UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-6093
Name of Registrant: Vanguard Institutional Index Funds
Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482
Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: December 31
Date of reporting period: January 1, 2010 – December 31, 2010
Item 1: Reports to Shareholders
 |
| Vanguard Institutional Index Fund |
| Annual Report |
| December 31, 2010 |
 |
> It was a volatile year for the financial markets, but U.S. stocks ended 2010 with double-digit gains.
> For the fiscal year ended December 31, 2010, Vanguard Institutional Index Fund returned about 15%, closely tracking its benchmark index.
> All ten sectors posted positive results for the period, with consumer discretionary and industrials leading the way.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Fund Profile. | 6 |
| Performance Summary. | 7 |
| Financial Statements. | 9 |
| About Your Fund’s Expenses. | 25 |
| Glossary. | 27 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
Cover photograph: Jean Maher.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2010
| Total | |
| Returns | |
| Vanguard Institutional Index Fund | |
| Institutional Shares | 15.05% |
| Institutional Plus Shares | 15.07 |
| S&P 500 Index | 15.06 |
| Large-Cap Core Funds Average | 12.86 |
| Large-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Institutional and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria.
Your Fund’s Performance at a Glance
December 31, 2009 , Through December 31, 2010
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Institutional Index Fund | ||||
| Institutional Shares | $101.98 | $115.01 | $2.120 | $0.000 |
| Institutional Plus Shares | 101.98 | 115.01 | 2.145 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
Global financial markets took a roller-coaster ride during 2010. Still, despite many ups and downs, U.S. stocks ended the year with double-digit gains. Vanguard Institutional Index Fund returned about 15% for the period, closely tracking its benchmark, the Standard & Poor’s 500 Index. The fund outperformed the average return of its large-capitalization core fund peers, which stood at about 13% for the year.
Stocks rallied as the forecast seemed to brighten
After a series of false starts, hesitations, and retreats, global stock markets finished 2010 with powerful gains. As the prospect of a double-dip recession faded, the broad U.S. stock market clambered higher, shrugging off high unemployment and distress in Europe’s debt markets to return 17.70%. Small- and mid-capitalization stocks did even better.
Outside the United States, gains were more muted, in part because Europe’s sovereign debt challenges continued to reverberate through local stock markets. Emerging markets were the best performers. Asia’s developed markets performed weakly, though the strength of the yen, the Australian dollar, and other regional currencies bolstered returns for U.S.-based investors.
2
The fixed income market reprised a familiar theme
Although U.S. Treasury securities rallied through the summer, total return tables were dominated by riskier bonds for the full 12 months, a pattern we also saw in 2009. Low interest rates and a sense that the economic recovery was gathering momentum prompted investors to seek higher yields in both high-quality and below-investment-grade corporate bonds. The broad U.S. bond market returned 6.54%. Late in the year, yields bounced off summer lows, putting pressure on bond prices. The dynamic was especially pronounced among municipal bonds.
As it has since December 2008, the Fed held its target for short-term interest rates near 0%, keeping the returns available from money market instruments such as the 3-month Treasury bill in the same neighborhood.
Gains in all sectors boosted fund returns
The year just ended was a period of slow but steady recovery for the U.S. and global economies. During 2010, the S&P 500 Index, a barometer of the market’s larger stocks, hit some rough spots, but it managed to post an impressive return of about 15% for the year. Your fund’s
| Market Barometer | |||
| Average Annual Total Returns | |||
| Periods Ended December 31, 2010 | |||
| One | Three | Five | |
| Year | Years | Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 16.10% | -2.37% | 2.59% |
| Russell 2000 Index (Small-caps) | 26.86 | 2.22 | 4.47 |
| Dow Jones U.S. Total Stock Market Index | 17.70 | -1.56 | 3.17 |
| MSCI All Country World Index ex USA (International) | 11.60 | -4.58 | 5.29 |
| Bonds | |||
| Barclays Capital U.S. Aggregate Bond Index (Broad | |||
| taxable market) | 6.54% | 5.90% | 5.80% |
| Barclays Capital Municipal Bond Index (Broad | |||
| tax-exempt market) | 2.38 | 4.08 | 4.09 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.13 | 0.69 | 2.29 |
| CPI | |||
| Consumer Price Index | 1.50% | 1.43% | 2.18% |
3
advisor, Vanguard Quantitative Equity Group, closely tracked the index’s performance, consistent with its long tradition of superior index fund management. The market’s recovery was broad-based, and all ten market sectors posted gains for the year.
The consumer discretionary sector was the index’s top performer for the period, gaining almost 28%. Improved consumer sentiment helped boost consumer stocks across the board, including holdings in media conglomerates, hotels, and restaurants. Retailers also benefited from a better-than-expected back-to-school season and signs that shoppers were opening their wallets as the holidays approached.
Stocks in the industrials sector also helped, returning almost 27% for the year. Equipment and machinery companies rose on high demand from emerging markets, most notably China, India, and Latin American countries.
Your fund benefited from double-digit gains in the energy and financial sectors. In energy, an increase in oil prices boosted gas companies, while insurance companies, commercial banks, and real estate investment trusts led the way in financials. Returns from stocks in the information technology and consumer staples sectors also helped returns.
Long-term performance has been competitive
For the ten years ended December 31, Institutional Shares of the Institutional Index Fund generated an average annual return of 1.43%. These results were in line with those of the fund’s unmanaged benchmark, the S&P 500 Index, which has no transaction costs or operating expenses. The fund significantly outperformed the –0.09% average annual result posted by its large-cap core fund peers for the same period. The peer group is mostly made up of actively managed funds, whose higher costs are a drag on performance.
Though at first glance the fund’s ten-year return may not appear impressive, keep in mind the period that it covers. This ten-year span included double-digit negative stock market returns in 2001 and 2002 as the late-1990s tech stock bubble deflated, as well as the trauma of the 2008–2009 financial crisis.
The fund’s advisor, Vanguard Quantitative Equity Group, deserves credit for the fund’s success in tracking its benchmark index—no easy feat during a period of such significant market swings. The advisor is helped in this task by the fund’s low expenses.
Focus on the future rather than the market’s swings
The past few years have been a period of ups and downs for U.S. stocks, and investors have been forced to endure the
4
market’s bumpy ride. While these times have, without a doubt, been nerve-racking, they have also been a good reminder that you shouldn’t let market swings influence your organization’s long-term investment strategy. Changes have been swift and unpredictable, potentially imposing penalties on investors who chase performance.
It’s tough to say what lies ahead for stocks in the near future. We can’t control the markets; however, we can control how we react to the market during difficult times. As always, we advise clients to develop or maintain a mix of stock, bond, and money market funds tailored to the long-term goals of your organization. We believe that the Institutional Index Fund is a suitable core investment for an institutional portfolio.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
January 11, 2011
Total Returns
Ten Years Ended December 31, 2010
| Average | |
| Annual Return | |
| Institutional Index Fund Institutional Shares | 1.43% |
| S&P 500 Index | 1.41 |
| Large-Cap Core Funds Average | -0.09 |
| Large-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at 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.
5
Institutional Index Fund
Fund Profile
As of December 31, 2010
| Share-Class Characteristics | |||
| Institutional | Institutional | ||
| Shares | Plus Shares | ||
| Ticker Symbol | VINIX | VIIIX | |
| Expense Ratio1 | 0.05% | 0.025% | |
| 30-Day SEC Yield | 1.58% | 1.60% | |
| Portfolio Characteristics | |||
| DJ | |||
| U.S. Total | |||
| S&P 500 | Market | ||
| Fund | Index | Index | |
| Number of Stocks | 503 | 500 | 3,893 |
| Median Market Cap | $47.3B | $47.3B | $29.6B |
| Price/Earnings Ratio | 17.1x | 17.1x | 18.3x |
| Price/Book Ratio | 2.2x | 2.2x | 2.2x |
| Return on Equity | 20.2% | 20.2% | 18.8% |
| Earnings Growth Rate | 6.3% | 6.3% | 6.2% |
| Dividend Yield | 1.9% | 1.9% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 4% | — | — |
| Short-Term Reserves | -0.1% | — | — |
| Sector Diversification (% of equity exposure) | |||
| DJ | |||
| U.S. Total | |||
| S&P 500 | Market | ||
| Fund | Index | Index | |
| Consumer | |||
| Discretionary | 10.6% | 10.6% | 11.9% |
| Consumer Staples | 10.6 | 10.6 | 9.5 |
| Energy | 12.0 | 12.0 | 10.6 |
| Financials | 16.1 | 16.1 | 16.6 |
| Health Care | 10.9 | 10.9 | 10.7 |
| Industrials | 10.9 | 11.0 | 11.4 |
| Information | |||
| Technology | 18.8 | 18.7 | 18.9 |
| Materials | 3.7 | 3.7 | 4.5 |
| Telecommunication | |||
| Services | 3.1 | 3.1 | 2.7 |
| Utilities | 3.3 | 3.3 | 3.2 |
| Volatility Measures | ||
| DJ | ||
| U.S. Total | ||
| S&P 500 | Market | |
| Index | Index | |
| R-Squared | 1.00 | 1.00 |
| Beta | 1.00 | 0.97 |
| These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
| Ten Largest Holdings (% of total net assets) | ||
| Exxon Mobil Corp. | Integrated Oil & | |
| Gas | 3.2% | |
| Apple Inc. | Computer | |
| Hardware | 2.6 | |
| Microsoft Corp. | Systems Software | 1.8 |
| General Electric Co. | Industrial | |
| Conglomerates | 1.7 | |
| Chevron Corp. | Integrated Oil & | |
| Gas | 1.6 | |
| International Business | IT Consulting & | |
| Machines Corp. | Other Services | 1.6 |
| Procter & Gamble Co. | Household | |
| Products | 1.6 | |
| AT&T Inc. | Integrated | |
| Telecommunication | ||
| Services | 1.5 | |
| Johnson & Johnson | Pharmaceuticals | 1.5 |
| JPMorgan Chase & Co. | Diversified Financial | |
| Services | 1.4 | |
| Top Ten | 18.5% | |
| The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated April 29, 2010. For the fiscal year ended December 31, 2010, the expense ratios were 0.05% for Institutional Shares and 0.025% for Institutional Plus Shares.
6
Institutional Index Fund
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 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.
Cumulative Performance: December 31, 2000, Through December 31, 2010
Initial Investment of $5,000,000
| Average Annual Total Returns | ||||
| Periods Ended December 31, 2010 | ||||
| Final Value | ||||
| One | Five | Ten | of a $5,000,000 | |
| Year | Years | Years | Investment | |
| Institutional Index Fund Institutional | ||||
| Shares | 15.05% | 2.32% | 1.43% | $5,762,774 |
| Dow Jones U.S. Total Stock Market | ||||
| Index | 17.70 | 3.17 | 2.64 | 6,490,386 |
| S&P 500 Index | 15.06 | 2.29 | 1.41 | 5,753,590 |
| Large-Cap Core Funds Average | 12.86 | 1.37 | -0.09 | 4,955,569 |
Large-Cap Core Funds Average: Derived from data provided by Lipper Inc.
| Final Value | ||||
| One | Five | Ten | of a $200,000,000 | |
| Year | Years | Years | Investment | |
| Institutional Index Fund Institutional | ||||
| Plus Shares | 15.07% | 2.35% | 1.46% | $231,093,215 |
| Dow Jones U.S. Total Stock Market | ||||
| Index | 17.70 | 3.17 | 2.64 | 259,615,460 |
| S&P 500 Index | 15.06 | 2.29 | 1.41 | 230,143,602 |
See Financial Highlights for dividend and capital gains information.
7
Institutional Index Fund
Fiscal-Year Total Returns (%): December 31, 2000, Through December 31, 2010
8
Institutional Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2010
The fund reports a complete list of its holdings in regulatory filings 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 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 (99.6%)1 | |||
| Consumer Discretionary (10.6%) | |||
| McDonald’s Corp. | 8,129,276 | 624,003 | |
| Walt Disney Co. | 14,570,188 | 546,528 | |
| * | Amazon.com Inc. | 2,728,392 | 491,111 |
| * | Ford Motor Co. | 28,828,689 | 484,034 |
| Comcast Corp. Class A | 20,624,076 | 453,111 | |
| Home Depot Inc. | 12,609,980 | 442,106 | |
| Target Corp. | 5,448,431 | 327,614 | |
| Time Warner Inc. | 8,535,619 | 274,591 | |
| Lowe’s Cos. Inc. | 10,618,646 | 266,316 | |
| * | DIRECTV Class A | 6,415,230 | 256,160 |
| News Corp. Class A | 17,572,040 | 255,849 | |
| NIKE Inc. Class B | 2,941,738 | 251,283 | |
| Johnson Controls Inc. | 5,189,194 | 198,227 | |
| Viacom Inc. Class B | 4,651,834 | 184,259 | |
| Starbucks Corp. | 5,702,626 | 183,225 | |
| Time Warner Cable Inc. | 2,737,344 | 180,747 | |
| Yum! Brands Inc. | 3,605,689 | 176,859 | |
| Carnival Corp. | 3,313,970 | 152,807 | |
| * | priceline.com Inc. | 377,789 | 150,946 |
| TJX Cos. Inc. | 3,045,680 | 135,198 | |
| Staples Inc. | 5,564,981 | 126,715 | |
| Coach Inc. | 2,280,669 | 126,144 | |
| * | Kohl’s Corp. | 2,249,918 | 122,260 |
| Omnicom Group Inc. | 2,318,097 | 106,169 | |
| CBS Corp. Class B | 5,239,507 | 99,813 | |
| * | Bed Bath & Beyond Inc. | 1,993,963 | 98,003 |
| Marriott International Inc. | |||
| Class A | 2,214,362 | 91,985 | |
| * | Discovery | ||
| Communications Inc. | |||
| Class A | 2,187,932 | 91,237 | |
| Starwood Hotels & | |||
| Resorts Worldwide Inc. | 1,467,104 | 89,171 | |
| Best Buy Co. Inc. | 2,541,076 | 87,133 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| McGraw-Hill Cos. Inc. | 2,362,422 | 86,016 | |
| Stanley Black & | |||
| Decker Inc. | 1,276,813 | 85,380 | |
| Macy’s Inc. | 3,258,727 | 82,446 | |
| Gap Inc. | 3,381,344 | 74,863 | |
| Fortune Brands Inc. | 1,174,188 | 70,745 | |
| Mattel Inc. | 2,761,393 | 70,222 | |
| * | O’Reilly Automotive Inc. | 1,068,873 | 64,581 |
| Harley-Davidson Inc. | 1,812,550 | 62,841 | |
| Limited Brands Inc. | 2,035,427 | 62,549 | |
| Cablevision | |||
| Systems Corp. Class A | 1,847,262 | 62,511 | |
| Genuine Parts Co. | 1,212,321 | 62,241 | |
| Tiffany & Co. | 972,738 | 60,572 | |
| Wynn Resorts Ltd. | 581,878 | 60,422 | |
| JC Penney Co. Inc. | 1,819,626 | 58,792 | |
| * | NetFlix Inc. | 333,792 | 58,647 |
| Ross Stores Inc. | 926,975 | 58,631 | |
| VF Corp. | 667,819 | 57,553 | |
| * | AutoZone Inc. | 209,495 | 57,106 |
| Polo Ralph Lauren Corp. | |||
| Class A | 497,520 | 55,185 | |
| * | CarMax Inc. | 1,730,435 | 55,166 |
| Nordstrom Inc. | 1,295,385 | 54,898 | |
| Whirlpool Corp. | 585,071 | 51,972 | |
| Darden Restaurants Inc. | 1,065,290 | 49,472 | |
| Hasbro Inc. | 1,048,125 | 49,450 | |
| Family Dollar Stores Inc. | 968,790 | 48,159 | |
| Newell Rubbermaid Inc. | 2,234,186 | 40,617 | |
| International Game | |||
| Technology | 2,294,958 | 40,598 | |
| Wyndham | |||
| Worldwide Corp. | 1,346,626 | 40,345 | |
| * | Interpublic Group | ||
| of Cos. Inc. | 3,761,359 | 39,946 | |
| Abercrombie & Fitch Co. | 676,162 | 38,967 | |
| Expedia Inc. | 1,552,238 | 38,946 |
9
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Apollo Group Inc. Class A | 976,904 | 38,578 |
| Scripps Networks | |||
| Interactive Inc. Class A | 691,290 | 35,774 | |
| * | Urban Outfitters Inc. | 988,284 | 35,390 |
| H&R Block Inc. | 2,367,731 | 28,200 | |
| Gannett Co. Inc. | 1,833,713 | 27,671 | |
| * | GameStop Corp. Class A | 1,161,838 | 26,583 |
| DR Horton Inc. | 2,153,698 | 25,694 | |
| Leggett & Platt Inc. | 1,123,923 | 25,580 | |
| *,^ | Sears Holdings Corp. | 338,729 | 24,981 |
| * | Harman International | ||
| Industries Inc. | 534,023 | 24,725 | |
| DeVry Inc. | 479,940 | 23,027 | |
| Lennar Corp. Class A | 1,224,383 | 22,957 | |
| * | Goodyear Tire & | ||
| Rubber Co. | 1,869,810 | 22,157 | |
| * | Pulte Group Inc. | 2,589,319 | 19,472 |
| Washington Post Co. | |||
| Class B | 42,275 | 18,580 | |
| * | Big Lots Inc. | 581,677 | 17,718 |
| Comcast Corp. Class A | |||
| Special Shares | 844,535 | 17,575 | |
| RadioShack Corp. | 876,298 | 16,203 | |
| *,^ | AutoNation Inc. | 490,019 | 13,818 |
| Meredith Corp. | 280,740 | 9,728 | |
| 9,347,854 | |||
| Consumer Staples (10.6%) | |||
| Procter & Gamble Co. | 21,538,150 | 1,385,549 | |
| Coca-Cola Co. | 17,866,779 | 1,175,098 | |
| Philip Morris | |||
| International Inc. | 13,960,749 | 817,123 | |
| Wal-Mart Stores Inc. | 15,074,181 | 812,951 | |
| PepsiCo Inc. | 12,194,561 | 796,671 | |
| Kraft Foods Inc. | 13,440,674 | 423,516 | |
| Altria Group Inc. | 16,064,860 | 395,517 | |
| CVS Caremark Corp. | 10,455,380 | 363,533 | |
| Colgate-Palmolive Co. | 3,714,080 | 298,501 | |
| Walgreen Co. | 7,123,425 | 277,529 | |
| Costco Wholesale Corp. | 3,326,740 | 240,224 | |
| Kimberly-Clark Corp. | 3,137,885 | 197,812 | |
| General Mills Inc. | 4,926,954 | 175,350 | |
| Archer-Daniels-Midland Co. | 4,916,248 | 147,881 | |
| Sysco Corp. | 4,502,209 | 132,365 | |
| HJ Heinz Co. | 2,468,209 | 122,078 | |
| Kroger Co. | 4,907,378 | 109,729 | |
| Kellogg Co. | 1,955,097 | 99,866 | |
| Mead Johnson | |||
| Nutrition Co. | 1,574,227 | 97,996 | |
| Avon Products Inc. | 3,302,610 | 95,974 | |
| Lorillard Inc. | 1,151,312 | 94,477 | |
| Sara Lee Corp. | 4,919,237 | 86,136 | |
| Reynolds American Inc. | 2,602,356 | 84,889 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| ConAgra Foods Inc. | 3,383,748 | 76,405 | |
| Estee Lauder Cos. Inc. | |||
| Class A | 873,889 | 70,523 | |
| Clorox Co. | 1,073,143 | 67,908 | |
| Coca-Cola Enterprises Inc. | 2,607,120 | 65,256 | |
| Safeway Inc. | 2,868,858 | 64,521 | |
| Dr Pepper Snapple | |||
| Group Inc. | 1,747,649 | 61,447 | |
| Molson Coors | |||
| Brewing Co. Class B | 1,217,422 | 61,102 | |
| JM Smucker Co. | 919,700 | 60,378 | |
| * | Whole Foods Market Inc. | 1,131,392 | 57,237 |
| Hershey Co. | 1,190,337 | 56,124 | |
| Brown-Forman Corp. | |||
| Class B | 798,693 | 55,605 | |
| Campbell Soup Co. | 1,473,952 | 51,220 | |
| McCormick & Co. Inc. | 1,023,190 | 47,609 | |
| Tyson Foods Inc. Class A | 2,293,565 | 39,495 | |
| * | Constellation Brands Inc. | ||
| Class A | 1,368,266 | 30,307 | |
| Hormel Foods Corp. | 531,570 | 27,248 | |
| SUPERVALU Inc. | 1,633,448 | 15,730 | |
| * | Dean Foods Co. | 1,402,807 | 12,401 |
| 9,351,281 | |||
| Energy (12.0%) | |||
| Exxon Mobil Corp. | 38,799,374 | 2,837,010 | |
| Chevron Corp. | 15,484,467 | 1,412,958 | |
| Schlumberger Ltd. | 10,498,176 | 876,598 | |
| ConocoPhillips | 11,304,893 | 769,863 | |
| Occidental | |||
| Petroleum Corp. | 6,252,492 | 613,369 | |
| Apache Corp. | 2,940,693 | 350,619 | |
| Anadarko Petroleum Corp. | 3,813,379 | 290,427 | |
| Halliburton Co. | 6,998,564 | 285,751 | |
| Devon Energy Corp. | 3,323,395 | 260,920 | |
| National Oilwell Varco Inc. | 3,228,958 | 217,147 | |
| Marathon Oil Corp. | 5,462,600 | 202,280 | |
| Baker Hughes Inc. | 3,318,534 | 189,721 | |
| EOG Resources Inc. | 1,954,660 | 178,675 | |
| Hess Corp. | 2,308,619 | 176,702 | |
| Peabody Energy Corp. | 2,074,903 | 132,752 | |
| Chesapeake Energy Corp. | 5,031,840 | 130,375 | |
| Spectra Energy Corp. | 4,988,000 | 124,650 | |
| Noble Energy Inc. | 1,347,395 | 115,984 | |
| Williams Cos. Inc. | 4,499,861 | 111,237 | |
| Murphy Oil Corp. | 1,480,334 | 110,359 | |
| Valero Energy Corp. | 4,357,071 | 100,736 | |
| * | Southwestern Energy Co. | 2,668,597 | 99,886 |
| * | Cameron | ||
| International Corp. | 1,866,593 | 94,692 | |
| Consol Energy Inc. | 1,737,919 | 84,706 | |
| * | FMC Technologies Inc. | 921,276 | 81,911 |
10
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Pioneer Natural | |||
| Resources Co. | 893,473 | 77,571 | |
| El Paso Corp. | 5,418,599 | 74,560 | |
| * | Newfield Exploration Co. | 1,030,258 | 74,292 |
| * | Denbury Resources Inc. | 3,075,797 | 58,717 |
| Range Resources Corp. | 1,231,857 | 55,409 | |
| * | Nabors Industries Ltd. | 2,196,305 | 51,525 |
| EQT Corp. | 1,147,818 | 51,468 | |
| QEP Resources Inc. | 1,351,567 | 49,075 | |
| Massey Energy Co. | 786,017 | 42,170 | |
| Helmerich & Payne Inc. | 815,756 | 39,548 | |
| Sunoco Inc. | 925,365 | 37,301 | |
| Diamond Offshore | |||
| Drilling Inc. | 533,587 | 35,681 | |
| * | Rowan Cos. Inc. | 968,721 | 33,818 |
| Cabot Oil & Gas Corp. | 797,907 | 30,201 | |
| * | Tesoro Corp. | 1,102,032 | 20,432 |
| 10,581,096 | |||
| Financials (16.0%) | |||
| JPMorgan Chase & Co. | 30,078,888 | 1,275,946 | |
| Wells Fargo & Co. | 40,386,139 | 1,251,566 | |
| * | Citigroup Inc. | 223,524,239 | 1,057,270 |
| Bank of America Corp. | 77,599,455 | 1,035,177 | |
| * | Berkshire Hathaway Inc. | ||
| Class B | 12,176,111 | 975,428 | |
| Goldman Sachs | |||
| Group Inc. | 3,933,779 | 661,504 | |
| US Bancorp | 14,760,550 | 398,092 | |
| American Express Co. | 8,058,364 | 345,865 | |
| Morgan Stanley | 11,640,997 | 316,751 | |
| MetLife Inc. | 6,973,555 | 309,905 | |
| Bank of New York | |||
| Mellon Corp. | 9,544,795 | 288,253 | |
| PNC Financial | |||
| Services Group Inc. | 4,045,885 | 245,666 | |
| Simon Property Group Inc. | 2,253,803 | 224,231 | |
| Prudential Financial Inc. | 3,734,684 | 219,263 | |
| Aflac Inc. | 3,626,226 | 204,628 | |
| Travelers Cos. Inc. | 3,532,252 | 196,782 | |
| State Street Corp. | 3,862,985 | 179,011 | |
| CME Group Inc. | 515,670 | 165,917 | |
| ACE Ltd. | 2,611,605 | 162,572 | |
| Capital One | |||
| Financial Corp. | 3,516,054 | 149,643 | |
| BB&T Corp. | 5,338,181 | 140,341 | |
| Chubb Corp. | 2,346,414 | 139,940 | |
| Allstate Corp. | 4,141,285 | 132,024 | |
| Charles Schwab Corp. | 7,631,135 | 130,569 | |
| T Rowe Price Group Inc. | 1,973,321 | 127,358 | |
| Franklin Resources Inc. | 1,120,407 | 124,600 | |
| AON Corp. | 2,538,704 | 116,806 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Marsh & | |||
| McLennan Cos. Inc. | 4,181,833 | 114,331 | |
| Equity Residential | 2,188,824 | 113,709 | |
| SunTrust Banks Inc. | 3,847,233 | 113,532 | |
| Ameriprise Financial Inc. | 1,908,158 | 109,814 | |
| Public Storage | 1,074,770 | 109,003 | |
| Vornado Realty Trust | 1,251,083 | 104,253 | |
| Northern Trust Corp. | 1,863,719 | 103,269 | |
| HCP Inc. | 2,803,601 | 103,144 | |
| Progressive Corp. | 5,105,684 | 101,450 | |
| Loews Corp. | 2,434,207 | 94,715 | |
| Boston Properties Inc. | 1,078,135 | 92,827 | |
| Host Hotels & | |||
| Resorts Inc. | 5,124,467 | 91,574 | |
| * | Berkshire Hathaway Inc. | ||
| Class A | 759 | 91,422 | |
| Hartford Financial | |||
| Services Group Inc. | 3,420,878 | 90,619 | |
| Fifth Third Bancorp | 6,127,578 | 89,953 | |
| Invesco Ltd. | 3,555,659 | 85,549 | |
| Principal Financial | |||
| Group Inc. | 2,465,253 | 80,269 | |
| M&T Bank Corp. | 918,685 | 79,972 | |
| Weyerhaeuser Co. | 4,124,230 | 78,072 | |
| Discover | |||
| Financial Services | 4,190,765 | 77,655 | |
| AvalonBay | |||
| Communities Inc. | 656,358 | 73,873 | |
| Lincoln National Corp. | 2,437,600 | 67,790 | |
| Regions Financial Corp. | 9,666,091 | 67,663 | |
| * | IntercontinentalExchange | ||
| Inc. | 562,956 | 67,076 | |
| Ventas Inc. | 1,208,974 | 63,447 | |
| ProLogis | 4,378,986 | 63,233 | |
| *,^ | American | ||
| International Group Inc. | 1,077,634 | 62,093 | |
| NYSE Euronext | 2,008,596 | 60,218 | |
| KeyCorp | 6,775,695 | 59,965 | |
| Unum Group | 2,440,658 | 59,113 | |
| Comerica Inc. | 1,358,227 | 57,371 | |
| Kimco Realty Corp. | 3,124,094 | 56,359 | |
| XL Group plc Class A | 2,487,495 | 54,277 | |
| Health Care REIT Inc. | 1,116,926 | 53,210 | |
| Hudson City Bancorp Inc. | 4,052,651 | 51,631 | |
| * | Genworth Financial Inc. | ||
| Class A | 3,767,886 | 49,510 | |
| * | SLM Corp. | 3,737,072 | 47,050 |
| Plum Creek | |||
| Timber Co. Inc. | 1,243,771 | 46,579 | |
| * | CB Richard | ||
| Ellis Group Inc. Class A | 2,236,505 | 45,804 |
11
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Huntington | |||
| Bancshares Inc. | 6,642,815 | 45,636 | |
| Leucadia National Corp. | 1,516,826 | 44,261 | |
| Legg Mason Inc. | 1,177,519 | 42,709 | |
| Moody’s Corp. | 1,568,122 | 41,618 | |
| People’s United | |||
| Financial Inc. | 2,839,453 | 39,781 | |
| Cincinnati Financial Corp. | 1,252,456 | 39,690 | |
| Torchmark Corp. | 614,331 | 36,700 | |
| Zions Bancorporation | 1,365,760 | 33,092 | |
| Assurant Inc. | 817,759 | 31,500 | |
| Marshall & Ilsley Corp. | 4,051,910 | 28,039 | |
| * | NASDAQ OMX Group Inc. | 1,141,653 | 27,069 |
| * | E*Trade Financial Corp. | 1,525,346 | 24,406 |
| * | First Horizon | ||
| National Corp. | 2,008,011 | 23,654 | |
| Apartment Investment & | |||
| Management Co. | 900,928 | 23,280 | |
| ^ | Federated Investors Inc. | ||
| Class B | 705,167 | 18,454 | |
| Janus Capital Group Inc. | 1,414,491 | 18,346 | |
| 14,124,737 | |||
| Health Care (10.9%) | |||
| Johnson & Johnson | 21,130,825 | 1,306,942 | |
| Pfizer Inc. | 61,631,923 | 1,079,175 | |
| Merck & Co. Inc. | 23,705,735 | 854,355 | |
| Abbott Laboratories | 11,894,289 | 569,855 | |
| * | Amgen Inc. | 7,269,984 | 399,122 |
| Bristol-Myers Squibb Co. | 13,170,670 | 348,759 | |
| Medtronic Inc. | 8,309,271 | 308,191 | |
| UnitedHealth Group Inc. | 8,463,561 | 305,619 | |
| Eli Lilly & Co. | 7,808,275 | 273,602 | |
| Baxter International Inc. | 4,483,960 | 226,978 | |
| * | Gilead Sciences Inc. | 6,247,055 | 226,393 |
| * | Express Scripts Inc. | 4,055,505 | 219,200 |
| * | Celgene Corp. | 3,621,429 | 214,171 |
| * | Medco Health | ||
| Solutions Inc. | 3,265,685 | 200,089 | |
| * | WellPoint Inc. | 3,028,737 | 172,214 |
| * | Thermo Fisher | ||
| Scientific Inc. | 3,058,520 | 169,320 | |
| Allergan Inc. | 2,366,268 | 162,492 | |
| Becton Dickinson and Co. | 1,769,527 | 149,560 | |
| * | Genzyme Corp. | 1,992,894 | 141,894 |
| Stryker Corp. | 2,628,053 | 141,126 | |
| McKesson Corp. | 1,947,349 | 137,054 | |
| * | Biogen Idec Inc. | 1,833,779 | 122,955 |
| * | St. Jude Medical Inc. | 2,638,176 | 112,782 |
| * | Agilent Technologies Inc. | 2,665,390 | 110,427 |
| Cardinal Health Inc. | 2,685,271 | 102,873 | |
| Aetna Inc. | 3,078,852 | 93,936 | |
| * | Boston Scientific Corp. | 11,697,148 | 88,547 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Zimmer Holdings Inc. | 1,519,419 | 81,562 |
| * | Life Technologies Corp. | 1,436,943 | 79,750 |
| * | Intuitive Surgical Inc. | 302,371 | 77,936 |
| CIGNA Corp. | 2,084,834 | 76,430 | |
| AmerisourceBergen Corp. | |||
| Class A | 2,126,662 | 72,562 | |
| * | Hospira Inc. | 1,285,742 | 71,603 |
| * | Humana Inc. | 1,295,305 | 70,905 |
| * | Mylan Inc. | 3,349,172 | 70,768 |
| * | Forest Laboratories Inc. | 2,197,983 | 70,292 |
| * | Laboratory Corp. of | ||
| America Holdings | 782,682 | 68,813 | |
| CR Bard Inc. | 714,980 | 65,614 | |
| * | Varian Medical | ||
| Systems Inc. | 915,717 | 63,441 | |
| Quest Diagnostics Inc. | 1,088,465 | 58,745 | |
| * | Waters Corp. | 702,893 | 54,622 |
| * | DaVita Inc. | 748,114 | 51,986 |
| * | Cerner Corp. | 548,420 | 51,957 |
| * | Watson | ||
| Pharmaceuticals Inc. | 964,403 | 49,811 | |
| * | CareFusion Corp. | 1,715,761 | 44,095 |
| DENTSPLY | |||
| International Inc. | 1,090,447 | 37,261 | |
| * | Cephalon Inc. | 577,409 | 35,638 |
| * | Coventry Health Care Inc. | 1,139,766 | 30,090 |
| * | Tenet Healthcare Corp. | 3,726,464 | 24,930 |
| PerkinElmer Inc. | 908,709 | 23,463 | |
| Patterson Cos. Inc. | 744,417 | 22,802 | |
| 9,592,707 | |||
| Industrials (10.8%) | |||
| General Electric Co. | 81,981,752 | 1,499,446 | |
| United | |||
| Technologies Corp. | 7,105,133 | 559,316 | |
| United Parcel Service Inc. | |||
| Class B | 7,609,349 | 552,287 | |
| 3M Co. | 5,500,530 | 474,696 | |
| Caterpillar Inc. | 4,883,820 | 457,419 | |
| Boeing Co. | 5,644,586 | 368,366 | |
| Union Pacific Corp. | 3,794,606 | 351,608 | |
| Emerson Electric Co. | 5,791,432 | 331,096 | |
| Honeywell | |||
| International Inc. | 6,003,148 | 319,127 | |
| Deere & Co. | 3,261,460 | 270,864 | |
| FedEx Corp. | 2,421,086 | 225,185 | |
| General Dynamics Corp. | 2,906,621 | 206,254 | |
| Illinois Tool Works Inc. | 3,816,122 | 203,781 | |
| Danaher Corp. | 4,126,321 | 194,639 | |
| CSX Corp. | 2,879,310 | 186,032 | |
| Norfolk Southern Corp. | 2,796,088 | 175,650 | |
| Cummins Inc. | 1,522,152 | 167,452 | |
| PACCAR Inc. | 2,806,295 | 161,138 | |
12
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Lockheed Martin Corp. | 2,272,348 | 158,860 | |
| Tyco International Ltd. | 3,766,216 | 156,072 | |
| Precision Castparts Corp. | 1,097,445 | 152,775 | |
| Northrop Grumman Corp. | 2,246,873 | 145,552 | |
| Waste Management Inc. | 3,661,272 | 134,991 | |
| Eaton Corp. | 1,295,100 | 131,466 | |
| Raytheon Co. | 2,784,117 | 129,016 | |
| Ingersoll-Rand plc | 2,493,242 | 117,407 | |
| Parker Hannifin Corp. | 1,241,546 | 107,145 | |
| CH Robinson | |||
| Worldwide Inc. | 1,277,590 | 102,450 | |
| Fluor Corp. | 1,375,901 | 91,167 | |
| Expeditors International | |||
| of Washington Inc. | 1,634,195 | 89,227 | |
| Goodrich Corp. | 964,810 | 84,971 | |
| Dover Corp. | 1,437,466 | 84,020 | |
| Rockwell Automation Inc. | 1,091,201 | 78,250 | |
| Southwest Airlines Co. | 5,749,128 | 74,624 | |
| ITT Corp. | 1,412,946 | 73,629 | |
| Republic Services Inc. | |||
| Class A | 2,365,552 | 70,635 | |
| Rockwell Collins Inc. | 1,207,052 | 70,323 | |
| Fastenal Co. | 1,134,554 | 67,971 | |
| WW Grainger Inc. | 446,468 | 61,662 | |
| L-3 Communications | |||
| Holdings Inc. | 871,115 | 61,405 | |
| Roper Industries Inc. | 728,579 | 55,685 | |
| * | Stericycle Inc. | 658,236 | 53,264 |
| Flowserve Corp. | 429,709 | 51,230 | |
| Textron Inc. | 2,115,562 | 50,012 | |
| * | Jacobs Engineering | ||
| Group Inc. | 970,474 | 44,496 | |
| Pall Corp. | 886,487 | 43,952 | |
| Iron Mountain Inc. | 1,540,218 | 38,521 | |
| Pitney Bowes Inc. | 1,560,586 | 37,735 | |
| Avery Dennison Corp. | 828,628 | 35,084 | |
| Masco Corp. | 2,751,283 | 34,831 | |
| Robert Half | |||
| International Inc. | 1,129,301 | 34,557 | |
| Equifax Inc. | 947,086 | 33,716 | |
| * | Quanta Services Inc. | 1,653,975 | 32,947 |
| Dun & Bradstreet Corp. | 382,282 | 31,382 | |
| RR Donnelley & Sons Co. | 1,583,321 | 27,661 | |
| Cintas Corp. | 970,186 | 27,126 | |
| Snap-On Inc. | 446,395 | 25,257 | |
| Ryder System Inc. | 398,298 | 20,966 | |
| * | Raytheon Co. | ||
| Warrants Exp. | |||
| 06/16/2011 | 20,998 | 183 | |
| 9,626,579 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Information Technology (18.6%) | |||
