG Corp. | 51,393 | 1,520 |
* | BE Aerospace, Inc. | 64,882 | 1,511 |
| Woodward Governor Co. | 42,184 | 1,504 |
| Con-way, Inc. | 31,561 | 1,492 |
* | Waste Connections, Inc. | 46,711 | 1,491 |
| GATX Corp. | 33,507 | 1,485 |
* | Aecom Technology Corp. | 45,215 | 1,471 |
| MSC Industrial Direct Co., Inc. |
|
|
| Class A | 32,839 | 1,448 |
| Acuity Brands, Inc. | 29,442 | 1,416 |
| Curtiss-Wright Corp. | 31,128 | 1,393 |
| Hubbell Inc. Class B | 34,886 | 1,391 |
* | Spirit Aerosystems |
|
|
| Holdings Inc. | 71,393 | 1,369 |
| Alexander & Baldwin, Inc. | 29,787 | 1,357 |
| Valmont Industries, Inc. | 12,638 | 1,318 |
* | EMCOR Group, Inc. | 45,306 | 1,293 |
| Crane Co. | 33,534 | 1,292 |
* | Hexcel Corp. | 66,855 | 1,290 |
* | Owens Corning Inc. | 55,252 | 1,257 |
| Carlisle Co., Inc. | 43,149 | 1,251 |
| UTI Worldwide, Inc. | 62,138 | 1,240 |
| Genco Shipping and |
|
|
| Trading Ltd. | 18,975 | 1,237 |
| Brady Corp. Class A | 35,686 | 1,232 |
* | WESCO International, Inc. | 30,591 | 1,225 |
| Actuant Corp. | 38,610 | 1,210 |
| CLARCOR Inc. | 33,834 | 1,188 |
* | Delta Air Lines Inc. | 203,000 | 1,157 |
* | Teledyne Technologies, Inc. | 23,653 | 1,154 |
| Lennox International Inc. | 37,579 | 1,088 |
| Oshkosh Truck Corp. | 51,504 | 1,066 |
| Belden Inc. | 31,442 | 1,065 |
* | United Rentals, Inc. | 53,652 | 1,052 |
| The Corporate Executive |
|
|
| Board Co. | 24,864 | 1,045 |
| Herman Miller, Inc. | 41,741 | 1,039 |
* | Clean Harbors Inc. | 14,455 | 1,027 |
*^ | American |
|
|
| Superconductor Corp. | 28,527 | 1,023 |
| Robbins & Myers, Inc. | 20,326 | 1,014 |
* | Esterline Technologies Corp. | 20,543 | 1,012 |
| Baldor Electric Co. | 28,768 | 1,006 |
* | Moog Inc. | 26,932 | 1,003 |
| Kaydon Corp. | 19,484 | 1,002 |
* | Hertz Global Holdings Inc. | 101,506 | 974 |
* | Orbital Sciences Corp. | 40,869 | 963 |
| Eagle Bulk Shipping Inc. | 32,360 | 957 |
* | Chart Industries, Inc. | 19,580 | 952 |
| Regal-Beloit Corp. | 22,245 | 940 |
* | Tetra Tech, Inc. | 41,218 | 932 |
| The Toro Co. | 27,934 | 929 |
* | Hub Group, Inc. | 26,609 | 908 |
* | AMR Corp. | 175,332 | 898 |
* | EnerSys | 26,000 | 890 |
* | ESCO Technologies Inc. | 18,243 | 856 |
| Mine Safety Appliances Co. | 21,014 | 840 |
| Mueller Industries Inc. | 25,632 | 825 |
* | Geo Group Inc. | 35,277 | 794 |
| ^Knight Transportation, Inc. | 42,765 | 783 |
* | Continental Airlines, Inc. |
|
|
| Class B | 77,159 | 780 |
| Granite Construction Co. | 24,631 | 777 |
| Otter Tail Corp. | 19,694 | 765 |
| Macquarie |
|
|
| Infrastructure Co. LLC | 29,982 | 758 |
| Barnes Group, Inc. | 32,312 | 746 |
| Ameron International Corp. | 6,185 | 742 |
| IKON Office Solutions, Inc. | 65,262 | 736 |
* | MPS Group, Inc. | 69,200 | 736 |
* | Genesee & Wyoming Inc. |
|
|
| Class A | 21,605 | 735 |
| Albany International Corp. | 24,795 | 719 |
| ABM Industries Inc. | 31,620 | 704 |
| Watsco, Inc. | 16,777 | 701 |
*^ | Evergreen Solar, Inc. | 71,798 | 696 |
| Forward Air Corp. | 19,939 | 690 |
| CIRCOR International, Inc. | 13,973 | 685 |
* | Navigant Consulting, Inc. | 34,037 | 666 |
| ^Lindsay Manufacturing Co. | 7,823 | 665 |
| Resources Connection, Inc. | 32,546 | 662 |
| Applied Industrial |
|
|
| Technology, Inc. | 27,170 | 657 |
| Badger Meter, Inc. | 12,984 | 656 |
| Titan International, Inc. | 18,358 | 654 |
| A.O. Smith Corp. | 19,794 | 650 |
| Arkansas Best Corp. | 17,726 | 649 |
| Administaff, Inc. | 23,169 | 646 |
| Deluxe Corp. | 36,149 | 644 |
* | United Stationers, Inc. | 17,297 | 639 |
| ^Simpson Manufacturing Co. | 26,911 | 639 |
* | Ceradyne, Inc. | 18,199 | 624 |
* | CoStar Group, Inc. | 13,945 | 620 |
* | Avis Budget Group, Inc. | 73,715 | 617 |
| Werner Enterprises, Inc. | 33,197 | 617 |
* | II-VI, Inc. | 17,231 | 602 |
* | TransDigm Group, Inc. | 17,910 | 602 |
* | Perini Corp. | 17,979 | 594 |
*^ | YRC Worldwide, Inc. | 39,384 | 586 |
* | Dycom Industries, Inc. | 40,139 | 583 |
* | Acco Brands Corp. | 50,698 | 569 |
* | Axsys Technologies, Inc. | 10,822 | 563 |
* | Astec Industries, Inc. | 17,520 | 563 |
| Triumph Group, Inc. | 11,847 | 558 |
* | Consolidated Graphics, Inc. | 11,226 | 553 |
* | Northwest Pipe Co. | 9,868 | 551 |
* | AZZ Inc. | 13,778 | 550 |
31
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | American Reprographics Co. | 32,570 | 542 |
| Skywest, Inc. | 41,507 | 525 |
* | Huron Consulting Group Inc. | 11,489 | 521 |
| Heartland Express, Inc. | 34,696 | 517 |
*^ | FuelCell Energy, Inc. | 71,724 | 509 |
| ^HNI Corp. | 28,319 | 500 |
* | Old Dominion |
|
|
| Freight Line, Inc. | 16,513 | 496 |
* | Superior Essex Inc. | 10,993 | 491 |
* | The Middleby Corp. | 11,042 | 485 |
* | The Advisory Board Co. | 12,322 | 485 |
| G & K Services, Inc. Class A | 15,655 | 477 |
* | On Assignment, Inc. | 58,159 | 466 |
* | Blount International, Inc. | 39,851 | 463 |
* | CRA International Inc. | 12,694 | 459 |
| Armstrong Worldwide |
|
|
| Industries, Inc. | 15,558 | 455 |
| Ampco-Pittsburgh Corp. | 10,211 | 454 |
| Comfort Systems USA, Inc. | 33,555 | 451 |
| CDI Corp. | 17,543 | 446 |
* | CBIZ Inc. | 55,826 | 444 |
* | Cornell Cos., Inc. | 18,372 | 443 |
* | JetBlue Airways Corp. | 118,430 | 442 |
*^ | C & D Technologies, Inc. | 51,946 | 439 |
| Bowne & Co., Inc. | 33,428 | 426 |
* | Alaska Air Group, Inc. | 27,680 | 425 |
| Kaman Corp. Class A | 18,565 | 423 |
| American Science & |
|
|
| Engineering, Inc. | 8,080 | 416 |
| UAL Corp. | 79,748 | 416 |
| NN, Inc. | 29,692 | 414 |
| Steelcase Inc. | 41,242 | 414 |
| Briggs & Stratton Corp. | 32,540 | 413 |
*^ | Capstone Turbine Corp. | 98,326 | 412 |
* | Casella Waste Systems, Inc. | 33,353 | 407 |
* | Layne Christensen Co. | 9,256 | 405 |
| Mueller Water Products, Inc. | 46,637 | 398 |
| AAON, Inc. | 20,258 | 390 |
| Healthcare Services |
|
|
| Group, Inc. | 25,636 | 390 |
* | TrueBlue, Inc. | 29,453 | 389 |
| Watts Water |
|
|
| Technologies, Inc. | 15,503 | 386 |
* | American Commercial |
|
|
| Lines Inc. | 35,287 | 386 |
| Pacer International, Inc. | 17,898 | 385 |
| Raven Industries, Inc. | 11,635 | 381 |
| Quanex Building |
|
|
| Products Corp. | 25,548 | 380 |
* | Marten Transport, Ltd. | 23,726 | 379 |
* | Atlas Air Worldwide |
|
|
| Holdings, Inc. | 7,500 | 371 |
| Dynamic Materials Corp. | 11,227 | 370 |
* | EnPro Industries, Inc. | 9,886 | 369 |
| Franklin Electric, Inc. | 9,401 | 365 |
* | Altra Holdings Inc. | 21,680 | 364 |
| Angelica Corp. | 17,102 | 364 |
* | Beacon Roofing Supply, Inc. | 34,191 | 363 |
| EnergySolutions | 16,100 | 360 |
* | NCI Building Systems, Inc. | 9,794 | 360 |
| ^Mueller Water Products, Inc. |
|
|
| Class A | 44,254 | 357 |
* | M&F Worldwide Corp. | 9,020 | 355 |
* | AAR Corp. | 25,764 | 349 |
| Apogee Enterprises, Inc. | 21,378 | 345 |
| Cubic Corp. | 15,367 | 342 |
| Federal Signal Corp. | 28,106 | 337 |
| Cascade Corp. | 7,925 | 335 |
* | GenCorp, Inc. | 46,758 | 335 |
* | Mastec Inc. | 31,335 | 334 |
* | Korn/Ferry International | 21,117 | 332 |
| Kelly Services, Inc. Class A | 16,917 | 327 |
| Interface, Inc. | 25,788 | 323 |
* | Ducommun, Inc. | 13,984 | 321 |
* | Lydall, Inc. | 25,403 | 319 |
| ^AMREP Corp. | 6,552 | 312 |
* | RBC Bearings Inc. | 9,356 | 312 |
| American Ecology Corp. | 10,196 | 301 |
* | Cenveo Inc. | 30,580 | 299 |
| Heidrick & |
|
|
| Struggles International, Inc. | 10,744 | 297 |
* | Mobile Mini, Inc. | 14,665 | 293 |
| Ennis, Inc. | 18,582 | 291 |
* | Dynamex Inc. | 10,766 | 289 |
| Rollins, Inc. | 19,420 | 288 |
* | School Specialty, Inc. | 9,578 | 285 |
* | International |
|
|
| Shipholding Corp. | 12,109 | 284 |
* | Furmanite Corp. | 35,361 | 282 |
| Aceto Corp. | 36,224 | 277 |
| McGrath RentCorp | 11,134 | 274 |
* | Intersections Inc. | 24,856 | 272 |
| Aircastle Ltd. | 31,786 | 267 |
| Alamo Group, Inc. | 12,795 | 263 |
* | Hudson Highland Group, Inc. | 24,935 | 261 |
* | GP Strategies Corp. | 25,500 | 256 |
* | Sykes Enterprises, Inc. | 13,547 | 255 |
| NACCO Industries, Inc. |
|
|
| Class A | 3,432 | 255 |
| American Railcar |
|
|
| Industries, Inc. | 15,200 | 255 |
*^ | Flanders Corp. | 41,851 | 253 |
* | Amerco, Inc. | 5,279 | 252 |
| Knoll, Inc. | 20,695 | 251 |
* | COMSYS IT Partners Inc. | 27,425 | 250 |
* | Exponent, Inc. | 7,916 | 249 |
| Seaboard Corp. | 159 | 247 |
* | Interline Brands, Inc. | 15,352 | 245 |
32
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Courier Corp. | 12,119 | 243 |
*^ | Fuel-Tech N.V. | 13,700 | 241 |
* | Commercial Vehicle |
|
|
| Group Inc. | 25,191 | 236 |
| Gorman-Rupp Co. | 5,847 | 233 |
* | Columbus McKinnon Corp. | 9,625 | 232 |
| HEICO Corp. Class A | 8,679 | 231 |
* | DynCorp International Inc. |
|
|
| Class A | 15,200 | 230 |
* | Polypore International Inc. | 8,691 | 220 |
| ^American Woodmark Corp. | 10,399 | 220 |
* | Celadon Group Inc. | 21,655 | 216 |
| Applied Signal Technology, Inc. | 15,783 | 216 |
* | Team, Inc. | 6,230 | 214 |