| * | Apple Inc. | 7,058,117 | 2,276,666 |
| Microsoft Corp. | 57,930,059 | 1,617,407 | |
| International Business | |||
| Machines Corp. | 9,559,228 | 1,402,912 | |
| * | Google Inc. Class A | 1,919,180 | 1,139,935 |
| Oracle Corp. | 29,784,285 | 932,248 | |
| Intel Corp. | 42,919,563 | 902,598 | |
| * | Cisco Systems Inc. | 42,648,491 | 862,779 |
| Hewlett-Packard Co. | 17,449,115 | 734,608 | |
| QUALCOMM Inc. | 12,447,534 | 616,028 | |
| * | EMC Corp. | 15,853,828 | 363,053 |
| Texas Instruments Inc. | 9,034,706 | 293,628 | |
| Visa Inc. Class A | 3,749,664 | 263,901 | |
| * | eBay Inc. | 8,827,985 | 245,683 |
| Corning Inc. | 12,025,820 | 232,339 | |
| Automatic Data | |||
| Processing Inc. | 3,795,219 | 175,643 | |
| * | Dell Inc. | 12,922,222 | 175,096 |
| * | Cognizant Technology | ||
| Solutions Corp. Class A | 2,335,299 | 171,154 | |
| Mastercard Inc. Class A | 745,256 | 167,019 | |
| * | Yahoo! Inc. | 10,030,174 | 166,802 |
| * | Motorola Inc. | 18,078,032 | 163,968 |
| * | NetApp Inc. | 2,781,090 | 152,849 |
| Broadcom Corp. Class A | 3,504,336 | 152,614 | |
| * | Juniper Networks Inc. | 4,025,967 | 148,639 |
| Applied Materials Inc. | 10,280,823 | 144,446 | |
| Xerox Corp. | 10,674,407 | 122,969 | |
| * | Adobe Systems Inc. | 3,914,585 | 120,491 |
| * | Salesforce.com Inc. | 910,017 | 120,122 |
| * | Intuit Inc. | 2,151,199 | 106,054 |
| * | Symantec Corp. | 5,973,325 | 99,993 |
| * | Citrix Systems Inc. | 1,445,024 | 98,854 |
| Western Union Co. | 5,046,986 | 93,722 | |
| * | SanDisk Corp. | 1,804,578 | 89,976 |
| Analog Devices Inc. | 2,298,231 | 86,574 | |
| Altera Corp. | 2,405,260 | 85,579 | |
| * | F5 Networks Inc. | 622,225 | 80,989 |
| Paychex Inc. | 2,477,067 | 76,566 | |
| CA Inc. | 2,952,822 | 72,167 | |
| Amphenol Corp. Class A | 1,343,709 | 70,921 | |
| * | NVIDIA Corp. | 4,471,057 | 68,854 |
| * | Fiserv Inc. | 1,144,494 | 67,022 |
| * | Red Hat Inc. | 1,466,639 | 66,952 |
| * | Autodesk Inc. | 1,749,915 | 66,847 |
| * | Akamai Technologies Inc. | 1,403,215 | 66,021 |
| * | BMC Software Inc. | 1,367,345 | 64,457 |
| Linear Technology Corp. | 1,734,661 | 60,002 | |
| * | Western Digital Corp. | 1,768,454 | 59,951 |
| Computer Sciences Corp. | 1,188,840 | 58,966 | |
| Xilinx Inc. | 1,994,119 | 57,790 | |
13
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Fidelity National | |||
| Information | |||
| Services Inc. | 2,038,178 | 55,826 | |
| * | McAfee Inc. | 1,186,256 | 54,935 |
| *,^ | First Solar Inc. | 415,629 | 54,090 |
| * | Teradata Corp. | 1,289,105 | 53,060 |
| * | Micron Technology Inc. | 6,593,463 | 52,880 |
| KLA-Tencor Corp. | 1,285,700 | 49,679 | |
| Microchip Technology Inc. | 1,437,788 | 49,187 | |
| Harris Corp. | 987,222 | 44,721 | |
| VeriSign Inc. | 1,323,619 | 43,243 | |
| * | Electronic Arts Inc. | 2,553,791 | 41,831 |
| * | FLIR Systems Inc. | 1,217,183 | 36,211 |
| * | Advanced Micro | ||
| Devices Inc. | 4,394,854 | 35,950 | |
| * | SAIC Inc. | 2,253,456 | 35,740 |
| Jabil Circuit Inc. | 1,504,456 | 30,224 | |
| * | LSI Corp. | 4,731,644 | 28,342 |
| National | |||
| Semiconductor Corp. | 1,838,671 | 25,300 | |
| * | JDS Uniphase Corp. | 1,708,880 | 24,745 |
| Molex Inc. | 1,060,336 | 24,091 | |
| * | Monster Worldwide Inc. | 998,105 | 23,585 |
| * | Novellus Systems Inc. | 694,236 | 22,438 |
| * | Lexmark International Inc. | ||
| Class A | 604,802 | 21,059 | |
| * | MEMC Electronic | ||
| Materials Inc. | 1,750,740 | 19,713 | |
| * | Compuware Corp. | 1,686,083 | 19,677 |
| * | Teradyne Inc. | 1,396,421 | 19,606 |
| Total System Services Inc. | 1,256,604 | 19,327 | |
| Tellabs Inc. | 2,839,988 | 19,255 | |
| * | Novell Inc. | 2,706,709 | 16,024 |
| * | QLogic Corp. | 813,263 | 13,842 |
| 16,398,435 | |||
| Materials (3.7%) | |||
| Freeport-McMoRan | |||
| Copper & Gold Inc. | 3,623,203 | 435,111 | |
| EI du Pont de | |||
| Nemours & Co. | 7,024,383 | 350,376 | |
| Dow Chemical Co. | 8,931,270 | 304,914 | |
| Monsanto Co. | 4,127,415 | 287,433 | |
| Newmont Mining Corp. | 3,794,028 | 233,067 | |
| Praxair Inc. | 2,357,525 | 225,073 | |
| Air Products & | |||
| Chemicals Inc. | 1,648,895 | 149,967 | |
| Alcoa Inc. | 7,859,936 | 120,964 | |
| Nucor Corp. | 2,429,580 | 106,464 | |
| PPG Industries Inc. | 1,254,479 | 105,464 | |
| International Paper Co. | 3,366,329 | 91,699 | |
| Ecolab Inc. | 1,786,370 | 90,069 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Cliffs Natural | |||
| Resources Inc. | 1,042,382 | 81,316 | |
| CF Industries Holdings Inc. | 547,365 | 73,976 | |
| United States Steel Corp. | 1,105,187 | 64,565 | |
| Sigma-Aldrich Corp. | 933,508 | 62,134 | |
| Sherwin-Williams Co. | 689,449 | 57,741 | |
| Eastman Chemical Co. | 555,137 | 46,676 | |
| Ball Corp. | 679,792 | 46,260 | |
| FMC Corp. | 558,321 | 44,604 | |
| Vulcan Materials Co. | 988,087 | 43,832 | |
| Allegheny Technologies Inc. | 758,791 | 41,870 | |
| * | Owens-Illinois Inc. | 1,255,815 | 38,554 |
| Airgas Inc. | 574,180 | 35,863 | |
| International Flavors & | |||
| Fragrances Inc. | 613,729 | 34,117 | |
| MeadWestvaco Corp. | 1,291,233 | 33,779 | |
| Sealed Air Corp. | 1,225,474 | 31,188 | |
| Bemis Co. Inc. | 830,413 | 27,121 | |
| AK Steel Holding Corp. | 846,914 | 13,864 | |
| * | Titanium Metals Corp. | 693,747 | 11,919 |
| 3,289,980 | |||
| Telecommunication Services (3.1%) | |||
| AT&T Inc. | 45,473,988 | 1,336,026 | |
| Verizon | |||
| Communications Inc. | 21,750,520 | 778,234 | |
| * | American Tower Corp. | ||
| Class A | 3,070,836 | 158,578 | |
| CenturyLink Inc. | 2,333,545 | 107,740 | |
| Qwest Communications | |||
| International Inc. | 13,410,308 | 102,052 | |
| * | Sprint Nextel Corp. | 22,985,552 | 97,229 |
| Frontier | |||
| Communications Corp. | 7,648,126 | 74,416 | |
| Windstream Corp. | 3,722,456 | 51,891 | |
| * | MetroPCS | ||
| Communications Inc. | 2,012,919 | 25,423 | |
| 2,731,589 | |||
| Utilities (3.3%) | |||
| Southern Co. | 6,453,271 | 246,709 | |
| Exelon Corp. | 5,089,390 | 211,922 | |
| Dominion Resources Inc. | 4,466,927 | 190,827 | |
| Duke Energy Corp. | 10,192,136 | 181,522 | |
| NextEra Energy Inc. | 3,199,879 | 166,362 | |
| PG&E Corp. | 3,016,971 | 144,332 | |
| American Electric | |||
| Power Co. Inc. | 3,695,706 | 132,972 | |
| Public Service | |||
| Enterprise Group Inc. | 3,893,169 | 123,842 | |
| Consolidated Edison Inc. | 2,235,746 | 110,826 | |
| Entergy Corp. | 1,392,167 | 98,607 | |
| Progress Energy Inc. | 2,254,185 | 98,012 | |
14
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| PPL Corp. | 3,718,959 | 97,883 | |
| Sempra Energy | 1,847,315 | 96,947 | |
| Edison International | 2,507,212 | 96,778 | |
| FirstEnergy Corp. | 2,345,767 | 86,840 | |
| Xcel Energy Inc. | 3,540,650 | 83,382 | |
| * | AES Corp. | 5,094,439 | 62,050 |
| DTE Energy Co. | 1,301,485 | 58,983 | |
| Wisconsin Energy Corp. | 899,656 | 52,954 | |
| Ameren Corp. | 1,845,730 | 52,031 | |
| CenterPoint Energy Inc. | 3,256,768 | 51,196 | |
| Constellation | |||
| Energy Group Inc. | 1,537,703 | 47,100 | |
| Oneok Inc. | 819,618 | 45,464 | |
| Northeast Utilities | 1,356,970 | 43,260 | |
| NiSource Inc. | 2,135,776 | 37,632 | |
| * | NRG Energy Inc. | 1,897,027 | 37,068 |
| SCANA Corp. | 868,972 | 35,280 | |
| CMS Energy Corp. | 1,876,936 | 34,911 | |
| Pinnacle West | |||
| Capital Corp. | 834,343 | 34,584 | |
| Allegheny Energy Inc. | 1,304,240 | 31,615 | |
| Pepco Holdings Inc. | 1,722,946 | 31,444 | |
| TECO Energy Inc. | 1,648,091 | 29,336 | |
| Integrys Energy Group Inc. | 595,459 | 28,886 | |
| Nicor Inc. | 350,557 | 17,500 | |
| 2,899,057 | |||
| Total Common Stocks | |||
| (Cost $78,703,137) | 87,943,315 | ||
| Market | ||||
| Value | ||||
| Shares | ($000) | |||
| Temporary Cash Investments (0.4%)1 | ||||
| Money Market Fund (0.4%) | ||||
| 2,3 | Vanguard Market | |||
| Liquidity Fund, | ||||
| 0.211% | 324,838,995 | 324,839 | ||
| Face | ||||
| Amount | ||||
| ($000) | ||||
| U.S. Government and Agency Obligations (0.0%) | ||||
| 4,5 | Fannie Mae | |||
| Discount Notes, | ||||
| 0.321%–0.341%, 3/1/11 | 30,000 | 29,989 | ||
| 4 | Freddie Mac | |||
| Discount Notes, | ||||
| 0.195%, 3/14/11 | 2,000 | 1,999 | ||
| 4,5 | Freddie Mac | |||
| Discount Notes, | ||||
| 0.220%, 3/15/11 | 3,000 | 2,999 | ||
| 4 | Freddie Mac | |||
| Discount Notes, | ||||
| 0.185%, 3/28/11 | 5,000 | 4,997 | ||
| 39,984 | ||||
| Total Temporary Cash Investments | ||||
| (Cost $364,818) | 364,823 | |||
| Total Investments (100.0%) | ||||
| (Cost $79,067,955) | 88,308,138 | |||
| Other Assets and Liabilities (0.0%) | ||||
| Other Assets | 634,961 | |||
| Liabilities3 | (614,591) | |||
| 20,370 | ||||
| Net Assets (100%) | 88,328,508 | |||
15
Institutional Index Fund
At December 31, 2010, net assets consisted of:
| Amount | |
| ($000) | |
| Paid-in Capital | 80,147,219 |
| Undistributed Net Investment Income | 10,218 |
| Accumulated Net Realized Losses | (1,074,543) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 9,240,183 |
| Futures Contracts | 5,431 |
| Net Assets | 88,328,508 |
| Institutional Shares—Net Assets | |
| Applicable to 475,502,119 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 54,685,567 |
| Net Asset Value Per Share— | |
| Institutional Shares | $115.01 |
| Institutional Plus Shares—Net Assets | |
| Applicable to 292,521,390 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 33,642,941 |
| Net Asset Value Per Share— | |
| Institutional Plus Shares | $115.01 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $97,296,000.
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.
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 Includes $100,487,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
5 Securities with a value of $32,988,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Institutional Index Fund
Statement of Operations
| Year Ended | |
| December 31, 2010 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 1,556,437 |
| Interest1 | 609 |
| Security Lending | 4,583 |
| Total Income | 1,561,629 |
| Expenses | |
| The Vanguard Group—Note B | |
| Management and Administrative—Institutional Shares | 23,815 |
| Management and Administrative—Institutional Plus Shares | 6,678 |
| Total Expenses | 30,493 |
| Net Investment Income | 1,531,136 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 333,864 |
| Futures Contracts | 28,827 |
| Realized Net Gain (Loss) | 362,691 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 9,243,079 |
| Futures Contracts | 4,383 |
| Change in Unrealized Appreciation (Depreciation) | 9,247,462 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 11,141,289 |
| 1 Interest income from an affiliated company of the fund was $517,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
17
Institutional Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2010 | 2009 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 1,531,136 | 1,452,497 |
| Realized Net Gain (Loss) | 362,691 | 3,285,180 |
| Change in Unrealized Appreciation (Depreciation) | 9,247,462 | 9,830,915 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 11,141,289 | 14,568,592 |
| Distributions | ||
| Net Investment Income | ||
| Institutional Shares | (973,854) | (922,489) |
| Institutional Plus Shares | (557,036) | (529,650) |
| Realized Capital Gain | ||
| Institutional Shares | — | — |
| Institutional Plus Shares | — | — |
| Total Distributions | (1,530,890) | (1,452,139) |
| Capital Share Transactions | ||
| Institutional Shares | 4,204,043 | 4,601,659 |
| Institutional Plus Shares | 5,345,988 | 2,263,207 |
| Net Increase (Decrease) from Capital Share Transactions | 9,550,031 | 6,864,866 |
| Total Increase (Decrease) | 19,160,430 | 19,981,319 |
| Net Assets | ||
| Beginning of Period | 69,168,078 | 49,186,759 |
| End of Period1 | 88,328,508 | 69,168,078 |
| 1 Net Assets—End of Period includes undistributed net investment income of $10,218,000 and $9,972,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
18
Institutional Index Fund
Financial Highlights
Institutional Shares
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $101.98 | $82.54 | $134.14 | $129.59 | $114.01 |
| Investment Operations | |||||
| Net Investment Income | 2.118 | 2.207 | 2.521 | 2.560 | 2.240 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 13.032 | 19.441 | (51.599) | 4.550 | 15.580 |
| Total from Investment Operations | 15.150 | 21.648 | (49.078) | 7.110 | 17.820 |
| Distributions | |||||
| Dividends from Net Investment Income | (2.120) | (2.208) | (2.522) | (2.560) | (2.240) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.120) | (2.208) | (2.522) | (2.560) | (2.240) |
| Net Asset Value, End of Period | $115.01 | $101.98 | $82.54 | $134.14 | $129.59 |
| Total Return | 15.05% | 26.63% | -36.95% | 5.47% | 15.78% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $54,686 | $44,401 | $31,543 | $45,847 | $45,243 |
| Ratio of Total Expenses to | |||||
| Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 2.05% | 2.56% | 2.28% | 1.90% | 1.87% |
| Portfolio Turnover Rate1 | 4% | 11% | 7% | 7% | 8% |
| 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. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
19
Institutional Index Fund
Financial Highlights
Institutional Plus Shares
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $101.98 | $82.54 | $134.14 | $129.59 | $114.01 |
| Investment Operations | |||||
| Net Investment Income | 2.144 | 2.229 | 2.548 | 2.597 | 2.269 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 13.031 | 19.441 | (51.598) | 4.548 | 15.580 |
| Total from Investment Operations | 15.175 | 21.670 | (49.050) | 7.145 | 17.849 |
| Distributions | |||||
| Dividends from Net Investment Income | (2.145) | (2.230) | (2.550) | (2.595) | (2.269) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.145) | (2.230) | (2.550) | (2.595) | (2.269) |
| Net Asset Value, End of Period | $115.01 | $101.98 | $82.54 | $134.14 | $129.59 |
| Total Return | 15.07% | 26.66% | -36.94% | 5.50% | 15.81% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $33,643 | $24,767 | $17,643 | $25,776 | $20,294 |
| Ratio of Total Expenses to | |||||
| Average Net Assets | 0.025% | 0.025% | 0.025% | 0.025% | 0.025% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 2.08% | 2.59% | 2.30% | 1.93% | 1.90% |
| Portfolio Turnover Rate1 | 4% | 11% | 7% | 7% | 8% |
| 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. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
20
Institutional Index Fund
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 con siders 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 for all open federal income tax years (December 31, 2007–2010), 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 fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
21
Institutional Index Fund
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. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value 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 December 31, 2010, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 87,943,315 | — | — |
| Temporary Cash Investments | 324,839 | 39,984 | — |
| Futures Contracts—Liabilities1 | (427) | — | — |
| Total | 88,267,727 | 39,984 | — |
| 1 Represents variation margin on the last day of the reporting period. | |||
D. At December 31, 2010, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| S&P 500 Index | March 2011 | 827 | 259,058 | 5,088 |
| E-mini S&P 500 Index | March 2011 | 1,563 | 97,922 | 343 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
22
Institutional Index Fund
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended December 31, 2010, the fund realized $93,221,000 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.
For tax purposes, at December 31, 2010, the fund had $9,782,000 of ordinary income available for distribution. The fund had available capital loss carryforwards totaling $764,352,000 to offset future net capital gains of $53,338,000 through December 31, 2014, $54,429,000 through December 31, 2015, and $656,585,000 through December 31, 2016. In addition, the fund realized losses of $65,870,000 during the period from November 1, 2010, through December 31, 2010, which are deferred and will be treated as realized for tax purposes in fiscal 2011.
At December 31, 2010, the cost of investment securities for tax purposes was $79,306,408,000. Net unrealized appreciation of investment securities for tax purposes was $9,001,730,000, consisting of unrealized gains of $17,992,600,000 on securities that had risen in value since their purchase and $8,990,870,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2010, the fund purchased $12,708,805,000 of investment securities and sold $3,188,813,000 of investment securities, other than temporary cash investments.
G. Capital share transactions for each class of shares were:
| Year Ended December 31, | ||||
| 2010 | 2009 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Institutional Shares | ||||
| Issued | 11,900,740 | 113,680 | 10,784,824 | 125,715 |
| Issued in Lieu of Cash Distributions | 899,134 | 8,464 | 832,657 | 9,266 |
| Redeemed | (8,595,831) | (82,033) | (7,015,822) | (81,732) |
| Net Increase (Decrease)—Institutional Shares | 4,204,043 | 40,111 | 4,601,659 | 53,249 |
| Institutional Plus Shares | ||||
| Issued | 8,059,479 | 75,663 | 5,888,812 | 71,004 |
| Issued in Lieu of Cash Distributions | 540,349 | 5,079 | 509,495 | 5,659 |
| Redeemed | (3,253,840) | (31,078) | (4,135,100) | (47,550) |
| Net Increase (Decrease)—Institutional Plus Shares | 5,345,988 | 49,664 | 2,263,207 | 29,113 |
H. In preparing the financial statements as of December 31, 2010, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
23
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Institutional Index Funds and the Shareholders of Vanguard Institutional Index Fund:
In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Institutional Index Fund (constituting a separate portfolio of Vanguard Institutional Index Funds, hereafter referred to as the “Fund”) at December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conduc ted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2010 by correspondence with the custodian and broker and by agreement to the underlying ownership records of Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 8, 2011
| Special 2010 tax information (unaudited) for Vanguard Institutional Index Fund |
This information for the fiscal year ended December 31, 2010, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $1,530,890,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 98.8% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
24
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect 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.
25
Six Months Ended December 31, 2010
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Institutional Index Fund | 6/30/2010 | 12/31/2010 | Period |
| Based on Actual Fund Return | |||
| Institutional Shares | $1,000.00 | $1,232.52 | $0.28 |
| Institutional Plus Shares | 1,000.00 | 1,232.67 | 0.14 |
| Based on Hypothetical 5% Yearly Return | |||
| Institutional Shares | $1,000.00 | $1,024.95 | $0.26 |
| Institutional Plus Shares | 1,000.00 | 1,025.08 | 0.13 |
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.
26
Glossary
30-Day SEC 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.
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). 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.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
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.
27
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.
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.
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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. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 179 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
| Interested Trustee1 | Amy Gutmann |
| Born 1949. Trustee Since June 2006. Principal | |
| F. William McNabb III | Occupation(s) During the Past Five Years: President |
| Born 1957. Trustee Since July 2009. Chairman of the | of the University of Pennsylvania; Christopher H. |
| Board. Principal Occupation(s) During the Past Five | Browne Distinguished Professor of Political Science |
| Years: Chairman of the Board of The Vanguard Group, | in the School of Arts and Sciences with secondary |
| Inc., and of each of the investment companies served | appointments at the Annenberg School for Commu- |
| by The Vanguard Group, since January 2010; Director | nication and the Graduate School of Education |
| of The Vanguard Group since 2008; Chief Executive | of the University of Pennsylvania; Director of |
| Officer and President of The Vanguard Group and of | Carnegie Corporation of New York, Schuylkill River |
| each of the investment companies served by The | Development Corporation, and Greater Philadelphia |
| Vanguard Group since 2008; Director of Vanguard | Chamber of Commerce; Trustee of the National |
| Marketing Corporation; Managing Director of The | Constitution Center; Chair of the Presidential |
| Vanguard Group (1995–2008). | Commission for the Study of Bioethical Issues. |
| JoAnn Heffernan Heisen | |
| Independent Trustees | Born 1950. Trustee Since July 1998. Principal |
| Occupation(s) During the Past Five Years: Corporate | |
| Emerson U. Fullwood | Vice President and Chief Global Diversity Officer |
| Born 1948. Trustee Since January 2008. Principal | since 2006 (retired 2008) and Member of the |
| Occupation(s) During the Past Five Years: Executive | Executive Committee (retired 2008) of Johnson & |
| Chief Staff and Marketing Officer for North America | Johnson (pharmaceuticals/consumer products); Vice |
| and Corporate Vice President (retired 2008) of Xerox | President and Chief Information Officer of Johnson & |
| Corporation (document management products and | Johnson (1997–2005); Director of the University |
| services); Director of SPX Corporation (multi-industry | Medical Center at Princeton and Women’s Research |
| manufacturing), the United Way of Rochester, | and Education Institute; Member of the Advisory |
| Amerigroup Corporation (managed health care), | Board of the Maxwell School of Citizenship and Public |
| the University of Rochester Medical Center, and | Affairs at Syracuse University. |
| Monroe Community College Foundation. | |
| F. Joseph Loughrey | |
| Rajiv L. Gupta | Born 1949. Trustee Since October 2009. Principal |
| Born 1945. Trustee Since December 2001.2 | Occupation(s) During the Past Five Years: President |
| Principal Occupation(s) During the Past Five Years: | and Chief Operating Officer since 2005 (retired 2009) |
| Chairman and Chief Executive Officer (retired 2009) | and Vice Chairman of the Board (2008–2009) of |
| and President (2006–2008) of Rohm and Haas Co. | Cummins Inc. (industrial machinery); Director of |
| (chemicals); Director of Tyco International, Ltd. | SKF AB (industrial machinery), Hillenbrand, Inc. |
| (diversified manufacturing and services) and Hewlett- | (specialized consumer services), Sauer-Danfoss Inc. |
| Packard Co. (electronic computer manufacturing); | (machinery), the Lumina Foundation for Education, |
| Trustee of The Conference Board; Member of the | and Oxfam America; Chairman of the Advisory |
| Board of Managers of Delphi Automotive LLP | Council for the College of Arts and Letters at the |
| (automotive components). | University of Notre Dame. |
| André F. Perold | Kathryn J. Hyatt | |
| Born 1952. Trustee Since December 2004. Principal | Born 1955. Treasurer Since November 2008. Principal | |
| Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Principal | |
| Gund Professor of Finance and Banking at the Harvard | of The Vanguard Group, Inc.; Treasurer of each of | |
| Business School; Chair of the Investment Committee | the investment companies served by The Vanguard | |
| of HighVista Strategies LLC (private investment firm). | Group since 2008; Assistant Treasurer of each of the | |
| investment companies served by The Vanguard Group | ||
| Alfred M. Rankin, Jr. | (1988–2008). | |
| Born 1941. Trustee Since January 1993. Principal | ||
| Occupation(s) During the Past Five Years: Chairman, | Heidi Stam | |
| President, and Chief Executive Officer of NACCO | Born 1956. Secretary Since July 2005. Principal | |
| Industries, Inc. (forklift trucks/housewares/lignite); | Occupation(s) During the Past Five Years: Managing | |
| Director of Goodrich Corporation (industrial products/ | Director of The Vanguard Group, Inc., since 2006; | |
| aircraft systems and services); Chairman of the | General Counsel of The Vanguard Group since 2005; | |
| Federal Reserve Bank of Cleveland; Trustee of The | Secretary of The Vanguard Group and of each of the | |
| Cleveland Museum of Art. | investment companies served by The Vanguard Group | |
| since 2005; Director and Senior Vice President of | ||
| Peter F. Volanakis | Vanguard Marketing Corporation since 2005; | |
| Born 1955. Trustee Since July 2009. Principal | Principal of The Vanguard Group (1997–2006). | |
| Occupation(s) During the Past Five Years: President | ||
| since 2007 and Chief Operating Officer since 2005 | ||
| of Corning Incorporated (communications equipment); | Vanguard Senior Management Team | |
| President of Corning Technologies (2001–2005); | ||
| Director of Corning Incorporated and Dow Corning; | R. Gregory Barton | Michael S. Miller |
| Trustee of the Corning Incorporated Foundation and | Mortimer J. Buckley | James M. Norris |
| the Corning Museum of Glass; Overseer of the | Kathleen C. Gubanich | Glenn W. Reed |
| Amos Tuck School of Business Administration at | Paul A. Heller | George U. Sauter |
| Dartmouth College. | ||
| Chairman Emeritus and Senior Advisor | ||
| Executive Officers | ||
| John J. Brennan | ||
| Glenn Booraem | Chairman, 1996–2009 | |
| Born 1967. Controller Since July 2010. Principal | Chief Executive Officer and President, 1996–2008 | |
| Occupation(s) During the Past Five Years: Principal | ||
| of The Vanguard Group, Inc.; Controller of each of | ||
| the investment companies served by The Vanguard | Founder | |
| Group since 2010; Assistant Controller of each of | ||
| the investment companies served by The Vanguard | John C. Bogle | |
| Group (2001–2010). | Chairman and Chief Executive Officer, 1974–1996 | |
| Thomas J. Higgins | ||
| Born 1957. Chief Financial Officer Since September | ||
| 2008. Principal Occupation(s) During the Past Five | ||
| Years: Principal of The Vanguard Group, Inc.; Chief | ||
| Financial Officer of each of the investment companies | ||
| served by The Vanguard Group since 2008; Treasurer | ||
| of each of the investment companies served by The | ||
| Vanguard Group (1998–2008). | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
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| Vanguard Marketing Corporation, Distributor. | |
| Q940 022011 | |
 |
| Vanguard Institutional Total Stock |
| Market Index Fund Annual Report |
| December 31, 2010 |
 |
> Vanguard Institutional Total Stock Market Index Fund closely tracked the 17.28% return of its benchmark index in 2010.
> Consumer discretionary and industrial stocks, two sectors that are keenly sensitive to the rhythms of the business cycle, posted especially strong returns.
> The fund has outpaced the average returns of its peer group, which consists largely of actively managed funds, over the past year and over the near-decade since the fund’s inception.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Fund Profile. | 7 |
| Performance Summary. | 8 |
| Financial Statements. | 10 |
| About Your Fund’s Expenses. | 58 |
| Glossary. | 60 |
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 front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
Cover photograph: Jean Maher.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2010
| Total | |
| Returns | |
| Vanguard Institutional Total Stock Market Index Fund | |
| Institutional Shares | 17.28% |
| Institutional Plus Shares | 17.25 |
| MSCI US Broad Market Index | 17.28 |
| Multi-Cap Core Funds Average | 15.55 |
| Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Institutional and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria.
Your Fund’s Performance at a Glance
December 31, 2009 , Through December 31, 2010
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Institutional Total Stock Market Index | ||||
| Fund | ||||
| Institutional Shares | $24.80 | $28.54 | $0.496 | $0.000 |
| Institutional Plus Shares | 24.81 | 28.54 | 0.501 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
The first half of 2010 was marked by uncertainty about the strength of the global economic recovery and the sovereign-debt crisis in Europe. As evidence of a solid economic rebound mounted, and as plans to aid struggling countries in Europe materialized, the market posted robust gains in the second half of the year.
Vanguard Institutional Total Stock Market Index Fund closely tracked the performance of its benchmark, the MSCI US Broad Market Index, which posted a 17.28% gain for 2010. The average return of the multicap core funds, which consist largely of actively managed and individualinvestororiented funds, was 15.55%.
Stocks rallied as the forecast seemed to brighten
After a series of false starts, hesitations, and retreats, global stock markets finished 2010 with powerful gains. As the prospect of a doubledip recession faded, the broad U.S. stock market clambered higher, shrugging off high unemployment and distress in Europe’s debt markets to return more than 17%. Small and mid capitalization stocks did even better.
2
Outside the United States, gains were more muted, in part because Europe’s sovereigndebt challenges continued to reverberate through local stock markets. Emerging markets were the best performers. Asia’s developed markets performed weakly, though the strength of the yen, the Australian dollar, and other regional currencies bolstered returns for U.S.based investors.
The fixed income market reprised a familiar theme
Although U.S. Treasury securities rallied through the summer, total return tables were dominated by riskier bonds for the full 12 months, a pattern we also saw in 2009. Low interest rates and a sense that the economic recovery was gathering momentum prompted investors to seek higher yields in both highquality and belowinvestmentgrade corporate bonds. The broad U.S. bond market returned 6.54%. Late in the year, yields bounced off summer lows, putting pressure on bond prices. The dynamic was especially pronounced among municipal bonds.
As it has since December 2008, the Fed held its target for shortterm interest rates near 0%, keeping the returns available from money market instruments such as the 3month Treasury bill in the same neighborhood.
Market Barometer
| Average Annual Total Returns | |||
| Periods Ended December 31, 2010 | |||
| One | Three | Five | |
| Year | Years | Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 16.10% | -2.37% | 2.59% |
| Russell 2000 Index (Small-caps) | 26.86 | 2.22 | 4.47 |
| Dow Jones U.S. Total Stock Market Index | 17.70 | -1.56 | 3.17 |
| MSCI All Country World Index ex USA (International) | 11.60 | -4.58 | 5.29 |
| Bonds | |||
| Barclays Capital U.S. Aggregate Bond Index (Broad | |||
| taxable market) | 6.54% | 5.90% | 5.80% |
| Barclays Capital Municipal Bond Index (Broad | |||
| tax-exempt market) | 2.38 | 4.08 | 4.09 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.13 | 0.69 | 2.29 |
| CPI | |||
| Consumer Price Index | 1.50% | 1.43% | 2.18% |
3
Most market sectors displayed signs of strength during the year
Vanguard Institutional Total Stock Market Index Fund, designed to track the performance of the broad U.S. market, was bolstered by an apparent acceleration of the U.S. economic recovery. As fears faded that the U.S. would slip back into recession, and as the prospects for an uptick in consumer spending and in business investment brightened, the market enjoyed a strong rally.
Gains were broadbased, with all but the health care and utilities sectors posting doubledigit returns. Consumer discretionary and industrial stocks turned in the best performances.
Consumer discretionary stocks gained more than 30% for the period. The economic recovery and a rebound in advertising helped power strong performance by media stocks. And with consumer spending showing signs of improvement, restaurants and hotels, resorts, and cruise lines posted major gains.
Stocks in the industrial sector were close behind, returning about 27%. Machinery stocks, which were hit hard in the recession, continued to benefit from the ongoing U.S. recovery. Shares of companies that make and sell construction and farm machinery and heavy trucks saw outsized returns, a consequence, perhaps, of the global boom in prices for agricultural products. Energy and materials stocks also delivered impressive gains.
Financial stocks rose as banks, brokerages, and insurance companies continued to put some distance between the financial crisis and their financial statements. Insurance stocks, in particular, saw healthy returns. And despite a high number of bank failures during the year, commercial banks overall posted good returns as credit quality for most of the group continued to show gradual improvement.
The utilities and health care sectors produced more pedestrian returns. A variety of companyspecific concerns weighed on the big pharmaceutical companies and medicalequipment makers, while the sluggish economic expansion left power producers with idle capacity.
Since its inception in 2001, the Institutional Total Stock Market Index Fund has produced returns closely in line with those of its target benchmark. Such tight index tracking is the definition of success for an index fund manager. The goal is simple, but the task can be challenging, especially when economic drama and financial shocks rattle the markets, as they have in recent years.
4
The fund’s success in tracking its index is a testament to the expertise and experience of the advisor, Vanguard Quantitative Equity Group. Drawing on more than 30 years of experience, this group of professionals uses wellhoned portfolio construction and trading methodologies that have allowed Vanguard to provide effective indextracking fund management regardless of the market’s volatility or direction. The fund has also benefited from its low costs, which close the gap between index results and your results.
A tough decade demands perspective from investors
Although neither the Institutional Total Stock Market Index Fund nor most other equity funds have helped investors create significant wealth since 2001, it is critical to put the returns in perspective. This decade was among the worst in U.S. stock market history. Investors who are willing to weather these sometimes longlasting storms can keep themselves in position to earn better returns when the stock market recovers, as it has over the past two years.
Total Returns
Inception Through December 31, 2010
| Average | |
| Annual Return | |
| Institutional Total Stock Market Index Fund Institutional Shares (Returns since inception: | |
| 8/31/2001) | 4.35% |
| Spliced Institutional Total Stock Market Index | 4.29 |
| Multi-Cap Core Funds Average | 3.30 |
Spliced Institutional Total Stock Market Index: Dow Jones Wilshire 5000 Index through April 8, 2005; MSCI US Broad Market Index thereafter. Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc.
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at 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.
5
The key to waiting out the storm is to resist impulses such as the often counterproductive urge to flee when markets turn rough. Balance and diversification, which can blunt the impact of downturns, are useful allies in this struggle. That is why Vanguard counsels our clients to build a diversified portfolio of stock, bond, and money market funds tailored to their institution’s goals. Vanguard Institutional Total Stock Market Index Fund can serve as a core holding in a welldiversified institutional portfolio.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
January 18, 2011
6
Institutional Total Stock Market Index Fund
Fund Profile
As of December 31, 2010
| Share-Class Characteristics | ||
| Institutional | Institutional | |
| Shares | Plus Shares | |
| Ticker Symbol | VITNX | VITPX |
| Expense Ratio1 | 0.045% | 0.025% |
| 30-Day SEC Yield | 1.48% | 1.50% |
| Portfolio Characteristics | ||
| MSCI US | ||
| Broad Market | ||
| Fund | Index | |
| Number of Stocks | 3,414 | 3,490 |
| Median Market Cap | $29.7B | $29.7B |
| Price/Earnings Ratio | 18.1x | 18.1x |
| Price/Book Ratio | 2.2x | 2.2x |
| Return on Equity | 18.8% | 18.7% |
| Earnings Growth Rate | 6.2% | 6.2% |
| Dividend Yield | 1.7% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% |
| Turnover Rate | 14% | — |
| Short-Term Reserves | 0.1% | — |
| Sector Diversification (% of equity exposure) | ||
| MSCI US | ||
| Broad Market | ||
| Fund | Index | |
| Consumer Discretionary | 11.5% | 11.5% |
| Consumer Staples | 9.2 | 9.1 |
| Energy | 11.3 | 11.3 |
| Financials | 16.3 | 16.3 |
| Health Care | 11.2 | 11.2 |
| Industrials | 11.5 | 11.5 |
| Information Technology | 18.6 | 18.7 |
| Materials | 4.2 | 4.2 |
| Telecommunication | ||
| Services | 2.8 | 2.8 |
| Utilities | 3.4 | 3.4 |
| Volatility Measures | ||
| MSCI US | ||
| Broad Market | ||
| Index | ||
| R-Squared | 1.00 | |
| Beta | 1.00 | |
| These measures show the degree and timing of the fund’s fluctuations compared with the index over 36 months. | ||
| Ten Largest Holdings (% of total net assets) | ||
| Exxon Mobil Corp. | Integrated Oil & | |
| Gas | 2.6% | |
| Apple Inc. | Computer | |
| Hardware | 2.1 | |
| Microsoft Corp. | Systems Software | 1.5 |
| General Electric Co. | Industrial | |
| Conglomerates | 1.4 | |
| International Business | IT Consulting & | |
| Machines Corp. | Other Services | 1.3 |
| Chevron Corp. | Integrated Oil & | |
| Gas | 1.3 | |
| Procter & Gamble Co. | Household | |
| Products | 1.3 | |
| AT&T Inc. | Integrated | |
| Telecommunication | ||
| Services | 1.2 | |
| Johnson & Johnson | Pharmaceuticals | 1.2 |
| JPMorgan Chase & Co. | Diversified Financial | |
| Services | 1.2 | |
| Top Ten | 15.1% | |
| The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated April 29, 2010. For the fiscal year ended December 31, 2010, the expense ratios were 0.045% for Institutional Shares and 0.025% for Institutional Plus Shares.
7
Institutional Total Stock Market Index Fund
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 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.
Cumulative Performance: August 31, 2001, Through December 31, 2010
Initial Investment of $100,000,000
| Average Annual Total Returns | ||||
| Periods Ended December 31, 2010 | ||||
| Since | Final Value | |||
| One | Five | Inception | of a $100,000,000 | |
| Year | Years | (8/31/2001) | Investment | |
| Institutional Total Stock Market Index | ||||
| Fund Institutional Shares | 17.28% | 3.11% | 4.35% | $148,786,878 |
| Spliced Institutional Total Stock Market | ||||
| Index | 17.28 | 3.04 | 4.29 | 147,998,470 |
| Multi-Cap Core Funds Average | 15.55 | 2.14 | 3.30 | 135,448,475 |
Spliced Institutional Total Stock Market Index: Dow Jones Wilshire 5000 Index through April 8, 2005; MSCI US Broad Market Index thereafter. Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
| Since | Final Value | |||
| One | Five | Inception | of a $200,000,000 | |
| Year | Years | (5/31/2001) | Investment | |
| Institutional Total Stock Market | ||||
| Index Fund Institutional Plus Shares | 17.25% | 3.13% | 3.23% | $271,169,851 |
| Spliced Institutional Total Stock | ||||
| Market Index | 17.28 | 3.04 | 3.14 | 268,909,005 |
"Since Inception" performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
8
Institutional Total Stock Market Index Fund
Fiscal-Year Total Returns (%): August 31, 2001, Through December 31, 2010
9
Institutional Total Stock Market Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2010
The fund reports a complete list of its holdings in regulatory filings 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 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 (11.4%) | |||
| McDonald’s Corp. | 1,134,085 | 87,052 | |
| Walt Disney Co. | 1,935,898 | 72,616 | |
| * | Amazon.com Inc. | 381,706 | 68,707 |
| Home Depot Inc. | 1,790,362 | 62,770 | |
| Comcast Corp. Class A | 2,770,826 | 60,875 | |
| * | Ford Motor Co. | 3,230,032 | 54,232 |
| Target Corp. | 730,237 | 43,909 | |
| Time Warner Inc. | 1,197,830 | 38,534 | |
| Lowe’s Cos. Inc. | 1,495,193 | 37,499 | |
| * | DIRECTV Class A | 923,512 | 36,876 |
| News Corp. Class A | 2,407,769 | 35,057 | |
| NIKE Inc. Class B | 395,723 | 33,803 | |
| Johnson Controls Inc. | 717,459 | 27,407 | |
| Starbucks Corp. | 788,602 | 25,338 | |
| Time Warner Cable Inc. | 378,700 | 25,006 | |
| Yum! Brands Inc. | 497,620 | 24,408 | |
| Viacom Inc. Class B | 592,669 | 23,476 | |
| Carnival Corp. | 489,250 | 22,559 | |
| * | General Motors Co. | 559,427 | 20,620 |
| * | priceline.com Inc. | 51,555 | 20,599 |
| TJX Cos. Inc. | 434,769 | 19,299 | |
| Staples Inc. | 777,926 | 17,713 | |
| Coach Inc. | 317,011 | 17,534 | |
| * | Kohl’s Corp. | 311,796 | 16,943 |
| * | Las Vegas Sands Corp. | 352,048 | 16,177 |
| Omnicom Group Inc. | 321,105 | 14,707 | |
| * | Bed Bath & Beyond Inc. | 281,288 | 13,825 |
| Best Buy Co. Inc. | 377,643 | 12,949 | |
| Marriott International Inc. | |||
| Class A | 309,276 | 12,847 | |
| CBS Corp. Class B | 671,221 | 12,787 | |
| Starwood Hotels & Resorts | |||
| Worldwide Inc. | 202,824 | 12,328 | |
| McGraw-Hill Cos. Inc. | 329,524 | 11,998 | |
| Macy’s Inc. | 449,990 | 11,385 | |
| Stanley Black & Decker Inc. | 167,800 | 11,221 | |
| Gap Inc. | 485,894 | 10,758 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Fortune Brands Inc. | 162,367 | 9,783 | |
| Mattel Inc. | 383,856 | 9,761 | |
| * | Liberty Media Corp. - | ||
| Interactive | 605,807 | 9,554 | |
| Virgin Media Inc. | 335,938 | 9,151 | |
| Limited Brands Inc. | 294,514 | 9,050 | |
| Cablevision Systems Corp. | |||
| Class A | 266,778 | 9,028 | |
| * | O’Reilly Automotive Inc. | 147,908 | 8,937 |
| Wynn Resorts Ltd. | 85,659 | 8,895 | |
| * | BorgWarner Inc. | 121,499 | 8,792 |
| Harley-Davidson Inc. | 250,940 | 8,700 | |
| Genuine Parts Co. | 167,866 | 8,618 | |
| Tiffany & Co. | 135,653 | 8,447 | |
| * | NetFlix Inc. | 47,394 | 8,327 |
| Ross Stores Inc. | 130,281 | 8,240 | |
| * | AutoZone Inc. | 30,068 | 8,196 |
| VF Corp. | 92,157 | 7,942 | |
| Nordstrom Inc. | 186,797 | 7,916 | |
| Polo Ralph Lauren Corp. | |||
| Class A | 69,318 | 7,689 | |
| * | CarMax Inc. | 238,591 | 7,606 |
| * | Dollar Tree Inc. | 135,430 | 7,595 |
| Autoliv Inc. | 94,396 | 7,452 | |
| JC Penney Co. Inc. | 226,980 | 7,334 | |
| Whirlpool Corp. | 81,177 | 7,211 | |
| * | Chipotle Mexican Grill Inc. | ||
| Class A | 33,177 | 7,055 | |
| * | Royal Caribbean | ||
| Cruises Ltd. | 149,283 | 7,016 | |
| * | Sirius XM Radio Inc. | 4,148,633 | 6,804 |
| Family Dollar Stores Inc. | 134,484 | 6,685 | |
| Darden Restaurants Inc. | 140,497 | 6,525 | |
| Hasbro Inc. | 134,441 | 6,343 | |
| * | Discovery | ||
| Communications Inc. | |||
| Class A | 145,457 | 6,066 | |
| Advance Auto Parts Inc. | 89,728 | 5,936 | |
| * | TRW Automotive | ||
| Holdings Corp. | 110,510 | 5,824 |
10
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Wyndham Worldwide Corp. | 190,810 | 5,717 | |
| International Game | |||
| Technology | 317,368 | 5,614 | |
| * | Apollo Group Inc. Class A | 140,947 | 5,566 |
| Expedia Inc. | 221,226 | 5,551 | |
| * | Discovery | ||
| Communications Inc. | 150,942 | 5,538 | |
| * | Interpublic Group of | ||
| Cos. Inc. | 521,212 | 5,535 | |
| Abercrombie & Fitch Co. | 93,957 | 5,415 | |
| Newell Rubbermaid Inc. | 296,279 | 5,386 | |
| * | MGM Resorts International | 360,149 | 5,348 |
| * | Lear Corp. | 52,713 | 5,203 |
| * | Urban Outfitters Inc. | 143,488 | 5,138 |
| PetSmart Inc. | 126,638 | 5,043 | |
| Scripps Networks | |||
| Interactive Inc. Class A | 97,120 | 5,026 | |
| * | Liberty Media Corp. - Capital | 76,803 | 4,805 |
| * | Liberty Global Inc. Class A | 127,657 | 4,517 |
| Phillips-Van Heusen Corp. | 70,833 | 4,463 | |
| Gentex Corp. | 149,557 | 4,421 | |
| * | DISH Network Corp. | ||
| Class A | 223,722 | 4,398 | |
| Comcast Corp. Class A | |||
| Special Shares | 209,395 | 4,358 | |
| * | NVR Inc. | 5,916 | 4,088 |
| * | Fossil Inc. | 57,403 | 4,046 |
| * | Signet Jewelers Ltd. | 91,667 | 3,978 |
| * | Liberty Global Inc. | 116,355 | 3,943 |
| H&R Block Inc. | 329,832 | 3,928 | |
| ^ | Garmin Ltd. | 124,441 | 3,856 |
| Gannett Co. Inc. | 255,280 | 3,852 | |
| Tractor Supply Co. | 77,703 | 3,768 | |
| Williams-Sonoma Inc. | 103,615 | 3,698 | |
| DR Horton Inc. | 304,882 | 3,637 | |
| * | Dick’s Sporting Goods Inc. | 96,708 | 3,627 |
| Leggett & Platt Inc. | 156,184 | 3,555 | |
| * | Mohawk Industries Inc. | 62,100 | 3,525 |
| * | GameStop Corp. Class A | 152,409 | 3,487 |
| *,^ | Sears Holdings Corp. | 47,256 | 3,485 |
| * | Liberty Media Corp. - Starz | 52,111 | 3,464 |
| * | Harman International | ||
| Industries Inc. | 74,347 | 3,442 | |
| * | Lululemon Athletica Inc. | 49,322 | 3,375 |
| * | Dollar General Corp. | 108,940 | 3,341 |
| * | LKQ Corp. | 144,820 | 3,290 |
| * | Deckers Outdoor Corp. | 41,156 | 3,282 |
| Foot Locker Inc. | 166,449 | 3,266 | |
| DeVry Inc. | 67,832 | 3,255 | |
| Sotheby’s | 71,355 | 3,211 | |
| Tupperware Brands Corp. | 67,241 | 3,205 | |
| * | Panera Bread Co. Class A | 31,628 | 3,201 |
| Guess? Inc. | 64,766 | 3,065 | |
| Jarden Corp. | 97,575 | 3,012 | |
| * | Goodyear Tire & Rubber Co. | 247,519 | 2,933 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| American Eagle | |||
| Outfitters Inc. | 198,396 | 2,903 | |
| * | Toll Brothers Inc. | 149,963 | 2,849 |
| * | Tempur-Pedic | ||
| International Inc. | 70,875 | 2,839 | |
| * | WMS Industries Inc. | 61,964 | 2,803 |
| * | J Crew Group Inc. | 64,601 | 2,787 |
| Washington Post Co. | |||
| Class B | 6,324 | 2,779 | |
| * | Pulte Group Inc. | 367,377 | 2,763 |
| * | Big Lots Inc. | 86,726 | 2,642 |
| Polaris Industries Inc. | 33,825 | 2,639 | |
| * | Tenneco Inc. | 64,051 | 2,636 |
| * | Warnaco Group Inc. | 47,764 | 2,630 |
| Lennar Corp. Class A | 139,218 | 2,610 | |
| * | Hanesbrands Inc. | 102,003 | 2,591 |
| * | Dana Holding Corp. | 150,276 | 2,586 |
| * | Penn National Gaming Inc. | 70,614 | 2,482 |
| RadioShack Corp. | 133,785 | 2,474 | |
| * | Lamar Advertising Co. | ||
| Class A | 61,998 | 2,470 | |
| * | Aeropostale Inc. | 99,972 | 2,463 |
| * | Bally Technologies Inc. | 57,643 | 2,432 |
| Chico’s FAS Inc. | 191,904 | 2,309 | |
| * | ITT Educational | ||
| Services Inc. | 35,964 | 2,291 | |
| Brinker International Inc. | 109,094 | 2,278 | |
| ^ | Strayer Education Inc. | 14,944 | 2,275 |
| Rent-A-Center Inc. | 70,451 | 2,274 | |
| John Wiley & Sons Inc. | |||
| Class A | 48,795 | 2,207 | |
| * | DreamWorks Animation | ||
| SKG Inc. Class A | 74,591 | 2,198 | |
| Service Corp. International | 264,174 | 2,179 | |
| * | Hyatt Hotels Corp. Class A | 47,032 | 2,152 |
| * | Under Armour Inc. Class A | 39,015 | 2,140 |
| Dillard’s Inc. Class A | 50,460 | 1,914 | |
| * | Coinstar Inc. | 33,507 | 1,891 |
| * | Carter’s Inc. | 63,653 | 1,878 |
| * | Cheesecake Factory Inc. | 60,824 | 1,865 |
| * | Career Education Corp. | 86,973 | 1,803 |
| * | Dress Barn Inc. | 67,585 | 1,786 |
| Brunswick Corp. | 95,179 | 1,784 | |
| * | AnnTaylor Stores Corp. | 63,212 | 1,731 |
| * | Madison Square Garden Inc. | ||
| Class A | 66,950 | 1,726 | |
| * | Valassis | ||
| Communications Inc. | 52,874 | 1,710 | |
| * | Live Nation | ||
| Entertainment Inc. | 148,713 | 1,698 | |
| Aaron’s Inc. | 82,702 | 1,686 | |
| * | Jo-Ann Stores Inc. | 27,972 | 1,684 |
| Wolverine World Wide Inc. | 52,657 | 1,679 | |
| Wendy’s/Arby’s Group Inc. | |||
| Class A | 359,012 | 1,659 |
11
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Life Time Fitness Inc. | 40,385 | 1,655 |
| * | Vail Resorts Inc. | 31,088 | 1,618 |
| * | OfficeMax Inc. | 91,291 | 1,616 |
| * | Office Depot Inc. | 296,406 | 1,601 |
| * | CROCS Inc. | 93,435 | 1,600 |
| * | Saks Inc. | 146,712 | 1,570 |
| * | Sally Beauty Holdings Inc. | 107,794 | 1,566 |
| * | Eastman Kodak Co. | 289,347 | 1,551 |
| * | Iconix Brand Group Inc. | 77,568 | 1,498 |
| * | Collective Brands Inc. | 69,440 | 1,465 |
| Jones Group Inc. | 93,700 | 1,456 | |
| * | Orient-Express Hotels Ltd. | ||
| Class A | 109,450 | 1,422 | |
| Hillenbrand Inc. | 67,155 | 1,397 | |
| Cooper Tire & Rubber Co. | 59,229 | 1,397 | |
| Cracker Barrel Old Country | |||
| Store Inc. | 25,259 | 1,383 | |
| Weight Watchers | |||
| International Inc. | 36,752 | 1,378 | |
| CTC Media Inc. | 58,755 | 1,377 | |
| Six Flags | |||
| Entertainment Corp. | 25,237 | 1,373 | |
| * | New York Times Co. | ||
| Class A | 139,692 | 1,369 | |
| Meredith Corp. | 38,974 | 1,350 | |
| Men’s Wearhouse Inc. | 53,865 | 1,346 | |
| *,^ | AutoNation Inc. | 47,660 | 1,344 |
| * | HSN Inc. | 43,689 | 1,339 |
| Thor Industries Inc. | 39,169 | 1,330 | |
| * | Childrens Place Retail | ||
| Stores Inc. | 26,760 | 1,328 | |
| * | Pier 1 Imports Inc. | 125,316 | 1,316 |
| * | Gaylord Entertainment Co. | 35,860 | 1,289 |
| Morningstar Inc. | 23,897 | 1,268 | |
| Cinemark Holdings Inc. | 72,913 | 1,257 | |
| * | Jack in the Box Inc. | 59,335 | 1,254 |
| Choice Hotels | |||
| International Inc. | 32,058 | 1,227 | |
| Pool Corp. | 53,718 | 1,211 | |
| Arbitron Inc. | 28,948 | 1,202 | |
| PF Chang’s China Bistro Inc. | 24,799 | 1,202 | |
| * | American Axle & | ||
| Manufacturing Holdings Inc. | 92,934 | 1,195 | |
| * | JOS A Bank Clothiers Inc. | 29,621 | 1,194 |
| * | Ulta Salon Cosmetics & | ||
| Fragrance Inc. | 34,540 | 1,174 | |
| MDC Holdings Inc. | 40,808 | 1,174 | |
| KB Home | 85,733 | 1,157 | |
| Buckle Inc. | 30,299 | 1,144 | |
| * | Hibbett Sports Inc. | 30,899 | 1,140 |
| * | Steven Madden Ltd. | 27,098 | 1,131 |
| National CineMedia Inc. | 56,657 | 1,128 | |
| * | Timberland Co. Class A | 45,039 | 1,108 |
| * | Capella Education Co. | 16,599 | 1,105 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Matthews International Corp. | |||
| Class A | 31,449 | 1,100 | |
| * | BJ’s Restaurants Inc. | 30,713 | 1,088 |
| Bob Evans Farms Inc. | 32,802 | 1,081 | |
| Scholastic Corp. | 36,362 | 1,074 | |
| *,^ | Education | ||
| Management Corp. | 59,199 | 1,072 | |
| Regal Entertainment Group | |||
| Class A | 91,076 | 1,069 | |
| * | Cabela’s Inc. | 48,623 | 1,058 |
| *,^ | Blue Nile Inc. | 18,495 | 1,055 |
| Regis Corp. | 62,406 | 1,036 | |
| Group 1 Automotive Inc. | 24,021 | 1,003 | |
| * | CEC Entertainment Inc. | 25,791 | 1,001 |
| Finish Line Inc. Class A | 58,219 | 1,001 | |
| * | Belo Corp. Class A | 136,578 | 967 |
| * | Tesla Motors Inc. | 35,309 | 940 |
| * | Asbury Automotive | ||
| Group Inc. | 49,604 | 917 | |
| * | Liz Claiborne Inc. | 127,675 | 914 |
| * | G-III Apparel Group Ltd. | 25,813 | 907 |
| Ethan Allen Interiors Inc. | 44,608 | 893 | |
| * | Clear Channel Outdoor | ||
| Holdings Inc. Class A | 63,344 | 889 | |
| * | American Public | ||
| Education Inc. | 23,512 | 876 | |
| Brown Shoe Co. Inc. | 62,405 | 869 | |
| * | 99 Cents Only Stores | 53,699 | 856 |
| American Greetings Corp. | |||
| Class A | 38,569 | 855 | |
| Cato Corp. Class A | 30,842 | 845 | |
| * | Buffalo Wild Wings Inc. | 18,481 | 810 |
| * | Pinnacle Entertainment Inc. | 56,819 | 797 |
| * | Skechers U.S.A. Inc. Class A | 39,277 | 786 |
| Ryland Group Inc. | 45,849 | 781 | |
| Churchill Downs Inc. | 17,975 | 780 | |
| * | Maidenform Brands Inc. | 32,441 | 771 |
| Monro Muffler Brake Inc. | 21,666 | 749 | |
| International | |||
| Speedway Corp. Class A | 28,380 | 743 | |
| * | Scientific Games Corp. | ||
| Class A | 73,485 | 732 | |
| * | California Pizza Kitchen Inc. | 41,947 | 725 |
| * | Pre-Paid Legal Services Inc. | 11,972 | 721 |
| * | Helen of Troy Ltd. | 24,093 | 717 |
| * | Texas Roadhouse Inc. | ||
| Class A | 41,587 | 714 | |
| Columbia Sportswear Co. | 11,783 | 711 | |
| * | Penske Automotive | ||
| Group Inc. | 40,779 | 710 | |
| * | Ascent Media Corp. Class A | 18,112 | 702 |
| * | Genesco Inc. | 18,203 | 682 |
| Ameristar Casinos Inc. | 43,335 | 677 | |
| * | AFC Enterprises Inc. | 48,698 | 677 |
12
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Nutrisystem Inc. | 31,898 | 671 | |
| * | Domino’s Pizza Inc. | 41,371 | 660 |
| * | DineEquity Inc. | 13,346 | 659 |
| * | Lions Gate | ||
| Entertainment Corp. | 100,404 | 654 | |
| ^ | Barnes & Noble Inc. | 46,113 | 653 |
| * | Meritage Homes Corp. | 28,996 | 644 |
| Big 5 Sporting Goods Corp. | 42,080 | 643 | |
| * | Boyd Gaming Corp. | 60,079 | 637 |
| Stewart Enterprises Inc. | |||
| Class A | 94,464 | 632 | |
| Harte-Hanks Inc. | 48,735 | 622 | |
| Callaway Golf Co. | 76,603 | 618 | |
| Universal Technical | |||
| Institute Inc. | 27,733 | 611 | |
| * | Charming Shoppes Inc. | 171,942 | 610 |
| * | Shutterfly Inc. | 17,240 | 604 |
| * | Sonic Corp. | 59,390 | 601 |
| * | Modine Manufacturing Co. | 38,574 | 598 |
| * | Krispy Kreme Doughnuts Inc. | 85,520 | 597 |
| * | Papa John’s International Inc. | 21,478 | 595 |
| * | Fuel Systems Solutions Inc. | 20,123 | 591 |
| * | Exide Technologies | 61,926 | 583 |
| * | Denny’s Corp. | 159,696 | 572 |
| * | K-Swiss Inc. Class A | 45,554 | 568 |
| * | Steiner Leisure Ltd. | 12,129 | 566 |
| * | Peet’s Coffee & Tea Inc. | 13,434 | 561 |
| * | Vitamin Shoppe Inc. | 16,518 | 556 |
| Standard Motor Products Inc. | 40,489 | 555 | |
| * | America’s Car-Mart Inc. | 20,468 | 554 |
| * | Cavco Industries Inc. | 11,734 | 548 |
| * | Talbots Inc. | 63,794 | 544 |
| * | Cost Plus Inc. | 55,167 | 535 |
| * | Retail Ventures Inc. | 32,542 | 530 |
| * | Beazer Homes USA Inc. | 98,327 | 530 |
| * | Ruby Tuesday Inc. | 40,372 | 527 |
| * | Federal-Mogul Corp. | 25,441 | 525 |
| Fred’s Inc. Class A | 36,958 | 509 | |
| * | Pacific Sunwear of | ||
| California Inc. | 93,474 | 507 | |
| * | iRobot Corp. | 20,281 | 505 |
| * | Corinthian Colleges Inc. | 95,980 | 500 |
| Drew Industries Inc. | 21,937 | 498 | |
| * | Quiksilver Inc. | 96,361 | 489 |
| * | Interval Leisure Group Inc. | 30,236 | 488 |
| * | K12 Inc. | 16,985 | 487 |
| * | Amerigon Inc. | 44,193 | 481 |
| * | Winnebago Industries Inc. | 31,287 | 476 |
| PEP Boys-Manny | |||
| Moe & Jack | 35,284 | 474 | |
| * | Arctic Cat Inc. | 31,839 | 466 |
| * | Biglari Holdings Inc. | 1,135 | 466 |
| * | AH Belo Corp. Class A | 53,144 | 462 |
| Bebe Stores Inc. | 76,548 | 456 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Mediacom | ||
| Communications Corp. | |||
| Class A | 53,628 | 454 | |
| * | Standard Pacific Corp. | 97,895 | 450 |
| Christopher & Banks Corp. | 73,023 | 449 | |
| * | Citi Trends Inc. | 17,941 | 440 |
| * | Dorman Products Inc. | 12,123 | 439 |
| * | Jakks Pacific Inc. | 23,980 | 437 |
| * | True Religion Apparel Inc. | 19,573 | 436 |
| Blyth Inc. | 12,331 | 425 | |
| Haverty Furniture Cos. Inc. | 31,885 | 414 | |
| Cherokee Inc. | 21,485 | 404 | |
| * | Unifi Inc. | 23,842 | 404 |
| * | DSW Inc. Class A | 10,297 | 403 |
| * | RC2 Corp. | 18,451 | 402 |
| * | Knology Inc. | 25,606 | 400 |
| Stage Stores Inc. | 22,963 | 398 | |
| CPI Corp. | 17,641 | 398 | |
| * | Build-A-Bear Workshop Inc. | 52,045 | 398 |
| HOT Topic Inc. | 62,995 | 395 | |
| Volcom Inc. | 20,445 | 386 | |
| * | Overstock.com Inc. | 23,182 | 382 |
| Lennar Corp. Class B | 24,500 | 381 | |
| * | Audiovox Corp. Class A | 44,192 | 381 |
| *,^ | Hovnanian Enterprises Inc. | ||
| Class A | 92,444 | 378 | |
| * | La-Z-Boy Inc. | 41,672 | 376 |
| * | Lumber Liquidators | ||
| Holdings Inc. | 14,937 | 372 | |