* | Accuride Corp. | 49,994 | 212 |
* | Gehl Co. | 14,366 | 212 |
* | Tecumseh Products Co. |
|
|
| Class A | 6,472 | 212 |
| Tredegar Corp. | 14,185 | 208 |
| Viad Corp. | 8,019 | 207 |
| Houston Wire & Cable Co. | 10,370 | 206 |
| Standex International Corp. | 9,855 | 204 |
| Universal Forest Products, Inc. | 6,809 | 204 |
* | Insituform Technologies Inc. |
|
|
| Class A | 13,310 | 203 |
* | Republic Airways |
|
|
| Holdings Inc. | 23,266 | 201 |
* | TBS International Ltd. | 5,000 | 200 |
| Horizon Lines Inc. | 19,992 | 199 |
| Tennant Co. | 6,615 | 199 |
* | RSC Holdings Inc. | 21,297 | 197 |
| Gibraltar Industries Inc. | 12,090 | 193 |
* | Michael Baker Corp. | 8,735 | 191 |
* | Acacia Research- |
|
|
| Acacia Technologies | 42,240 | 189 |
*^ | Valence Technology Inc. | 42,672 | 189 |
*^ | Trex Co., Inc. | 16,029 | 188 |
* | Powell Industries, Inc. | 3,660 | 184 |
| Diamond Management and |
|
|
| Technology Consultants, Inc. | 34,547 | 180 |
* | Flow International Corp. | 22,830 | 178 |
* | Magnatek, Inc. | 41,774 | 177 |
* | Miller Industries, Inc. | 17,259 | 172 |
* | GeoEye Inc. | 9,700 | 172 |
* | Griffon Corp. | 19,417 | 170 |
* | L.B. Foster Co. Class A | 5,100 | 169 |
| L.S. Starrett Co. Class A | 6,936 | 164 |
* | Park-Ohio Holdings Corp. | 11,101 | 164 |
* | Allegiant Travel Co. | 8,736 | 162 |
* | Kforce Inc. | 18,575 | 158 |
* | PowerSecure |
|
|
| International, Inc. | 21,502 | 156 |
*^ | Taser International Inc. | 30,798 | 154 |
* | Rush Enterprises, Inc. |
|
|
| Class A | 12,732 | 153 |
| Sun Hydraulics Corp. | 4,698 | 152 |
*^ | Microvision, Inc. | 54,605 | 150 |
| Met-Pro Corp. | 11,172 | 149 |
* | Active Power, Inc. | 127,310 | 149 |
* | Herley Industries Inc. | 11,136 | 148 |
| Barrett Business Services, Inc. | 12,429 | 147 |
* | H&E Equipment Services, Inc. | 12,200 | 147 |
* | Plug Power, Inc. | 62,282 | 146 |
| Encore Wire Corp. | 6,781 | 144 |
| Multi-Color Corp. | 6,796 | 143 |
* | Dollar Thrifty Automotive |
|
|
| Group, Inc. | 15,063 | 142 |
* | Argon ST, Inc. | 5,640 | 140 |
* | US Airways Group Inc. | 55,920 | 140 |
* | AirTran Holdings, Inc. | 66,885 | 136 |
* | United Capital Corp. | 6,546 | 126 |
* | ICT Group, Inc. | 15,313 | 126 |
| Kimball International, Inc. |
|
|
| Class B | 15,090 | 125 |
| ^Bluelinx Holdings Inc. | 34,927 | 124 |
* | Ladish Co., Inc. | 5,956 | 123 |
* | P.A.M. Transportation |
|
|
| Services, Inc. | 11,085 | 118 |
| Frozen Food Express |
|
|
| Industries, Inc. | 17,486 | 118 |
| LSI Industries Inc. | 14,493 | 118 |
| Insteel Industries, Inc. | 6,200 | 113 |
| Freightcar America Inc. | 3,155 | 112 |
| Lawson Products, Inc. | 4,405 | 109 |
* | Innotrac Corp. | 28,409 | 105 |
* | Stanley Inc. | 3,000 | 101 |
* | APAC Teleservices, Inc. | 62,076 | 99 |
* | La Barge, Inc. | 7,500 | 97 |
* | Spherion Corp. | 20,596 | 95 |
* | Titan Machinery, Inc. | 2,900 | 91 |
* | Force Protection, Inc. | 26,899 | 89 |
| TAL International Group, Inc. | 3,900 | 89 |
* | MAIR Holdings, Inc. | 21,333 | 86 |
* | Kadant Inc. | 3,684 | 83 |
*^ | Applied Energetics, Inc. | 50,645 | 80 |
| Wabash National Corp. | 10,509 | 79 |
* | Pike Electric Corp. | 4,700 | 78 |
* | Air Transport Services |
|
|
| Group Inc. | 77,795 | 78 |
| Vicor Corp. | 7,786 | 78 |
*^ | Builders FirstSource, Inc. | 14,280 | 76 |
* | Covenant Transport, Inc. | 22,375 | 75 |
| The Greenbrier Cos., Inc. | 3,544 | 72 |
* | WCA Waste Corp. | 11,166 | 71 |
| Quixote Corp. | 8,595 | 71 |
* | Ocean Power |
|
|
| Technologies, Inc. | 7,600 | 68 |
33
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
*^ | Medis Technology Ltd. | 19,888 | 67 |
* | Ultralife Corp. | 6,157 | 66 |
* | Innerworkings, Inc. | 5,500 | 66 |
| Textainer Group Holdings Ltd. | 3,300 | 64 |
* | Saia, Inc. | 5,787 | 63 |
*^ | 3D Systems Corp. | 6,557 | 62 |
* | Paragon Shipping, Inc. | 3,700 | 62 |
| Building Materials |
|
|
| Holding Corp. | 33,999 | 60 |
| Todd Shipyards Corp. | 4,229 | 60 |
* | Pinnacle Airlines Corp. | 18,870 | 60 |
* | LECG Corp. | 6,536 | 57 |
* | Huttig Building Products, Inc. | 31,165 | 56 |
* | Waste Services, Inc. | 7,997 | 56 |
* | Willis Lease Finance Corp. | 5,249 | 56 |
* | Volt Information Sciences Inc. | 4,579 | 55 |
| The Standard Register Co. | 5,673 | 53 |
| HEICO Corp. | 1,623 | 53 |
*^ | The Allied Defense Group, Inc. | 9,400 | 52 |
* | Perma-Fix Environmental |
|
|
| Services, Inc. | 17,864 | 52 |
* | Astronics Corp. | 3,652 | 51 |
* | PRG-Schultz International, Inc. | 5,268 | 50 |
* | TurboChef Technologies, Inc. | 9,904 | 47 |
* | China Architectural |
|
|
| Engineering Inc. | 4,800 | 47 |
* | Arotech Corp. | 23,278 | 47 |
| Schawk, Inc. | 3,900 | 47 |
* | UQM Technologies, Inc. | 21,104 | 46 |
| Sypris Solutions, Inc. | 10,878 | 46 |
* | PeopleSupport Inc. | 5,300 | 45 |
* | Advanced Environmental |
|
|
| Recycling Technologies, Inc. | 78,462 | 45 |
| Aerovironment Inc. | 1,600 | 43 |
| China BAK Battery, Inc. | 8,200 | 39 |
* | Sterling Construction Co., Inc. | 1,900 | 38 |
| Graham Corp. | 500 | 37 |
| Advanced Battery |
|
|
| Technologies Inc. | 6,400 | 37 |
*^ | Document Security |
|
|
| Systems, Inc. | 6,900 | 34 |
* | Paragon Technologies, Inc. | 5,170 | 32 |
* | ExpressJet Holdings, Inc. | 55,826 | 31 |
* | Power-One, Inc. | 16,303 | 31 |
* | TRC Cos., Inc. | 7,654 | 31 |
* | Arrowhead Research Corp. | 12,128 | 30 |
* | Metalico, Inc. | 1,500 | 26 |
* | Nashua Corp. | 2,612 | 26 |
* | K-Tron International, Inc | 200 | 26 |
| Virco Manufacturing Corp. | 5,113 | 25 |
* | EnerNOC Inc. | 1,400 | 25 |
| Hardinge, Inc. | 1,847 | 24 |
* | Hawaiian Holdings, Inc. | 3,000 | 21 | |
* | LMI Aerospace, Inc. | 1,100 | 19 | |
* | First Advantage Corp. Class A | 1,155 | 18 | |
* | Quality Distribution Inc. | 7,034 | 17 | |
* | Innovative Solutions and |
|
| |
| Support, Inc. | 2,568 | 17 | |
| Great Lakes Dredge & |
|
| |
| Dock Co. | 2,300 | 14 | |
* | Mesa Air Group Inc. | 25,176 | 13 | |
| Twin Disc, Inc. | 600 | 13 | |
| Superior Uniform Group, Inc. | 1,093 | 9 | |
| Omega Flex Inc. | 600 | 9 | |
* | A.T. Cross Co. Class A | 907 | 8 | |
* | Protection One, Inc. | 608 | 5 | |
* | U.S. Home Systems, Inc. | 1,157 | 5 | |
* | Spherix Inc. | 4,519 | 3 | |
* | BMC Industries, Inc. | 4,603 | — | |
|
|
| 1,134,037 | |
Information Technology (16.7%) |
|
| ||
| Microsoft Corp. | 5,781,793 | 159,057 | |
| International Business |
|
| |
| Machines Corp. | 956,158 | 113,333 | |
* | Apple Inc. | 606,708 | 101,587 | |
* | Cisco Systems, Inc. | 4,114,619 | 95,706 | |
* | Google Inc. | 163,421 | 86,028 | |
| Intel Corp. | 3,995,211 | 85,817 | |
| Hewlett-Packard Co. | 1,763,557 | 77,967 | |
* | Oracle Corp. | 2,836,483 | 59,566 | |
| QUALCOMM Inc. | 1,112,958 | 49,382 | |
* | Dell Inc. | 1,469,736 | 32,158 | |
| Texas Instruments, Inc. | 915,880 | 25,791 | |
| Corning, Inc. | 1,087,340 | 25,063 | |
* | Visa Inc. | 280,500 | 22,807 | |
* | EMC Corp. | 1,449,040 | 21,286 | |
* | eBay Inc. | 747,913 | 20,440 | |
| Applied Materials, Inc. | 936,674 | 17,881 | |
* | Yahoo! Inc. | 831,372 | 17,176 | |
| Accenture Ltd. | 413,297 | 16,829 | |
| Automatic Data |
|
| |
| Processing, Inc. | 360,844 | 15,119 | |
* | Adobe Systems, Inc. | 380,835 | 15,001 | |
| MasterCard, Inc. Class A | 51,213 | 13,598 | |
| Western Union Co. | 518,065 | 12,807 | |
| Tyco Electronics Ltd. | 343,789 | 12,315 | |
| Motorola, Inc. | 1,563,867 | 11,479 | |
* | Symantec Corp. | 585,146 | 11,323 | |
* | MEMC Electronic |
|
| |
| Materials, Inc. | 158,542 | 9,757 | |
* | Electronic Arts Inc. | 219,146 | 9,737 | |
* | Agilent Technologies, Inc. | 256,340 | 9,110 | |
* | Broadcom Corp. | 324,380 | 8,852 | |
| Electronic Data |
|
| |
| Systems Corp. | 351,530 | 8,662 | |
| Xerox Corp. | 634,394 | 8,602 |
* | Juniper Networks, Inc. | 360,821 | 8,003 |
| Paychex, Inc. | 226,033 | 7,070 |
34
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Seagate Technology | 364,675 | 6,976 |
* | Activision, Inc. | 203,380 | 6,929 |
* | NVIDIA Corp. | 365,307 | 6,839 |
| CA, Inc. | 284,289 | 6,564 |
* | Cognizant Technology |
|
|
| Solutions Corp. | 201,029 | 6,535 |
| Analog Devices, Inc. | 203,502 | 6,465 |
* | Marvell Technology |
|
|
| Group Ltd. | 347,883 | 6,144 |
* | Intuit, Inc. | 218,945 | 6,036 |
* | Sun Microsystems, Inc. | 548,923 | 5,972 |
* | VeriSign, Inc. | 154,361 | 5,835 |
| Amphenol Corp. | 122,667 | 5,505 |
* | Flextronics International Ltd. | 577,953 | 5,433 |
* | Autodesk, Inc. | 159,978 | 5,409 |
* | Western Digital Corp. | 153,799 | 5,311 |
* | NAVTEQ Corp. | 68,184 | 5,250 |
* | NetApp, Inc. | 238,131 | 5,158 |
* | Fiserv, Inc. | 113,526 | 5,151 |
* | Computer Sciences Corp. | 109,558 | 5,132 |
| KLA-Tencor Corp. | 124,839 | 5,082 |
| Xilinx, Inc. | 198,122 | 5,003 |
| Linear Technology Corp. | 153,193 | 4,990 |
| Fidelity National Information |
|
|
| Services, Inc. | 134,107 | 4,950 |