| Oxford Industries Inc. | 14,490 | 371 | |
| * | Zumiez Inc. | 13,494 | 363 |
| * | Shuffle Master Inc. | 31,660 | 363 |
| * | Perry Ellis International Inc. | 13,151 | 361 |
| PetMed Express Inc. | 19,945 | 355 | |
| *,^ | Brookfield Homes Corp. | 37,306 | 351 |
| * | Rue21 Inc. | 11,899 | 349 |
| CSS Industries Inc. | 16,695 | 344 | |
| * | O’Charleys Inc. | 47,590 | 343 |
| * | Leapfrog Enterprises Inc. | 57,625 | 320 |
| Express Inc. | 16,932 | 318 | |
| * | MarineMax Inc. | 33,846 | 316 |
| * | Movado Group Inc. | 19,384 | 313 |
| Lithia Motors Inc. Class A | 21,796 | 311 | |
| * | Benihana Inc. Class A | 38,200 | 311 |
| * | Red Robin Gourmet | ||
| Burgers Inc. | 14,159 | 304 | |
| Superior Industries | |||
| International Inc. | 14,209 | 302 | |
| * | Select Comfort Corp. | 32,505 | 297 |
| * | China Automotive | ||
| Systems Inc. | 21,450 | 292 | |
| * | Entercom | ||
| Communications Corp. | |||
| Class A | 24,900 | 288 | |
| Books-A-Million Inc. | 48,683 | 282 |
13
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Carriage Services Inc. | ||
| Class A | 58,072 | 282 | |
| Ambassadors Group Inc. | 24,275 | 279 | |
| Sonic Automotive Inc. | |||
| Class A | 21,082 | 279 | |
| * | Cumulus Media Inc. Class A | 63,550 | 274 |
| * | Isle of Capri Casinos Inc. | 26,227 | 268 |
| Lincoln Educational | |||
| Services Corp. | 17,032 | 264 | |
| World Wrestling | |||
| Entertainment Inc. Class A | 18,303 | 261 | |
| * | Marine Products Corp. | 39,051 | 260 |
| * | Wet Seal Inc. Class A | 70,168 | 260 |
| * | Tuesday Morning Corp. | 48,114 | 254 |
| *,^ | Bridgepoint Education Inc. | 13,241 | 252 |
| * | Coldwater Creek Inc. | 78,742 | 250 |
| * | Valuevision Media Inc. | ||
| Class A | 40,501 | 247 | |
| * | Kirkland’s Inc. | 17,249 | 242 |
| * | Furniture Brands | ||
| International Inc. | 46,692 | 240 | |
| * | Journal Communications Inc. | ||
| Class A | 47,472 | 240 | |
| * | Morgans Hotel Group Co. | 26,141 | 237 |
| * | Fisher Communications Inc. | 10,687 | 233 |
| * | Grand Canyon Education Inc. | 11,819 | 232 |
| * | Kid Brands Inc. | 27,010 | 231 |
| * | Casual Male Retail | ||
| Group Inc. | 47,835 | 227 | |
| * | Bon-Ton Stores Inc. | 17,799 | 225 |
| * | hhgregg Inc. | 10,524 | 220 |
| * | Systemax Inc. | 15,552 | 219 |
| * | Carmike Cinemas Inc. | 28,337 | 219 |
| * | EW Scripps Co. Class A | 21,194 | 215 |
| Marcus Corp. | 16,202 | 215 | |
| * | McClatchy Co. Class A | 45,878 | 214 |
| * | Drugstore.Com Inc. | 96,159 | 213 |
| * | Bluegreen Corp. | 65,697 | 212 |
| Speedway Motorsports Inc. | 13,806 | 212 | |
| * | ChinaCast Education Corp. | 26,714 | 207 |
| Stein Mart Inc. | 22,081 | 204 | |
| Sinclair Broadcast Group Inc. | |||
| Class A | 24,588 | 201 | |
| Gaiam Inc. Class A | 24,536 | 189 | |
| * | Core-Mark Holding Co. Inc. | 5,221 | 186 |
| * | Universal Electronics Inc. | 6,476 | 184 |
| * | Kenneth Cole Productions Inc. | ||
| Class A | 13,909 | 174 | |
| Shiloh Industries Inc. | 14,402 | 172 | |
| Learning Tree | |||
| International Inc. | 17,928 | 171 | |
| * | Rentrak Corp. | 5,681 | 171 |
| * | Entravision | ||
| Communications Corp. | |||
| Class A | 64,615 | 166 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Cache Inc. | 36,970 | 164 |
| Sturm Ruger & Co. Inc. | 10,708 | 164 | |
| * | Steinway Musical | ||
| Instruments Inc. | 8,226 | 163 | |
| * | Luby’s Inc. | 26,003 | 163 |
| * | AC Moore Arts & Crafts Inc. | 61,491 | 155 |
| * | Martha Stewart Living | ||
| Omnimedia Class A | 34,157 | 151 | |
| * | Jackson Hewitt | ||
| Tax Service Inc. | 68,936 | 150 | |
| * | Destination Maternity Corp. | 3,892 | 148 |
| * | 1-800-Flowers.com Inc. | ||
| Class A | 52,796 | 142 | |
| * | Warner Music Group Corp. | 25,038 | 141 |
| * | Bassett Furniture | ||
| Industries Inc. | 33,487 | 141 | |
| Strattec Security Corp. | 4,133 | 138 | |
| * | Town Sports International | ||
| Holdings Inc. | 33,684 | 137 | |
| * | Multimedia Games Inc. | 23,448 | 131 |
| *,^ | Conn’s Inc. | 27,772 | 130 |
| * | M/I Homes Inc. | 8,310 | 128 |
| * | Caribou Coffee Co. Inc. | 12,636 | 127 |
| * | CKX Inc. | 31,362 | 126 |
| * | Nautilus Inc. | 69,718 | 124 |
| * | Stoneridge Inc. | 7,635 | 121 |
| Hooker Furniture Corp. | 8,480 | 120 | |
| * | Global Traffic Network Inc. | 12,788 | 118 |
| * | Cosi Inc. | 95,907 | 117 |
| * | Zale Corp. | 27,104 | 115 |
| * | Playboy Enterprises Inc. | ||
| Class B | 20,942 | 109 | |
| *,^ | Quantum Fuel Systems | ||
| Technologies | |||
| Worldwide Inc. | 238,154 | 107 | |
| * | Shoe Carnival Inc. | 3,885 | 105 |
| * | West Marine Inc. | 9,785 | 104 |
| * | Smith & Wesson | ||
| Holding Corp. | 27,455 | 103 | |
| * | Monarch Casino & | ||
| Resort Inc. | 8,199 | 102 | |
| * | Borders Group Inc. | 113,050 | 102 |
| News Corp. Class B | 6,073 | 100 | |
| * | Geeknet Inc. | 3,963 | 99 |
| * | Midas Inc. | 12,009 | 97 |
| Dover Downs Gaming & | |||
| Entertainment Inc. | 28,574 | 97 | |
| * | dELiA*s Inc. | 53,604 | 93 |
| * | New York & Co. Inc. | 21,025 | 93 |
| * | Gray Television Inc. | 49,174 | 92 |
| * | LodgeNet Interactive Corp. | 21,301 | 91 |
| * | Harris Interactive Inc. | 73,355 | 89 |
| *,^ | Deer Consumer Products Inc. | 7,949 | 89 |
| Skyline Corp. | 3,395 | 89 | |
| * | Media General Inc. Class A | 15,014 | 87 |
14
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Beasley Broadcasting | ||
| Group Inc. Class A | 14,480 | 87 | |
| Weyco Group Inc. | 3,477 | 85 | |
| Flexsteel Industries | 4,539 | 80 | |
| PRIMEDIA Inc. | 17,701 | 74 | |
| * | Lee Enterprises Inc. | 29,385 | 72 |
| * | Navarre Corp. | 33,043 | 70 |
| Escalade Inc. | 10,787 | 68 | |
| * | Jamba Inc. | 29,276 | 66 |
| Spartan Motors Inc. | 10,244 | 62 | |
| * | Sealy Corp. | 19,540 | 57 |
| * | Emmis | ||
| Communications Corp. | |||
| Class A | 73,231 | 56 | |
| * | Carrols Restaurant Group Inc. | 7,396 | 55 |
| * | Lifetime Brands Inc. | 3,862 | 54 |
| * | Einstein Noah Restaurant | ||
| Group Inc. | 3,800 | 53 | |
| * | Century Casinos Inc. | 21,680 | 52 |
| * | LIN TV Corp. Class A | 9,843 | 52 |
| * | American Apparel Inc. | 31,165 | 52 |
| * | Fuqi International Inc. | 7,907 | 50 |
| * | Heelys Inc. | 16,482 | 50 |
| * | Delta Apparel Inc. | 3,566 | 48 |
| * | Red Lion Hotels Corp. | 6,001 | 48 |
| * | Stanley Furniture Co. Inc. | 15,292 | 48 |
| * | SuperMedia Inc. | 5,398 | 47 |
| * | Orbitz Worldwide Inc. | 8,037 | 45 |
| * | Wonder Auto Technology Inc. | 5,838 | 44 |
| * | Famous Dave’s Of | ||
| America Inc. | 3,756 | 42 | |
| * | McCormick & Schmick’s | ||
| Seafood Restaurants Inc. | 4,605 | 42 | |
| * | Benihana Inc. Class A | 5,006 | 40 |
| * | Princeton Review Inc. | 32,613 | 38 |
| * | Johnson Outdoors Inc. | ||
| Class A | 3,043 | 38 | |
| Collectors Universe | 2,637 | 37 | |
| Emerson Radio Corp. | 17,970 | 36 | |
| * | Dex One Corp. | 4,578 | 34 |
| * | Dixie Group Inc. | 8,662 | 31 |
| * | Reading International Inc. | ||
| Class A | 6,019 | 30 | |
| * | Bidz.com Inc. | 25,690 | 30 |
| * | US Auto Parts Network Inc. | 3,601 | 30 |
| Salem | |||
| Communications Corp. | |||
| Class A | 9,336 | 30 | |
| * | MTR Gaming Group Inc. | 14,610 | 30 |
| * | Duckwall-ALCO Stores Inc. | 2,176 | 27 |
| * | Radio One Inc. | 22,730 | 25 |
| * | Culp Inc. | 2,263 | 23 |
| * | Saga Communications Inc. | ||
| Class A | 852 | 22 | |
| * | Hallwood Group Inc. | 804 | 21 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Archipelago Learning Inc. | 2,000 | 20 |
| * | Entertainment Gaming | ||
| Asia Inc. | 54,853 | 19 | |
| * | TravelCenters of | ||
| America LLC | 5,100 | 19 | |
| * | Daily Journal Corp. | 264 | 19 |
| * | Nexstar Broadcasting | ||
| Group Inc. Class A | 3,078 | 18 | |
| * | Empire Resorts Inc. | 17,700 | 18 |
| * | Hastings Entertainment Inc. | 2,744 | 17 |
| * | Trans World | ||
| Entertainment Corp. | 8,958 | 15 | |
| * | China Education Alliance Inc. | 5,200 | 13 |
| * | Hollywood Media Corp. | 7,748 | 13 |
| Outdoor Channel Holdings Inc. | 1,761 | 13 | |
| * | Spanish Broadcasting | ||
| System Inc. | 17,056 | 12 | |
| * | Canterbury Park Holding Corp. | 818 | 10 |
| * | Ruth’s Hospitality Group Inc. | 1,749 | 8 |
| * | Dover Motorsports Inc. | 4,509 | 8 |
| * | Lakes Entertainment Inc. | 2,747 | 8 |
| * | Great Wolf Resorts Inc. | 2,551 | 7 |
| * | Atrinsic Inc. | 1,392 | 4 |
| * | Radio One Inc. Class A | 1,680 | 2 |
| Gaming Partners | |||
| International Corp. | 309 | 2 | |
| * | Libbey Inc. | 120 | 2 |
| * | Forward Industries Inc. | 557 | 2 |
| Mac-Gray Corp. | 82 | 1 | |
| * | China MediaExpress | ||
| Holdings Inc. | 74 | 1 | |
| * | Crown Media Holdings Inc. | ||
| Class A | 400 | 1 | |
| * | Universal Travel Group | 118 | 1 |
| * | Vitacost.com Inc. | 123 | 1 |
| * | Cambium Learning Group Inc. | 200 | 1 |
| Frisch’s Restaurants Inc. | 29 | 1 | |
| * | Premier Exhibitions Inc. | 319 | 1 |
| * | NIVS IntelliMedia Technology | ||
| Group Inc. | 231 | 1 | |
| * | Rick’s Cabaret International Inc. | 64 | 1 |
| * | SORL Auto Parts Inc. | 57 | — |
| * | Joe’s Jeans Inc. | 260 | — |
| * | Morton’s Restaurant Group Inc. | 62 | — |
| * | Nobel Learning Communities Inc. | 51 | — |
| * | VCG Holding Corp. | 85 | — |
| Educational Development Corp. | 22 | — | |
| * | Tandy Brands Accessories Inc. | 42 | — |
| * | Krispy Kreme Doughnuts Inc. | ||
| Warrants Exp. 03/02/2012 | 332 | — | |
| * | Sport Chalet Inc. Class A | 37 | — |
| * | Private Media Group Inc. | 69 | — |
| * | SPAR Group Inc. | 29 | — |
| * | Sport Chalet Inc. Class B | 5 | — |
| 1,743,357 |
15
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Consumer Staples (9.1%) | |||
| Procter & Gamble Co. | 3,023,162 | 194,480 | |
| Coca-Cola Co. | 2,214,539 | 145,650 | |
| Wal-Mart Stores Inc. | 2,173,874 | 117,237 | |
| Philip Morris | |||
| International Inc. | 1,952,915 | 114,304 | |
| PepsiCo Inc. | 1,695,095 | 110,741 | |
| Kraft Foods Inc. | 1,858,207 | 58,552 | |
| Altria Group Inc. | 2,220,438 | 54,667 | |
| CVS Caremark Corp. | 1,444,822 | 50,236 | |
| Colgate-Palmolive Co. | 517,869 | 41,621 | |
| Walgreen Co. | 1,036,891 | 40,397 | |
| Costco Wholesale Corp. | 467,926 | 33,789 | |
| Kimberly-Clark Corp. | 436,168 | 27,496 | |
| General Mills Inc. | 684,290 | 24,354 | |
| Archer-Daniels-Midland Co. | 685,191 | 20,611 | |
| Sysco Corp. | 626,922 | 18,432 | |
| HJ Heinz Co. | 339,197 | 16,777 | |
| Kroger Co. | 649,942 | 14,533 | |
| Kellogg Co. | 281,963 | 14,403 | |
| Mead Johnson Nutrition Co. | 218,054 | 13,574 | |
| Avon Products Inc. | 457,105 | 13,283 | |
| Lorillard Inc. | 161,725 | 13,271 | |
| Reynolds American Inc. | 373,069 | 12,170 | |
| Sara Lee Corp. | 670,791 | 11,746 | |
| ConAgra Foods Inc. | 468,973 | 10,589 | |
| Estee Lauder Cos. Inc. | |||
| Class A | 121,226 | 9,783 | |
| Clorox Co. | 148,066 | 9,370 | |
| Bunge Ltd. | 142,132 | 9,312 | |
| Safeway Inc. | 406,459 | 9,141 | |
| Coca-Cola Enterprises Inc. | 364,939 | 9,134 | |
| Dr Pepper Snapple | |||
| Group Inc. | 254,468 | 8,947 | |
| Molson Coors Brewing Co. | |||
| Class B | 172,784 | 8,672 | |
| JM Smucker Co. | 127,490 | 8,370 | |
| Hershey Co. | 168,634 | 7,951 | |
| * | Whole Foods Market Inc. | 155,755 | 7,880 |
| Campbell Soup Co. | 217,182 | 7,547 | |
| Brown-Forman Corp. | |||
| Class B | 86,820 | 6,044 | |
| McCormick & Co. Inc. | 128,954 | 6,000 | |
| Tyson Foods Inc. Class A | 311,493 | 5,364 | |
| Church & Dwight Co. Inc. | 75,834 | 5,234 | |
| * | Energizer Holdings Inc. | 71,218 | 5,192 |
| * | Constellation Brands Inc. | ||
| Class A | 199,546 | 4,420 | |
| Herbalife Ltd. | 63,005 | 4,308 | |
| * | Hansen Natural Corp. | 80,090 | 4,187 |
| Hormel Foods Corp. | 78,277 | 4,012 | |
| * | Green Mountain Coffee | ||
| Roasters Inc. | 119,918 | 3,941 | |
| Del Monte Foods Co. | 207,367 | 3,898 | |
| * | Ralcorp Holdings Inc. | 58,829 | 3,824 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Corn Products | |||
| International Inc. | 80,132 | 3,686 | |
| Alberto-Culver Co. Class B | 94,563 | 3,503 | |
| * | Smithfield Foods Inc. | 159,132 | 3,283 |
| * | BJ’s Wholesale Club Inc. | 57,473 | 2,753 |
| Flowers Foods Inc. | 88,900 | 2,392 | |
| SUPERVALU Inc. | 228,880 | 2,204 | |
| * | TreeHouse Foods Inc. | 38,127 | 1,948 |
| Nu Skin Enterprises Inc. | |||
| Class A | 60,191 | 1,821 | |
| * | United Natural Foods Inc. | 48,314 | 1,772 |
| * | Dean Foods Co. | 195,143 | 1,725 |
| Casey’s General Stores Inc. | 40,417 | 1,718 | |
| * | Central European | ||
| Distribution Corp. | 72,127 | 1,652 | |
| Ruddick Corp. | 44,614 | 1,644 | |
| * | Hain Celestial Group Inc. | 46,344 | 1,254 |
| Diamond Foods Inc. | 23,347 | 1,242 | |
| Lancaster Colony Corp. | 21,078 | 1,206 | |
| * | Darling International Inc. | 89,348 | 1,187 |
| Fresh Del Monte | |||
| Produce Inc. | 45,876 | 1,145 | |
| Universal Corp. | 25,660 | 1,044 | |
| Andersons Inc. | 25,643 | 932 | |
| Sanderson Farms Inc. | 23,732 | 929 | |
| Vector Group Ltd. | 49,794 | 862 | |
| * | Boston Beer Co. Inc. Class A | 8,982 | 854 |
| J&J Snack Foods Corp. | 16,088 | 776 | |
| Tootsie Roll Industries Inc. | 26,480 | 767 | |
| ^ | Cal-Maine Foods Inc. | 22,681 | 716 |
| * | Medifast Inc. | 24,296 | 702 |
| * | Chiquita Brands | ||
| International Inc. | 48,896 | 686 | |
| * | Pantry Inc. | 33,815 | 672 |
| B&G Foods Inc. Class A | 48,544 | 667 | |
| Snyders-Lance Inc. | 28,320 | 664 | |
| * | Elizabeth Arden Inc. | 25,827 | 594 |
| * | Prestige Brands Holdings Inc. | 49,573 | 592 |
| Inter Parfums Inc. | 31,173 | 588 | |
| * | Rite Aid Corp. | 658,638 | 582 |
| WD-40 Co. | 13,924 | 561 | |
| Coca-Cola Bottling Co. | |||
| Consolidated | 9,380 | 521 | |
| Nash Finch Co. | 12,244 | 520 | |
| Pricesmart Inc. | 12,287 | 467 | |
| * | Central Garden and Pet Co. | ||
| Class A | 47,276 | 467 | |
| * | Winn-Dixie Stores Inc. | 60,463 | 434 |
| Ingles Markets Inc. Class A | 21,746 | 418 | |
| Weis Markets Inc. | 10,217 | 412 | |
| * | Central Garden and Pet Co. | 41,205 | 405 |
| * | Heckmann Corp. | 74,391 | 374 |
| Alico Inc. | 14,686 | 350 | |
| * | Alliance One | ||
| International Inc. | 82,063 | 348 |
16
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Pilgrim’s Pride Corp. | 46,030 | 326 |
| *,^ | Zhongpin Inc. | 14,466 | 295 |
| * | Dole Food Co. Inc. | 21,526 | 291 |
| * | John B. Sanfilippo & Son Inc. | 22,171 | 276 |
| *,^ | Feihe International Inc. | 24,943 | 265 |
| * | Smart Balance Inc. | 60,880 | 264 |
| * | Omega Protein Corp. | 31,783 | 257 |
| Farmer Bros Co. | 14,418 | 257 | |
| * | American Oriental | ||
| Bioengineering Inc. | 98,427 | 236 | |
| * | Susser Holdings Corp. | 16,539 | 229 |
| *,^ | Star Scientific Inc. | 116,487 | 227 |
| Spartan Stores Inc. | 13,343 | 226 | |
| * | USANA Health Sciences Inc. | 4,633 | 201 |
| * | Harbinger Group Inc. | 26,771 | 166 |
| National Beverage Corp. | 11,383 | 150 | |
| * | Lifeway Foods Inc. | 15,345 | 147 |
| Griffin Land & Nurseries Inc. | 4,356 | 141 | |
| Imperial Sugar Co. | 10,290 | 138 | |
| * | Overhill Farms Inc. | 22,256 | 129 |
| Oil-Dri Corp. of America | 4,907 | 105 | |
| * | Revlon Inc. Class A | 10,562 | 104 |
| MGP Ingredients Inc. | 8,302 | 92 | |
| * | Mannatech Inc. | 47,134 | 85 |
| * | Reddy Ice Holdings Inc. | 29,622 | 81 |
| * | Parlux Fragrances Inc. | 23,537 | 69 |
| * | Inventure Foods Inc. | 15,484 | 67 |
| Schiff Nutrition | |||
| International Inc. | 7,078 | 64 | |
| * | Physicians Formula | ||
| Holdings Inc. | 16,081 | 60 | |
| * | Jones Soda Co. | 50,435 | 60 |
| * | HQ Sustainable Maritime | ||
| Industries Inc. | 12,113 | 58 | |
| Female Health Co. | 8,917 | 51 | |
| * | China Marine Food | ||
| Group Ltd. | 9,000 | 48 | |
| * | Nutraceutical | ||
| International Corp. | 2,978 | 42 | |
| Limoneira Co. | 1,183 | 34 | |
| Tasty Baking Co. | 4,748 | 30 | |
| Bridgford Foods Corp. | 2,000 | 28 | |
| * | Seneca Foods Corp. Class A | 857 | 23 |
| * | China-Biotics Inc. | 1,483 | 22 |
| Reliv International Inc. | 10,512 | 20 | |
| Calavo Growers Inc. | 579 | 13 | |
| * | Orchids Paper Products Co. | 926 | 11 |
| Village Super Market Inc. | |||
| Class A | 242 | 8 | |
| * | AgFeed Industries Inc. | 260 | 1 |
| * | China Sky One Medical Inc. | 81 | 1 |
| * | Crystal Rock Holdings Inc. | 80 | — |
| 1,384,881 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Energy (11.2%) | |||
| Exxon Mobil Corp. | 5,425,052 | 396,680 | |
| Chevron Corp. | 2,142,267 | 195,482 | |
| Schlumberger Ltd. | 1,455,875 | 121,566 | |
| ConocoPhillips | 1,501,461 | 102,249 | |
| Occidental Petroleum Corp. | 865,358 | 84,892 | |
| Apache Corp. | 407,054 | 48,533 | |
| Anadarko Petroleum Corp. | 527,330 | 40,161 | |
| Halliburton Co. | 972,096 | 39,691 | |
| Devon Energy Corp. | 440,336 | 34,571 | |
| National Oilwell Varco Inc. | 446,522 | 30,029 | |
| Marathon Oil Corp. | 756,120 | 27,999 | |
| Baker Hughes Inc. | 459,304 | 26,258 | |
| Hess Corp. | 325,212 | 24,892 | |
| EOG Resources Inc. | 270,110 | 24,691 | |
| Peabody Energy Corp. | 286,996 | 18,362 | |
| Chesapeake Energy Corp. | 697,233 | 18,065 | |
| * | Weatherford | ||
| International Ltd. | 789,564 | 18,002 | |
| Spectra Energy Corp. | 690,474 | 17,255 | |
| Noble Energy Inc. | 186,353 | 16,041 | |
| Williams Cos. Inc. | 622,967 | 15,400 | |
| Murphy Oil Corp. | 194,367 | 14,490 | |
| Valero Energy Corp. | 603,374 | 13,950 | |
| * | Southwestern Energy Co. | 368,796 | 13,804 |
| * | Cameron International Corp. | 258,081 | 13,092 |
| Consol Energy Inc. | 240,950 | 11,744 | |
| * | FMC Technologies Inc. | 128,095 | 11,389 |
| Pioneer Natural | |||
| Resources Co. | 123,610 | 10,732 | |
| El Paso Corp. | 751,049 | 10,334 | |
| * | Newfield Exploration Co. | 142,503 | 10,276 |
| Noble Corp. | 273,083 | 9,768 | |
| * | Concho Resources Inc. | 93,104 | 8,162 |
| Cimarex Energy Co. | 89,722 | 7,943 | |
| * | Ultra Petroleum Corp. | 162,638 | 7,769 |
| * | Denbury Resources Inc. | 404,408 | 7,720 |
| * | Alpha Natural | ||
| Resources Inc. | 128,438 | 7,710 | |
| Range Resources Corp. | 170,716 | 7,679 | |
| * | Nabors Industries Ltd. | 304,253 | 7,138 |
| QEP Resources Inc. | 186,933 | 6,788 | |
| EQT Corp. | 151,237 | 6,781 | |
| * | Whiting Petroleum Corp. | 54,413 | 6,377 |
| * | Pride International Inc. | 187,651 | 6,192 |
| Arch Coal Inc. | 173,460 | 6,082 | |
| * | Petrohawk Energy Corp. | 323,038 | 5,895 |
| * | Kinder Morgan | ||
| Management LLC | 86,494 | 5,785 | |
| Massey Energy Co. | 103,588 | 5,557 | |
| Helmerich & Payne Inc. | 113,013 | 5,479 | |
| Sunoco Inc. | 128,716 | 5,189 | |
| * | McDermott | ||
| International Inc. | 247,324 | 5,117 | |
17
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Diamond Offshore | |||
| Drilling Inc. | 74,100 | 4,955 | |
| * | Plains Exploration & | ||
| Production Co. | 149,684 | 4,811 | |
| * | Forest Oil Corp. | 115,112 | 4,371 |
| * | Rowan Cos. Inc. | 122,079 | 4,262 |
| * | Oceaneering | ||
| International Inc. | 57,685 | 4,247 | |
| Core Laboratories NV | 47,562 | 4,235 | |
| Cabot Oil & Gas Corp. | 111,365 | 4,215 | |
| SM Energy Co. | 67,552 | 3,981 | |
| EXCO Resources Inc. | 192,406 | 3,737 | |
| * | Atlas Energy Inc. | 83,834 | 3,686 |
| * | Dresser-Rand Group Inc. | 86,299 | 3,675 |
| Patterson-UTI Energy Inc. | 164,108 | 3,537 | |
| * | Oil States International Inc. | 53,519 | 3,430 |
| * | Brigham Exploration Co. | 124,197 | 3,383 |
| Southern Union Co. | 126,385 | 3,042 | |
| Tidewater Inc. | 54,765 | 2,949 | |
| * | Superior Energy | ||
| Services Inc. | 84,237 | 2,947 | |
| * | SandRidge Energy Inc. | 391,025 | 2,862 |
| * | Tesoro Corp. | 153,060 | 2,838 |
| * | Dril-Quip Inc. | 34,000 | 2,642 |
| World Fuel Services Corp. | 69,022 | 2,496 | |
| * | Atwood Oceanics Inc. | 62,237 | 2,326 |
| Holly Corp. | 57,004 | 2,324 | |
| Berry Petroleum Co. Class A | 52,086 | 2,276 | |
| * | Gran Tierra Energy Inc. | 272,484 | 2,193 |
| CARBO Ceramics Inc. | 21,154 | 2,190 | |
| SEACOR Holdings Inc. | 21,495 | 2,173 | |
| * | Continental Resources Inc. | 36,382 | 2,141 |
| * | Rosetta Resources Inc. | 56,404 | 2,123 |
| Frontier Oil Corp. | 113,479 | 2,044 | |
| * | Unit Corp. | 43,605 | 2,027 |
| Lufkin Industries Inc. | 32,082 | 2,002 | |
| * | Complete Production | ||
| Services Inc. | 66,563 | 1,967 | |
| * | Quicksilver Resources Inc. | 128,037 | 1,887 |
| * | Energy XXI Bermuda Ltd. | 64,919 | 1,796 |
| * | Swift Energy Co. | 44,832 | 1,755 |
| * | Key Energy Services Inc. | 134,734 | 1,749 |
| * | Bristow Group Inc. | 36,816 | 1,743 |
| * | Bill Barrett Corp. | 42,022 | 1,728 |
| * | Patriot Coal Corp. | 82,940 | 1,607 |
| * | Northern Oil and Gas Inc. | 58,331 | 1,587 |
| * | Exterran Holdings Inc. | 64,529 | 1,545 |
| * | McMoRan Exploration Co. | 86,749 | 1,487 |
| * | Oasis Petroleum Inc. | 54,623 | 1,481 |
| * | International Coal Group Inc. | 187,752 | 1,453 |
| * | Cloud Peak Energy Inc. | 61,022 | 1,418 |
| * | Carrizo Oil & Gas Inc. | 39,573 | 1,365 |
| * | Helix Energy Solutions | ||
| Group Inc. | 108,604 | 1,318 | |
| * | Comstock Resources Inc. | 50,669 | 1,244 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | ION Geophysical Corp. | 144,112 | 1,222 |
| * | Cobalt International | ||
| Energy Inc. | 96,382 | 1,177 | |
| * | Kodiak Oil & Gas Corp. | 177,868 | 1,174 |
| * | Tetra Technologies Inc. | 95,302 | 1,131 |
| Overseas Shipholding | |||
| Group Inc. | 31,309 | 1,109 | |
| Penn Virginia Corp. | 65,491 | 1,102 | |
| *,^ | ATP Oil & Gas Corp. | 65,595 | 1,098 |
| * | Global Industries Ltd. | 154,755 | 1,072 |
| * | Enbridge Energy | ||
| Management LLC | 16,531 | 1,056 | |
| * | James River Coal Co. | 41,031 | 1,039 |
| * | Clayton Williams Energy Inc. | 12,208 | 1,025 |
| * | Approach Resources Inc. | 40,027 | 925 |
| * | Stone Energy Corp. | 41,072 | 915 |
| * | Clean Energy Fuels Corp. | 63,780 | 883 |
| Contango Oil & Gas Co. | 14,121 | 818 | |
| * | Basic Energy Services Inc. | 45,377 | 748 |
| * | Cal Dive International Inc. | 126,907 | 720 |
| * | Petroleum | ||
| Development Corp. | 16,678 | 704 | |
| * | Vaalco Energy Inc. | 97,805 | 700 |
| * | CVR Energy Inc. | 44,610 | 677 |
| * | Abraxas Petroleum Corp. | 147,486 | 674 |
| * | Harvest Natural | ||
| Resources Inc. | 55,304 | 673 | |
| * | USEC Inc. | 110,834 | 667 |
| * | Gulfmark Offshore Inc. | 21,178 | 644 |
| W&T Offshore Inc. | 35,424 | 633 | |
| * | Newpark Resources Inc. | 102,377 | 631 |
| RPC Inc. | 34,435 | 624 | |
| * | Allis-Chalmers Energy Inc. | 87,712 | 622 |
| * | Pioneer Drilling Co. | 69,214 | 610 |
| General Maritime Corp. | 184,620 | 600 | |
| Gulf Island Fabrication Inc. | 20,136 | 567 | |
| * | Parker Drilling Co. | 123,807 | 566 |
| * | BPZ Resources Inc. | 117,858 | 561 |
| *,^ | L&L Energy Inc. | 51,466 | 556 |
| * | Hercules Offshore Inc. | 158,480 | 548 |
| * | Western Refining Inc. | 51,135 | 541 |
| * | Hornbeck Offshore | ||
| Services Inc. | 24,568 | 513 | |
| * | Matrix Service Co. | 40,718 | 496 |
| * | Goodrich Petroleum Corp. | 27,255 | 481 |
| * | Bronco Drilling Co. Inc. | 59,619 | 477 |
| * | Gulfport Energy Corp. | 21,650 | 469 |
| Crosstex Energy Inc. | 50,376 | 446 | |
| * | FX Energy Inc. | 68,141 | 419 |
| * | Callon Petroleum Co. | 70,214 | 416 |
| * | Venoco Inc. | 21,854 | 403 |
| * | Hyperdynamics Corp. | 81,118 | 402 |
| Delek US Holdings Inc. | 54,224 | 395 | |
| * | Dawson Geophysical Co. | 12,179 | 389 |
| * | T-3 Energy Services Inc. | 9,652 | 384 |
18
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Endeavour | ||
| International Corp. | 25,807 | 356 | |
| *,^ | GMX Resources Inc. | 60,672 | 335 |
| * | Resolute Energy Corp. | 22,605 | 334 |
| * | Petroquest Energy Inc. | 44,148 | 332 |
| * | OYO Geospace Corp. | 3,275 | 325 |
| Alon USA Energy Inc. | 52,754 | 315 | |
| * | Natural Gas Services | ||
| Group Inc. | 16,485 | 312 | |
| * | Energy Partners Ltd. | 19,753 | 294 |
| * | Willbros Group Inc. | 29,763 | 292 |
| * | Toreador Resources Corp. | 18,622 | 289 |
| * | Oilsands Quest Inc. | 674,186 | 283 |
| * | Delta Petroleum Corp. | 336,316 | 256 |
| * | Tesco Corp. | 15,004 | 238 |
| * | Rex Energy Corp. | 16,544 | 226 |
| * | Bolt Technology Corp. | 15,395 | 203 |
| * | Cheniere Energy Inc. | 31,872 | 176 |
| * | Warren Resources Inc. | 37,647 | 170 |
| * | CREDO Petroleum Corp. | 19,272 | 156 |
| * | Geokinetics Inc. | 15,585 | 145 |
| * | PHI Inc. | 7,055 | 133 |
| * | Magnum Hunter | ||
| Resources Corp. | 17,802 | 128 | |
| * | Gastar Exploration Ltd. | 28,318 | 122 |
| * | Westmoreland Coal Co. | 9,078 | 108 |
| * | CAMAC Energy Inc. | 52,382 | 104 |
| * | Double Eagle Petroleum Co. | 21,047 | 103 |
| * | ENGlobal Corp. | 26,662 | 99 |
| * | Seahawk Drilling Inc. | 10,864 | 97 |
| Adams Resources & | |||
| Energy Inc. | 4,016 | 97 | |
| * | Uranium Energy Corp. | 14,828 | 90 |
| * | Union Drilling Inc. | 12,160 | 89 |
| * | Mitcham Industries Inc. | 7,173 | 83 |
| * | Rentech Inc. | 58,126 | 71 |
| * | REX American | ||
| Resources Corp. | 4,267 | 66 | |
| * | Vantage Drilling Co. | 31,079 | 63 |
| * | HKN Inc. | 16,394 | 57 |
| * | Syntroleum Corp. | 28,793 | 53 |
| Panhandle Oil and Gas Inc. | |||