* | BMC Software, Inc. | 134,268 | 4,834 |
* | salesforce.com, inc. | 69,983 | 4,775 |
| Harris Corp. | 94,300 | 4,761 |
| Altera Corp. | 212,248 | 4,394 |
* | Akamai Technologies, Inc. | 114,991 | 4,001 |
| Microchip Technology, Inc. | 130,428 | 3,983 |
* | Citrix Systems, Inc. | 130,103 | 3,826 |
* | McAfee Inc. | 112,193 | 3,818 |
* | FLIR Systems, Inc. | 90,396 | 3,667 |
| National |
|
|
| Semiconductor Corp. | 176,601 | 3,627 |
* | Iron Mountain, Inc. | 131,635 | 3,495 |
* | Affiliated Computer | �� |
|
| Services, Inc. Class A | 61,908 | 3,311 |
* | Micron Technology, Inc. | 524,829 | 3,149 |
* | NCR Corp. | 123,927 | 3,123 |
* | LAM Research Corp. | 86,265 | 3,118 |
* | Alliance Data Systems Corp. | 54,994 | 3,110 |
* | LSI Corp. | 489,515 | 3,006 |
* | Trimble Navigation Ltd. | 84,034 | 3,000 |
* | SanDisk Corp. | 157,089 | 2,938 |
* | Teradata Corp. | 125,027 | 2,893 |
* | Avnet, Inc. | 104,344 | 2,847 |
* | Red Hat, Inc. | 134,832 | 2,790 |
* | Cypress |
|
|
| Semiconductor Corp. | 110,456 | 2,734 |
* | Arrow Electronics, Inc. | 85,129 | 2,615 |
| Total System Services, Inc. | 116,217 | 2,582 |
| Global Payments Inc. | 55,061 | 2,566 |
* | ANSYS, Inc. | 54,281 | 2,558 |
* | Hewitt Associates, Inc. | 66,150 | 2,536 |
* | CommScope, Inc. | 46,584 | 2,458 |
* | Advanced Micro |
|
|
| Devices, Inc. | 419,239 | 2,444 |
* | SAIC, Inc. | 115,231 | 2,398 |
* | ON Semiconductor Corp. | 260,979 | 2,393 |
* | Synopsys, Inc. | 99,813 | 2,387 |
* | Itron, Inc. | 23,925 | 2,353 |
* | Mettler-Toledo |
|
|
| International Inc. | 24,675 | 2,341 |
* | Brocade Communications |
|
|
| Systems, Inc. | 267,850 | 2,207 |
| Intersil Corp. | 90,176 | 2,193 |
* | Lexmark International, Inc. | 65,585 | 2,193 |
* | Equinix, Inc. | 22,941 | 2,047 |
| Broadridge Financial |
|
|
| Solutions LLC | 97,215 | 2,046 |
| Jabil Circuit, Inc. | 123,134 | 2,021 |
* | Cadence Design |
|
|
| Systems, Inc. | 192,164 | 1,941 |
* | Ingram Micro, Inc. Class A | 108,790 | 1,931 |
* | Compuware Corp. | 195,758 | 1,868 |
* | DST Systems, Inc. | 33,801 | 1,861 |
* | Varian Semiconductor |
|
|
| Equipment Associates, Inc. | 52,222 | 1,818 |
* | Nuance |
|
|
| Communications, Inc. | 115,793 | 1,814 |
| FactSet Research |
|
|
| Systems Inc. | 31,788 | 1,792 |
| Molex, Inc. Class A | 77,715 | 1,780 |
* | MICROS Systems, Inc. | 56,774 | 1,731 |
* | F5 Networks, Inc. | 59,432 | 1,689 |
* | JDS Uniphase Corp. | 148,678 | 1,689 |
| Diebold, Inc. | 45,983 | 1,636 |
* | Sybase, Inc. | 54,630 | 1,607 |
*^ | VMware Inc. | 28,800 | 1,551 |
* | Zebra Technologies Corp. |
|
|
| Class A | 47,448 | 1,549 |
* | SINA.com | 36,260 | 1,543 |
* | Polycom, Inc. | 62,900 | 1,532 |
* | Novellus Systems, Inc. | 70,614 | 1,496 |
* | Novell, Inc. | 243,630 | 1,435 |
* | Dolby Laboratories Inc. | 35,086 | 1,414 |
* | Ciena Corp. | 60,401 | 1,400 |
* | Metavante Technologies | 61,713 | 1,396 |
* | QLogic Corp. | 93,816 | 1,369 |
* | Microsemi Corp. | 54,273 | 1,367 |
* | Sohu.com Inc. | 19,226 | 1,354 |
* | Parametric Technology Corp. | 80,595 | 1,344 |
* | Teradyne, Inc. | 121,315 | 1,343 |
* | Tellabs, Inc. | 287,846 | 1,338 |
* | Convergys Corp. | 89,718 | 1,333 |
35
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Take-Two Interactive |
|
|
| Software, Inc. | 51,765 | 1,324 |
* | Tech Data Corp. | 38,708 | 1,312 |
* | Integrated Device |
|
|
| Technology Inc. | 131,061 | 1,303 |
* | Silicon Laboratories Inc. | 35,104 | 1,267 |
* | Anixter International Inc. | 21,185 | 1,260 |
* | Rambus Inc. | 65,661 | 1,252 |
*^ | Cree, Inc. | 53,993 | 1,232 |
* | ADC |
|
|
| Telecommunications, Inc. | 81,777 | 1,208 |
| Jack Henry & Associates Inc. | 55,468 | 1,200 |
* | Solera Holdings, Inc. | 42,963 | 1,188 |
| National Instruments Corp. | 41,821 | 1,186 |
* | Atheros Communications, Inc. | 39,371 | 1,181 |
* | Foundry Networks, Inc. | 99,607 | 1,177 |
* | PMC Sierra Inc. | 152,056 | 1,163 |
* | NeuStar, Inc. Class A | 53,237 | 1,148 |
* | Skyworks Solutions, Inc. | 112,853 | 1,114 |
* | Digital River, Inc. | 28,016 | 1,081 |
* | Macrovision Solutions Corp. | 71,626 | 1,072 |
* | Vishay Intertechnology, Inc. | 119,405 | 1,059 |
* | ValueClick, Inc. | 69,130 | 1,047 |
* | Atmel Corp. | 297,116 | 1,034 |
* | Concur Technologies, Inc. | 30,845 | 1,025 |
* | TIBCO Software Inc. | 132,818 | 1,016 |
* | Fairchild Semiconductor |
|
|
| International, Inc. | 86,229 | 1,011 |
* | Gartner, Inc. Class A | 48,244 | 1,000 |
* | Mentor Graphics Corp. | 63,128 | 997 |
| ADTRAN Inc. | 41,648 | 993 |
* | International Rectifier Corp. | 50,483 | 969 |
* | Unisys Corp. | 243,792 | 963 |
* | CACI International, Inc. | 21,010 | 962 |
* | Perot Systems Corp. | 64,050 | 961 |
* | Verigy Ltd. | 41,479 | 942 |
* | THQ Inc. | 45,931 | 931 |
* | Informatica Corp. | 61,262 | 921 |
* | EchoStar Corp. | 29,102 | 909 |
* | Plexus Corp. | 32,765 | 907 |
* | Ariba, Inc. | 59,437 | 874 |
* | Amkor Technology, Inc. | 82,020 | 854 |
* | Comtech |
|
|
| Telecommunications Corp. | 16,753 | 821 |
* | InterDigital, Inc. | 33,534 | 816 |
* | Benchmark Electronics, Inc. | 49,500 | 809 |
* | Arris Group Inc. | 94,673 | 800 |
*^ | VistaPrint Ltd. | 29,410 | 787 |
* | j2 Global |
|
|
| Communications, Inc. | 33,888 | 779 |
* | Genpact, Ltd. | 51,930 | 775 |
*^ | Synaptics Inc. | 20,517 | 774 |
| Plantronics, Inc. | 34,610 | 773 |
| ||
* | Progress Software Corp. | 29,961 | 766 |
| ||
* | CyberSource Corp. | 45,341 | 759 |
| ||
* | Blackboard Inc. | 19,678 | 752 |
| ||
* | MKS Instruments, Inc. | 34,048 | 746 |
| ||
| Blackbaud, Inc. | 34,498 | 738 |
| ||
* | EarthLink, Inc. | 84,029 | 727 |
| ||
* | ATMI, Inc. | 25,994 | 726 |
| ||
* | Intermec, Inc. | 34,314 | 723 |
| ||
| Fair Isaac, Inc. | 34,461 | 716 |
| ||
* | Quest Software, Inc. | 47,827 | 708 |
| ||
* | SRA International, Inc. | 31,270 | 702 |
| ||
* | Mercadolibre Inc. | 20,356 | 702 |
| ||
* | Checkpoint Systems, Inc. | 33,593 | 701 |
| ||
* | ManTech International Corp. | 14,240 | 685 |
| ||
* | Emulex Corp. | 58,788 | 685 |
| ||
* | Wright Express Corp. | 27,488 | 682 |
| ||
* | Omniture, Inc. | 36,536 | 678 |
| ||
* | RealNetworks, Inc. | 102,751 | 678 |
| ||
* | Lawson Software, Inc. | 92,255 | 671 |
| ||
* | Advent Software, Inc. | 18,499 | 667 |
| ||
| Cognex Corp. | 28,697 | 661 |
| ||
| Acxiom Corp. | 57,260 | 658 |
| ||
* | Avocent Corp. | 35,339 | 657 |
| ||
* | Applied Micro Circuits Corp. | 75,907 | 650 |
| ||
* | DTS Inc. | 20,719 | 649 |
| ||
* | ACI Worldwide, Inc. | 36,810 | 648 |
| ||
* | ANADIGICS, Inc. | 65,694 | 647 |
| ||
*^ | Sonus Networks, Inc. | 187,725 | 642 |
| ||
* | Rofin-Sinar Technologies Inc. | 21,162 | 639 | |||
* | Net 1 UEPS |
|
| |||
| Technologies, Inc. | 25,937 | 630 | |||
* | Ansoft Corp. | 17,235 | 627 | |||
* | Semtech Corp. | 44,367 | 624 | |||
* | Tekelec | 42,405 | 624 | |||
| Imation Corp. | 26,466 | 607 | |||
* | 3Com Corp. | 281,742 | 597 | |||
* | Commvault Systems, Inc. | 35,788 | 596 | |||
* | Cabot Microelectronics Corp. | 17,806 | 590 | |||
* | Littelfuse, Inc. | 18,669 | 589 | |||
* | TeleTech Holdings, Inc. | 28,827 | 575 | |||
* | Harmonic, Inc. | 60,479 | 575 | |||
* | Cymer, Inc. | 20,868 | 561 | |||
* | Rogers Corp. | 14,864 | 559 | |||
* | RF Micro Devices, Inc. | 192,171 | 557 | |||
*^ | Bankrate, Inc. | 14,225 | 556 | |||
* | VeriFone Holdings, Inc. | 46,328 | 554 | |||
* | Tessera Technologies, Inc. | 33,423 | 547 | |||
* | FormFactor Inc. | 29,457 | 543 | |||
* | Electronics for Imaging, Inc. | 36,999 | 540 | |||
* | Diodes Inc. | 19,491 | 539 | |||
* | Axcelis Technologies, Inc. | 109,707 | 535 | |||
| MTS Systems Corp. | 14,633 | 525 | |||
* | Advanced Energy |
|
|
| Industries, Inc. | 38,142 | 523 |
* | Actel Corp. | 30,953 | 522 |
36
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Websense, Inc. | 30,130 | 507 |
* | CMGI, Inc. | 47,643 | 505 |
| United Online, Inc. | 50,314 | 505 |
* | Adaptec, Inc. | 156,673 | 501 |
| Black Box Corp. | 18,198 | 495 |
* | Forrester Research, Inc. | 16,016 | 495 |
* | Wind River Systems Inc. | 45,397 | 494 |
| Molex, Inc. | 20,154 | 492 |
* | Art Technology Group, Inc. | 152,897 | 489 |
* | Avid Technology, Inc. | 28,637 | 487 |
* | JDA Software Group, Inc. | 26,818 | 485 |
* | Interwoven Inc. | 39,526 | 475 |
* | Cogent Inc. | 41,124 | 468 |
* | OmniVision Technologies, Inc. | 38,484 | 465 |
* | Entegris Inc. | 70,795 | 464 |
* | Euronet Worldwide, Inc. | 27,272 | 461 |
* | EPIQ Systems, Inc. | 32,119 | 456 |
* | The Hackett Group Inc. | 77,445 | 445 |
| CTS Corp. | 43,917 | 441 |
| MAXIMUS, Inc. | 12,301 | 428 |
| Technitrol, Inc. | 24,904 | 423 |
* | Blue Coat Systems, Inc. | 29,910 | 422 |
* | Brooks Automation, Inc. | 51,010 | 422 |
* | The Ultimate Software |
|
|
| Group, Inc. | 11,596 | 413 |
| Cohu, Inc. | 27,880 | 409 |
* | L-1 Identity Solutions Inc. | 30,526 | 407 |
* | FEI Co. | 17,812 | 406 |
* | Sanmina-SCI Corp. | 315,937 | 404 |
* | Digimarc Corp. | 28,535 | 404 |
* | Gerber Scientific, Inc. | 35,466 | 404 |
* | The Knot, Inc. | 41,100 | 402 |
* | Cirrus Logic, Inc. | 71,784 | 399 |
| Integral Systems, Inc. | 10,313 | 399 |
* | TriQuint Semiconductor, Inc. | 65,582 | 397 |
* | Internet Capital Group Inc. | 51,198 | 396 |
*^ | Echelon Corp. | 36,298 | 396 |
* | CSG Systems |
|
|
| International, Inc. | 35,829 | 395 |
* | Brightpoint, Inc. | 53,552 | 391 |
| Syntel, Inc. | 11,526 | 389 |
| Quality Systems, Inc. | 13,204 | 387 |
* | Epicor Software Corp. | 55,558 | 384 |
* | Sycamore Networks, Inc. | 119,217 | 384 |
| Agilysys, Inc. | 32,850 | 373 |
* | SPSS, Inc. | 10,231 | 372 |
* | Electro Scientific |
|
|
| Industries, Inc. | 26,154 | 371 |
* | Zoran Corp. | 31,584 | 370 |
| Park Electrochemical Corp. | 15,191 | 369 |
* | Avanex Corp. | 325,349 | 368 |
* | Extreme Networks, Inc. | 127,923 | 363 |
* | ScanSource, Inc. | 13,569 | 363 |
* | Harris Stratex Networks, Inc. |
|
|
| Class A | 37,998 | 361 |
* | Ciber, Inc. | 57,922 | 360 |
* | Conexant Systems, Inc. | 78,985 | 355 |
* | Insight Enterprises, Inc. | 30,032 | 352 |
* | MicroStrategy Inc. | 5,367 | 348 |
| NIC Inc. | 50,871 | 347 |
* | IXYS Corp. | 28,753 | 343 |
* | DealerTrack Holdings Inc. | 24,135 | 341 |
* | NETGEAR, Inc. | 23,864 | 331 |
* | FARO Technologies, Inc. | 13,033 | 328 |
* | Manhattan Associates, Inc. | 13,785 | 327 |
* | Riverbed Technology, Inc. | 23,719 | 325 |
| Daktronics, Inc. | 15,880 | 320 |
| Bel Fuse, Inc. Class B | 12,954 | 320 |
* | Liquidity Services, Inc. | 27,712 | 320 |
| Micrel, Inc. | 34,524 | 316 |
* | Infinera Corp. | 34,645 | 306 |
| AVX Corp. | 26,859 | 304 |
* | Actuate Software Corp. | 76,890 | 301 |
* | Radiant Systems, Inc. | 27,947 | 300 |
* | Bookham, Inc. | 176,286 | 298 |
* | GSI Commerce, Inc. | 21,799 | 297 |
* | Aruba Networks, Inc. | 56,600 | 296 |
*^ | Palm, Inc. | 54,895 | 296 |
* | Anaren, Inc. | 27,950 | 295 |
* | Entrust, Inc. | 99,924 | 294 |
* | Integrated Silicon |
|
|
| Solution, Inc. | 52,648 | 293 |
* | Hypercom Corp. | 66,306 | 292 |
* | Bottomline Technologies, Inc. | 29,889 | 291 |
* | Asyst Technologies, Inc. | 81,220 | 290 |
* | SAVVIS, Inc. | 22,147 | 286 |
*^ | EMCORE Corp. | 45,635 | 286 |
* | Standard Microsystem Corp. | 10,509 | 285 |
* | Novatel Wireless, Inc. | 25,198 | 280 |
* | Kulicke & |
|
|
| Soffa Industries, Inc. | 38,210 | 279 |
| Heartland Payment |
|
|
| Systems, Inc. | 11,743 | 277 |
* | Digi International, Inc. | 34,732 | 273 |
* | DG FastChannel Inc. | 15,782 | 272 |
* | Lattice Semiconductor Corp. | 83,288 | 261 |
*^ | Sigma Designs, Inc. | 18,659 | 259 |
* | Credence Systems Corp. | 198,035 | 257 |
* | Ceva, Inc. | 32,176 | 256 |
* | Multi-Fineline Electronix, Inc. | 8,980 | 248 |
* | Cavium Networks, Inc. | 11,700 | 246 |
* | Advanced Analogic |
|
|
| Technologies, Inc. | 59,300 | 245 |
* | TiVo Inc. | 39,672 | 245 |
* | EMS Technologies, Inc. | 11,081 | 242 |
| Electro Rent Corp. | 19,288 | 242 |
* | Rackable Systems Inc. | 17,921 | 240 |
37
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Hittite Microwave Corp. | 6,682 | 238 |
* | Powerwave Technologies, Inc. | 55,133 | 234 |
* | Cogo Group, Inc. | 25,700 | 234 |
* | SonicWALL, Inc. | 36,218 | 234 |
* | DSP Group Inc. | 33,252 | 233 |
* | Finisar Corp. | 193,021 | 230 |
* | ESS Technology, Inc. | 140,791 | 230 |
*^ | i2 Technologies, Inc. | 18,269 | 227 |
* | Intervoice, Inc. | 39,813 | 227 |
* | FalconStor Software, Inc. | 31,918 | 226 |
* | KVH Industries, Inc. | 26,863 | 224 |
* | Callidus Software Inc. | 44,701 | 224 |
* | ComScore Inc. | 10,010 | 218 |
* | SI International Inc. | 10,360 | 217 |
* | Captaris Inc. | 53,135 | 215 |
* | Netlogic Microsystems Inc. | 6,477 | 215 |
* | Silicon Image, Inc. | 29,631 | 215 |
* | Data Domain, Inc. | 9,100 | 212 |
* | Immersion Corp. | 31,063 | 212 |
* | Interactive Intelligence Inc. | 17,982 | 209 |
* | Kopin Corp. | 72,763 | 209 |
* | Dot Hill Systems Corp. | 81,646 | 207 |
* | UTStarcom, Inc. | 37,662 | 206 |
* | Eagle Test Systems, Inc. | 18,236 | 204 |
* | TTM Technologies, Inc. | 15,459 | 204 |
* | Exar Corp. | 26,906 | 203 |
* | Sapient Corp. | 31,513 | 202 |
* | BearingPoint, Inc. | 246,259 | 202 |
* | ViaSat, Inc. | 9,991 | 202 |
| ^Imergent, Inc. | 16,967 | 201 |
* | Double-Take Software Inc. | 14,582 | 200 |
* | Chordiant Software, Inc. | 39,910 | 200 |
* | ActivIdentity Corp. | 72,166 | 197 |
* | Perficient, Inc. | 19,948 | 193 |
* | Virage Logic Corp. | 26,890 | 193 |
* | Computer Task Group, Inc. | 37,441 | 192 |
| Methode Electronics, Inc. |
|
|
| Class A | 18,194 | 190 |
* | DDi Corp. | 31,386 | 189 |
* | Newport Corp. | 16,557 | 189 |
* | Secure Computing Corp. | 45,417 | 188 |
* | Stratasys, Inc. | 10,034 | 185 |
* | Comverge Inc. | 13,200 | 185 |
* | Monolithic Power Systems | 8,500 | 184 |
* | BigBand Networks Inc. | 38,806 | 184 |
* | Photon Dynamics, Inc. | 11,954 | 180 |
* | Internap Network |
|
|
| Services Corp. | 37,979 | 178 |
* | Tyler Technologies, Inc. | 12,984 | 176 |
* | California Micro Devices Corp. | 56,097 | 174 |
* | Vocus, Inc. | 5,391 | 173 |
* | Catapult |
|
|
| Communications Corp. | 24,215 | 172 | |
* | Taleo Corp. Class A | 8,800 | 172 | |
* | Kenexa Corp. | 8,995 | 169 | |
* | iGATE Corp. | 20,828 | 169 | |
* | Global Cash Access, Inc. | 24,561 | 169 | |
| PC-Tel, Inc. | 17,396 | 167 | |
* | SYNNEX Corp. | 6,592 | 165 | |
* | Measurement Specialties, Inc. | 9,379 | 165 | |
* | Vignette Corp. | 13,645 | 164 | |
* | Hutchinson Technology, Inc. | 12,011 | 161 | |
| infoGROUP, Inc. | 36,494 | 160 | |
* | KEMET Corp. | 49,269 | 160 | |
*^Bidz.com, Inc. | 18,299 | 159 | ||
* | MSC Software Corp. | 14,500 | 159 | |
* | TNS Inc. | 6,591 | 158 | |
| Pegasystems Inc. | 11,640 | 157 | |
* | LoJack Corp. | 19,592 | 156 | |
* | Borland Software Corp. | 111,983 | 152 | |
* | Keynote Systems Inc. | 11,808 | 152 | |
* | Mercury Computer |
|
| |
| Systems, Inc. | 20,153 | 152 | |
* | Globecomm Systems, Inc. | 18,284 | 151 | |
* | Veeco Instruments, Inc. | 9,329 | 150 | |
* | Digital Angel Corp. 194,704 | 148 | ||
| InfoSpace, Inc. | 17,688 | 147 | |
* | Move, Inc. | 61,512 | 143 | |
* | SiRF Technology |
|
| |
| Holdings, Inc. | 32,944 | 142 | |
* | AuthenTec, Inc. | 13,533 | 141 | |
* | Intevac, Inc. | 12,437 | 140 | |
*^ | Access Intergrated |
|
| |
| Technologies Inc. | 65,466 | 138 | |
| Gevity HR, Inc. | 25,430 | 137 | |
* | Autobytel Inc. | 95,503 | 136 | |
* | OSI Systems Inc. | 6,300 | 135 | |
*^ | Universal Display Corp. | 10,762 | 133 | |
* | Presstek, Inc. | 26,525 | 132 | |
* | Hughes Communications Inc. | 2,600 | 128 | |
* | Quantum Corp. | 93,687 | 126 | |
* | Mindspeed Technologies, Inc. | 146,569 | 126 | |
*^ | NVE Corp. | 3,949 | 125 | |
* | Cray, Inc. | 26,774 | 124 | |
* | Loral Space and |
|
| |
| Communications Ltd. | 7,036 | 124 | |
* | VASCO Data Security |
|
| |
| International, Inc. | 11,679 | 123 | |
| Marchex, Inc. | 9,960 | 123 | |
*^ | American Technology Corp. | 65,882 | 122 | |
* | Ixia | 17,492 | 122 | |
* | Startek, Inc. | 12,679 | 119 | |
* | CyberOptics Corp. | 12,000 | 118 | |
* | Concurrent Computer Corp. | 171,168 | 116 | |
| Openwave Systems Inc. | 77,283 | 115 | |
* | S1 Corp. | 15,148 | 115 |
* | hi/fn, Inc. | 24,822 | 114 |
* | Phoenix Technologies Ltd. | 10,207 | 112 |
38
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | DivX, Inc. | 15,200 | 112 |
* | LTX Corp. | 50,701 | 112 |
* | Pericom Semiconductor Corp. | 7,354 | 109 |
* | Spansion Inc. Class A | 48,408 | 109 |
* | Soapstone Networks Inc. | 28,191 | 108 |
* | RadiSys Corp. | 11,734 | 106 |
* | Silicon Storage |
|
|
| Technology, Inc. | 38,096 | 106 |
| Renaissance Learning, Inc. | 9,231 | 103 |
* | Oplink Communications, Inc. | 10,658 | 102 |
* | ExlService Holdings, Inc. | 7,172 | 101 |
* | LookSmart, Ltd. | 24,938 | 100 |
* | Acme Packet, Inc. | 12,893 | 100 |
* | Safeguard Scientifics, Inc. | 80,067 | 99 |
* | Terremark Worldwide, Inc. | 17,066 | 93 |
| TheStreet.com, Inc. | 14,302 | 93 |
* | MRV Communications Inc. | 78,072 | 93 |
* | Tumbleweed |
|
|
| Communications Corp. | 35,460 | 93 |
* | Online Resources Corp. | 10,489 | 88 |
* | Photronics, Inc. | 12,399 | 87 |
* | Trident Microsystems, Inc. | 23,681 | 86 |
* | Lasercard Corp. | 18,024 | 86 |
* | Starent Networks Corp. | 6,832 | 86 |
* | AsiaInfo Holdings, Inc. | 7,100 | 84 |
* | Ultratech, Inc. | 5,205 | 81 |
* | Isilon Systems Inc. | 18,000 | 80 |
* | Nu Horizons Electronics Corp. | 16,256 | 79 |
* | Excel Technology, Inc. | 3,500 | 78 |
* | PLX Technology, Inc. | 10,154 | 77 |
* | Airspan Networks Inc. | 103,300 | 77 |
* | Ness Technologies Inc. | 7,600 | 77 |
* | Zygo Corp. | 7,741 | 76 |
* | Aware, Inc. | 24,948 | 75 |
* | PC Connection, Inc. | 7,935 | 74 |
*^ | Convera Corp. | 51,702 | 73 |