| Class A | 1,562 | 43 | |
| * | Green Plains Renewable | ||
| Energy Inc. | 3,716 | 42 | |
| * | Gasco Energy Inc. | 117,639 | 41 |
| * | Evolution Petroleum Corp. | 5,751 | 38 |
| * | Georesources Inc. | 1,488 | 33 |
| * | Uranium Resources Inc. | 8,178 | 28 |
| * | Evergreen Energy Inc. | 40,683 | 26 |
| Houston American | |||
| Energy Corp. | 1,127 | 20 | |
| *,^ | Pacific Ethanol Inc. | 27,374 | 20 |
| * | China Integrated Energy Inc. | 2,388 | 18 |
| *,^ | Sulphco Inc. | 97,690 | 17 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | GeoGlobal Resources Inc. | 19,882 | 16 |
| * | Contango ORE Inc. | 1,402 | 15 |
| * | Cano Petroleum Inc. | 26,585 | 10 |
| * | Verenium Corp. | 2,972 | 10 |
| * | RAM Energy Resources Inc. | 4,137 | 8 |
| * | Barnwell Industries Inc. | 2,036 | 7 |
| * | TGC Industries Inc. | 408 | 2 |
| * | Uranerz Energy Corp. | 381 | 2 |
| * | Global Geophysical | ||
| Services Inc. | 133 | 1 | |
| * | China North East Petroleum | ||
| Holdings Ltd. | 134 | 1 | |
| * | Isramco Inc. | 8 | 1 |
| * | BMB Munai Inc. | 326 | — |
| * | Cubic Energy Inc. | 223 | — |
| * | PrimeEnergy Corp. | 10 | — |
| * | GeoMet Inc. | 161 | — |
| * | NGAS Resources Inc. | 304 | — |
| * | Tri-Valley Corp. | 249 | — |
| * | GreenHunter Energy Inc. | 41 | — |
| 1,708,712 | |||
| Financials (16.2%) | |||
| JPMorgan Chase & Co. | 4,224,746 | 179,214 | |
| Wells Fargo & Co. | 5,297,153 | 164,159 | |
| * | Citigroup Inc. | 30,951,377 | 146,400 |
| Bank of America Corp. | 10,686,400 | 142,557 | |
| Goldman Sachs | |||
| Group Inc. | 521,980 | 87,776 | |
| * | Berkshire Hathaway Inc. | ||
| Class B | 847,147 | 67,865 | |
| US Bancorp | 2,042,664 | 55,091 | |
| American Express Co. | 1,153,766 | 49,520 | |
| MetLife Inc. | 996,924 | 44,303 | |
| Bank of New York | |||
| Mellon Corp. | 1,293,561 | 39,066 | |
| Morgan Stanley | 1,339,591 | 36,450 | |
| PNC Financial Services | |||
| Group Inc. | 559,837 | 33,993 | |
| Simon Property Group Inc. | 311,983 | 31,039 | |
| Prudential Financial Inc. | 495,517 | 29,092 | |
| Aflac Inc. | 501,668 | 28,309 | |
| Travelers Cos. Inc. | 500,761 | 27,897 | |
| State Street Corp. | 534,723 | 24,779 | |
| CME Group Inc. | 71,614 | 23,042 | |
| ACE Ltd. | 361,068 | 22,476 | |
| Capital One Financial Corp. | 486,737 | 20,716 | |
| Chubb Corp. | 335,142 | 19,988 | |
| BB&T Corp. | 738,398 | 19,412 | |
| Franklin Resources Inc. | 168,140 | 18,699 | |
| Charles Schwab Corp. | 1,081,294 | 18,501 | |
| BlackRock Inc. | 93,914 | 17,898 | |
| T Rowe Price Group Inc. | 273,171 | 17,630 | |
| Allstate Corp. | 544,899 | 17,371 | |
| Marsh & McLennan | |||
| Cos. Inc. | 578,454 | 15,815 | |
19
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| SunTrust Banks Inc. | 532,965 | 15,728 | |
| Equity Residential | 302,005 | 15,689 | |
| Public Storage | 154,085 | 15,627 | |
| Ameriprise Financial Inc. | 267,503 | 15,395 | |
| Vornado Realty Trust | 174,883 | 14,573 | |
| AON Corp. | 315,823 | 14,531 | |
| HCP Inc. | 388,812 | 14,304 | |
| Loews Corp. | 356,649 | 13,877 | |
| Progressive Corp. | 675,870 | 13,430 | |
| Northern Trust Corp. | 232,193 | 12,866 | |
| Boston Properties Inc. | 148,597 | 12,794 | |
| Host Hotels & Resorts Inc. | 706,519 | 12,626 | |
| Fifth Third Bancorp | 848,729 | 12,459 | |
| Hartford Financial Services | |||
| Group Inc. | 449,988 | 11,920 | |
| Invesco Ltd. | 492,687 | 11,854 | |
| Annaly Capital | |||
| Management Inc. | 660,925 | 11,844 | |
| Principal Financial | |||
| Group Inc. | 341,756 | 11,128 | |
| Weyerhaeuser Co. | 571,426 | 10,817 | |
| Discover Financial Services | 580,331 | 10,754 | |
| AvalonBay | |||
| Communities Inc. | 90,863 | 10,227 | |
| * | CIT Group Inc. | 202,676 | 9,546 |
| Lincoln National Corp. | 337,508 | 9,386 | |
| Regions Financial Corp. | 1,337,957 | 9,366 | |
| Ventas Inc. | 167,334 | 8,782 | |
| ProLogis | 593,503 | 8,570 | |
| Unum Group | 348,339 | 8,437 | |
| NYSE Euronext | 278,142 | 8,339 | |
| New York Community | |||
| Bancorp Inc. | 440,992 | 8,313 | |
| KeyCorp | 938,212 | 8,303 | |
| * | Intercontinental- | ||
| Exchange Inc. | 67,079 | 7,992 | |
| XL Group plc Class A | 364,696 | 7,958 | |
| Comerica Inc. | 187,989 | 7,941 | |
| Kimco Realty Corp. | 432,738 | 7,807 | |
| M&T Bank Corp. | 89,010 | 7,748 | |
| * | American International | ||
| Group Inc. | 129,734 | 7,475 | |
| Health Care REIT Inc. | 154,781 | 7,374 | |
| General Growth | |||
| Properties Inc. | 451,158 | 6,984 | |
| * | Genworth Financial Inc. | ||
| Class A | 522,103 | 6,860 | |
| Macerich Co. | 138,926 | 6,581 | |
| * | SLM Corp. | 517,276 | 6,513 |
| Plum Creek Timber Co. Inc. | 172,564 | 6,463 | |
| Hudson City Bancorp Inc. | 504,862 | 6,432 | |
| Huntington Bancshares Inc. | 921,408 | 6,330 | |
| * | CB Richard Ellis Group Inc. | ||
| Class A | 309,049 | 6,329 | |
| Willis Group Holdings plc | 181,715 | 6,293 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| PartnerRe Ltd. | 76,709 | 6,164 | |
| Leucadia National Corp. | 207,768 | 6,063 | |
| Legg Mason Inc. | 165,210 | 5,992 | |
| AMB Property Corp. | 179,453 | 5,690 | |
| Moody’s Corp. | 212,734 | 5,646 | |
| SL Green Realty Corp. | 83,487 | 5,636 | |
| People’s United | |||
| Financial Inc. | 395,251 | 5,537 | |
| * | Affiliated Managers | ||
| Group Inc. | 54,684 | 5,426 | |
| Cincinnati Financial Corp. | 164,547 | 5,215 | |
| * | Berkshire Hathaway Inc. | ||
| Class A | 43 | 5,179 | |
| Torchmark Corp. | 86,443 | 5,164 | |
| Federal Realty | |||
| Investment Trust | 65,608 | 5,113 | |
| Everest Re Group Ltd. | 59,904 | 5,081 | |
| Nationwide Health | |||
| Properties Inc. | 132,149 | 4,808 | |
| Digital Realty Trust Inc. | 93,235 | 4,805 | |
| * | MSCI Inc. Class A | 120,615 | 4,699 |
| TD Ameritrade | |||
| Holding Corp. | 245,414 | 4,660 | |
| * | Arch Capital Group Ltd. | 52,897 | 4,658 |
| UDR Inc. | 191,673 | 4,508 | |
| Rayonier Inc. | 85,723 | 4,502 | |
| Zions Bancorporation | 185,241 | 4,488 | |
| Chimera Investment Corp. | 1,076,840 | 4,426 | |
| Assurant Inc. | 113,593 | 4,376 | |
| Axis Capital Holdings Ltd. | 121,423 | 4,357 | |
| Realty Income Corp. | 124,871 | 4,271 | |
| Alexandria Real Estate | |||
| Equities Inc. | 57,819 | 4,236 | |
| Reinsurance Group of | |||
| America Inc. Class A | 77,905 | 4,184 | |
| WR Berkley Corp. | 142,473 | 3,901 | |
| Liberty Property Trust | 121,725 | 3,885 | |
| Camden Property Trust | 71,667 | 3,869 | |
| Eaton Vance Corp. | 126,394 | 3,821 | |
| Jones Lang LaSalle Inc. | 45,427 | 3,812 | |
| * | E*Trade Financial Corp. | 234,933 | 3,759 |
| * | Markel Corp. | 9,881 | 3,736 |
| RenaissanceRe | |||
| Holdings Ltd. | 58,637 | 3,735 | |
| Essex Property Trust Inc. | 32,452 | 3,707 | |
| Regency Centers Corp. | 87,583 | 3,700 | |
| Marshall & Ilsley Corp. | 533,594 | 3,692 | |
| Old Republic | |||
| International Corp. | 261,689 | 3,567 | |
| Cullen/Frost Bankers Inc. | 58,182 | 3,556 | |
| Ares Capital Corp. | 215,645 | 3,554 | |
| HCC Insurance | |||
| Holdings Inc. | 122,609 | 3,548 | |
| Transatlantic Holdings Inc. | 67,843 | 3,502 |
20
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Raymond James | |||
| Financial Inc. | 105,833 | 3,461 | |
| * | Popular Inc. | 1,092,938 | 3,432 |
| Duke Realty Corp. | 269,480 | 3,358 | |
| SEI Investments Co. | 140,999 | 3,354 | |
| * | NASDAQ OMX Group Inc. | 140,619 | 3,334 |
| Senior Housing | |||
| Properties Trust | 149,879 | 3,288 | |
| Arthur J Gallagher & Co. | 112,649 | 3,276 | |
| * | First Horizon National Corp. | 277,919 | 3,274 |
| Apartment Investment & | |||
| Management Co. | 124,660 | 3,221 | |
| Waddell & Reed | |||
| Financial Inc. Class A | 91,040 | 3,213 | |
| Developers Diversified | |||
| Realty Corp. | 226,541 | 3,192 | |
| Jefferies Group Inc. | 118,916 | 3,167 | |
| Commerce Bancshares Inc. | 79,525 | 3,160 | |
| Fidelity National | |||
| Financial Inc. Class A | 230,882 | 3,158 | |
| First Niagara Financial | |||
| Group Inc. | 222,703 | 3,113 | |
| Brown & Brown Inc. | 129,220 | 3,094 | |
| City National Corp. | 50,000 | 3,068 | |
| Hospitality Properties Trust | 131,894 | 3,039 | |
| BRE Properties Inc. | 68,683 | 2,988 | |
| Assured Guaranty Ltd. | 167,118 | 2,958 | |
| Taubman Centers Inc. | 58,287 | 2,942 | |
| East West Bancorp Inc. | 149,820 | 2,929 | |
| Weingarten Realty Investors 121,919 | 2,897 | ||
| Mack-Cali Realty Corp. | 85,150 | 2,815 | |
| * | American Capital Ltd. | 364,503 | 2,756 |
| White Mountains | |||
| Insurance Group Ltd. | 8,144 | 2,733 | |
| Associated Banc-Corp | 176,353 | 2,672 | |
| Allied World Assurance Co. | |||
| Holdings Ltd. | 44,390 | 2,639 | |
| American Financial | |||
| Group Inc. | 81,172 | 2,621 | |
| Federated Investors Inc. | |||
| Class B | 99,130 | 2,594 | |
| BioMed Realty Trust Inc. | 137,194 | 2,559 | |
| Janus Capital Group Inc. | 195,972 | 2,542 | |
| Corporate Office | |||
| Properties Trust | 70,828 | 2,475 | |
| CBL & Associates | |||
| Properties Inc. | 140,853 | 2,465 | |
| MFA Financial Inc. | 301,760 | 2,462 | |
| Protective Life Corp. | 91,891 | 2,448 | |
| Bank of Hawaii Corp. | 51,741 | 2,443 | |
| Highwoods Properties Inc. | 76,510 | 2,437 | |
| * | SVB Financial Group | 45,108 | 2,393 |
| National Retail | |||
| Properties Inc. | 89,642 | 2,376 | |
| Valley National Bancorp | 164,178 | 2,348 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Aspen Insurance | |||
| Holdings Ltd. | 81,855 | 2,343 | |
| FirstMerit Corp. | 117,060 | 2,317 | |
| Apollo Investment Corp. | 208,212 | 2,305 | |
| Endurance Specialty | |||
| Holdings Ltd. | 49,993 | 2,303 | |
| Entertainment | |||
| Properties Trust | 49,657 | 2,297 | |
| Omega Healthcare | |||
| Investors Inc. | 101,877 | 2,286 | |
| StanCorp Financial | |||
| Group Inc. | 49,963 | 2,255 | |
| Hanover Insurance | |||
| Group Inc. | 48,247 | 2,254 | |
| Mid-America Apartment | |||
| Communities Inc. | 35,252 | 2,238 | |
| Home Properties Inc. | 40,296 | 2,236 | |
| Tanger Factory | |||
| Outlet Centers | 43,540 | 2,229 | |
| American Campus | |||
| Communities Inc. | 69,761 | 2,216 | |
| Alterra Capital Holdings Ltd. | 101,846 | 2,204 | |
| Fulton Financial Corp. | 213,027 | 2,203 | |
| Greenhill & Co. Inc. | 26,866 | 2,194 | |
| * | Forest City Enterprises Inc. | ||
| Class A | 131,022 | 2,187 | |
| *,^ | St. Joe Co. | 99,763 | 2,180 |
| * | Signature Bank | 43,540 | 2,177 |
| Erie Indemnity Co. Class A | 32,521 | 2,129 | |
| Synovus Financial Corp. | 801,593 | 2,116 | |
| * | Stifel Financial Corp. | 33,855 | 2,100 |
| Washington Real Estate | |||
| Investment Trust | 67,144 | 2,081 | |
| * | MBIA Inc. | 171,764 | 2,059 |
| Kilroy Realty Corp. | 56,049 | 2,044 | |
| Washington Federal Inc. | 120,761 | 2,043 | |
| TCF Financial Corp. | 137,391 | 2,035 | |
| * | Alleghany Corp. | 6,610 | 2,025 |
| Piedmont Office Realty | |||
| Trust Inc. Class A | 100,176 | 2,018 | |
| Validus Holdings Ltd. | 65,533 | 2,006 | |
| DiamondRock | |||
| Hospitality Co. | 166,336 | 1,996 | |
| Platinum Underwriters | |||
| Holdings Ltd. | 44,043 | 1,981 | |
| CommonWealth REIT | 77,628 | 1,980 | |
| LaSalle Hotel Properties | 74,920 | 1,978 | |
| American Capital | |||
| Agency Corp. | 68,679 | 1,974 | |
| * | MGIC Investment Corp. | 193,593 | 1,973 |
| CapitalSource Inc. | 276,842 | 1,966 | |
| Douglas Emmett Inc. | 118,198 | 1,962 | |
| * | ProAssurance Corp. | 32,334 | 1,959 |
| Post Properties Inc. | 52,549 | 1,908 | |
| Prosperity Bancshares Inc. | 47,561 | 1,868 |
21
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Capitol Federal | |||
| Financial Inc. | 155,014 | 1,846 | |
| Equity Lifestyle | |||
| Properties Inc. | 31,448 | 1,759 | |
| Westamerica Bancorporation | 31,508 | 1,748 | |
| * | CNO Financial Group Inc. | 256,167 | 1,737 |
| Iberiabank Corp. | 29,036 | 1,717 | |
| Brandywine Realty Trust | 141,468 | 1,648 | |
| Trustmark Corp. | 65,272 | 1,621 | |
| Starwood Property Trust Inc. | 74,039 | 1,590 | |
| Whitney Holding Corp. | 110,878 | 1,569 | |
| Webster Financial Corp. | 79,573 | 1,568 | |
| BOK Financial Corp. | 29,136 | 1,556 | |
| Extra Space Storage Inc. | 89,048 | 1,549 | |
| First American | |||
| Financial Corp. | 101,404 | 1,515 | |
| NewAlliance | |||
| Bancshares Inc. | 101,082 | 1,514 | |
| Montpelier Re Holdings Ltd. | 75,400 | 1,503 | |
| Umpqua Holdings Corp. | 123,186 | 1,500 | |
| Delphi Financial Group Inc. | 52,020 | 1,500 | |
| Hatteras Financial Corp. | 48,530 | 1,469 | |
| Healthcare Realty Trust Inc. | 68,695 | 1,454 | |
| UMB Financial Corp. | 34,735 | 1,439 | |
| Northwest Bancshares Inc. | 119,168 | 1,401 | |
| Potlatch Corp. | 42,986 | 1,399 | |
| * | PHH Corp. | 59,512 | 1,378 |
| * | Portfolio Recovery | ||
| Associates Inc. | 18,235 | 1,371 | |
| DuPont Fabros | |||
| Technology Inc. | 64,053 | 1,362 | |
| Susquehanna | |||
| Bancshares Inc. | 140,306 | 1,358 | |
| Cathay General Bancorp | 80,707 | 1,348 | |
| * | Knight Capital Group Inc. | ||
| Class A | 96,662 | 1,333 | |
| Astoria Financial Corp. | 95,251 | 1,325 | |
| Colonial Properties Trust | 73,272 | 1,323 | |
| Unitrin Inc. | 53,689 | 1,318 | |
| Community Bank | |||
| System Inc. | 47,344 | 1,315 | |
| * | Sunstone Hotel | ||
| Investors Inc. | 126,167 | 1,303 | |
| BancorpSouth Inc. | 81,427 | 1,299 | |
| ^ | United Bankshares Inc. | 44,405 | 1,297 |
| Medical Properties Trust Inc. | 119,579 | 1,295 | |
| * | Ezcorp Inc. Class A | 47,042 | 1,276 |
| * | MF Global Holdings Ltd. | 152,103 | 1,272 |
| Mercury General Corp. | 29,451 | 1,267 | |
| Argo Group International | |||
| Holdings Ltd. | 33,344 | 1,249 | |
| Alexander’s Inc. | 3,018 | 1,244 | |
| EastGroup Properties Inc. | 29,139 | 1,233 | |
| Wintrust Financial Corp. | 37,238 | 1,230 | |
| Symetra Financial Corp. | 89,588 | 1,227 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| FNB Corp. | 123,987 | 1,218 | |
| National Health | |||
| Investors Inc. | 27,030 | 1,217 | |
| DCT Industrial Trust Inc. | 228,662 | 1,214 | |
| Redwood Trust Inc. | 80,250 | 1,198 | |
| Columbia Banking | |||
| System Inc. | 56,492 | 1,190 | |
| International | |||
| Bancshares Corp. | 59,091 | 1,184 | |
| PS Business Parks Inc. | 21,189 | 1,181 | |
| NBT Bancorp Inc. | 48,883 | 1,181 | |
| Glacier Bancorp Inc. | 77,726 | 1,174 | |
| Radian Group Inc. | 144,118 | 1,163 | |
| First Financial Bancorp | 62,918 | 1,163 | |
| Cash America | |||
| International Inc. | 31,457 | 1,162 | |
| Invesco Mortgage | |||
| Capital Inc. | 52,761 | 1,152 | |
| National Penn | |||
| Bancshares Inc. | 143,397 | 1,151 | |
| Tower Group Inc. | 44,714 | 1,144 | |
| Lexington Realty Trust | 141,442 | 1,124 | |
| Franklin Street | |||
| Properties Corp. | 78,611 | 1,120 | |
| First Financial | |||
| Bankshares Inc. | 21,765 | 1,114 | |
| * | World Acceptance Corp. | 21,014 | 1,110 |
| Hancock Holding Co. | 31,750 | 1,107 | |
| CVB Financial Corp. | 126,923 | 1,100 | |
| Equity One Inc. | 59,994 | 1,091 | |
| Sovran Self Storage Inc. | 29,353 | 1,081 | |
| Old National Bancorp | 90,812 | 1,080 | |
| American Equity Investment | |||
| Life Holding Co. | 84,932 | 1,066 | |
| First Citizens BancShares Inc. | |||
| Class A | 5,550 | 1,049 | |
| First Commonwealth | |||
| Financial Corp. | 146,952 | 1,040 | |
| * | Strategic Hotels & | ||
| Resorts Inc. | 195,269 | 1,033 | |
| Acadia Realty Trust | 56,017 | 1,022 | |
| Sterling Bancshares Inc. | 144,650 | 1,015 | |
| * | Dollar Financial Corp. | 35,388 | 1,013 |
| Brookline Bancorp Inc. | 93,167 | 1,011 | |
| KBW Inc. | 36,116 | 1,008 | |
| Cousins Properties Inc. | 120,117 | 1,002 | |
| Selective Insurance | |||
| Group Inc. | 54,788 | 994 | |
| BlackRock Kelso | |||
| Capital Corp. | 88,986 | 984 | |
| Hersha Hospitality Trust | |||
| Class A | 148,257 | 979 | |
| Park National Corp. | 13,393 | 973 | |
| Capstead Mortgage Corp. | 76,346 | 961 | |
| MB Financial Inc. | 54,934 | 951 | |
22
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| RLI Corp. | 17,908 | 941 | |
| First Midwest Bancorp Inc. | 81,172 | 935 | |
| Evercore Partners Inc. | |||
| Class A | 27,414 | 932 | |
| Provident Financial | |||
| Services Inc. | 61,300 | 927 | |
| Saul Centers Inc. | 19,565 | 926 | |
| PacWest Bancorp | 42,968 | 919 | |
| PrivateBancorp Inc. Class A | 63,735 | 917 | |
| TFS Financial Corp. | 101,425 | 915 | |
| * | iStar Financial Inc. | 116,884 | 914 |
| optionsXpress Holdings Inc. | 58,072 | 910 | |
| City Holding Co. | 25,091 | 909 | |
| Bank of the Ozarks Inc. | 20,909 | 906 | |
| * | Internet Capital Group Inc. | 62,294 | 886 |
| * | Ocwen Financial Corp. | 91,836 | 876 |
| Anworth Mortgage | |||
| Asset Corp. | 122,914 | 860 | |
| * | First Cash Financial | ||
| Services Inc. | 27,742 | 860 | |
| Employers Holdings Inc. | 48,933 | 855 | |
| Infinity Property & | |||
| Casualty Corp. | 13,840 | 855 | |
| Independent Bank Corp. | 31,074 | 841 | |
| * | Texas Capital | ||
| Bancshares Inc. | 39,254 | 835 | |
| First Potomac Realty Trust | 49,077 | 825 | |
| Chemical Financial Corp. | 36,293 | 804 | |
| Associated Estates | |||
| Realty Corp. | 51,844 | 793 | |
| BGC Partners Inc. Class A | 95,363 | 792 | |
| Glimcher Realty Trust | 94,223 | 791 | |
| * | Investment Technology | ||
| Group Inc. | 47,465 | 777 | |
| * | Investors Bancorp Inc. | 58,598 | 769 |
| American National | |||
| Insurance Co. | 8,977 | 769 | |
| * | Navigators Group Inc. | 15,257 | 768 |
| Home Bancshares Inc. | 34,609 | 762 | |
| FBL Financial Group Inc. | |||
| Class A | 26,170 | 750 | |
| Dime Community | |||
| Bancshares Inc. | 51,424 | 750 | |
| Interactive Brokers | |||
| Group Inc. | 41,757 | 744 | |
| * | Ashford Hospitality | ||
| Trust Inc. | 76,153 | 735 | |
| Danvers Bancorp Inc. | 40,998 | 724 | |
| * | Piper Jaffray Cos. | 20,662 | 723 |
| Oriental Financial Group Inc. | 57,040 | 712 | |
| Duff & Phelps Corp. Class A | 42,078 | 709 | |
| Provident New York Bancorp | 67,613 | 709 | |
| Prospect Capital Corp. | 65,095 | 703 | |
| Hudson Valley Holding Corp. | 28,115 | 696 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Horace Mann | |||
| Educators Corp. | 38,485 | 694 | |
| Cohen & Steers Inc. | 26,365 | 688 | |
| * | Altisource Portfolio | ||
| Solutions SA | 23,738 | 682 | |
| Boston Private Financial | |||
| Holdings Inc. | 103,393 | 677 | |
| * | Encore Capital Group Inc. | 28,564 | 670 |
| Berkshire Hills Bancorp Inc. | 30,269 | 669 | |
| Community Trust | |||
| Bancorp Inc. | 23,010 | 666 | |
| Cardinal Financial Corp. | 56,785 | 660 | |
| Cedar Shopping Centers Inc. | 104,979 | 660 | |
| * | AMERISAFE Inc. | 37,346 | 654 |
| Pennsylvania Real Estate | |||
| Investment Trust | 44,956 | 653 | |
| Safety Insurance Group Inc. | 13,538 | 644 | |
| * | Kindred Healthcare Inc. | 35,018 | 643 |
| * | PMI Group Inc. | 193,979 | 640 |
| Amtrust Financial | |||
| Services Inc. | 36,148 | 633 | |
| Flushing Financial Corp. | 45,050 | 631 | |
| Arrow Financial Corp. | 22,636 | 623 | |
| Trustco Bank Corp. NY | 97,815 | 620 | |
| Calamos Asset | |||
| Management Inc. Class A | 44,247 | 619 | |
| Capital Southwest Corp. | 5,926 | 615 | |
| Bancfirst Corp. | 14,864 | 612 | |
| Government Properties | |||
| Income Trust | 22,556 | 604 | |
| Getty Realty Corp. | 19,103 | 598 | |
| * | Pico Holdings Inc. | 18,514 | 589 |
| * | Greenlight Capital Re Ltd. | ||
| Class A | 21,846 | 586 | |
| Fifth Street Finance Corp. | 48,185 | 585 | |
| Camden National Corp. | 16,133 | 585 | |
| U-Store-It Trust | 60,164 | 573 | |
| Inland Real Estate Corp. | 64,073 | 564 | |
| * | Credit Acceptance Corp. | 8,971 | 563 |
| * | First Industrial Realty | ||
| Trust Inc. | 63,460 | 556 | |
| S&T Bancorp Inc. | 24,020 | 543 | |
| * | Ameris Bancorp | 51,479 | 543 |
| Nelnet Inc. Class A | 22,746 | 539 | |
| * | FPIC Insurance Group Inc. | 14,491 | 536 |
| Solar Capital Ltd. | 21,574 | 535 | |
| Agree Realty Corp. | 20,388 | 534 | |
| Pebblebrook Hotel Trust | 26,128 | 531 | |
| Flagstone Reinsurance | |||
| Holdings SA | 42,088 | 530 | |
| * | International Assets | ||
| Holding Corp. | 22,444 | 530 | |
| * | Forestar Group Inc. | 27,412 | 529 |
| MCG Capital Corp. | 75,902 | 529 | |
| Investors Real Estate Trust | 57,482 | 516 |
23
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Cypress Sharpridge | |||
| Investments Inc. | 39,417 | 509 | |
| Gladstone Capital Corp. | 44,033 | 507 | |
| * | Global Indemnity plc | 24,753 | 506 |
| Abington Bancorp Inc. | 42,304 | 505 | |
| * | Pinnacle Financial | ||
| Partners Inc. | 37,090 | 504 | |
| Simmons First National Corp. | |||
| Class A | 17,629 | 502 | |
| * | Hilltop Holdings Inc. | 50,600 | 502 |
| GAMCO Investors Inc. | 10,412 | 500 | |
| Harleysville Group Inc. | 13,478 | 495 | |
| Northfield Bancorp Inc. | 37,008 | 493 | |
| MarketAxess Holdings Inc. | 22,934 | 477 | |
| Southside Bancshares Inc. | 22,646 | 477 | |
| * | Citizens Republic | ||
| Bancorp Inc. | 767,833 | 472 | |
| Advance America Cash | |||
| Advance Centers Inc. | 83,130 | 469 | |
| WesBanco Inc. | 24,622 | 467 | |
| * | FelCor Lodging Trust Inc. | 65,329 | 460 |
| Federal Agricultural | |||
| Mortgage Corp. | 28,107 | 459 | |
| BankFinancial Corp. | 46,960 | 458 | |
| * | Beneficial Mutual | ||
| Bancorp Inc. | 51,731 | 457 | |
| * | Citizens Inc. | 60,382 | 450 |
| Primerica Inc. | 18,353 | 445 | |
| * | Avatar Holdings Inc. | 22,446 | 445 |
| First Busey Corp. | 93,813 | 441 | |
| Hercules Technology | |||
| Growth Capital Inc. | 42,520 | 441 | |
| Compass | |||
| Diversified Holdings | 24,732 | 438 | |
| Great Southern Bancorp Inc. | 18,410 | 434 | |
| * | Arbor Realty Trust Inc. | 72,647 | 433 |
| Bank of Marin Bancorp | 12,360 | 433 | |
| Lakeland Financial Corp. | 20,116 | 432 | |
| LTC Properties Inc. | 15,359 | 431 | |
| * | Newcastle Investment Corp. | 64,037 | 429 |
| * | Enstar Group Ltd. | 5,051 | 427 |
| Renasant Corp. | 25,177 | 426 | |
| Oritani Financial Corp. | 34,590 | 423 | |
| * | Phoenix Cos. Inc. | 165,792 | 421 |
| Republic Bancorp Inc. | |||
| Class A | 17,608 | 418 | |
| * | National Financial | ||
| Partners Corp. | 30,911 | 414 | |
| Artio Global Investors Inc. | |||
| Class A | 27,696 | 409 | |
| Meadowbrook Insurance | |||
| Group Inc. | 39,838 | 408 | |
| United Fire & Casualty Co. | 18,162 | 405 | |
| Wilmington Trust Corp. | 93,223 | 405 | |
| Ames National Corp. | 18,662 | 404 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Education Realty Trust Inc. | 51,764 | 402 | |
| SCBT Financial Corp. | 12,088 | 396 | |
| Presidential Life Corp. | 38,884 | 386 | |
| ViewPoint Financial Group | 32,612 | 381 | |
| Capital City Bank Group Inc. | 29,455 | 371 | |
| * | BRT Realty Trust | 51,224 | 368 |
| CompuCredit Holdings Corp. | 52,073 | 363 | |
| Alliance Financial Corp. | 11,158 | 361 | |
| Bank Mutual Corp. | 74,965 | 358 | |
| GFI Group Inc. | 76,146 | 357 | |
| CoBiz Financial Inc. | 58,069 | 353 | |
| * | Gleacher & Co. Inc. | 148,464 | 352 |
| Baldwin & Lyons Inc. | 14,938 | 352 | |
| Centerstate Banks Inc. | 44,258 | 351 | |
| Arlington Asset | |||
| Investment Corp. Class A | 14,603 | 350 | |
| * | Cowen Group Inc. Class A | 74,325 | 346 |
| Sun Communities Inc. | 10,231 | 341 | |
| First Merchants Corp. | 38,367 | 340 | |
| Walter Investment | |||
| Management Corp. | 18,921 | 339 | |
| Cogdell Spencer Inc. | 57,059 | 331 | |
| Bryn Mawr Bank Corp. | 18,343 | 320 | |
| * | LaBranche & Co. Inc. | 86,690 | 312 |
| * | FBR Capital Markets Corp. | 81,335 | 311 |
| * | LPL Investment Holdings Inc. | 8,519 | 310 |
| Donegal Group Inc. Class A | 21,253 | 308 | |
| Lakeland Bancorp Inc. | 27,993 | 307 | |
| Bancorp Rhode Island Inc. | 10,537 | 307 | |
| * | Center Financial Corp. | 39,615 | 300 |
| Colony Financial Inc. | 14,895 | 298 | |
| Sabra Healthcare REIT Inc. | 16,003 | 294 | |
| * | Marlin Business | ||
| Services Corp. | 22,605 | 286 | |
| Maiden Holdings Ltd. | 36,089 | 284 | |
| * | eHealth Inc. | 19,983 | 284 |
| * | Western Alliance Bancorp | 38,359 | 282 |
| National Western | |||
| Life Insurance Co. Class A | 1,687 | 281 | |
| * | CNA Surety Corp. | 11,800 | 279 |
| Heartland Financial USA Inc. | 15,930 | 278 | |
| Gladstone Investment Corp. | 36,260 | 277 | |
| * | Safeguard Scientifics Inc. | 15,984 | 273 |
| * | Financial Engines Inc. | 13,698 | 272 |
| * | Nara Bancorp Inc. | 27,295 | 268 |
| First Financial Holdings Inc. | 23,267 | 268 | |
| CBOE Holdings Inc. | 11,259 | 257 | |
| Sanders Morris Harris | |||
| Group Inc. | 34,753 | 252 | |
| American National | |||
| Bankshares Inc. | 10,688 | 252 | |
| SY Bancorp Inc. | 10,072 | 247 | |
| Parkway Properties Inc. | 14,010 | 245 | |
| 1st Source Corp. | 11,781 | 238 | |
| Banner Corp. | 100,898 | 234 |
24
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| NorthStar Realty | |||
| Finance Corp. | 49,140 | 233 | |
| StellarOne Corp. | 15,422 | 224 | |
| Dynex Capital Inc. | 20,413 | 223 | |
| EMC Insurance Group Inc. | 9,778 | 221 | |
| ^ | Life Partners Holdings Inc. | 11,429 | 219 |
| * | Flagstar Bancorp Inc. | 133,173 | 217 |
| * | Meridian Interstate | ||
| Bancorp Inc. | 18,299 | 216 | |
| First of Long Island Corp. | 7,411 | 214 | |