* | Symyx Technologies, Inc. | 10,375 | 72 |
* | Endwave Corp. | 11,401 | 72 |
*^ | ParkerVision, Inc. | 7,288 | 72 |
* | Website Pros, Inc. | 8,564 | 71 |
* | Nanometrics Inc. | 12,155 | 71 |
* | OPNET Technologies, Inc. | 7,762 | 70 |
* | Supertex, Inc. | 2,969 | 69 |
* | MIPS Technologies, Inc. | 18,092 | 68 |
* | Rudolph Technologies, Inc. | 8,740 | 67 |
* | Lionbridge Technologies, Inc. | 25,775 | 67 |
* | GSI Group, Inc. | 8,560 | 66 |
* | Centillium |
|
|
| Communications, Inc. | 101,466 | 66 |
* | SeaChange International, Inc. | 9,174 | 66 |
* | Synchronoss |
|
|
| Technologies, Inc. | 7,270 | 66 |
* | Network Equipment |
|
|
| Technologies, Inc. | 18,285 | 65 |
* | TranSwitch Corp. | 69,977 | 64 |
* | GSE Systems, Inc. | 7,184 | 64 |
* | Dynamics Research Corp. | 6,059 | 64 |
* | Magma Design |
|
|
| Automation, Inc. | 10,332 | 63 |
* | MoSys, Inc. | 12,209 | 60 |
* | Calamp Corp. | 29,196 | 60 |
* | Analysts International Corp. | 43,421 | 60 |
* | Saba Software, Inc. | 18,394 | 59 |
* | iPass Inc. | 28,400 | 59 |
* | FSI International, Inc. | 43,508 | 58 |
* | PROS Holdings, Inc. | 5,100 | 57 |
*^ | Maxwell Technologies, Inc. | 5,340 | 57 |
*^ | LoopNet, Inc. | 4,950 | 56 |
* | Mattson Technology, Inc. | 11,305 | 54 |
* | SupportSoft, Inc. | 16,556 | 54 |
* | SRS Labs, Inc. | 7,958 | 51 |
* | Leadis Technology Inc. | 31,952 | 51 |
* | Switch and Data Inc. | 3,000 | 51 |
* | Jupitermedia Corp. | 36,066 | 51 |
* | Orbcomm, Inc. | 8,800 | 50 |
* | Nextwave Wireless Inc. | 12,200 | 49 |
* | SourceForge Inc. | 30,795 | 49 |
| MoneyGram International, Inc. | 53,946 | 49 |
| Keithley Instruments Inc. | 5,060 | 48 |
* | Limelight Networks Inc. | 12,275 | 47 |
* | Smith Micro Software, Inc. | 8,157 | 47 |
* | STEC Inc. | 4,317 | 44 |
* | BSQUARE Corp. | 9,140 | 44 |
* | OpenTV Corp. | 32,700 | 43 |
* | SuccessFactors Inc. | 3,900 | 43 |
* | Netezza Corp. | 3,700 | 42 |
* | Symmetricom Inc. | 11,037 | 42 |
| Bel Fuse, Inc. Class A | 1,477 | 41 |
*^ | On2 Technologies, Inc. | 67,765 | 41 |
* | Rainmaker Systems, Inc. | 13,990 | 41 |
* | NetScout Systems, Inc. | 3,796 | 41 |
* | Zhone Technologies | 51,901 | 40 |
* | OpNext, Inc. | 7,514 | 40 |
* | Ditech Networks Inc. | 18,700 | 40 |
| QAD Inc. | 5,641 | 38 |
* | Edgewater Technology, Inc. | 7,930 | 38 |
* | WebMD Health Corp. Class A | 1,300 | 36 |
* | Sonic Solutions, Inc. | 6,082 | 36 |
* | Cherokee International Corp. | 20,402 | 36 |
* | Atari, Inc. | 21,839 | 36 |
* | TechTeam Global, Inc. | 3,342 | 36 |
* | Planar Systems, Inc. | 13,595 | 35 |
* | PDF Solutions, Inc. | 5,752 | 34 |
* | Napster, Inc. | 23,310 | 33 |
* | RAE Systems, Inc. | 22,642 | 32 |
* | Merix Corp. | 13,354 | 31 |
* | Constant Contact, Inc. | 1,600 | 30 |
* | AuthentiDate Holding Corp. | 76,876 | 30 |
39
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
* | Telular Corp. | 7,835 | 30 |
* | Transmeta Corp. | 2,145 | 30 |
* | Smart Modular |
|
|
| Technologies Inc. | 7,639 | 29 |
* | Datalink Corp. | 6,329 | 29 |
| Cass Information |
|
|
| Systems, Inc. | 904 | 29 |
* | Spectrum Control, Inc. | 3,510 | 29 |
* | Sumtotal Systems Inc. | 6,084 | 28 |
* | Lantronix, Inc. | 41,675 | 28 |
* | InFocus Corp. | 17,912 | 27 |
* | Ramtron International Corp. | 6,348 | 27 |
* | White Electronic |
|
|
| Designs Corp. | 5,637 | 26 |
* | Miva Inc. | 24,139 | 26 |
* | Greenfield Online, Inc. | 1,700 | 25 |
* | COMARCO, Inc. | 6,117 | 22 |
* | Telecommunication |
|
|
| Systems, Inc. | 4,768 | 22 |
* | NMS Communications Corp. | 19,521 | 22 |
* | PAR Technology Corp. | 2,900 | 22 |
* | PLATO Learning, Inc. | 8,094 | 21 |
* | Entertainment Distribution |
|
|
| Company Inc. | 40,942 | 20 |
* | QuickLogic Corp. | 11,838 | 20 |
* | Volterra Semiconductor Corp. | 1,100 | 19 |
*^ | Superconductor |
|
|
| Technologies Inc. | 7,694 | 18 |
* | Intraware, Inc. | 3,975 | 17 |
* | Westell Technologies, Inc. | 12,309 | 17 |
* | RightNow Technologies Inc. | 1,200 | 16 |
* | Tollgrade |
|
|
| Communications, Inc. | 3,588 | 16 |
* | SCM Microsystems, Inc. | 5,161 | 15 |
* | Kintera Inc. | 13,849 | 15 |
*^ | Research Frontiers, Inc. | 2,434 | 15 |
* | X-Rite Inc. | 5,944 | 15 |
| Richardson Electronics, Ltd. | 2,516 | 15 |
* | Enliven Marketing |
|
|
| Technologies Corp. | 17,486 | 15 |
* | Zix Corp. | 4,904 | 14 |
* | SM&A Corp. | 2,694 | 13 |
* | EFJ, Inc. | 7,007 | 12 |
* | Catalyst Semiconductor, Inc. | 2,800 | 12 |
* | Pixelworks, Inc. | 6,860 | 12 |
* | Network Engines, Inc. | 10,019 | 12 |
* | Selectica, Inc. | 8,094 | 11 |
* | Techwell, Inc. | 800 | 10 |
* | TransAct Technologies Inc. | 1,134 | 9 |
* | Rimage Corp. | 483 | 6 |
* | LivePerson, Inc. | 2,095 | 6 |
* | Evolving Systems, Inc. | 2,413 | 5 |
* | Semitool, Inc. | 621 | 5 | |
* | Channell Commercial Corp. | 4,460 | 5 | |
* | eLoyalty Corp. | 859 | 4 | |
* | Mechanical Technology Inc. | 3,375 | 4 | |
* | Management Network |
|
| |
| Group Inc. | 2,896 | 4 | |
* | LeCroy Corp. | 387 | 3 | |
* | Airvana, Inc. | 600 | 3 | |
* | FOCUS Enhancements, Inc. | 13,304 | 3 | |
* | I.D. Systems, Inc. | 474 | 3 | |
* | Allen Organ Co. |
|
| |
| Escrow Shares | 283 | 3 | |
* | Wave Systems Corp. Class A | 2,169 | 2 | |
| Frequency Electronics, Inc. | 283 | 2 | |
* | Wireless Telecom Group, Inc. | 1,279 | 2 | |
* | iGo, Inc. | 1,228 | 2 | |
|
|
| 1,628,023 | |
Materials (4.4%) |
|
| ||
| Monsanto Co. | 378,302 | 47,832 | |
| Freeport-McMoRan Copper & |
|
| |
| Gold, Inc. Class B | 263,715 | 30,905 | |
| E.I. du Pont de |
|
| |
| Nemours & Co. | 620,996 | 26,634 | |
| Dow Chemical Co. | 648,950 | 22,655 | |
| Praxair, Inc. | 216,344 | 20,388 | |
| Alcoa Inc. | 562,459 | 20,035 | |
| Nucor Corp. | 216,700 | 16,181 | |
| Newmont Mining Corp. |
|
| |
| (Holding Co.) | 301,128 | 15,707 | |
* | The Mosaic Co. | 107,223 | 15,515 | |
| United States Steel Corp. | 81,341 | 15,030 | |
| Air Products & |
|
| |
| Chemicals, Inc. | 148,049 | 14,636 | |
| Weyerhaeuser Co. | 150,676 | 7,706 | |
| Cleveland-Cliffs Inc. | 62,536 | 7,454 | |
| International Paper Co. | 280,976 | 6,547 | |
| PPG Industries, Inc. | 113,249 | 6,497 | |
| CF Industries Holdings, Inc. | 37,001 | 5,654 | |
| Ecolab, Inc. | 128,466 | 5,523 | |
| AK Steel Holding Corp. | 77,282 | 5,332 | |
| Sigma-Aldrich Corp. | 89,545 | 4,823 | |
| Celanese Corp. Series A | 104,555 | 4,774 | |
* | Owens-Illinois, Inc. | 108,341 | 4,517 | |
| ^Vulcan Materials Co. | 74,715 | 4,466 | |
| Steel Dynamics, Inc. | 112,754 | 4,405 | |
| Rohm & Haas Co. | 88,105 | 4,092 | |
| Eastman Chemical Co. | 55,674 | 3,834 | |
| FMC Corp. | 49,299 | 3,818 | |
| Allegheny Technologies Inc. | 63,135 | 3,743 | |
| Reliance Steel & |
|
| |
| Aluminum Co. | 46,702 | 3,600 | |
| Terra Industries, Inc. | 62,661 | 3,092 | |
| Ball Corp. | 64,240 | 3,067 | |
| Commercial Metals Co. | 80,932 | 3,051 |
| Airgas, Inc. | 51,276 | 2,994 |
40
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
^ | Martin Marietta |
|
|
| Materials, Inc. | 28,787 | 2,982 |
* | Crown Holdings, Inc. | 110,961 | 2,884 |
| MeadWestvaco Corp. | 120,681 | 2,877 |
| Lubrizol Corp. | 47,322 | 2,192 |
| Sonoco Products Co. | 69,289 | 2,144 |
| Albemarle Corp. | 53,330 | 2,128 |
| Sealed Air Corp. | 111,667 | 2,123 |
| Nalco Holding Co. | 97,877 | 2,070 |
| International Flavors & |
|
|
| Fragrances, Inc. | 50,859 | 1,987 |
| AptarGroup Inc. | 47,283 | 1,984 |
* | Domtar Corp. | 359,617 | 1,960 |
* | Pactiv Corp. | 90,992 | 1,932 |
| Ashland, Inc. | 39,397 | 1,899 |
| Compass Minerals |
|
|
| International, Inc. | 22,549 | 1,817 |
| RPM International, Inc. | 84,336 | 1,737 |
| Schnitzer Steel |
|
|
| Industries, Inc. |
|
|
| Class A | 15,079 | 1,728 |
| Cytec Industries, Inc. | 31,492 | 1,718 |
| Bemis Co., Inc. | 69,649 | 1,562 |
| Packaging Corp. of America | 72,315 | 1,555 |
* | Century Aluminum Co. | 22,855 | 1,520 |
| Carpenter Technology Corp. | 32,009 | 1,397 |
| Olin Corp. | 51,877 | 1,358 |
| Huntsman Corp. | 114,593 | 1,306 |
| Hercules, Inc. | 75,962 | 1,286 |
| Valspar Corp. | 66,022 | 1,248 |
| Titanium Metals Corp. | 83,537 | 1,169 |
* | W.R. Grace & Co. | 49,332 | 1,159 |
| Cabot Corp. | 45,000 | 1,094 |
* | Rockwood Holdings, Inc. | 30,689 | 1,068 |
| Greif Inc. Class A | 16,416 | 1,051 |
*^ | Coeur d’Alene Mines Corp. | 345,193 | 1,001 |
| Chemtura Corp. | 169,020 | 987 |
| Worthington Industries, Inc. | 47,900 | 982 |
| Silgan Holdings, Inc. | 18,528 | 940 |
| H.B. Fuller Co. | 41,212 | 925 |
| Texas Industries, Inc. | 16,053 | 901 |
| Sensient Technologies Corp. | 31,436 | 885 |
| Minerals Technologies, Inc. | 13,435 | 854 |
| Temple-Inland Inc. | 74,795 | 843 |
*^ | Hecla Mining Co. | 85,677 | 793 |
| Rock-Tenn Co. | 25,494 | 765 |
| Eagle Materials, Inc. | 30,180 | 764 |
* | Smurfit-Stone |
|
|
| Container Corp. | 177,545 | 723 |
* | OM Group, Inc. | 21,248 | 697 |
| Arch Chemicals, Inc. | 20,665 | 685 |
| Louisiana-Pacific Corp. | 77,446 | 657 |
| AMCOL International Corp. | 22,931 | 653 | |
* | Esmark, Inc. | 33,070 | 632 | |
| NewMarket Corp. | 9,500 | 629 | |
* | RTI International Metals, Inc. | 17,649 | 629 | |
| A.M. Castle & Co. | 20,266 | 580 | |
| Olympic Steel, Inc. | 7,580 | 575 | |
*^ | Calgon Carbon Corp. | 36,115 | 558 | |
| Royal Gold, Inc. | 17,773 | 557 | |
| Scotts Miracle-Gro Co. | 30,944 | 544 | |
| Kaiser Aluminum Corp. | 10,037 | 537 | |
| Balchem Corp. | 20,977 | 485 | |
| Ferro Corp. | 23,361 | 438 | |
*^ | Zoltek Cos., Inc. | 17,675 | 429 | |
*^ | AbitibiBowater, Inc. | 41,347 | 386 | |
* | Brush Engineered |
|
| |
| Materials Inc. | 15,533 | 379 | |
| Innospec, Inc. | 19,088 | 359 | |
* | Apex Silver Mines Ltd. | 72,432 | 356 | |
| Glatfelter | 24,763 | 335 | |
| Koppers Holdings, Inc. | 7,900 | 331 | |
| American Vanguard Corp. | 26,135 | 321 | |
* | Haynes International, Inc. | 5,443 | 313 | |
* | Buckeye Technology, Inc. | 36,898 | 312 | |
* | Headwaters Inc. | 24,354 | 287 | |
| Deltic Timber Corp. | 5,100 | 273 | |
* | PolyOne Corp. | 35,743 | 249 | |
| A. Schulman Inc. | 10,564 | 243 | |
* | Mercer International Inc. | 31,581 | 236 | |
| Quaker Chemical Corp. | 8,828 | 235 | |
| Stepan Co. | 5,080 | 232 | |
| Spartech Corp. | 23,395 | 221 | |
* | Stillwater Mining Co. | 18,305 | 217 | |
| Schweitzer-Mauduit |
|
| |
| International, Inc. | 12,376 | 209 | |
* | U.S. Concrete, Inc. | 42,569 | 203 | |
*^ | Flotek Industries, Inc. | 9,700 | 200 | |
| NL Industries, Inc. | 20,466 | 195 | |
| Zep, Inc. | 12,921 | 192 | |
| Neenah Paper Inc. | 11,401 | 190 | |
*^ | Altair Nanotechnology Inc. | 102,825 | 175 | |
* | Graphic Packaging |
|
| |
| Holding Co. | 82,445 | 167 | |
*^ | General Moly, Inc. | 18,900 | 149 | |
| U.S. Energy Corp. | 47,437 | 146 | |
| Wausau Paper Corp. | 17,902 | 138 | |
| Myers Industries, Inc. | 16,557 | 135 | |
* | Horsehead Holding Corp. | 11,000 | 134 | |
| Innophos Holdings Inc. | 3,900 | 125 | |
| Westlake Chemical Corp. | 7,619 | 113 | |
* | GenTek, Inc. | 4,045 | 109 | |
* | Nonophase |
|
| |
| Technologies Corp. | 45,851 | 106 | |
* | LSB Industries, Inc. | 5,000 | 99 | |
* | Material Sciences Corp. | 11,512 | 93 |
| Hawkins, Inc. | 5,949 | 89 |
| Penford Corp. | 5,907 | 88 |
41
|
|
| Market | |
|
|
| Value• | |
|
| Shares | ($000) | |
* | Caraustar Industries, Inc. | 29,851 | 87 | |
* | Landec Corp. | 13,238 | 86 | |
| ^Georgia Gulf Corp. | 26,489 | 77 | |
* | Omnova Solutions Inc. | 23,876 | 66 | |
| Tronox Inc. Class B | 18,620 | 56 | |
* | Allied Nevada Gold Corp. | 8,490 | 50 | |
* | Chesapeake Corp. of Virginia | 18,046 | 42 | |
* | Constar International Inc. | 14,475 | 36 | |
* | AEP Industries, Inc. | 1,855 | 32 | |
* | Maxxam Inc. | 1,178 | 30 | |
* | ADA-ES Inc. | 3,100 | 28 | |
|
|
| 427,020 | |
Telecommunication Services (3.0%) |
|
| ||
| AT&T Inc. | 4,166,236 | 140,361 | |
| Verizon |
|
| |
| Communications Inc. | 1,985,947 | 70,303 | |
| Sprint Nextel Corp. | 1,912,924 | 18,173 | |
* | American Tower Corp. |
|
| |
| Class A | 279,747 | 11,819 | |
* | Crown Castle |
|
| |
| International Corp. | 185,670 | 7,191 | |
* | NII Holdings Inc. | 118,822 | 5,643 | |
| Embarq Corp. | 105,891 | 5,006 | |
| Qwest Communications |
|
| |
| International Inc. | 1,100,417 | 4,325 | |
| Windstream Corp. | 329,523 | 4,066 | |
*^ | Level 3 |
|
| |
| Communications, Inc. | 1,063,157 | 3,136 | |
| Telephone & |
|
| |
| Data Systems, Inc. | 65,842 | 3,112 | |
| CenturyTel, Inc. | 72,919 | 2,595 | |
| Citizens |
|
| |
| Communications Co. | 227,706 | 2,582 | |
* | MetroPCS |
|
| |
| Communications Inc. | 144,918 | 2,567 | |
* | SBA Communications Corp. | 67,402 | 2,427 | |
* | Leap Wireless |
|
| |
| International, Inc. | 37,790 | 1,631 | |
* | TW telecom, Inc. | 96,377 | 1,545 | |
* | U.S. Cellular Corp. | 13,517 | 764 | |
* | Cincinnati Bell Inc. | 172,217 | 685 | |
* | Centennial |
|
| |
| Communications Corp. |
|
| |
| Class A | 88,325 | 617 | |
* | Premiere Global |
|
| |
| Services, Inc. | 31,206 | 455 | |
* | Cogent Communications |
|
| |
| Group, Inc. | 32,541 | 436 | |
| Alaska Communications |
|
| |
| Systems Holdings, Inc. | 36,457 | 435 | |
| FairPoint |
|
| |
| Communications, Inc. | 60,321 | 435 | |
| Atlantic Tele-Network, Inc. | 14,200 | 391 | |
* | Rural Cellular Corp. Class A | 8,518 | 379 | |
* | Syniverse Holdings Inc. | 22,881 | 371 | |
* | Clearwire Corp. | 27,644 | 358 | |
* | iPCS, Inc. | 11,508 | 341 | |
| Telephone & |
|
| |
| Data Systems, Inc.- |
|
| |
| Special Common Shares | 7,633 | 337 | |
| Consolidated |
|
| |
| Communications |
|
| |
| Holdings, Inc. | 20,136 | 300 | |
* | PAETEC Holding Corp. | 43,843 | 278 | |
| NTELOS Holdings Corp. | 10,890 | 276 | |
* | Global Crossing Ltd. | 15,376 | 276 | |
* | Cbeyond Inc. | 17,185 | 275 | |
* | General Communication, Inc. | 36,268 | 249 | |
*^ | Vonage Holdings Corp. | 121,632 | 202 | |
| Iowa Telecommunications |
|
| |
| Services Inc. | 10,736 | 189 | |
* | Kratos Defense & |
|
| |
| Security Inc. | 92,428 | 181 | |
| D&E Communications, Inc. | 18,641 | 166 | |
| Hickory Tech Corp. | 19,363 | 160 | |
| Arbinet Holdings, Inc. | 39,459 | 154 | |
| USA Mobility, Inc. | 16,610 | 125 | |
| Shenandoah |
|
| |
| Telecommunications Co. | 9,230 | 120 | |
*^ | TerreStar Corp. | 29,508 | 117 | |
* | Fibertower Corp. | 79,795 | 112 | |
* | iBasis, Inc. | 31,132 | 102 | |
* | ICO Global Communications |
|
| |
| (Holdings) Ltd. | 24,138 | 79 | |
| SureWest Communications | 7,822 | 66 | |
* | LCC International, Inc. |
|
| |
| Class A | 62,745 | 60 | |
| IDT Corp. Class B | 29,903 | 51 | |
* | 8X8 Inc. | 10,143 | 12 | |
| IDT Corp. | 1,658 | 3 | |
|
|
| 296,039 | |
Utilities (4.2%) |
|
| ||
| Exelon Corp. | 456,572 | 41,073 | |
| Dominion Resources, Inc. | 397,147 | 18,861 | |
| Southern Co. | 528,280 | 18,448 | |
| FPL Group, Inc. | 267,476 | 17,541 | |
| FirstEnergy Corp. | 210,689 | 17,346 | |
| Public Service Enterprise |
|
| |
| Group, Inc. | 351,364 | 16,138 | |
| Entergy Corp. | 133,347 | 16,066 | |
| Duke Energy Corp. | 871,236 | 15,142 | |
| PPL Corp. | 257,203 | 13,444 | |
| American Electric |
|
| |
| Power Co., Inc. | 276,884 | 11,139 | |
| Edison International | 214,056 | 10,998 | |
| Constellation Energy |
|
|
| Group, Inc. | 123,650 | 10,152 |
| PG&E Corp. | 249,947 | 9,920 |
42
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
| Sempra Energy | 171,739 | 9,695 |
* | AES Corp. | 462,904 | 8,892 |
| Questar Corp. | 119,548 | 8,493 |
| Consolidated Edison Inc. | 188,416 | 7,365 |
| Progress Energy, Inc. | 170,438 | 7,129 |
* | NRG Energy, Inc. | 155,197 | 6,658 |
| Ameren Corp. | 143,916 | 6,078 |
| Xcel Energy, Inc. | 297,205 | 5,965 |
| Equitable Resources, Inc. | 85,123 | 5,879 |
* | Mirant Corp. | 148,002 | 5,794 |
| Allegheny Energy, Inc. | 115,584 | 5,792 |
* | Reliant Energy, Inc. | 238,469 | 5,072 |
| DTE Energy Co. | 112,336 | 4,768 |
| MDU Resources Group, Inc. | 120,056 | 4,185 |
| Energen Corp. | 47,280 | 3,689 |
| Wisconsin Energy Corp. | 80,983 | 3,662 |
| CenterPoint Energy Inc. | 215,037 | 3,451 |
| Pepco Holdings, Inc. | 133,866 | 3,434 |
| NiSource, Inc. | 190,036 | 3,405 |
| ONEOK, Inc. | 68,464 | 3,343 |
| TECO Energy, Inc. | 146,101 | 3,140 |
| National Fuel Gas Co. | 52,194 | 3,104 |
* | Dynegy, Inc. | 346,906 | 2,966 |
| SCANA Corp. | 76,700 | 2,838 |
| Northeast Utilities | 107,725 | 2,750 |
| Energy East Corp. | 109,345 | 2,703 |
| Integrys Energy Group, Inc. | 53,032 | 2,696 |
| Alliant Energy Corp. | 76,710 | 2,628 |
| NSTAR | 74,149 | 2,508 |
| CMS Energy Corp. | 156,636 | 2,334 |
| Puget Energy, Inc. | 89,645 | 2,151 |
| Pinnacle West Capital Corp. | 69,846 | 2,149 |
| UGI Corp. Holding Co. | 73,953 | 2,123 |
| DPL Inc. | 78,584 | 2,073 |
| Sierra Pacific Resources | 161,871 | 2,057 |
| Southern Union Co. | 74,642 | 2,017 |
| OGE Energy Corp. | 63,595 | 2,017 |
| AGL Resources Inc. | 53,025 | 1,834 |
| ITC Holdings Corp. | 33,778 | 1,726 |
| Atmos Energy Corp. | 62,296 | 1,717 |
| Vectren Corp. | 53,340 | 1,665 |
| Westar Energy, Inc. | 72,499 | 1,559 |
| Great Plains Energy, Inc. | 59,537 | 1,505 |
| Aqua America, Inc. | 92,701 | 1,480 |
| Hawaiian Electric |
|
|
| Industries Inc. | 58,060 | 1,436 |
| Piedmont Natural Gas, Inc. | 51,334 | 1,343 |
| Nicor Inc. | 31,444 | 1,339 |
| WGL Holdings Inc. | 34,309 | 1,192 |
* | Aquila, Inc. | 263,859 | 995 |
| Cleco Corp. | 42,037 | 981 |
| Portland General Electric Co. | 43,493 | 979 |
| New Jersey Resources Corp. | 29,365 | 959 |
| IDACORP, Inc. | 31,349 | 906 |
| Southwest Gas Corp. | 30,007 | 892 |
| Northwest Natural Gas Co. | 18,596 | 860 |
| Black Hills Corp. | 26,527 | 850 |
| Avista Corp. | 36,706 | 788 |
| UniSource Energy Corp. | 24,850 | 771 |
| South Jersey Industries, Inc. | 20,434 | 763 |
| ALLETE, Inc. | 18,140 | 762 |
| Ormat Technologies Inc. | 14,367 | 707 |