| * | Ladenburg Thalmann | ||
| Financial Services Inc. | 179,035 | 209 | |
| * | TradeStation Group Inc. | 30,847 | 208 |
| Sierra Bancorp | 19,154 | 206 | |
| Universal Health Realty | |||
| Income Trust | 5,609 | 205 | |
| * | Asset Acceptance | ||
| Capital Corp. | 34,180 | 203 | |
| Consolidated-Tomoka | |||
| Land Co. | 7,007 | 203 | |
| *,^ | BankAtlantic Bancorp Inc. | ||
| Class A | 172,716 | 199 | |
| * | Tejon Ranch Co. | 7,130 | 196 |
| First Community | |||
| Bancshares Inc. | 13,063 | 195 | |
| Stewart Information | |||
| Services Corp. | 16,924 | 195 | |
| First Financial Corp. | 5,546 | 195 | |
| ESSA Bancorp Inc. | 14,591 | 193 | |
| MVC Capital Inc. | 13,096 | 191 | |
| First Bancorp | 12,435 | 190 | |
| First Mercury Financial Corp. | 11,585 | 190 | |
| Ramco-Gershenson | |||
| Properties Trust | 15,186 | 189 | |
| *,^ | Capital Trust Inc. Class A | 121,153 | 188 |
| ^ | TowneBank | 11,815 | 188 |
| Westfield Financial Inc. | 20,216 | 187 | |
| US Global Investors Inc. | |||
| Class A | 22,825 | 186 | |
| * | Virtus Investment | ||
| Partners Inc. | 4,060 | 184 | |
| OneBeacon Insurance | |||
| Group Ltd. Class A | 12,126 | 184 | |
| Medallion Financial Corp. | 22,197 | 182 | |
| Sandy Spring Bancorp Inc. | 9,842 | 181 | |
| PennantPark | |||
| Investment Corp. | 14,678 | 180 | |
| * | RAIT Financial Trust | 81,174 | 178 |
| Retail Opportunity | |||
| Investments Corp. | 17,910 | 178 | |
| Enterprise Financial | |||
| Services Corp. | 16,922 | 177 | |
| Cohen & Co. Inc. | 39,382 | 171 | |
| * | American Safety Insurance | ||
| Holdings Ltd. | 7,761 | 166 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Urstadt Biddle Properties Inc. | |||
| Class A | 8,352 | 162 | |
| Tompkins Financial Corp. | 4,115 | 161 | |
| Washington Trust | |||
| Bancorp Inc. | 7,328 | 160 | |
| * | First Marblehead Corp. | 73,599 | 160 |
| Trico Bancshares | 9,667 | 156 | |
| Resource America Inc. | |||
| Class A | 22,622 | 155 | |
| Asta Funding Inc. | 17,759 | 144 | |
| State Auto Financial Corp. | 8,247 | 144 | |
| Bar Harbor Bankshares | 4,784 | 140 | |
| * | AmeriServ Financial Inc. | 87,946 | 139 |
| Resource Capital Corp. | 18,641 | 138 | |
| Center Bancorp Inc. | 16,612 | 135 | |
| CapLease Inc. | 23,004 | 134 | |
| * | Gramercy Capital Corp. | 57,610 | 133 |
| * | United Community | ||
| Banks Inc. | 67,934 | 132 | |
| Bridge Bancorp Inc. | 5,352 | 132 | |
| * | NewStar Financial Inc. | 12,337 | 130 |
| WSFS Financial Corp. | 2,747 | 130 | |
| Financial Institutions Inc. | 6,824 | 129 | |
| * | HFF Inc. Class A | 13,295 | 128 |
| German American | |||
| Bancorp Inc. | 6,894 | 127 | |
| Apollo Commercial Real | |||
| Estate Finance Inc. | 7,523 | 123 | |
| Kite Realty Group Trust | 22,297 | 121 | |
| * | American | ||
| Independence Corp. | 24,191 | 117 | |
| * | MPG Office Trust Inc. | 41,926 | 115 |
| Merchants Bancshares Inc. | 4,158 | 115 | |
| Suffolk Bancorp | 4,640 | 115 | |
| SWS Group Inc. | 22,584 | 114 | |
| OceanFirst Financial Corp. | 8,736 | 112 | |
| * | Eagle Bancorp Inc. | 7,686 | 111 |
| Century Bancorp Inc. Class A | 4,130 | 111 | |
| Two Harbors | |||
| Investment Corp. | 10,493 | 103 | |
| CFS Bancorp Inc. | 19,042 | 100 | |
| Univest Corp. of Pennsylvania | 5,060 | 97 | |
| * | Crawford & Co. Class B | 28,432 | 97 |
| SeaBright Holdings Inc. | 10,396 | 96 | |
| * | Guaranty Bancorp | 65,951 | 93 |
| Union First Market | |||
| Bankshares Corp. | 6,274 | 93 | |
| * | Hanmi Financial Corp. | 79,675 | 92 |
| * | First Defiance Financial Corp. | 7,666 | 91 |
| Student Loan Corp. | 2,739 | 89 | |
| Kohlberg Capital Corp. | 12,042 | 84 | |
| * | Doral Financial Corp. | 60,243 | 83 |
| *,^ | Central Pacific Financial Corp. | 53,711 | 82 |
| Comm Bancorp Inc. | 1,779 | 78 | |
| Investors Title Co. | 2,518 | 78 |
25
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Sterling Bancorp | 7,360 | 77 | |
| Chesapeake Lodging Trust | 3,928 | 74 | |
| MainSource Financial | |||
| Group Inc. | 6,829 | 71 | |
| TICC Capital Corp. | 6,231 | 70 | |
| Winthrop Realty Trust | 5,302 | 68 | |
| * | Metro Bancorp Inc. | 6,058 | 67 |
| * | BancTrust Financial | ||
| Group Inc. | 24,527 | 66 | |
| Oppenheimer Holdings Inc. | |||
| Class A | 2,480 | 65 | |
| * | Cape Bancorp Inc. | 7,639 | 65 |
| * | Primus Guaranty Ltd. | 12,484 | 63 |
| * | Bridge Capital Holdings | 7,249 | 63 |
| Pennymac Mortgage | |||
| Investment Trust | 3,425 | 62 | |
| ESB Financial Corp. | 3,625 | 59 | |
| One Liberty Properties Inc. | 3,525 | 59 | |
| CreXus Investment Corp. | 4,489 | 59 | |
| *,^ | Anchor Bancorp | ||
| Wisconsin Inc. | 48,951 | 59 | |
| Kaiser Federal Financial | |||
| Group Inc. | 5,065 | 59 | |
| Mission West | |||
| Properties Inc. | 8,714 | 58 | |
| * | First BanCorp | 125,733 | 58 |
| Monmouth Real Estate | |||
| Investment Corp. Class A | 6,635 | 56 | |
| Southwest Bancorp Inc. | 4,391 | 54 | |
| * | First Acceptance Corp. | 28,977 | 52 |
| Peoples Bancorp Inc. | 3,136 | 49 | |
| * | Firstcity Financial Corp. | 6,068 | 49 |
| * | Penson Worldwide Inc. | 9,875 | 48 |
| Citizens & Northern Corp. | 3,193 | 47 | |
| VIST Financial Corp. | 6,454 | 46 | |
| * | Cadence Financial Corp. | 18,379 | 45 |
| * | Affirmative Insurance | ||
| Holdings Inc. | 16,500 | 44 | |
| Ameriana Bancorp | 11,164 | 43 | |
| * | Republic First Bancorp Inc. | 17,617 | 43 |
| First Pactrust Bancorp Inc. | 3,225 | 43 | |
| * | Tree.com Inc. | 4,506 | 43 |
| * | Grubb & Ellis Co. | 32,743 | 42 |
| *,^ | Cascade Bancorp | 4,864 | 41 |
| * | Atlantic Coast Federal Corp. | 23,834 | 41 |
| First Financial Northwest Inc. | 10,125 | 41 | |
| * | NewBridge Bancorp | 8,541 | 40 |
| *,^ | Capitol Bancorp Ltd. | 76,006 | 39 |
| * | First Place Financial Corp. | 14,860 | 39 |
| Diamond Hill Investment | |||
| Group Inc. | 531 | 38 | |
| Westwood Holdings | |||
| Group Inc. | 960 | 38 | |
| Wilshire Bancorp Inc. | 4,940 | 38 | |
| * | Deerfield Capital Corp. | 5,755 | 37 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Colony Bankcorp Inc. | 8,747 | 35 |
| NGP Capital Resources Co. | 3,760 | 35 | |
| PMC Commercial Trust | 3,945 | 33 | |
| Mercantile Bank Corp. | 4,071 | 33 | |
| * | Consumer Portfolio | ||
| Services Inc. | 27,554 | 33 | |
| Pulaski Financial Corp. | 4,255 | 32 | |
| UMH Properties Inc. | 3,150 | 32 | |
| Roma Financial Corp. | 2,957 | 31 | |
| Kansas City Life Insurance Co. | 934 | 31 | |
| * | Bancorp Inc. | 2,941 | 30 |
| Eastern Virginia | |||
| Bankshares Inc. | 7,531 | 29 | |
| Rome Bancorp Inc. | 2,350 | 28 | |
| Eastern Insurance | |||
| Holdings Inc. | 2,351 | 28 | |
| West Bancorporation Inc. | 3,588 | 28 | |
| * | Hampton Roads | ||
| Bankshares Inc. | 53,218 | 28 | |
| * | Virginia Commerce | ||
| Bancorp Inc. | 4,336 | 27 | |
| Gladstone Commercial Corp. | 1,383 | 26 | |
| Main Street Capital Corp. | 1,415 | 26 | |
| Shore Bancshares Inc. | 2,438 | 26 | |
| Capital Bank Corp. | 10,090 | 25 | |
| CNB Financial Corp. | 1,686 | 25 | |
| * | Maui Land & | ||
| Pineapple Co. Inc. | 4,926 | 25 | |
| * | Thomas Properties Group Inc. | 5,802 | 25 |
| * | Waterstone Financial Inc. | 7,258 | 24 |
| * | Heritage Financial Corp. | 1,680 | 23 |
| Peapack Gladstone | |||
| Financial Corp. | 1,781 | 23 | |
| * | Nicholas Financial Inc. | 2,316 | 23 |
| * | Heritage Commerce Corp. | 5,119 | 23 |
| * | Sun Bancorp Inc. | 4,829 | 22 |
| * | Crawford & Co. Class A | 9,214 | 22 |
| Golub Capital BDC Inc. | 1,266 | 22 | |
| First South Bancorp Inc. | 3,190 | 21 | |
| 21st Century Holding Co. | 6,330 | 20 | |
| * | American River Bankshares | 3,376 | 20 |
| * | West Coast Bancorp | 6,973 | 20 |
| * | Macatawa Bank Corp. | 4,678 | 19 |
| * | Hallmark Financial Services | 1,990 | 18 |
| Citizens South Banking Corp. | 4,075 | 18 | |
| First M&F Corp. | 4,721 | 17 | |
| Provident Financial | |||
| Holdings Inc. | 2,366 | 17 | |
| * | Green Bankshares Inc. | 5,230 | 17 |
| National Interstate Corp. | 710 | 15 | |
| * | Stratus Properties Inc. | 1,643 | 15 |
| Meta Financial Group Inc. | 1,065 | 15 | |
| TF Financial Corp. | 631 | 14 | |
| * | BCSB Bancorp Inc. | 1,216 | 14 |
26
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Federal Agricultural | |||
| Mortgage Corp. Class A | 1,021 | 13 | |
| Independence Holding Co. | 1,651 | 13 | |
| Home Federal Bancorp Inc. | 1,068 | 13 | |
| * | Camco Financial Corp. | 8,557 | 13 |
| HopFed Bancorp Inc. | 1,384 | 12 | |
| * | Pacific Mercantile Bancorp | 3,311 | 12 |
| Codorus Valley Bancorp Inc. | 1,213 | 11 | |
| * | North Valley Bancorp | 1,335 | 11 |
| * | United Community | ||
| Financial Corp. | 7,740 | 10 | |
| * | Sterling Financial Corp. | 505 | 10 |
| * | Premierwest Bancorp | 28,341 | 10 |
| * | Unity Bancorp Inc. | 1,345 | 8 |
| Indiana Community Bancorp | 461 | 8 | |
| Middleburg Financial Corp. | 539 | 8 | |
| * | Seacoast Banking Corp. | ||
| of Florida | 4,924 | 7 | |
| * | Preferred Bank | 3,966 | 7 |
| Old Second Bancorp Inc. | 4,290 | 7 | |
| First United Corp. | 1,861 | 6 | |
| Wayne Savings | |||
| Bancshares Inc. | 693 | 6 | |
| Farmers Capital Bank Corp. | 1,229 | 6 | |
| Northrim BanCorp Inc. | 303 | 6 | |
| * | Jefferson Bancshares Inc. | 1,639 | 5 |
| * | Bank of Granite Corp. | 10,024 | 5 |
| Firstbank Corp. | 878 | 5 | |
| MutualFirst Financial Inc. | 544 | 5 | |
| * | HMN Financial Inc. | 1,737 | 5 |
| Brooklyn Federal Bancorp Inc. | 3,668 | 5 | |
| HF Financial Corp. | 396 | 4 | |
| State Bancorp Inc. | 441 | 4 | |
| * | Integra Bank Corp. | 5,136 | 4 |
| Alliance Bancorp Inc. of | |||
| Pennsylvania | 376 | 3 | |
| Parkvale Financial Corp. | 349 | 3 | |
| Peoples Financial Corp. | 187 | 3 | |
| Timberland Bancorp Inc. | 706 | 3 | |
| * | Royal Bancshares of | ||
| Pennsylvania Inc. | 1,796 | 2 | |
| Triangle Capital Corp. | 107 | 2 | |
| Territorial Bancorp Inc. | 91 | 2 | |
| * | First Financial Service Corp. | 438 | 2 |
| Hudson Pacific Properties Inc. | 115 | 2 | |
| * | Kennedy-Wilson Holdings Inc. | 168 | 2 |
| First Interstate Bancsystem Inc. | 110 | 2 | |
| United Financial Bancorp Inc. | 109 | 2 | |
| National Bankshares Inc. | 51 | 2 | |
| Epoch Holding Corp. | 101 | 2 | |
| Washington Banking Co. | 114 | 2 | |
| THL Credit Inc. | 117 | 2 | |
| Orrstown Financial Services Inc. | 53 | 1 | |
| United Security Bancshares | 128 | 1 | |
| Excel Trust Inc. | 116 | 1 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Independent Bank Corp. | 1,015 | 1 |
| Pacific Continental Corp. | 130 | 1 | |
| * | 1st United Bancorp Inc. | 175 | 1 |
| * | Terreno Realty Corp. | 65 | 1 |
| Chatham Lodging Trust | 65 | 1 | |
| Penns Woods Bancorp Inc. | 27 | 1 | |
| Mercer Insurance Group Inc. | 38 | 1 | |
| * | Harris & Harris Group Inc. | 229 | 1 |
| * | Taylor Capital Group Inc. | 75 | 1 |
| First Bancorp Inc. | 62 | 1 | |
| Tower Bancorp Inc. | 40 | 1 | |
| JMP Group Inc. | 111 | 1 | |
| Midsouth Bancorp Inc. | 54 | 1 | |
| Rockville Financial Inc. | 65 | 1 | |
| * | Superior Bancorp | 1,295 | 1 |
| * | Home Bancorp Inc. | 53 | 1 |
| Bank of Kentucky Financial Corp. | 37 | 1 | |
| Legacy Bancorp Inc. | 52 | 1 | |
| * | Valley National Bancorp | ||
| Warrants Exp. 06/30/2015 | 240 | 1 | |
| Universal Insurance | |||
| Holdings Inc. | 131 | 1 | |
| Citizens Holding Co. | 29 | 1 | |
| Monroe Bancorp | 42 | 1 | |
| * | MetroCorp Bancshares Inc. | 159 | 1 |
| Ohio Valley Banc Corp. | 28 | 1 | |
| * | Encore Bancshares Inc. | 51 | 1 |
| C&F Financial Corp. | 23 | 1 | |
| New Hampshire Thrift | |||
| Bancshares Inc. | 41 | 1 | |
| * | Fox Chase Bancorp Inc. | 43 | 1 |
| Norwood Financial Corp. | 18 | 1 | |
| * | ZipRealty Inc. | 191 | 1 |
| Horizon Bancorp | 18 | — | |
| * | Union Bankshares Inc. | 25 | — |
| Oneida Financial Corp. | 52 | — | |
| Wilber Corp. | 40 | — | |
| Hingham Institution for Savings | 9 | — | |
| * | Intervest Bancshares Corp. | ||
| Class A | 131 | — | |
| * | Princeton National | ||
| Bancorp Inc. | 100 | — | |
| Auburn National | |||
| Bancorporation Inc. | 18 | — | |
| * | Rodman & Renshaw Capital | ||
| Group Inc. | 129 | — | |
| Old Point Financial Corp. | 27 | — | |
| Commercial National | |||
| Financial Corp. | 17 | — | |
| SI Financial Group Inc. | 35 | — | |
| * | Salisbury Bancorp Inc. | 11 | — |
| Landmark Bancorp Inc. | 16 | — | |
| California First National Bancorp | 19 | — | |
| * | 1st Constitution Bancorp | 30 | — |
| Porter Bancorp Inc. | 25 | — | |
27
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Hawthorn Bancshares Inc. | 27 | — | |
| LNB Bancorp Inc. | 46 | — | |
| United Bancshares Inc. | 23 | — | |
| ECB Bancorp Inc. | 16 | — | |
| * | United Security Bancshares | 57 | — |
| Community Bank Shares of | |||
| Indiana Inc. | 22 | — | |
| * | First Citizens Banc Corp. | 54 | — |
| * | Yadkin Valley Financial Corp. | 114 | — |
| Cheviot Financial Corp. | 23 | — | |
| * | MBT Financial Corp. | 114 | — |
| * | Tower Financial Corp. | 24 | — |
| * | Mid Penn Bancorp Inc. | 24 | — |
| * | Community Capital Corp. | 66 | — |
| * | Summit Financial Group Inc. | 44 | — |
| Community Bankers Trust Corp. | 151 | — | |
| QC Holdings Inc. | 38 | — | |
| * | Severn Bancorp Inc. | 41 | — |
| * | Vestin Realty Mortgage II Inc. | 90 | — |
| National Security Group Inc. | 11 | — | |
| * | Southern Community | ||
| Financial Corp. | 118 | — | |
| Prudential Bancorp Inc. | |||
| of Pennsylvania | 19 | — | |
| * | First Security Group Inc. | 116 | — |
| GAINSCO Inc. | 11 | — | |
| WVS Financial Corp. | 11 | — | |
| * | WSB Holdings Inc. | 35 | — |
| * | Transcontinental Realty | ||
| Investors Inc. | 12 | — | |
| * | United Western Bancorp Inc. | 208 | — |
| * | TIB Financial Corp. Rights | ||
| Exp. 01/10/2011 | 3,940 | — | |
| 2,468,725 | |||
| Health Care (11.1%) | |||
| Johnson & Johnson | 2,934,795 | 181,517 | |
| Pfizer Inc. | 8,564,396 | 149,963 | |
| Merck & Co. Inc. | 3,274,835 | 118,025 | |
| Abbott Laboratories | 1,644,596 | 78,793 | |
| * | Amgen Inc. | 1,021,271 | 56,068 |
| Bristol-Myers Squibb Co. | 1,827,082 | 48,381 | |
| UnitedHealth Group Inc. | 1,197,845 | 43,254 | |
| Medtronic Inc. | 1,153,909 | 42,798 | |
| Eli Lilly & Co. | 1,105,813 | 38,748 | |
| * | Gilead Sciences Inc. | 893,612 | 32,384 |
| Baxter International Inc. | 622,637 | 31,518 | |
| * | Express Scripts Inc. | 549,075 | 29,677 |
| * | Celgene Corp. | 500,883 | 29,622 |
| * | Medco Health | ||
| Solutions Inc. | 462,119 | 28,314 | |
| Covidien plc | 534,461 | 24,403 | |
| * | WellPoint Inc. | 425,917 | 24,218 |
| * | Thermo Fisher | ||
| Scientific Inc. | 434,100 | 24,032 | |
| Allergan Inc. | 327,714 | 22,504 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Becton Dickinson and Co. | 247,389 | 20,909 | |
| McKesson Corp. | 278,619 | 19,609 | |
| * | Genzyme Corp. | 271,556 | 19,335 |
| * | Biogen Idec Inc. | 257,871 | 17,290 |
| Stryker Corp. | 317,239 | 17,036 | |
| * | St. Jude Medical Inc. | 359,536 | 15,370 |
| * | Agilent Technologies Inc. | 370,920 | 15,367 |
| Cardinal Health Inc. | 374,187 | 14,335 | |
| Aetna Inc. | 444,797 | 13,571 | |
| * | Boston Scientific Corp. | 1,616,500 | 12,237 |
| * | Zimmer Holdings Inc. | 214,268 | 11,502 |
| * | Life Technologies Corp. | 195,550 | 10,853 |
| CIGNA Corp. | 295,202 | 10,822 | |
| * | Intuitive Surgical Inc. | 41,974 | 10,819 |
| AmerisourceBergen Corp. | |||
| Class A | 297,453 | 10,149 | |
| * | Hospira Inc. | 178,209 | 9,924 |
| * | Humana Inc. | 180,234 | 9,866 |
| * | Edwards Lifesciences Corp. | 120,725 | 9,759 |
| * | Forest Laboratories Inc. | 304,239 | 9,730 |
| * | Laboratory Corp. of | ||
| America Holdings | 109,537 | 9,630 | |
| CR Bard Inc. | 99,869 | 9,165 | |
| * | Varian Medical Systems Inc. | 129,546 | 8,975 |
| Quest Diagnostics Inc. | 160,507 | 8,663 | |
| * | Illumina Inc. | 132,613 | 8,400 |
| * | Alexion Pharmaceuticals Inc. | 96,151 | 7,745 |
| * | Waters Corp. | 98,127 | 7,625 |
| * | DaVita Inc. | 109,321 | 7,597 |
| * | Vertex Pharmaceuticals Inc. | 216,262 | 7,576 |
| * | Watson | ||
| Pharmaceuticals Inc. | 141,308 | 7,299 | |
| * | Cerner Corp. | 74,932 | 7,099 |
| * | Mylan Inc. | 330,026 | 6,973 |
| * | CareFusion Corp. | 237,420 | 6,102 |
| * | Henry Schein Inc. | 97,779 | 6,003 |
| * | ResMed Inc. | 161,386 | 5,590 |
| Perrigo Co. | 88,123 | 5,581 | |
| Beckman Coulter Inc. | 73,942 | 5,563 | |
| * | Mettler-Toledo | ||
| International Inc. | 35,574 | 5,379 | |
| * | Dendreon Corp. | 153,817 | 5,371 |
| * | Hologic Inc. | 276,444 | 5,203 |
| * | Cephalon Inc. | 80,055 | 4,941 |
| DENTSPLY | |||
| International Inc. | 144,455 | 4,936 | |
| * | Human Genome | ||
| Sciences Inc. | 200,437 | 4,788 | |
| * | Endo Pharmaceuticals | ||
| Holdings Inc. | 123,295 | 4,403 | |
| * | IDEXX Laboratories Inc. | 61,479 | 4,256 |
| * | Coventry Health Care Inc. | 158,653 | 4,188 |
| Universal Health | |||
| Services Inc. Class B | 96,089 | 4,172 |
28
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Community Health | ||
| Systems Inc. | 100,487 | 3,755 | |
| * | King Pharmaceuticals Inc. | 266,795 | 3,748 |
| * | Allscripts Healthcare | ||
| Solutions Inc. | 189,197 | 3,646 | |
| * | United Therapeutics Corp. | 57,095 | 3,610 |
| * | Covance Inc. | 69,259 | 3,561 |
| * | Tenet Healthcare Corp. | 516,607 | 3,456 |
| * | Mednax Inc. | 50,965 | 3,429 |
| Pharmaceutical Product | |||
| Development Inc. | 120,226 | 3,263 | |
| PerkinElmer Inc. | 125,527 | 3,241 | |
| Omnicare Inc. | 126,106 | 3,202 | |
| * | Alere Inc. | 86,313 | 3,159 |
| Patterson Cos. Inc. | 99,617 | 3,051 | |
| * | Gen-Probe Inc. | 51,974 | 3,033 |
| * | BioMarin | ||
| Pharmaceutical Inc. | 109,397 | 2,946 | |
| * | Salix Pharmaceuticals Ltd. | 61,989 | 2,911 |
| * | Kinetic Concepts Inc. | 69,310 | 2,903 |
| * | Health Net Inc. | 104,104 | 2,841 |
| Lincare Holdings Inc. | 104,603 | 2,806 | |
| Cooper Cos. Inc. | 49,666 | 2,798 | |
| Warner Chilcott plc Class A | 120,965 | 2,729 | |
| Hill-Rom Holdings Inc. | 68,047 | 2,679 | |
| * | Health Management | ||
| Associates Inc. Class A | 269,176 | 2,568 | |
| * | Charles River Laboratories | ||
| International Inc. | 71,127 | 2,528 | |
| * | Onyx Pharmaceuticals Inc. | 67,249 | 2,479 |
| Techne Corp. | 37,719 | 2,477 | |
| * | Regeneron | ||
| Pharmaceuticals Inc. | 73,305 | 2,407 | |
| * | AMERIGROUP Corp. | 54,436 | 2,391 |
| * | Brookdale Senior Living Inc. | ||
| Class A | 110,286 | 2,361 | |
| STERIS Corp. | 63,646 | 2,321 | |
| Teleflex Inc. | 42,940 | 2,311 | |
| * | Myriad Genetics Inc. | 100,613 | 2,298 |
| * | Amylin | ||
| Pharmaceuticals Inc. | 154,560 | 2,274 | |
| * | Dionex Corp. | 18,670 | 2,203 |
| * | Incyte Corp. Ltd. | 131,171 | 2,172 |
| * | Bio-Rad Laboratories Inc. | ||
| Class A | 20,651 | 2,145 | |
| * | LifePoint Hospitals Inc. | 57,959 | 2,130 |
| * | Emergency Medical | ||
| Services Corp. Class A | 32,417 | 2,094 | |
| * | Healthsouth Corp. | 100,357 | 2,078 |
| * | InterMune Inc. | 56,225 | 2,047 |
| * | VCA Antech Inc. | 87,671 | 2,042 |
| Owens & Minor Inc. | 67,791 | 1,995 | |
| * | Catalyst Health | ||
| Solutions Inc. | 40,781 | 1,896 | |
| * | HMS Holdings Corp. | 29,177 | 1,890 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Sirona Dental Systems Inc. | 44,332 | 1,852 |
| Medicis Pharmaceutical Corp. | |||
| Class A | 64,644 | 1,732 | |
| * | Thoratec Corp. | 59,958 | 1,698 |
| * | Magellan Health | ||
| Services Inc. | 35,753 | 1,690 | |
| * | Haemonetics Corp. | 26,514 | 1,675 |
| Masimo Corp. | 56,871 | 1,653 | |
| * | Theravance Inc. | 65,781 | 1,649 |
| Chemed Corp. | 24,416 | 1,551 | |
| * | American Medical Systems | ||
| Holdings Inc. | 82,212 | 1,551 | |
| * | Talecris Biotherapeutics | ||
| Holdings Corp. | 66,069 | 1,539 | |
| * | Pharmasset Inc. | 34,935 | 1,517 |
| Quality Systems Inc. | 21,669 | 1,513 | |
| * | Immucor Inc. | 75,189 | 1,491 |
| West Pharmaceutical | |||
| Services Inc. | 35,730 | 1,472 | |
| * | Par Pharmaceutical Cos. Inc. | 37,752 | 1,454 |
| * | Cepheid Inc. | 63,872 | 1,453 |
| * | Viropharma Inc. | 83,719 | 1,450 |
| * | athenahealth Inc. | 35,012 | 1,435 |
| * | Martek Biosciences Corp. | 45,116 | 1,412 |
| * | Centene Corp. | 55,308 | 1,402 |
| * | Healthspring Inc. | 52,243 | 1,386 |
| * | Seattle Genetics Inc. | 92,219 | 1,379 |
| * | WellCare Health Plans Inc. | 45,476 | 1,374 |
| * | Cubist Pharmaceuticals Inc. | 63,951 | 1,369 |
| * | PSS World Medical Inc. | 60,504 | 1,367 |
| * | Volcano Corp. | 49,511 | 1,352 |
| * | Parexel International Corp. | 63,466 | 1,347 |
| * | Exelixis Inc. | 163,852 | 1,345 |
| * | Nektar Therapeutics | 101,293 | 1,302 |
| * | Alkermes Inc. | 103,026 | 1,265 |
| * | Cyberonics Inc. | 38,963 | 1,209 |
| * | Align Technology Inc. | 61,578 | 1,203 |
| Invacare Corp. | 39,549 | 1,193 | |
| * | Bruker Corp. | 71,338 | 1,184 |
| * | Impax Laboratories Inc. | 58,150 | 1,169 |
| * | CONMED Corp. | 43,539 | 1,151 |
| * | Acorda Therapeutics Inc. | 41,979 | 1,144 |
| * | Isis Pharmaceuticals Inc. | 110,928 | 1,123 |
| * | Integra LifeSciences | ||
| Holdings Corp. | 23,620 | 1,117 | |
| * | Medicines Co. | 77,255 | 1,092 |
| * | NuVasive Inc. | 41,634 | 1,068 |
| * | Questcor | ||
| Pharmaceuticals Inc. | 72,444 | 1,067 | |
| * | Auxilium | ||
| Pharmaceuticals Inc. | 50,517 | 1,066 | |
| PDL BioPharma Inc. | 166,909 | 1,040 | |
| * | Air Methods Corp. | 17,924 | 1,009 |
| * | Amedisys Inc. | 29,825 | 999 |
| Meridian Bioscience Inc. | 43,130 | 999 | |
29
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Analogic Corp. | 20,163 | 998 | |
| * | Ariad Pharmaceuticals Inc. | 190,305 | 971 |
| * | Abaxis Inc. | 36,045 | 968 |
| * | Halozyme Therapeutics Inc. 121,006 | 958 | |
| * | MedAssets Inc. | 46,976 | 948 |
| * | Emergent Biosolutions Inc. | 37,979 | 891 |
| * | Bio-Reference Labs Inc. | 40,002 | 887 |
| * | Greatbatch Inc. | 35,712 | 862 |
| * | Enzon Pharmaceuticals Inc. | 70,835 | 862 |
| * | Immunogen Inc. | 92,813 | 859 |
| * | Amsurg Corp. Class A | 40,365 | 846 |
| * | Gentiva Health Services Inc. | 31,636 | 842 |
| * | Celera Corp. | 131,910 | 831 |
| * | Savient Pharmaceuticals Inc. | 74,062 | 825 |
| * | Wright Medical Group Inc. | 51,505 | 800 |
| * | Vivus Inc. | 85,302 | 799 |
| * | AMAG Pharmaceuticals Inc. | 42,484 | 769 |
| * | Hanger Orthopedic | ||
| Group Inc. | 36,078 | 764 | |
| * | Geron Corp. | 146,258 | 756 |
| Computer Programs & | |||
| Systems Inc. | 16,139 | 756 | |
| * | Natus Medical Inc. | 52,591 | 746 |
| * | Emeritus Corp. | 37,497 | 739 |
| Universal American Corp. | 35,563 | 727 | |
| * | MWI Veterinary Supply Inc. | 11,507 | 727 |
| * | Alnylam | ||
| Pharmaceuticals Inc. | 71,479 | 705 | |
| * | Luminex Corp. | 38,054 | 696 |
| * | Akorn Inc. | 113,244 | 687 |
| Cantel Medical Corp. | 28,775 | 673 | |
| * | Genomic Health Inc. | 31,411 | 672 |
| * | ABIOMED Inc. | 69,471 | 668 |
| * | Corvel Corp. | 13,694 | 662 |
| * | Neogen Corp. | 15,724 | 645 |
| * | Almost Family Inc. | 16,239 | 624 |
| * | AVANIR | ||
| Pharmaceuticals Inc. | 152,649 | 623 | |
| * | Momenta | ||
| Pharmaceuticals Inc. | 41,533 | 622 | |
| * | Arthrocare Corp. | 19,952 | 620 |
| * | HeartWare International Inc. | 7,046 | 617 |
| *,^ | Orexigen Therapeutics Inc. | 75,463 | 610 |
| * | Allos Therapeutics Inc. | 131,768 | 607 |
| * | Accuray Inc. | 88,886 | 600 |
| * | Conceptus Inc. | 43,147 | 595 |
| * | DexCom Inc. | 43,247 | 590 |
| Landauer Inc. | 9,830 | 590 | |
| * | Inspire | ||
| Pharmaceuticals Inc. | 69,464 | 583 | |
| * | Assisted Living Concepts Inc. | ||
| Class A | 17,892 | 582 | |
| * | Arqule Inc. | 99,040 | 581 |
| * | Clinical Data Inc. | 36,279 | 577 |
| * | Angiodynamics Inc. | 37,344 | 574 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | MannKind Corp. | 70,060 | 565 |
| * | Depomed Inc. | 88,756 | 564 |
| * | Zoll Medical Corp. | 14,916 | 555 |
| * | Affymetrix Inc. | 109,333 | 550 |
| * | American Dental | ||
| Partners Inc. | 39,751 | 537 | |
| * | China Biologic Products Inc. | 30,554 | 501 |
| * | ICU Medical Inc. | 13,342 | 487 |
| * | Sequenom Inc. | 59,491 | 477 |
| *,^ | Cadence | ||
| Pharmaceuticals Inc. | 62,503 | 472 | |
| * | Accelrys Inc. | 56,794 | 471 |
| *,^ | AVI BioPharma Inc. | 221,926 | 470 |
| *,^ | Delcath Systems Inc. | 47,873 | 469 |
| * | Medivation Inc. | 30,196 | 458 |
| * | AMN Healthcare | ||
| Services Inc. | 72,673 | 446 | |
| * | RehabCare Group Inc. | 18,298 | 434 |
| * | Idenix Pharmaceuticals Inc. | 83,998 | 423 |
| * | Five Star Quality Care Inc. | 59,762 | 423 |
| * | Healthways Inc. | 37,756 | 421 |
| *,^ | BioCryst | ||
| Pharmaceuticals Inc. | 81,376 | 421 | |
| Atrion Corp. | 2,320 | 416 | |
| * | Orthofix International NV | 14,277 | 414 |
| * | Capital Senior Living Corp. | 61,423 | 412 |
| * | Cypress Bioscience Inc. | 63,421 | 411 |
| * | NxStage Medical Inc. | 16,426 | 409 |
| * | Merit Medical Systems Inc. | 25,777 | 408 |
| * | Kensey Nash Corp. | 14,096 | 392 |
| * | Codexis Inc. | 36,862 | 391 |
| * | Insulet Corp. | 25,190 | 390 |
| * | Molina Healthcare Inc. | 13,861 | 386 |
| * | Array Biopharma Inc. | 128,938 | 386 |
| * | Cross Country | ||