| NorthWestern Corp. | 27,525 | 700 |
| PNM Resources Inc. | 53,577 | 641 |
* | El Paso Electric Co. | 30,659 | 607 |
| American States Water Co. | 16,227 | 567 |
| The Laclede Group, Inc. | 13,252 | 535 |
| Empire District Electric Co. | 25,609 | 475 |
| California Water Service Group | 11,753 | 385 |
| CH Energy Group, Inc. | 10,446 | 372 |
| SJW Corp. | 12,003 | 317 |
| MGE Energy, Inc. | 9,239 | 301 |
| UIL Holdings Corp. | 9,737 | 286 |
| Central Vermont Public |
|
|
| Service Corp. | 14,125 | 274 |
| Connecticut Water |
|
|
| Services, Inc. | 10,629 | 238 |
| Southwest Water Co. | 23,006 | 231 |
^ | Consolidated Water Co., Ltd. | 9,856 | 195 |
| Chesapeake Utilities Corp. | 7,146 | 184 |
| EnergySouth, Inc. | 3,574 | 175 |
* | Maine & Maritimes Corp. | 3,424 | 145 |
* | Cadiz Inc. | 8,304 | 134 |
| Middlesex Water Co. | 6,152 | 102 |
| Unitil Corp. | 1,088 | 29 |
* | Renegy Holdings, Inc. | 3,511 | 13 |
|
|
| 406,186 |
Total Common Stocks |
|
| |
(Cost $9,908,051) |
| 9,676,441 |
43
|
|
| Market |
|
|
| Value• |
|
| Shares | ($000) |
Temporary Cash Investments (1.1%)1 |
|
| |
Money Market Fund (1.0%) |
|
| |
2 | Vanguard Market Liquidity |
|
|
| Fund, 2.405% | 31,275,748 | 31,276 |
2 | Vanguard Market Liquidity |
|
|
| Fund, 2.405%—Note E | 72,416,146 | 72,416 |
|
|
| 103,692 |
|
|
|
|
|
|
|
|
|
| Face |
|
|
| Amount |
|
|
| ($000) |
|
U.S. Agency Obligations (0.1%) |
| ||
3 | Federal Home Loan Bank, |
|
|
4 | 2.262%, 8/27/08 | 3,000 | 2,989 |
3 | Federal Home Loan |
|
|
| Mortgage Corp., |
|
|
4 | 2.114%, 7/21/08 | 3,000 | 2,997 |
|
|
| 5,986 |
Total Temporary Cash Investments |
| ||
(Cost $109,678) |
| 109,678 | |
Total Investments (100.5%) |
|
| |
(Cost $10,017,729) |
| 9,786,119 | |
Other Assets and Liabilities (–0.5%) |
| ||
Other Assets |
| 36,244 | |
Liabilities—Note E |
| (87,889) | |
|
|
| (51,645) |
Net Assets (100%) |
| 9,734,474 |
At June 30, 2008, net assets consisted of:5 |
|
| Amount |
| ($000) |
Paid-in Capital | 10,058,814 |
Overdistributed Net Investment Income | (1,019) |
Accumulated Net Realized Losses | (88,173) |
Unrealized Depreciation |
|
Investment Securities | (231,610) |
Futures Contracts | (3,538) |
Net Assets | 9,734,474 |
|
|
|
|
Institutional Shares—Net Assets |
|
Applicable to 51,838,248 outstanding |
|
$.001 par value shares of beneficial |
|
interest (unlimited authorization) | 1,460,114 |
Net Asset Value Per Share— |
|
Institutional Shares | $28.17 |
|
|
|
|
Institutional Plus Shares—Net Assets |
|
Applicable to 293,739,553 outstanding |
|
$.001 par value shares of beneficial |
|
interest (unlimited authorization) | 8,274,360 |
Net Asset Value Per Share— |
|
Institutional Plus Shares | $28.17 |
• | 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 0.5%, 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. |
4 | Securities with a value of $5,986,000 have been segregated as initial margin for open futures contracts. |
5 | See Note C in Notes to Financial Statements for the tax-basis components of net assets. REIT—Real Estate Investment Trust. |
��
44
Statement of Operations
| Six Months Ended |
| June 30, 2008 |
| ($000) |
Investment Income |
|
Income |
|
Dividends | 89,178 |
Interest1 | 873 |
Security Lending | 1,831 |
Total Income | 91,882 |
Expenses |
|
The Vanguard Group—Note B |
|
Management and Administrative—Institutional Shares | 328 |
Management and Administrative—Institutional Plus Shares | 1,051 |
Total Expenses | 1,379 |
Net Investment Income | 90,503 |
Realized Net Gain (Loss) |
|
Investment Securities Sold | 27,649 |
Futures Contracts | (5,278) |
Realized Net Gain (Loss) | 22,371 |
Change in Unrealized Appreciation (Depreciation) |
|
Investment Securities | (1,223,305) |
Futures Contracts | (3,059) |
Change in Unrealized Appreciation (Depreciation) | (1,226,364) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,113,490) |
1 | Interest income from an affiliated company of the fund was $793,000. |
45
Statement of Changes in Net Assets
| Six Months Ended | Year Ended |
| June 30, | December 31, |
| 2008 | 2007 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net Investment Income | 90,503 | 154,120 |
Realized Net Gain (Loss) | 22,371 | 41,221 |
Change in Unrealized Appreciation (Depreciation) | (1,226,364) | 203,925 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,113,490) | 399,266 |
Distributions |
|
|
Net Investment Income |
|
|
Institutional Shares | (13,875) | (21,532) |
Institutional Plus Shares | (79,186) | (131,817) |
Realized Capital Gain |
|
|
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
Total Distributions | (93,061) | (153,349) |
Capital Share Transactions—Note F |
|
|
Institutional Shares | 358,389 | 278,721 |
Institutional Plus Shares | 712,268 | 3,792,357 |
Net Increase (Decrease) from Capital Share Transactions | 1,070,657 | 4,071,078 |
Total Increase (Decrease) | (135,894) | 4,316,995 |
Net Assets |
|
|
Beginning of Period | 9,870,368 | 5,553,373 |
End of Period1 | 9,734,474 | 9,870,368 |
1 | Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($1,019,000) and $1,539,000. |
46
Financial Highlights
Institutional Shares |
|
|
|
|
|
|
| Six Months |
|
|
|
|
|
| Ended |
|
|
|
|
|
|
| Year Ended December 31, | ||||
For a Share Outstanding | June 30, |
|
|
|
|
|
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 |
Net Asset Value, Beginning of Period | $31.89 | $30.71 | $27.00 | $25.83 | $23.33 | $18.00 |
Investment Operations |
|
|
|
|
|
|
Net Investment Income | .264 | .547 | .501 | .398 | .4251 | .33 |
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
on Investments | (3.712) | 1.179 | 3.710 | 1.169 | 2.498 | 5.33 |
Total from Investment Operations | (3.448) | 1.726 | 4.211 | 1.567 | 2.923 | 5.66 |
Distributions |
|
|
|
|
|
|
Dividends from Net Investment Income | (.272) | (.546) | (.501) | (.397) | (.423) | (.33) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.272) | (.546) | (.501) | (.397) | (.423) | (.33) |
Net Asset Value, End of Period | $28.17 | $31.89 | $30.71 | $27.00 | $25.83 | $23.33 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return | –10.82% | 5.60% | 15.74% | 6.14% | 12.65% | 31.70% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
Net Assets, End of Period (Millions) | $1,460 | $1,271 | $939 | $129 | $789 | $563 |
Ratio of Total Expenses to |
|
|
|
|
|
|
Average Net Assets | 0.045%2 | 0.045% | 0.045% | 0.05% | 0.06% | 0.06% |
Ratio of Net Investment Income to |
|
|
|
|
|
|
Average Net Assets | 1.82%2 | 1.81% | 1.81% | 1.77% | 1.83%1 | 1.62% |
Portfolio Turnover Rate3 | 8%2 | 10% | 8% | 21%4 | 22% | 11% |
1 | Net investment income per share and the ratio of net investment income to average net assets include $.058 and 0.27%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004. |
2 | Annualized. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
4 | Includes activity related to a change in the fund’s target index. |
47
Institutional Plus Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months |
|
|
|
|
|
| Ended | Year Ended December 31, | ||||
For a Share Outstanding | June 30, |
|
|
|
|
|
Throughout Each Period | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 |
Net Asset Value, Beginning of Period | $31.89 | $30.71 | $27.00 | $25.83 | $23.33 | $18.00 |
Investment Operations |
|
|
|
|
|
|
Net Investment Income | .267 | .553 | .506 | .404 | .4341 | .337 |
Net Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
on Investments | (3.712) | 1.179 | 3.710 | 1.169 | 2.498 | 5.330 |
Total from Investment Operations | (3.445) | 1.732 | 4.216 | 1.573 | 2.932 | 5.667 |
Distributions |
|
|
|
|
|
|
Dividends from Net Investment Income | (.275) | (.552) | (.506) | (.403) | (.432) | (.337) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.275) | (.552) | (.506) | (.403) | (.432) | (.337) |
Net Asset Value, End of Period | $28.17 | $31.89 | $30.71 | $27.00 | $25.83 | $23.33 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return | –10.81% | 5.62% | 15.76% | 6.17% | 12.69% | 31.74% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
Net Assets, End of Period (Millions) | $8,274 | $8,599 | $4,615 | $3,587 | $451 | $479 |
Ratio of Total Expenses to |
|
|
|
|
|
|
Average Net Assets | 0.025%2 | 0.025% | 0.025% | 0.025% | 0.025% | 0.025% |
Ratio of Net Investment Income to |
|
|
|
|
|
|
Average Net Assets | 1.84%2 | 1.83% | 1.83% | 1.80% | 1.87%1 | 1.64% |
Portfolio Turnover Rate3 | 8%2 | 10% | 8% | 21%4 | 22% | 11% |
1 | Net investment income per share and the ratio of net investment income to average net assets include $.058 and 0.27%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004. |
2 | Annualized. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
4 | Includes activity related to a change in the fund’s target index. |
See accompanying Notes, which are an integral part of the Financial Statements.