| Healthcare Inc. | 44,474 | 377 | |
| * | Affymax Inc. | 56,623 | 377 |
| * | Caliper Life Sciences Inc. | 58,732 | 372 |
| * | IPC The Hospitalist Co. Inc. | 9,514 | 371 |
| * | OraSure Technologies Inc. | 64,534 | 371 |
| * | BioScrip Inc. | 70,414 | 368 |
| * | Chelsea Therapeutics | ||
| International Ltd. | 48,615 | 365 | |
| * | Continucare Corp. | 76,044 | 356 |
| * | Targacept Inc. | 13,290 | 352 |
| * | BMP Sunstone Corp. | 35,027 | 347 |
| * | PharMerica Corp. | 30,294 | 347 |
| * | Micromet Inc. | 41,979 | 341 |
| * | Allied Healthcare | ||
| International Inc. | 135,338 | 340 | |
| * | eResearchTechnology Inc. | 45,959 | 338 |
| * | Exactech Inc. | 17,895 | 337 |
| * | Alphatec Holdings Inc. | 122,321 | 330 |
| * | Endologix Inc. | 46,051 | 329 |
| * | Cerus Corp. | 130,171 | 320 |
30
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | Cell Therapeutics Inc. | 875,156 | 319 |
| * | NPS Pharmaceuticals Inc. | 40,253 | 318 |
| * | Antigenics Inc. | 315,099 | 315 |
| * | CryoLife Inc. | 57,752 | 313 |
| * | LHC Group Inc. | 10,392 | 312 |
| * | Quidel Corp. | 21,457 | 310 |
| *,^ | Biotime Inc. | 37,197 | 310 |
| * | Durect Corp. | 87,805 | 303 |
| America Service Group Inc. | 19,837 | 300 | |
| * | Columbia Laboratories Inc. | 131,233 | 298 |
| * | Cutera Inc. | 35,124 | 291 |
| * | Anika Therapeutics Inc. | 43,826 | 291 |
| * | Genoptix Inc. | 15,060 | 286 |
| * | Curis Inc. | 137,866 | 273 |
| * | Rigel Pharmaceuticals Inc. | 36,041 | 271 |
| * | Opko Health Inc. | 73,504 | 270 |
| * | Ardea Biosciences Inc. | 10,330 | 269 |
| * | Arena Pharmaceuticals Inc. | 149,032 | 256 |
| * | Symmetry Medical Inc. | 27,232 | 252 |
| * | BioMimetic Therapeutics Inc. | 19,496 | 248 |
| * | Alliance HealthCare | ||
| Services Inc. | 55,535 | 235 | |
| * | Albany Molecular | ||
| Research Inc. | 41,714 | 234 | |
| * | SIGA Technologies Inc. | 16,668 | 233 |
| * | Select Medical | ||
| Holdings Corp. | 31,702 | 232 | |
| * | Emdeon Inc. Class A | 17,036 | 231 |
| * | Omnicell Inc. | 15,808 | 228 |
| * | XenoPort Inc. | 26,736 | 228 |
| * | SonoSite Inc. | 7,075 | 224 |
| * | Acadia Pharmaceuticals Inc. | 185,834 | 221 |
| *,^ | Protalix BioTherapeutics Inc. | 22,105 | 221 |
| * | Anadys Pharmaceuticals Inc. | 153,896 | 219 |
| National Healthcare Corp. | 4,694 | 217 | |
| Pain Therapeutics Inc. | 30,145 | 203 | |
| * | Sun Healthcare Group Inc. | 16,003 | 203 |
| * | Cynosure Inc. Class A | 19,672 | 201 |
| * | Immunomedics Inc. | 55,495 | 199 |
| * | Sunrise Senior Living Inc. | 35,860 | 195 |
| * | Cytokinetics Inc. | 92,447 | 193 |
| *,^ | Biosante | ||
| Pharmaceuticals Inc. | 117,626 | 193 | |
| * | Nabi Biopharmaceuticals | 32,813 | 190 |
| * | Palomar Medical | ||
| Technologies Inc. | 13,361 | 190 | |
| * | Adolor Corp. | 155,361 | 188 |
| * | Optimer Pharmaceuticals Inc. | 16,173 | 183 |
| * | KV Pharmaceutical Co. | ||
| Class A | 70,214 | 179 | |
| * | Triple-S Management Corp. | ||
| Class B | 9,365 | 179 | |
| * | Neurocrine Biosciences Inc. | 23,366 | 179 |
| * | Medcath Corp. | 12,512 | 175 |
| * | Matrixx Initiatives Inc. | 19,488 | 165 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | SurModics Inc. | 13,774 | 163 |
| * | AtriCure Inc. | 15,869 | 162 |
| * | Corcept Therapeutics Inc. | 41,245 | 159 |
| * | Caraco Pharmaceutical | ||
| Laboratories Ltd. | 34,742 | 158 | |
| * | Medidata Solutions Inc. | 6,582 | 157 |
| * | Biolase Technology Inc. | 87,033 | 151 |
| * | BioClinica Inc. | 33,719 | 149 |
| * | PDI Inc. | 14,034 | 148 |
| * | US Physical Therapy Inc. | 7,446 | 148 |
| *,^ | Cytori Therapeutics Inc. | 27,825 | 144 |
| * | Dyax Corp. | 66,982 | 143 |
| * | Celldex Therapeutics Inc. | 34,263 | 141 |
| * | Metabolix Inc. | 11,502 | 140 |
| * | IRIS International Inc. | 13,573 | 139 |
| * | Furiex Pharmaceuticals Inc. | 9,586 | 139 |
| * | Merge Healthcare Inc. | 36,136 | 135 |
| * | Harvard Bioscience Inc. | 32,527 | 133 |
| * | Pozen Inc. | 19,738 | 131 |
| * | Icad Inc. | 96,125 | 131 |
| * | Cambrex Corp. | 25,184 | 130 |
| * | Medical Action Industries Inc. | 13,503 | 129 |
| * | Pharmacyclics Inc. | 21,210 | 129 |
| *,^ | Biodel Inc. | 68,236 | 125 |
| * | Ligand Pharmaceuticals Inc. | ||
| Class B | 13,873 | 124 | |
| * | MAKO Surgical Corp. | 7,791 | 119 |
| * | Lexicon Pharmaceuticals Inc. | 79,313 | 114 |
| * | LCA-Vision Inc. | 19,598 | 113 |
| * | Novavax Inc. | 45,248 | 110 |
| *,^ | BSD Medical Corp. | 23,707 | 110 |
| * | Aastrom Biosciences Inc. | 41,043 | 105 |
| * | GTx Inc. | 38,373 | 102 |
| * | Animal Health | ||
| International Inc. | 35,306 | 101 | |
| * | Vital Images Inc. | 7,226 | 101 |
| * | Jazz Pharmaceuticals Inc. | 5,089 | 100 |
| * | Rochester Medical Corp. | 8,804 | 96 |
| * | Progenics | ||
| Pharmaceuticals Inc. | 17,520 | 96 | |
| * | Rural/Metro Corp. | 6,495 | 95 |
| * | CytRx Corp. | 92,391 | 93 |
| * | Myrexis Inc. | 21,693 | 90 |
| * | Accretive Health Inc. | 5,269 | 86 |
| Ensign Group Inc. | 3,385 | 84 | |
| * | Arrowhead Research Corp. | 93,160 | 83 |
| * | CPEX Pharmaceuticals Inc. | 3,430 | 83 |
| * | Enzo Biochem Inc. | 14,966 | 79 |
| * | Alexza Pharmaceuticals Inc. | 61,214 | 77 |
| * | Providence Service Corp. | 4,627 | 74 |
| * | PROLOR Biotech Inc. | 11,486 | 74 |
| * | Spectranetics Corp. | 14,389 | 74 |
| * | Bovie Medical Corp. | 22,412 | 73 |
| * | Spectrum | ||
| Pharmaceuticals Inc. | 10,372 | 71 |
31
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Staar Surgical Co. | 11,459 | 70 |
| * | Vascular Solutions Inc. | 5,792 | 68 |
| * | Insmed Inc. | 105,616 | 67 |
| * | Sangamo Biosciences Inc. | 9,949 | 66 |
| * | Kendle International Inc. | 5,812 | 63 |
| * | Digirad Corp. | 29,423 | 62 |
| * | Discovery Laboratories Inc. | 17,399 | 58 |
| * | Orthovita Inc. | 28,775 | 58 |
| * | Osiris Therapeutics Inc. | 7,222 | 56 |
| * | Sciclone Pharmaceuticals Inc. | 13,379 | 56 |
| * | RTI Biologics Inc. | 20,497 | 55 |
| * | ISTA Pharmaceuticals Inc. | 10,024 | 51 |
| * | GenVec Inc. | 87,650 | 49 |
| * | Hi-Tech Pharmacal Co. Inc. | 1,879 | 47 |
| Maxygen Inc. | 11,920 | 47 | |
| * | Mediware | ||
| Information Systems | 4,296 | 46 | |
| * | Hemispherx Biopharma Inc. | 85,879 | 42 |
| * | Hooper Holmes Inc. | 59,289 | 42 |
| * | Vanda Pharmaceuticals Inc. | 4,408 | 42 |
| * | SuperGen Inc. | 15,165 | 40 |
| Psychemedics Corp. | 4,661 | 38 | |
| * | Unilife Corp. | 7,189 | 38 |
| * | Cel-Sci Corp. | 43,918 | 36 |
| * | American Caresource | ||
| Holdings Inc. | 25,767 | 36 | |
| * | Synovis Life | ||
| Technologies Inc. | 2,184 | 35 | |
| * | ThermoGenesis Corp. | 9,505 | 33 |
| * | Stereotaxis Inc. | 8,643 | 33 |
| * | Infinity Pharmaceuticals Inc. | 5,335 | 32 |
| * | Santarus Inc. | 9,544 | 31 |
| * | Chindex International Inc. | 1,887 | 31 |
| * | Idera Pharmaceuticals Inc. | 10,479 | 30 |
| * | Skilled Healthcare Group Inc. | 3,154 | 28 |
| * | Zalicus Inc. | 17,826 | 28 |
| * | Theragenics Corp. | 18,481 | 28 |
| * | Repligen Corp. | 5,756 | 27 |
| * | Dynavax Technologies Corp. | 8,081 | 26 |
| * | MAP Pharmaceuticals Inc. | 1,543 | 26 |
| * | AspenBio Pharma Inc. | 42,136 | 25 |
| * | RadNet Inc. | 8,952 | 25 |
| * | Transcend Services Inc. | 1,266 | 25 |
| Medtox Scientific Inc. | 1,858 | 24 | |
| * | TomoTherapy Inc. | 6,521 | 24 |
| * | Keryx Biopharmaceuticals Inc. | 5,115 | 23 |
| * | Peregrine | ||
| Pharmaceuticals Inc. | 9,884 | 23 | |
| * | CardioNet Inc. | 4,570 | 21 |
| * | StemCells Inc. | 18,917 | 20 |
| * | Metropolitan Health | ||
| Networks Inc. | 4,411 | 20 | |
| * | Obagi Medical Products Inc. | 1,637 | 19 |
| * | Vical Inc. | 8,370 | 17 |
| * | Telik Inc. | 21,985 | 17 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | ADVENTRX | ||
| Pharmaceuticals Inc. | 5,620 | 15 | |
| * | EnteroMedics Inc. | 4,462 | 14 |
| Young Innovations Inc. | 421 | 13 | |
| * | ARCA Biopharma Inc. | 4,073 | 13 |
| * | Hansen Medical Inc. | 8,508 | 13 |
| * | Orchid Cellmark Inc. | 6,435 | 12 |
| * | Cardica Inc. | 2,775 | 12 |
| * | Arcadia Resources Inc. | 38,500 | 12 |
| * | Amicus Therapeutics Inc. | 2,502 | 12 |
| * | Entremed Inc. | 2,162 | 11 |
| * | XOMA Ltd. | 2,060 | 11 |
| * | Acura Pharmaceuticals Inc. | 2,965 | 10 |
| * | Capstone Therapeutics Corp. | 15,292 | 9 |
| * | Strategic Diagnostics Inc. | 3,761 | 7 |
| * | IVAX Diagnostics Inc. | 10,306 | 6 |
| * | CombiMatrix Corp. | 2,351 | 5 |
| * | RXi Pharmaceuticals Corp. | 1,714 | 4 |
| * | ARYx Therapeutics Inc. | 13,537 | 4 |
| * | NovaMed Inc. | 259 | 3 |
| * | OXiGENE Inc. | 12,208 | 3 |
| * | Exact Sciences Corp. | 337 | 2 |
| * | Team Health Holdings Inc. | 119 | 2 |
| * | ZIOPHARM Oncology Inc. | 362 | 2 |
| * | SCOLR Pharma Inc. | 4,452 | 2 |
| * | Ironwood Pharmaceuticals Inc. | 142 | 1 |
| * | Heska Corp. | 291 | 1 |
| * | Omeros Corp. | 143 | 1 |
| * | EpiCept Corp. | 1,326 | 1 |
| * | Synta Pharmaceuticals Corp. | 180 | 1 |
| * | OncoGenex | ||
| Pharmaceutical Inc. | 64 | 1 | |
| * | Cardiovascular Systems Inc. | 89 | 1 |
| * | Inhibitex Inc. | 346 | 1 |
| * | Somaxon Pharmaceuticals Inc. | 279 | 1 |
| * | Solta Medical Inc. | 287 | 1 |
| * | Biospecifics | ||
| Technologies Corp. | 33 | 1 | |
| * | Inovio Pharmaceuticals Inc. | 648 | 1 |
| MedQuist Inc. | 84 | 1 | |
| * | Synergetics USA Inc. | 146 | 1 |
| Utah Medical Products Inc. | 24 | 1 | |
| * | MediciNova Inc. | 127 | 1 |
| * | MELA Sciences Inc. | 178 | 1 |
| * | Oncothyreon Inc. | 182 | 1 |
| * | ProPhase Labs Inc. | 465 | 1 |
| * | Pure Bioscience | 236 | 1 |
| National Research Corp. | 15 | 1 | |
| * | Nanosphere Inc. | 116 | 1 |
| * | Lannett Co. Inc. | 84 | — |
| * | Cumberland | ||
| Pharmaceuticals Inc. | 75 | — | |
| * | Dusa Pharmaceuticals Inc. | 180 | — |
| * | Sharps Compliance Corp. | 72 | — |
| * | Transcept Pharmaceuticals Inc. | 40 | — |
32
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Apricus Biosciences Inc. | 81 | — |
| * | Sucampo Pharmaceuticals Inc. | ||
| Class A | 58 | — | |
| * | Repros Therapeutics Inc. | 66 | — |
| * | Vision-Sciences Inc. | 140 | — |
| * | Celsion Corp. | 91 | — |
| * | TranS1 Inc. | 84 | — |
| * | Bionovo Inc. | 138 | — |
| * | Poniard Pharmaceuticals Inc. | 268 | — |
| * | Retractable Technologies Inc. 71 | — | |
| Daxor Corp. | 9 | — | |
| * | Molecular Insight | ||
| Pharmaceuticals Inc. | 18 | — | |
| 1,689,815 | |||
| Industrials (11.4%) | |||
| General Electric Co. | 11,390,900 | 208,340 | |
| United | |||
| Technologies Corp. | 940,432 | 74,031 | |
| Caterpillar Inc. | 671,830 | 62,924 | |
| 3M Co. | 721,869 | 62,297 | |
| United Parcel Service Inc. | |||
| Class B | 772,504 | 56,068 | |
| Union Pacific Corp. | 530,195 | 49,128 | |
| Boeing Co. | 740,630 | 48,334 | |
| Emerson Electric Co. | 801,683 | 45,832 | |
| Honeywell International Inc. | 781,674 | 41,554 | |
| Deere & Co. | 451,614 | 37,507 | |
| FedEx Corp. | 318,450 | 29,619 | |
| Danaher Corp. | 591,057 | 27,880 | |
| CSX Corp. | 404,496 | 26,134 | |
| Norfolk Southern Corp. | 392,774 | 24,674 | |
| General Dynamics Corp. | 344,567 | 24,450 | |
| Illinois Tool Works Inc. | 456,064 | 24,354 | |
| Lockheed Martin Corp. | 328,357 | 22,955 | |
| Cummins Inc. | 201,244 | 22,139 | |
| Tyco International | 530,348 | 21,978 | |
| Precision Castparts Corp. | 151,579 | 21,101 | |
| PACCAR Inc. | 349,644 | 20,077 | |
| Northrop Grumman Corp. | 298,004 | 19,305 | |
| Raytheon Co. | 398,694 | 18,475 | |
| Waste Management Inc. | 483,413 | 17,823 | |
| Eaton Corp. | 169,912 | 17,248 | |
| Ingersoll-Rand plc | 343,951 | 16,197 | |
| Parker Hannifin Corp. | 171,765 | 14,823 | |
| CH Robinson | |||
| Worldwide Inc. | 176,770 | 14,175 | |
| Fluor Corp. | 190,768 | 12,640 | |
| Expeditors International | |||
| of Washington Inc. | 226,222 | 12,352 | |
| Republic Services Inc. | |||
| Class A | 408,224 | 12,190 | |
| Goodrich Corp. | 133,716 | 11,776 | |
| Dover Corp. | 199,069 | 11,636 | |
| Rockwell Automation Inc. | 151,330 | 10,852 | |
| * | Delta Air Lines Inc. | 841,601 | 10,604 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Cooper Industries plc | 177,955 | 10,373 | |
| Southwest Airlines Co. | 795,851 | 10,330 | |
| Rockwell Collins Inc. | 167,445 | 9,755 | |
| ITT Corp. | 185,568 | 9,670 | |
| Joy Global Inc. | 109,953 | 9,538 | |
| WW Grainger Inc. | 64,335 | 8,885 | |
| L-3 Communications | |||
| Holdings Inc. | 121,978 | 8,598 | |
| Fastenal Co. | 141,437 | 8,473 | |
| * | United Continental | ||
| Holdings Inc. | 336,960 | 8,026 | |
| Roper Industries Inc. | 100,462 | 7,678 | |
| Bucyrus International Inc. | |||
| Class A | 82,153 | 7,344 | |
| Flowserve Corp. | 59,661 | 7,113 | |
| * | Stericycle Inc. | 86,501 | 7,000 |
| Textron Inc. | 292,579 | 6,917 | |
| AMETEK Inc. | 171,215 | 6,720 | |
| Pall Corp. | 124,551 | 6,175 | |
| * | Jacobs Engineering | ||
| Group Inc. | 134,321 | 6,159 | |
| Manpower Inc. | 87,771 | 5,509 | |
| Pitney Bowes Inc. | 220,072 | 5,321 | |
| * | Kansas City Southern | 109,490 | 5,240 |
| KBR Inc. | 166,380 | 5,070 | |
| * | AGCO Corp. | 99,316 | 5,031 |
| Masco Corp. | 384,110 | 4,863 | |
| Iron Mountain Inc. | 193,487 | 4,839 | |
| Equifax Inc. | 133,150 | 4,740 | |
| * | Foster Wheeler AG | 136,168 | 4,701 |
| Robert Half | |||
| International Inc. | 149,339 | 4,570 | |
| Donaldson Co. Inc. | 77,574 | 4,521 | |
| * | Quanta Services Inc. | 225,068 | 4,483 |
| Avery Dennison Corp. | 105,684 | 4,475 | |
| Dun & Bradstreet Corp. | 53,557 | 4,397 | |
| Timken Co. | 87,984 | 4,199 | |
| * | WABCO Holdings Inc. | 68,596 | 4,180 |
| Cintas Corp. | 147,077 | 4,112 | |
| * | Verisk Analytics Inc. | ||
| Class A | 120,453 | 4,105 | |
| JB Hunt Transport | |||
| Services Inc. | 98,498 | 4,020 | |
| * | Navistar International Corp. | 68,936 | 3,992 |
| Pentair Inc. | 105,621 | 3,856 | |
| Gardner Denver Inc. | 55,771 | 3,838 | |
| RR Donnelley & Sons Co. | 219,553 | 3,836 | |
| * | BE Aerospace Inc. | 103,470 | 3,831 |
| * | Owens Corning | 122,910 | 3,829 |
| SPX Corp. | 53,431 | 3,820 | |
| * | URS Corp. | 89,615 | 3,729 |
| * | TransDigm Group Inc. | 50,141 | 3,611 |
| * | Terex Corp. | 116,252 | 3,608 |
| * | IHS Inc. Class A | 44,372 | 3,567 |
| Snap-On Inc. | 61,824 | 3,498 | |
| * | Hertz Global Holdings Inc. | 241,299 | 3,496 |
33
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Kennametal Inc. | 87,283 | 3,444 | |
| * | Oshkosh Corp. | 96,881 | 3,414 |
| IDEX Corp. | 86,755 | 3,394 | |
| Hubbell Inc. Class B | 56,439 | 3,394 | |
| Waste Connections Inc. | 117,313 | 3,230 | |
| * | Babcock & Wilcox Co. | 123,818 | 3,169 |
| * | Shaw Group Inc. | 89,943 | 3,079 |
| MSC Industrial Direct Co. | |||
| Class A | 47,552 | 3,076 | |
| Baldor Electric Co. | 47,689 | 3,006 | |
| Nordson Corp. | 32,704 | 3,005 | |
| Lincoln Electric | |||
| Holdings Inc. | 45,373 | 2,962 | |
| * | Corrections Corp. | ||
| of America | 118,022 | 2,958 | |
| Ryder System Inc. | 55,826 | 2,939 | |
| Towers Watson & Co. | |||
| Class A | 54,871 | 2,857 | |
| * | Copart Inc. | 76,480 | 2,857 |
| * | Aecom Technology Corp. | 99,675 | 2,788 |
| * | AMR Corp. | 356,007 | 2,773 |
| Regal-Beloit Corp. | 41,059 | 2,741 | |
| Wabtec Corp. | 51,077 | 2,701 | |
| * | Thomas & Betts Corp. | 55,823 | 2,696 |
| Acuity Brands Inc. | 46,683 | 2,692 | |
| * | Alliant Techsystems Inc. | 35,371 | 2,633 |
| Carlisle Cos. Inc. | 65,410 | 2,599 | |
| * | GrafTech International Ltd. | 129,207 | 2,563 |
| Graco Inc. | 64,528 | 2,546 | |
| Harsco Corp. | 86,384 | 2,446 | |
| Covanta Holding Corp. | 141,270 | 2,428 | |
| * | Kirby Corp. | 54,730 | 2,411 |
| * | WESCO International Inc. | 45,450 | 2,400 |
| * | Spirit Aerosystems | ||
| Holdings Inc. Class A | 114,726 | 2,387 | |
| Lennox International Inc. | 49,482 | 2,340 | |
| Woodward Governor Co. | 61,900 | 2,325 | |
| CLARCOR Inc. | 54,085 | 2,320 | |
| UTi Worldwide Inc. | 109,306 | 2,317 | |
| Trinity Industries Inc. | 85,953 | 2,287 | |
| * | Genesee & Wyoming Inc. | ||
| Class A | 41,886�� | 2,218 | |
| * | Esterline Technologies Corp. | 32,244 | 2,212 |
| Crane Co. | 53,419 | 2,194 | |
| Landstar System Inc. | 53,215 | 2,179 | |
| * | Alaska Air Group Inc. | 38,344 | 2,174 |
| Toro Co. | 34,800 | 2,145 | |
| Con-way Inc. | 58,542 | 2,141 | |
| * | Clean Harbors Inc. | 25,331 | 2,130 |
| * | EMCOR Group Inc. | 71,247 | 2,065 |
| Valmont Industries Inc. | 22,505 | 1,997 | |
| * | ArvinMeritor Inc. | 95,928 | 1,968 |
| * | Sensata Technologies | ||
| Holding NV | 65,202 | 1,963 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | General Cable Corp. | 55,729 | 1,956 |
| Actuant Corp. Class A | 72,709 | 1,936 | |
| * | Hexcel Corp. | 104,028 | 1,882 |
| * | FTI Consulting Inc. | 50,349 | 1,877 |
| Triumph Group Inc. | 20,723 | 1,853 | |
| Manitowoc Co. Inc. | 141,123 | 1,850 | |
| Belden Inc. | 50,164 | 1,847 | |
| * | Geo Group Inc. | 73,274 | 1,807 |
| Alexander & Baldwin Inc. | 44,195 | 1,769 | |
| * | JetBlue Airways Corp. | 267,236 | 1,766 |
| GATX Corp. | 50,039 | 1,765 | |
| * | US Airways Group Inc. | 173,326 | 1,735 |
| * | Avis Budget Group Inc. | 110,306 | 1,716 |
| Brady Corp. Class A | 52,620 | 1,716 | |
| Watsco Inc. | 27,152 | 1,713 | |
| * | Teledyne Technologies Inc. | 38,802 | 1,706 |
| * | Moog Inc. Class A | 42,152 | 1,678 |
| * | Tetra Tech Inc. | 66,374 | 1,663 |
| Curtiss-Wright Corp. | 49,337 | 1,638 | |
| * | EnerSys | 50,165 | 1,611 |
| * | Middleby Corp. | 18,955 | 1,600 |
| * | United Stationers Inc. | 25,044 | 1,598 |
| AO Smith Corp. | 41,264 | 1,571 | |
| * | Atlas Air Worldwide | ||
| Holdings Inc. | 27,710 | 1,547 | |
| HNI Corp. | 48,457 | 1,512 | |
| * | United Rentals Inc. | 65,505 | 1,490 |
| *,^ | American | ||
| Superconductor Corp. | 51,858 | 1,483 | |
| Herman Miller Inc. | 57,992 | 1,467 | |
| Kaydon Corp. | 35,832 | 1,459 | |
| * | Old Dominion Freight | ||
| Line Inc. | 44,980 | 1,439 | |
| Rollins Inc. | 71,973 | 1,421 | |
| * | HUB Group Inc. Class A | 40,063 | 1,408 |
| Corporate Executive | |||
| Board Co. | 36,820 | 1,383 | |
| Brink’s Co. | 50,704 | 1,363 | |
| Applied Industrial | |||
| Technologies Inc. | 40,948 | 1,330 | |
| Simpson Manufacturing | |||
| Co. Inc. | 42,868 | 1,325 | |
| Mueller Industries Inc. | 40,451 | 1,323 | |
| * | II-VI Inc. | 28,477 | 1,320 |
| * | Dollar Thrifty Automotive | ||
| Group Inc. | 27,765 | 1,312 | |
| Barnes Group Inc. | 62,504 | 1,292 | |
| * | Polypore International Inc. | 31,395 | 1,279 |
| Knight Transportation Inc. | 67,246 | 1,278 | |
| * | USG Corp. | 75,386 | 1,269 |
| Deluxe Corp. | 55,002 | 1,266 | |
| ABM Industries Inc. | 47,886 | 1,259 | |
| * | CoStar Group Inc. | 21,218 | 1,221 |
34
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Macquarie Infrastructure | ||
| Co. LLC | 56,938 | 1,205 | |
| * | DigitalGlobe Inc. | 37,252 | 1,181 |
| * | AAR Corp. | 42,796 | 1,176 |
| Watts Water | |||
| Technologies Inc. Class A | 32,054 | 1,173 | |
| * | Acacia Research - | ||
| Acacia Technologies | 45,184 | 1,172 | |
| Werner Enterprises Inc. | 51,142 | 1,156 | |
| Mine Safety Appliances Co. | 37,113 | 1,155 | |
| * | Korn/Ferry International | 49,703 | 1,149 |
| * | Insituform Technologies Inc. | ||
| Class A | 42,637 | 1,130 | |
| Interface Inc. Class A | 72,206 | 1,130 | |
| * | Ceradyne Inc. | 34,880 | 1,100 |
| Franklin Electric Co. Inc. | 28,184 | 1,097 | |
| * | Chart Industries Inc. | 32,182 | 1,087 |
| Granite Construction Inc. | 39,536 | 1,084 | |
| Briggs & Stratton Corp. | 54,866 | 1,080 | |
| CIRCOR International Inc. | 25,393 | 1,074 | |
| * | Advisory Board Co. | 22,347 | 1,064 |
| Healthcare Services | |||
| Group Inc. | 65,144 | 1,060 | |
| ESCO Technologies Inc. | 27,900 | 1,056 | |
| Administaff Inc. | 35,112 | 1,029 | |
| * | Orbital Sciences Corp. | 59,945 | 1,027 |
| Albany International Corp. | 43,278 | 1,025 | |
| Robbins & Myers Inc. | 28,510 | 1,020 | |
| * | GeoEye Inc. | 23,911 | 1,014 |
| * | AirTran Holdings Inc. | 136,158 | 1,006 |
| * | Ladish Co. Inc. | 20,617 | 1,002 |
| HEICO Corp. Class A | 26,573 | 992 | |
| Skywest Inc. | 62,653 | 979 | |
| American Science & | |||
| Engineering Inc. | 11,341 | 967 | |
| * | Blount International Inc. | 61,211 | 965 |
| Knoll Inc. | 56,856 | 951 | |
| Raven Industries Inc. | 19,667 | 938 | |
| Armstrong World | |||
| Industries Inc. | 21,635 | 930 | |
| Heartland Express Inc. | 56,850 | 911 | |
| * | MasTec Inc. | 62,401 | 910 |
| * | Layne Christensen Co. | 26,210 | 902 |
| * | Mobile Mini Inc. | 45,534 | 897 |
| * | Altra Holdings Inc. | 44,795 | 890 |
| * | Consolidated Graphics Inc. | 18,175 | 880 |
| * | SYKES Enterprises Inc. | 42,462 | 860 |
| * | Beacon Roofing Supply Inc. | 47,526 | 849 |
| * | Astec Industries Inc. | 26,145 | 847 |
| * | ACCO Brands Corp. | 99,129 | 845 |
| Mueller Water Products Inc. | |||
| Class A | 202,366 | 844 | |
| Comfort Systems USA Inc. | 63,688 | 839 | |
| Aircastle Ltd. | 80,058 | 837 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Applied Signal | |||
| Technology Inc. | 22,076 | 836 | |
| Forward Air Corp. | 28,960 | 822 | |
| * | Interline Brands Inc. | 35,850 | 816 |
| Resources Connection Inc. | 43,419 | 807 | |
| Badger Meter Inc. | 17,668 | 781 | |
| Arkansas Best Corp. | 28,473 | 781 | |
| Cubic Corp. | 16,534 | 780 | |
| * | Colfax Corp. | 41,950 | 772 |
| * | Dycom Industries Inc. | 52,231 | 770 |
| Allegiant Travel Co. Class A | 15,633 | 770 | |
| AZZ Inc. | 19,151 | 766 | |
| Kaman Corp. | 26,305 | 765 | |
| * | Amerco Inc. | 7,872 | 756 |
| Cascade Corp. | 15,900 | 752 | |
| * | Greenbrier Cos. Inc. | 33,965 | 713 |
| * | Air Transport Services | ||
| Group Inc. | 88,026 | 695 | |
| Universal Forest | |||
| Products Inc. | 17,553 | 683 | |
| * | RBC Bearings Inc. | 17,196 | 672 |
| Ameron International Corp. | 8,324 | 636 | |
| Quanex Building | |||
| Products Corp. | 33,468 | 635 | |
| AAON Inc. | 22,394 | 632 | |
| * | American Railcar | ||
| Industries Inc. | 28,452 | 630 | |
| Marten Transport Ltd. | 29,019 | 620 | |
| * | Griffon Corp. | 47,956 | 611 |
| Steelcase Inc. Class A | 57,799 | 611 | |
| * | Rush Enterprises Inc. | ||
| Class A | 29,508 | 603 | |
| * | EnPro Industries Inc. | 14,495 | 602 |
| G&K Services Inc. Class A | 19,451 | 601 | |
| Dynamic Materials Corp. | 26,581 | 600 | |
| * | Celadon Group Inc. | 40,163 | 594 |
| TAL International Group Inc. | 19,070 | 589 | |
| CDI Corp. | 31,642 | 588 | |
| Ampco-Pittsburgh Corp. | 20,817 | 584 | |
| * | Wabash National Corp. | 47,925 | 568 |
| Titan International Inc. | 28,751 | 562 | |
| Unifirst Corp. | 10,195 | 561 | |
| EnergySolutions Inc. | 100,730 | 561 | |
| * | TrueBlue Inc. | 30,986 | 557 |
| * | RSC Holdings Inc. | 56,071 | 546 |
| * | Huron Consulting Group Inc. | 20,624 | 546 |
| * | American Reprographics Co. | 71,732 | 544 |
| * | Powell Industries Inc. | 16,348 | 538 |
| Lindsay Corp. | 9,033 | 537 | |
| * | CBIZ Inc. | 85,345 | 533 |
| Tutor Perini Corp. | 24,622 | 527 | |
| * | Advanced Battery | ||
| Technologies Inc. | 135,831 | 523 | |
| Aceto Corp. | 58,070 | 523 |
35
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Seaboard Corp. | 260 | 518 | |
| Apogee Enterprises Inc. | 38,428 | 518 | |
| US Ecology Inc. | 29,370 | 510 | |
| * | Active Power Inc. | 202,720 | 499 |
| Standex International Corp. | 16,367 | 490 | |
| Alamo Group Inc. | 17,532 | 488 | |
| * | On Assignment Inc. | 59,735 | 487 |
| * | APAC Customer | ||
| Services Inc. | 79,471 | 482 | |
| *,^ | EnerNOC Inc. | 20,144 | 482 |
| * | Commercial Vehicle | ||
| Group Inc. | 29,310 | 476 | |
| * | A123 Systems Inc. | 49,663 | 474 |
| NACCO Industries Inc. | |||
| Class A | 4,321 | 468 | |
| National Presto Industries Inc. | 3,598 | 468 | |
| * | Navigant Consulting Inc. | 49,330 | 454 |
| Ducommun Inc. | 20,491 | 446 | |
| * | Genco Shipping & | ||
| Trading Ltd. | 30,482 | 439 | |
| Tredegar Corp. | 22,502 | 436 | |
| * | Trex Co. Inc. | 18,041 | 432 |
| American Woodmark Corp. | 17,499 | 429 | |
| Tennant Co. | 11,122 | 427 | |
| * | Franklin Covey Co. | 48,573 | 417 |
| Gorman-Rupp Co. | 12,773 | 413 | |
| * | GenCorp Inc. | 79,083 | 409 |
| * | Kforce Inc. | 25,174 | 407 |
| Heidrick & Struggles | |||
| International Inc. | 14,055 | 403 | |
| * | Cenveo Inc. | 74,772 | 399 |
| * | Exponent Inc. | 10,581 | 397 |
| Houston Wire & Cable Co. | 29,404 | 395 | |
| * | NN Inc. | 31,908 | 394 |
| Ennis Inc. | 22,932 | 392 | |
| * | Pacer International Inc. | 56,957 | 390 |
| Barrett Business | |||
| Services Inc. | 24,944 | 388 | |
| * | Michael Baker Corp. | 12,357 | 384 |
| * | Fushi Copperweld Inc. | 43,235 | 384 |
| McGrath Rentcorp | 14,026 | 368 | |
| * | H&E Equipment | ||
| Services Inc. | 31,673 | 366 | |
| * | Sauer-Danfoss Inc. | 12,654 | 357 |
| * | 3D Systems Corp. | 11,060 | 348 |
| * | Casella Waste Systems Inc. | ||
| Class A | 48,674 | 345 | |
| * | Kelly Services Inc. Class A | 18,282 | 344 |
| * | Flow International Corp. | 83,763 | 343 |
| * | Furmanite Corp. | 48,522 | 335 |
| * | Hawaiian Holdings Inc. | 42,623 | 334 |
| * | Higher One Holdings Inc. | 16,363 | 331 |
| Miller Industries Inc. | 23,241 | 331 | |