48
Notes to Financial Statements
Vanguard Institutional Total Stock Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares, Institutional Shares and Institutional Plus Shares, to investors who invest minimum amounts of $100 million and $200 million, respectively.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 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. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2004–2007) and for the period ended June 30, 2008, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
49
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.
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, 2007, the fund had available realized losses of $106,644,000 to offset future net capital gains of $26,053,000 through December 31, 2010, $44,357,000 through December 31, 2011, $5,005,000 through December 31, 2012, $9,611,000 through December 31, 2013, and $21,618,000 through December 31, 2016. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2008; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balances above.
At June 30, 2008, the cost of investment securities for tax purposes was $10,017,729,000. Net unrealized depreciation of investment securities for tax purposes was $231,610,000, consisting of unrealized gains of $1,342,422,000 on securities that had risen in value since their purchase and $1,574,032,000 in unrealized losses on securities that had fallen in value since their purchase.
50
At June 30, 2008, the aggregate settlement value of open futures contracts expiring in September 2008 and the related unrealized appreciation (depreciation) were:
|
| ($000) | |
|
| Aggregate | Unrealized |
| Number of | Settlement | Appreciation |
Futures Contracts | Long Contracts | Value | (Depreciation) |
S&P 500 Index | 153 | 49,002 | (2,947) |
E-mini S&P 500 Index | 75 | 4,804 | (305) |
Russell 2000 Index | 10 | 3,459 | (234) |
S&P MidCap 400 Index | 2 | 821 | (52) |
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, 2008, the fund purchased $1,506,665,000 of investment securities and sold $408,077,000 of investment securities, other than temporary cash investments.
E. The market value of securities on loan to broker-dealers at June 30, 2008, was $65,244,000, for which the fund received cash collateral of $72,416,000.
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | ||
| June 30, 2008 | December 31, 2007 | ||
| Amount | Shares | Amount | Shares |
| ($000) | (000) | ($000) | (000) |
Institutional Shares |
|
|
|
|
Issued | 443,994 | 14,834 | 903,193 | 28,707 |
Issued in Lieu of Cash Distributions | 12,863 | 451 | 19,331 | 596 |
Redeemed | (98,468) | (3,305) | (643,803) | (20,006) |
Net Increase (Decrease)—Institutional Shares | 358,389 | 11,980 | 278,721 | 9,297 |
Institutional Plus Shares |
|
|
|
|
Issued | 1,163,191 | 39,351 | 4,466,552 | 140,287 |
Issued in Lieu of Cash Distributions | 73,407 | 2,573 | 119,422 | 3,683 |
Redeemed | (524,330) | (17,833) | (793,617) | (24,574) |
Net Increase (Decrease)—Institutional Plus Shares | 712,268 | 24,091 | 3,792,357 | 119,396 |
51
G. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements, effective for the fund’s current fiscal period.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the fund’s investments as of June 30, 2008, based on the inputs used to value them:
| Investments | Futures |
| in Securities | Contracts |
Valuation Inputs | ($000) | ($000) |
Level 1—Quoted prices | 9,780,133 | (3,538) |
Level 2—Other significant observable inputs | 5,986 | — |
Level 3—Significant unobservable inputs | — | — |
Total | 9,786,119 | (3,538) |
52
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The table below illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Six Months Ended June 30, 2008 |
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| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
Institutional Total Stock Market Index Fund | 12/31/2007 | 6/30/2008 | Period1 |
Based on Actual Fund Return |
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|
|
Institutional Shares | $1,000.00 | $891.79 | $0.21 |
Institutional Plus Shares | 1,000.00 | 891.88 | 0.12 |
Based on Hypothetical 5% Yearly Return |
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|
|
Institutional Shares | $1,000.00 | $1,024.64 | $0.23 |
Institutional Plus Shares | 1,000.00 | 1,024.74 | 0.13 |
1 | The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.045% for Institutional Shares and 0.025% for Institutional Plus Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period. |
53
Note that the expenses shown in the table on page 53 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.
54
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 the short and long term, and took into account the organizational depth and stability of the advisor. The board noted that 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 will consider whether to renew the advisory arrangement again after a one-year period.
55
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%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that 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.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
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. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
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.
56
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 fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (in the case of bonds) or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
57
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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 |
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Trustee Since May 1987; | Board, Chief Executive Officer, and Director/Trustee of The Vanguard |
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Chairman of the Board and | Group, Inc., and of each of the investment companies served by |
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Chief Executive Officer | The Vanguard Group; Director of Vanguard Marketing Corporation. |
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156 Vanguard Funds |
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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 |
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Trustee Since January 2001 | (pro bono ventures in education); Senior Advisor to Greenwich |
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156 Vanguard Funds Overseen | Associates (international business strategy consulting); Successor |
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| Trustee of Yale University; Overseer of the Stern School of Business |
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| at New York University; Trustee of the Whitehead Institute for |
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| Biomedical Research. |
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Emerson U. Fullwood |
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Born 1948 | Principal Occupation(s) During the Past Five Years: Executive Chief |
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Trustee Since January 2008 | Staff and Marketing Officer for North America since 2004 and |
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156 Vanguard Funds Overseen | Corporate Vice President of Xerox Corporation (photocopiers and |
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| printers); Director of SPX Corporation (multi-industry manufacturing), |
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| of the United Way of Rochester, and of the Boy Scouts of America. |
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Rajiv L. Gupta |
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Born 1945 | Principal Occupation(s) During the Past Five Years: Chairman, |
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Trustee Since December 20012 | President, and Chief Executive Officer of Rohm and Haas Co. |
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156 Vanguard Funds Overseen | (chemicals); Board Member of the American Chemistry Council; |
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| Director of Tyco International, Ltd. (diversified manufacturing and |
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| services) since 2005. |
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Amy Gutmann |
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Born 1949 | Principal Occupation(s) During the Past Five Years: President of the |
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Trustee Since June 2006 | University of Pennsylvania since 2004; Professor in the School of Arts |
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156 Vanguard Funds Overseen | and Sciences, Annenberg School for Communication, and Graduate |
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| School of Education of the University of Pennsylvania since 2004; |
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| Provost (2001–2004) and Laurance S. Rockefeller Professor of Politics |
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| and the University Center for Human Values (1990–2004), Princeton |
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| University; Director of Carnegie Corporation of New York since 2005 |
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| and of Schuylkill River Development Corporation and Greater |
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| Philadelphia Chamber of Commerce since 2004; Trustee of the National |
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| Constitution Center since 2007. |
JoAnn Heffernan Heisen |
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Born 1950 | Principal Occupation(s) During the Past Five Years: Corporate Vice |
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Trustee Since July 1998 | President and Chief Global Diversity Officer since 2006, Vice President |
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156 Vanguard Funds Overseen | and Chief Information Officer (1997–2005), and Member of the |
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| Executive Committee of Johnson & Johnson (pharmaceuticals/ |
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| consumer products); Director of the University Medical Center at |
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| 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 |
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Trustee Since December 2004 | Professor of Finance and Banking, Harvard Business School; Senior |
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156 Vanguard Funds Overseen | Associate Dean and Director of Faculty |
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| Recruiting, Harvard Business School; Director and Chairman of UNX, |
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| Inc. (equities trading firm); Chair of the Investment Committee of |
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| 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, |
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Trustee Since January 1993 | President, Chief Executive Officer, and Director of NACCO Industries, |
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156 Vanguard Funds Overseen | Inc. (forklift trucks/housewares/lignite); Director of Goodrich Corporation |
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| (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 |
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Trustee Since April 1985 | and Chief Executive Officer of Rohm and Haas Co. (chemicals); |
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156 Vanguard Funds Overseen | Director of Cummins Inc. (diesel engines) and AmerisourceBergen Corp. |
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| (pharmaceutical distribution); Trustee of Vanderbilt University and of |
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| Culver Educational Foundation. |
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Executive Officers1 |
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Thomas J. Higgins |
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Born 1957 | Principal Occupation(s) During the Past Five Years: Principal of The |
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Treasurer Since July 1998 | Vanguard Group, Inc.; Treasurer of each of the investment companies |
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156 Vanguard Funds Overseen | served by The Vanguard Group. |
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F. William McNabb III |
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Born 1957 | Principal Occupation(s) During the Past Five Years: President of The |
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President Since March 2008 | Vanguard Group, Inc., and of each of the investment companies |
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156 Vanguard Funds Overseen | served by The Vanguard Group since 2008; Director of Vanguard |
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| Marketing Corporation; Managing Director of The Vanguard Group |
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| (1995–2008). |
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Heidi Stam |
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Born 1956 | Principal Occupation(s) During the Past Five Years: Managing Director |
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Secretary Since July 2005 | of The Vanguard Group, Inc., since 2006; General Counsel of The |
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156 Vanguard Funds Overseen | Vanguard Group since 2005; Secretary of The Vanguard Group, |
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| and of each of the investment companies served by The Vanguard |
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| Group, since 2005; Director and Senior Vice President of Vanguard |
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| Marketing Corporation since 2005; Principal of The Vanguard |
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| Group (1997–2006). |
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Vanguard Senior Management Team |
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R. Gregory Barton | Kathleen C. Gubanich | Michael S. Miller | Glenn W. Reed |
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Mortimer J. Buckley | Paul A. Heller | Ralph K. Packard | George U. Sauter |
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Founder |
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John C. Bogle |
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Chairman and Chief Executive Officer, 1974–1996 |
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, Vanguard.com, Admiral, Signal, |
| Connect with Vanguard, and the ship logo are |
| trademarks of The Vanguard Group, Inc. |
Direct Investor Account Services > 800-662-2739 |
|
|
|
Institutional Investor Services > 800-523-1036 |
|
| All other marks are the exclusive property of |
Text Telephone for People | their respective owners. |
With Hearing Impairment > 800-952-3335 |
|
| All comparative mutual fund data are from |
This material may be used in conjunction | Lipper Inc. or Morningstar, Inc., unless |
with the offering of shares of any Vanguard | otherwise noted. |
fund only if preceded or accompanied by |
|
the fund’s current prospectus. | You can obtain a free copy of Vanguard’s |
| proxy voting guidelines by visiting our |
The funds or securities referred to herein are not | website, www.vanguard.com, |
sponsored, endorsed, or promoted by MSCI, and | and searching for “proxy voting guidelines,” or |
MSCI bears no liability with respect to any such funds | by calling Vanguard at 800-662-2739. |
or securities. For any such funds or securities, the | The guidelines are also available from the |
prospectus or the Statement of Additional Information | SEC’s website, www.sec.gov. In addition, you |
contains a more detailed description of the limited | may obtain a free report on how your fund |
relationship MSCI has with The Vanguard Group and | voted the proxies for securities it owned |
any related funds. | during the 12 months ended June 30. |
| To get the report, visit |
| either www.vanguard.com or www.sec.gov. |
|
|
| You can review and copy information about |
| your fund at the SEC’s Public Reference |
| Room in Washington, D.C. To find out more |
| about this public service, call the SEC |
| at 202-551-8090. Information about your fund |
| is also available on the SEC’s website, and |
| you can receive copies of this information, for |
| a fee, by sending a request in either of two |
| ways: via e-mail addressed to |
| publicinfo@sec.gov or via regular mail |
| addressed to the Public Reference Section, |
| Securities and Exchange Commission, |
| Washington, DC 20549-0102. |
|
|
| © 2008 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
|
|
| Q8712 082008 |
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.
| (a) | Certifications. |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| VANGUARD INSTITUTIONAL INDEX FUNDS |
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By: | (signature) |
| (HEIDI STAM) |
| JOHN J. BRENNAN* |
| CHIEF EXECUTIVE OFFICER |
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Date: August 19, 2008 |
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 |
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By: | (signature) |
| (HEIDI STAM) |
| JOHN J. BRENNAN* |
| CHIEF EXECUTIVE OFFICER |
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Date: August 19, 2008 |
| VANGUARD INSTITUTIONAL INDEX FUNDS |
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By: | (signature) |
| (HEIDI STAM) |
| THOMAS J. HIGGINS* |
| TREASURER |
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Date: August 19, 2008 |
*By Power of Attorney. Filed on January 18, 2008, see File Number 2-29601. Incorporated by Reference.