| Encore Wire Corp. | 13,072 | 328 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | LB Foster Co. Class A | 7,994 | 327 |
| * | Broadwind Energy Inc. | 139,929 | 323 |
| * | Aerovironment Inc. | 11,860 | 318 |
| * | Columbus McKinnon Corp. | 15,502 | 315 |
| * | CRA International Inc. | 13,317 | 313 |
| John Bean | |||
| Technologies Corp. | 15,538 | 313 | |
| * | Covenant Transportation | ||
| Group Inc. Class A | 31,968 | 311 | |
| * | Park-Ohio Holdings Corp. | 14,762 | 309 |
| * | United Capital Corp. | 9,394 | 305 |
| International | |||
| Shipholding Corp. | 11,846 | 301 | |
| *,^ | China BAK Battery Inc. | 153,047 | 295 |
| * | Northwest Pipe Co. | 12,259 | 295 |
| Graham Corp. | 14,473 | 289 | |
| Federal Signal Corp. | 41,442 | 284 | |
| * | M&F Worldwide Corp. | 12,296 | 284 |
| * | Dynamex Inc. | 11,328 | 280 |
| Great Lakes Dredge & | |||
| Dock Corp. | 37,903 | 279 | |
| * | Force Protection Inc. | 50,643 | 279 |
| Intersections Inc. | 26,072 | 273 | |
| * | Gibraltar Industries Inc. | 20,075 | 272 |
| Sun Hydraulics Corp. | 7,154 | 270 | |
| Viad Corp. | 10,490 | 267 | |
| * | GP Strategies Corp. | 26,031 | 267 |
| * | FuelCell Energy Inc. | 114,741 | 265 |
| * | Kratos Defense & | ||
| Security Solutions Inc. | 19,724 | 260 | |
| * | SFN Group Inc. | 26,483 | 258 |
| * | Republic Airways | ||
| Holdings Inc. | 34,721 | 254 | |
| * | DXP Enterprises Inc. | 10,115 | 243 |
| * | Dolan Co. | 17,352 | 242 |
| Courier Corp. | 15,538 | 241 | |
| * | Orion Marine Group Inc. | 20,535 | 238 |
| * | Pinnacle Airlines Corp. | 29,941 | 237 |
| * | Herley Industries Inc. | 13,093 | 227 |
| * | Eagle Bulk Shipping Inc. | 44,992 | 224 |
| * | PAM Transportation | ||
| Services Inc. | 19,594 | 220 | |
| Hardinge Inc. | 22,370 | 218 | |
| * | Team Inc. | 8,998 | 218 |
| * | Harbin Electric Inc. | 12,076 | 210 |
| * | Lydall Inc. | 26,021 | 209 |
| * | Taser International Inc. | 44,260 | 208 |
| * | Builders FirstSource Inc. | 103,565 | 204 |
| * | PowerSecure | ||
| International Inc. | 26,134 | 203 | |
| * | MYR Group Inc. | 9,616 | 202 |
| Todd Shipyards Corp. | 8,968 | 201 | |
| * | BlueLinx Holdings Inc. | 54,330 | 199 |
| * | Kadant Inc. | 8,389 | 198 |
36
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| LSI Industries Inc. | 23,349 | 198 | |
| * | KAR Auction Services Inc. | 13,732 | 190 |
| *,^ | Altair Nanotechnologies Inc. | 68,327 | 189 |
| * | Capstone Turbine Corp. | 195,632 | 188 |
| Lawson Products Inc. | 7,537 | 188 | |
| * | ICF International Inc. | 7,246 | 186 |
| * | Fuel Tech Inc. | 18,626 | 181 |
| Insteel Industries Inc. | 14,324 | 179 | |
| Vicor Corp. | 10,365 | 170 | |
| * | Generac Holdings Inc. | 10,396 | 168 |
| Multi-Color Corp. | 8,584 | 167 | |
| * | Quality Distribution Inc. | 18,214 | 166 |
| * | LaBarge Inc. | 10,082 | 158 |
| * | Hudson Highland Group Inc. | 26,174 | 153 |
| * | Astronics Corp. | 7,225 | 152 |
| Horizon Lines Inc. Class A | 33,808 | 148 | |
| * | School Specialty Inc. | 10,487 | 146 |
| Met-Pro Corp. | 11,280 | 133 | |
| * | Amrep Corp. | 9,979 | 120 |
| * | Metalico Inc. | 19,816 | 117 |
| Kimball International Inc. | |||
| Class B | 16,615 | 115 | |
| * | Odyssey Marine | ||
| Exploration Inc. | 40,732 | 113 | |
| * | China Fire & Security | ||
| Group Inc. | 16,761 | 110 | |
| * | NCI Building Systems Inc. | 7,783 | 109 |
| * | Frozen Food | ||
| Express Industries | 24,502 | 109 | |
| FreightCar America Inc. | 3,730 | 108 | |
| * | Hurco Cos. Inc. | 4,445 | 105 |
| HEICO Corp. | 2,028 | 103 | |
| * | Saia Inc. | 6,233 | 103 |
| * | Innovative Solutions & | ||
| Support Inc. | 17,518 | 99 | |
| * | Trimas Corp. | 4,844 | 99 |
| * | Ener1 Inc. | 26,047 | 99 |
| * | Pike Electric Corp. | 11,397 | 98 |
| LS Starrett Co. Class A | 8,173 | 95 | |
| * | Ceco Environmental Corp. | 15,990 | 95 |
| * | Sterling Construction Co. Inc. | 7,217 | 94 |
| * | Standard Parking Corp. | 4,938 | 93 |
| Preformed Line Products Co. | 1,518 | 89 | |
| * | Tecumseh Products Co. | ||
| Class A | 6,671 | 87 | |
| Eastern Co. | 4,797 | 86 | |
| *,^ | Ascent Solar | ||
| Technologies Inc. | 25,279 | 85 | |
| * | CAI International Inc. | 4,266 | 84 |
| Schawk Inc. Class A | 4,014 | 83 | |
| * | Titan Machinery Inc. | 4,199 | 81 |
| * | Willis Lease Finance Corp. | 6,194 | 81 |
| * | Valence Technology Inc. | 47,866 | 80 |
| * | LMI Aerospace Inc. | 4,926 | 79 |
| * | Innerworkings Inc. | 11,298 | 74 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | YRC Worldwide Inc. | 18,767 | 70 |
| * | UQM Technologies Inc. | 29,271 | 67 |
| * | Ultralife Corp. | 9,678 | 64 |
| * | TBS International plc | ||
| Class A | 21,297 | 61 | |
| * | Magnetek Inc. | 44,194 | 60 |
| * | Satcon Technology Corp. | 12,971 | 58 |
| * | WCA Waste Corp. | 11,241 | 54 |
| * | Sypris Solutions Inc. | 12,458 | 53 |
| * | PMFG Inc. | 3,188 | 52 |
| * | Hill International Inc. | 7,987 | 52 |
| * | USA Truck Inc. | 3,758 | 50 |
| *,^ | Innovaro Inc. | 33,987 | 47 |
| * | Applied Energetics Inc. | 53,683 | 46 |
| * | Ocean Power | ||
| Technologies Inc. | 7,673 | 44 | |
| * | Innotrac Corp. | 28,467 | 41 |
| * | Plug Power Inc. | 110,271 | 41 |
| * | Volt Information | ||
| Sciences Inc. | 4,687 | 41 | |
| * | Energy Recovery Inc. | 11,020 | 40 |
| * | Document Security | ||
| Systems Inc. | 7,494 | 40 | |
| * | Arotech Corp. | 23,576 | 39 |
| * | RailAmerica Inc. | 2,883 | 37 |
| *,^ | Hoku Corp. | 13,616 | 36 |
| * | Akeena Solar Inc. | 69,183 | 33 |
| * | Perma-Fix | ||
| Environmental Services | 19,051 | 31 | |
| * | Lihua International Inc. | 2,619 | 29 |
| * | SmartHeat Inc. | 5,282 | 28 |
| * | TRC Cos. Inc. | 7,756 | 27 |
| * | Beacon Power Corp. | 122,700 | 27 |
| * | Argan Inc. | 2,655 | 25 |
| Twin Disc Inc. | 662 | 20 | |
| * | China Architectural | ||
| Engineering Inc. | 12,404 | 20 | |
| Standard Register Co. | 5,754 | 20 | |
| Superior Uniform Group Inc. | 1,534 | 17 | |
| * | Orion Energy Systems Inc. | 4,439 | 15 |
| Virco Manufacturing | 5,176 | 13 | |
| * | Omega Flex Inc. | 626 | 10 |
| * | AT Cross Co. Class A | 973 | 9 |
| * | LECG Corp. | 6,734 | 9 |
| * | US Home Systems Inc. | 1,799 | 9 |
| * | Rush Enterprises Inc. Class B | 455 | 8 |
| * | Sparton Corp. | 700 | 6 |
| * | Heritage-Crystal Clean Inc. | 553 | 6 |
| * | Wuhan General Group | ||
| China Inc. | 2,400 | 3 | |
| * | China Valves Technology Inc. | 163 | 2 |
| * | Universal Truckload | ||
| Services Inc. | 104 | 2 | |
| * | Xerium Technologies Inc. | 89 | 1 |
| Douglas Dynamics Inc. | 87 | 1 |
37
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Patriot Transportation | ||
| Holding Inc. | 14 | 1 | |
| * | Roadrunner Transportation | ||
| Systems Inc. | 89 | 1 | |
| Baltic Trading Ltd. | 124 | 1 | |
| * | Mistras Group Inc. | 89 | 1 |
| * | Integrated Electrical | ||
| Services Inc. | 308 | 1 | |
| VSE Corp. | 31 | 1 | |
| * | Key Technology Inc. | 35 | 1 |
| * | SL Industries Inc. | 28 | — |
| * | PGT Inc. | 159 | — |
| * | Lime Energy Co. | 96 | — |
| * | Duoyuan Printing Inc. | 57 | — |
| 1,736,856 | |||
| Information Technology (18.6%) | |||
| * | Apple Inc. | 973,352 | 313,964 |
| Microsoft Corp. | 8,297,964 | 231,679 | |
| International Business | |||
| Machines Corp. | 1,343,833 | 197,221 | |
| * | Google Inc. Class A | 262,595 | 155,974 |
| Oracle Corp. | 4,284,188 | 134,095 | |
| Intel Corp. | 5,932,417 | 124,759 | |
| * | Cisco Systems Inc. | 6,084,941 | 123,098 |
| Hewlett-Packard Co. | 2,487,304 | 104,716 | |
| QUALCOMM Inc. | 1,710,270 | 84,641 | |
| * | EMC Corp. | 2,187,989 | 50,105 |
| Texas Instruments Inc. | 1,273,445 | 41,387 | |
| Visa Inc. Class A | 529,253 | 37,249 | |
| * | eBay Inc. | 1,258,258 | 35,017 |
| Accenture plc Class A | 679,071 | 32,928 | |
| Corning Inc. | 1,663,833 | 32,145 | |
| Mastercard Inc. Class A | 113,955 | 25,538 | |
| * | Dell Inc. | 1,864,782 | 25,268 |
| Automatic Data | |||
| Processing Inc. | 524,318 | 24,265 | |
| * | Cognizant Technology | ||
| Solutions Corp. Class A | 320,592 | 23,496 | |
| * | Yahoo! Inc. | 1,364,774 | 22,696 |
| * | Motorola Inc. | 2,362,294 | 21,426 |
| * | NetApp Inc. | 380,534 | 20,914 |
| Broadcom Corp. Class A | 477,643 | 20,801 | |
| * | Juniper Networks Inc. | 553,950 | 20,452 |
| Applied Materials Inc. | 1,430,913 | 20,104 | |
| * | Adobe Systems Inc. | 559,741 | 17,229 |
| Xerox Corp. | 1,474,017 | 16,981 | |
| Tyco Electronics Ltd. | 476,408 | 16,865 | |
| * | Salesforce.com Inc. | 123,434 | 16,293 |
| * | Intuit Inc. | 318,035 | 15,679 |
| * | Symantec Corp. | 841,060 | 14,079 |
| * | Citrix Systems Inc. | 199,236 | 13,630 |
| Western Union Co. | 703,443 | 13,063 | |
| * | SanDisk Corp. | 248,488 | 12,390 |
| Analog Devices Inc. | 317,909 | 11,976 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Altera Corp. | 327,608 | 11,656 | |
| * | F5 Networks Inc. | 85,860 | 11,176 |
| * | Marvell Technology | ||
| Group Ltd. | 589,185 | 10,929 | |
| CA Inc. | 440,416 | 10,764 | |
| Paychex Inc. | 347,103 | 10,729 | |
| Amphenol Corp. Class A | 185,356 | 9,783 | |
| * | NVIDIA Corp. | 611,483 | 9,417 |
| * | Fiserv Inc. | 159,988 | 9,369 |
| * | Autodesk Inc. | 242,223 | 9,253 |
| * | Red Hat Inc. | 201,298 | 9,189 |
| * | Akamai Technologies Inc. | 193,599 | 9,109 |
| * | BMC Software Inc. | 190,367 | 8,974 |
| * | Western Digital Corp. | 244,369 | 8,284 |
| Linear Technology Corp. | 239,223 | 8,275 | |
| Computer Sciences Corp. | 164,638 | 8,166 | |
| Xilinx Inc. | 275,856 | 7,994 | |
| *,^ | First Solar Inc. | 59,319 | 7,720 |
| * | Micron Technology Inc. | 954,100 | 7,652 |
| * | Seagate Technology plc | 503,130 | 7,562 |
| * | McAfee Inc. | 162,271 | 7,515 |
| Maxim Integrated | |||
| Products Inc. | 318,109 | 7,514 | |
| Fidelity National Information | |||
| Services Inc. | 271,660 | 7,441 | |
| * | Teradata Corp. | 178,362 | 7,341 |
| Activision Blizzard Inc. | 587,527 | 7,309 | |
| * | Cree Inc. | 109,610 | 7,222 |
| KLA-Tencor Corp. | 179,134 | 6,922 | |
| * | VMware Inc. Class A | 77,678 | 6,906 |
| * | Lam Research Corp. | 132,480 | 6,860 |
| * | Rovi Corp. | 110,118 | 6,828 |
| Microchip Technology Inc. | 198,355 | 6,786 | |
| * | Flextronics | ||
| International Ltd. | 838,135 | 6,579 | |
| * | SAIC Inc. | 405,535 | 6,432 |
| Harris Corp. | 137,837 | 6,244 | |
| VeriSign Inc. | 185,925 | 6,074 | |
| * | Atmel Corp. | 492,833 | 6,072 |
| * | Electronic Arts Inc. | 352,240 | 5,770 |
| * | Skyworks Solutions Inc. | 190,868 | 5,465 |
| * | Avnet Inc. | 161,713 | 5,341 |
| * | Trimble Navigation Ltd. | 127,337 | 5,085 |
| * | ANSYS Inc. | 96,703 | 5,035 |
| * | FLIR Systems Inc. | 168,748 | 5,020 |
| * | Advanced Micro | ||
| Devices Inc. | 611,913 | 5,005 | |
| * | Riverbed Technology Inc. | 131,611 | 4,629 |
| * | Nuance | ||
| Communications Inc. | 250,376 | 4,552 | |
| * | ON Semiconductor Corp. | 460,596 | 4,551 |
| Factset Research | |||
| Systems Inc. | 47,130 | 4,419 | |
| * | Informatica Corp. | 98,944 | 4,357 |
| * | Arrow Electronics Inc. | 125,482 | 4,298 |
38
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Synopsys Inc. | 157,182 | 4,230 |
| Jabil Circuit Inc. | 209,329 | 4,205 | |
| * | LSI Corp. | 684,041 | 4,097 |
| Avago Technologies Ltd. | 141,117 | 4,018 | |
| * | Alliance Data Systems Corp. | 56,057 | 3,982 |
| * | Equinix Inc. | 48,567 | 3,947 |
| Global Payments Inc. | 85,009 | 3,928 | |
| Solera Holdings Inc. | 74,831 | 3,840 | |
| * | Dolby Laboratories Inc. | ||
| Class A | 56,811 | 3,789 | |
| * | MICROS Systems Inc. | 85,274 | 3,740 |
| * | Polycom Inc. | 90,797 | 3,539 |
| National | |||
| Semiconductor Corp. | 256,310 | 3,527 | |
| * | VeriFone Systems Inc. | 91,389 | 3,524 |
| * | TIBCO Software Inc. | 174,945 | 3,448 |
| * | JDS Uniphase Corp. | 237,220 | 3,435 |
| * | Ingram Micro Inc. | 167,260 | 3,193 |
| * | Novellus Systems Inc. | 98,092 | 3,170 |
| * | Rackspace Hosting Inc. | 100,435 | 3,155 |
| * | CommScope Inc. | 100,921 | 3,151 |
| * | Monster Worldwide Inc. | 131,356 | 3,104 |
| * | Cypress | ||
| Semiconductor Corp. | 162,531 | 3,020 | |
| * | WebMD Health Corp. | 58,747 | 3,000 |
| Broadridge Financial | |||
| Solutions Inc. | 135,362 | 2,968 | |
| * | Varian Semiconductor | ||
| Equipment Associates Inc. | 80,202 | 2,965 | |
| Lender Processing | |||
| Services Inc. | 99,391 | 2,934 | |
| * | Lexmark International Inc. | ||
| Class A | 83,633 | 2,912 | |
| * | IAC/InterActiveCorp | 97,959 | 2,811 |
| * | Compuware Corp. | 238,103 | 2,779 |
| * | Parametric | ||
| Technology Corp. | 122,988 | 2,771 | |
| Total System Services Inc. | 178,988 | 2,753 | |
| * | MEMC Electronic | ||
| Materials Inc. | 243,276 | 2,739 | |
| * | Atheros | ||
| Communications Inc. | 76,014 | 2,730 | |
| * | Teradyne Inc. | 193,823 | 2,721 |
| * | AOL Inc. | 114,103 | 2,705 |
| * | Gartner Inc. | 81,282 | 2,699 |
| * | Vishay Intertechnology Inc. | 183,781 | 2,698 |
| * | NCR Corp. | 171,179 | 2,631 |
| Tellabs Inc. | 388,044 | 2,631 | |
| Jack Henry & | |||
| Associates Inc. | 87,065 | 2,538 | |
| * | Brocade Communications | ||
| Systems Inc. | 474,707 | 2,511 | |
| * | Concur Technologies Inc. | 47,361 | 2,459 |
| * | Rambus Inc. | 119,813 | 2,454 |
| * | Itron Inc. | 43,356 | 2,404 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Tech Data Corp. | 54,132 | 2,383 |
| National Instruments Corp. | 63,170 | 2,378 | |
| Molex Inc. Class A | 124,820 | 2,355 | |
| * | Cadence Design | ||
| Systems Inc. | 284,148 | 2,347 | |
| * | Zebra Technologies Corp. | 60,641 | 2,304 |
| * | Ariba Inc. | 97,242 | 2,284 |
| Diebold Inc. | 70,201 | 2,250 | |
| * | International Rectifier Corp. | 75,161 | 2,232 |
| * | Novell Inc. | 374,926 | 2,220 |
| ADTRAN Inc. | 60,581 | 2,194 | |
| * | Finisar Corp. | 73,564 | 2,184 |
| * | VistaPrint NV | 46,949 | 2,160 |
| * | PMC - Sierra Inc. | 246,028 | 2,113 |
| * | NeuStar Inc. Class A | 80,582 | 2,099 |
| * | Ciena Corp. | 99,520 | 2,095 |
| * | Silicon Laboratories Inc. | 45,409 | 2,090 |
| * | Fairchild Semiconductor | ||
| International Inc. Class A | 133,599 | 2,085 | |
| * | Sohu.com Inc. | 32,506 | 2,064 |
| * | RF Micro Devices Inc. | 278,435 | 2,046 |
| * | Microsemi Corp. | 89,027 | 2,039 |
| Intersil Corp. Class A | 132,526 | 2,024 | |
| * | QLogic Corp. | 117,063 | 1,992 |
| * | Progress Software Corp. | 46,568 | 1,971 |
| * | InterDigital Inc. | 47,251 | 1,968 |
| * | TriQuint Semiconductor Inc. | 166,900 | 1,951 |
| * | Netlogic Microsystems Inc. | 61,444 | 1,930 |
| Plantronics Inc. | 51,006 | 1,898 | |
| *,^ | Veeco Instruments Inc. | 44,021 | 1,891 |
| * | Quest Software Inc. | 68,054 | 1,888 |
| * | MercadoLibre Inc. | 28,292 | 1,886 |
| Anixter International Inc. | 30,763 | 1,837 | |
| * | Wright Express Corp. | 39,041 | 1,796 |
| * | Acme Packet Inc. | 33,544 | 1,783 |
| DST Systems Inc. | 40,056 | 1,776 | |
| * | Viasat Inc. | 39,439 | 1,751 |
| * | Convergys Corp. | 132,963 | 1,751 |
| * | CACI International Inc. | ||
| Class A | 32,754 | 1,749 | |
| CoreLogic Inc. | 94,067 | 1,742 | |
| * | Omnivision | ||
| Technologies Inc. | 58,011 | 1,718 | |
| * | Aruba Networks Inc. | 80,633 | 1,684 |
| * | Genpact Ltd. | 105,790 | 1,608 |
| * | Hittite Microwave Corp. | 26,238 | 1,602 |
| * | Semtech Corp. | 66,821 | 1,513 |
| * | Arris Group Inc. | 134,287 | 1,507 |
| * | SuccessFactors Inc. | 51,753 | 1,499 |
| * | GSI Commerce Inc. | 64,454 | 1,495 |
| * | Digital River Inc. | 42,612 | 1,467 |
| * | Cavium Networks Inc. | 38,782 | 1,461 |
| * | Blackboard Inc. | 34,825 | 1,438 |
| * | j2 Global | ||
| Communications Inc. | 49,266 | 1,426 |
39
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | ValueClick Inc. | 88,704 | 1,422 |
| * | Spansion Inc. Class A | 67,608 | 1,399 |
| Sapient Corp. | 115,480 | 1,397 | |
| * | Acxiom Corp. | 81,365 | 1,395 |
| * | Lawson Software Inc. | 149,763 | 1,385 |
| * | Blue Coat Systems Inc. | 46,235 | 1,381 |
| * | Fortinet Inc. | 42,493 | 1,375 |
| * | Mentor Graphics Corp. | 114,500 | 1,374 |
| * | Cymer Inc. | 30,360 | 1,368 |
| * | Plexus Corp. | 43,387 | 1,342 |
| * | Art Technology Group Inc. | 220,612 | 1,319 |
| * | Netgear Inc. | 38,315 | 1,290 |
| * | Constant Contact Inc. | 40,984 | 1,270 |
| * | MKS Instruments Inc. | 51,751 | 1,267 |
| * | CommVault Systems Inc. | 44,149 | 1,264 |
| * | Ultimate Software | ||
| Group Inc. | 25,673 | 1,248 | |
| * | ACI Worldwide Inc. | 46,137 | 1,240 |
| Blackbaud Inc. | 47,383 | 1,227 | |
| * | Benchmark Electronics Inc. | 67,075 | 1,218 |
| MAXIMUS Inc. | 18,559 | 1,217 | |
| * | Coherent Inc. | 26,895 | 1,214 |
| Syntel Inc. | 25,358 | 1,212 | |
| * | Aspen Technology Inc. | 95,281 | 1,210 |
| * | JDA Software Group Inc. | 43,069 | 1,206 |
| * | Tessera Technologies Inc. | 54,343 | 1,204 |
| Cognex Corp. | 40,875 | 1,203 | |
| Power Integrations Inc. | 29,951 | 1,202 | |
| * | DTS Inc. | 24,402 | 1,197 |
| * | Sonic Solutions Inc. | 79,262 | 1,189 |
| *,^ | Ebix Inc. | 50,187 | 1,188 |
| * | Unisys Corp. | 45,855 | 1,187 |
| * | Entegris Inc. | 154,457 | 1,154 |
| * | Diodes Inc. | 42,677 | 1,152 |
| * | Integrated Device | ||
| Technology Inc. | 170,032 | 1,132 | |
| Littelfuse Inc. | 23,734 | 1,117 | |
| * | Cirrus Logic Inc. | 69,762 | 1,115 |
| Fair Isaac Corp. | 47,699 | 1,115 | |
| * | Take-Two Interactive | ||
| Software Inc. | 90,605 | 1,109 | |
| * | Synaptics Inc. | 37,200 | 1,093 |
| * | Advent Software Inc. | 18,707 | 1,084 |
| * | FEI Co. | 40,364 | 1,066 |
| * | Taleo Corp. Class A | 38,518 | 1,065 |
| * | L-1 Identity Solutions Inc. | 88,891 | 1,059 |
| * | Power-One Inc. | 103,367 | 1,054 |
| * | TiVo Inc. | 121,005 | 1,044 |
| * | Euronet Worldwide Inc. | 59,448 | 1,037 |
| Earthlink Inc. | 120,548 | 1,037 | |
| * | Cabot | ||
| Microelectronics Corp. | 24,982 | 1,036 | |
| Black Box Corp. | 26,999 | 1,034 | |
| * | Emulex Corp. | 87,751 | 1,023 |
| * | Checkpoint Systems Inc. | 49,763 | 1,023 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Amkor Technology Inc. | 136,346 | 1,008 |
| * | EchoStar Corp. Class A | 40,004 | 999 |
| * | Manhattan Associates Inc. | 32,499 | 993 |
| * | Sanmina-SCI Corp. | 86,440 | 992 |
| * | Infinera Corp. | 95,551 | 987 |
| * | Harmonic Inc. | 115,055 | 986 |
| * | SRA International Inc. | ||
| Class A | 48,059 | 983 | |
| * | MicroStrategy Inc. Class A | 11,428 | 977 |
| * | Applied Micro Circuits Corp. | 90,998 | 972 |
| * | Rofin-Sinar Technologies Inc. | 27,088 | 960 |
| * | Websense Inc. | 47,348 | 959 |
| * | Mantech International Corp. | ||
| Class A | 23,135 | 956 | |
| * | Bottomline Technologies Inc. | 43,272 | 939 |
| * | CSG Systems | ||
| International Inc. | 49,376 | 935 | |
| * | DG FastChannel Inc. | 31,914 | 922 |
| * | Netscout Systems Inc. | 39,970 | 920 |
| * | AsiaInfo-Linkage Inc. | 55,260 | 916 |
| * | Brightpoint Inc. | 104,850 | 915 |
| * | SAVVIS Inc. | 35,711 | 911 |
| * | Tyler Technologies Inc. | 43,468 | 902 |
| * | Scansource Inc. | 28,208 | 900 |
| Daktronics Inc. | 56,430 | 898 | |
| * | Brooks Automation Inc. | 98,313 | 892 |
| * | OpenTable Inc. | 12,593 | 888 |
| * | Epicor Software Corp. | 87,834 | 887 |
| * | FARO Technologies Inc. | 26,740 | 878 |
| Forrester Research Inc. | 24,820 | 876 | |
| * | Avid Technology Inc. | 49,307 | 861 |
| Comtech | |||
| Telecommunications Corp. | 30,658 | 850 | |
| * | DealerTrack Holdings Inc. | 42,103 | 845 |
| * | Dice Holdings Inc. | 58,647 | 842 |
| Pegasystems Inc. | 22,771 | 834 | |
| Methode Electronics Inc. | 63,224 | 820 | |
| * | Lattice | ||
| Semiconductor Corp. | 134,783 | 817 | |
| * | Electro Scientific | ||
| Industries Inc. | 49,724 | 797 | |
| * | Anadigics Inc. | 114,877 | 796 |
| * | Oclaro Inc. | 60,484 | 795 |
| * | SunPower Corp. Class A | 61,879 | 794 |
| * | Advanced Energy | ||
| Industries Inc. | 58,167 | 793 | |
| * | Loral Space & | ||
| Communications Inc. | 10,188 | 779 | |
| * | ATMI Inc. | 38,481 | 767 |
| * | Axcelis Technologies Inc. | 221,413 | 766 |
| * | Universal Display Corp. | 24,959 | 765 |
| * | Verigy Ltd. | 58,742 | 765 |
| * | Tekelec | 63,653 | 758 |
| NIC Inc. | 77,780 | 755 | |
| * | Hypercom Corp. | 89,110 | 746 |
40
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | TeleTech Holdings Inc. | 35,402 | 729 |
| * | Ceva Inc. | 35,216 | 722 |
| Cohu Inc. | 43,314 | 718 | |
| * | Ciber Inc. | 153,179 | 717 |
| EPIQ Systems Inc. | 52,189 | 717 | |
| CTS Corp. | 63,632 | 704 | |
| * | Insight Enterprises Inc. | 51,946 | 684 |
| * | Kulicke & | ||
| Soffa Industries Inc. | 92,618 | 667 | |
| * | STEC Inc. | 37,696 | 665 |
| * | Radiant Systems Inc. | 33,692 | 659 |
| * | Entropic | ||
| Communications Inc. | 54,314 | 656 | |
| AVX Corp. | 41,801 | 645 | |
| * | Interactive Intelligence Inc. | 24,543 | 642 |
| * | Rogers Corp. | 16,781 | 642 |
| * | GT Solar International Inc. | 69,928 | 638 |
| * | Knot Inc. | 63,919 | 632 |
| * | SYNNEX Corp. | 20,226 | 631 |
| * | Anaren Inc. | 30,087 | 627 |
| iGate Corp. | 31,816 | 627 | |
| MTS Systems Corp. | 16,670 | 624 | |
| * | Intermec Inc. | 48,600 | 615 |
| * | Sonus Networks Inc. | 225,051 | 601 |
| * | Electronics for Imaging Inc. | 41,343 | 592 |
| * | Sourcefire Inc. | 22,259 | 577 |
| * | Quantum Corp. | 153,668 | 572 |
| * | TTM Technologies Inc. | 38,302 | 571 |
| * | Aviat Networks Inc. | 112,330 | 570 |
| * | Echelon Corp. | 55,576 | 566 |
| * | Actuate Corp. | 96,696 | 551 |
| * | SunPower Corp. Class B | 44,367 | 551 |
| * | Limelight Networks Inc. | 94,697 | 550 |
| * | IPG Photonics Corp. | 17,382 | 550 |
| Park Electrochemical Corp. | 18,095 | 543 | |
| * | RealNetworks Inc. | 122,871 | 516 |
| DDi Corp. | 43,776 | 515 | |
| * | Imation Corp. | 49,734 | 513 |
| * | LoopNet Inc. | 46,148 | 513 |
| * | comScore Inc. | 22,858 | 510 |
| * | FormFactor Inc. | 57,380 | 510 |
| * | LogMeIn Inc. | 11,304 | 501 |
| Heartland Payment | |||
| Systems Inc. | 32,248 | 497 | |
| * | Energy Conversion | ||
| Devices Inc. | 107,333 | 494 | |
| United Online Inc. | 74,744 | 493 | |
| * | NetSuite Inc. | 19,620 | 491 |
| * | Smith Micro Software Inc. | 31,088 | 489 |
| * | ModusLink Global | ||
| Solutions Inc. | 72,601 | 486 | |
| Molex Inc. | 21,054 | 478 | |
| * | Ancestry.com Inc. | 16,837 | 477 |
| Micrel Inc. | 36,685 | 477 | |
| * | Computer Task Group Inc. | 43,731 | 476 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Net 1 UEPS | ||
| Technologies Inc. | 38,239 | 469 | |
| * | Monolithic Power | ||
| Systems Inc. | 28,346 | 468 | |
| * | LTX-Credence Corp. | 62,350 | 461 |
| * | IXYS Corp. | 39,627 | 460 |
| * | Digi International Inc. | 41,185 | 457 |
| * | Callidus Software Inc. | 90,591 | 457 |
| * | Multi-Fineline Electronix Inc. | 17,197 | 456 |
| * | MIPS Technologies Inc. | ||
| Class A | 30,040 | 455 | |
| * | Stratasys Inc. | 13,866 | 453 |
| Keynote Systems Inc. | 30,480 | 446 | |
| * | Novatel Wireless Inc. | 46,467 | 444 |
| * | Cray Inc. | 61,844 | 442 |
| * | Mercury Computer | ||
| Systems Inc. | 23,947 | 440 | |
| * | Cogo Group Inc. | 49,184 | 435 |
| Electro Rent Corp. | 26,927 | 435 | |
| * | Synchronoss | ||
| Technologies Inc. | 16,079 | 429 | |
| * | Kenexa Corp. | 19,468 | 424 |
| * | RightNow Technologies Inc. | 17,904 | 424 |
| * | Integrated Silicon | ||
| Solution Inc. | 52,580 | 422 | |
| * | Compellent Technologies Inc. | 15,200 | 419 |
| * | Sigma Designs Inc. | 29,530 | 418 |
| * | Sycamore Networks Inc. | 19,842 | 409 |
| * | Advanced Analogic | ||
| Technologies Inc. | 100,701 | 404 | |
| * | Agilysys Inc. | 70,372 | 396 |
| * | Liquidity Services Inc. | 28,121 | 395 |
| * | Standard Microsystems Corp. | 13,578 | 391 |
| * | THQ Inc. | 64,284 | 390 |
| * | Kopin Corp. | 92,661 | 385 |
| * | KVH Industries Inc. | 32,125 | 384 |
| * | Oplink Communications Inc. | 20,757 | 383 |
| * | OSI Systems Inc. | 10,464 | 380 |
| * | Volterra Semiconductor Corp. | 16,426 | 380 |
| * | Newport Corp. | 21,806 | 379 |
| Bel Fuse Inc. Class B | 15,756 | 377 | |
| * | Extreme Networks | 119,643 | 370 |
| * | Gerber Scientific Inc. | 46,643 | 367 |
| * | Cardtronics Inc. | 20,649 | 365 |
| * | Comverge Inc. | 52,313 | 361 |
| * | TNS Inc. | 17,220 | 358 |
| * | SolarWinds Inc. | 18,207 | 350 |
| * | ExlService Holdings Inc. | 15,968 | 343 |
| * | Ixia | 20,380 | 342 |
| * | Silicon Image Inc. | 46,440 | 341 |
| * | LivePerson Inc. | 30,153 | 341 |
| * | DSP Group Inc. | 41,725 | 340 |
| * | Measurement Specialties Inc. | 11,482 | 337 |
| * | NVE Corp. | 5,810 | 336 |
41
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Internap Network | ||
| Services Corp. | 54,082 | 329 | |
| * | Infospace Inc. | 38,682 | 321 |
| * | Zoran Corp. | 36,463 | 321 |
| * | EMS Technologies Inc. | 16,139 | 319 |
| * | Openwave Systems Inc. | 146,866 | 311 |
| * | CPI International Inc. | 15,956 | 309 |
| * | Terremark Worldwide Inc. | 23,651 | 306 |
| * | Immersion Corp. | 45,640 | 306 |
| * | Hackett Group Inc. | 87,226 | 306 |
| * | China Security & | ||
| Surveillance | |||
| Technology Inc. | 56,659 | 302 | |
| * | Intevac Inc. | 20,584 | 288 |
| Opnet Technologies Inc. | 10,770 | 288 | |
| * | Exar Corp. | 40,369 | 282 |
| * | Globecomm Systems Inc. | 27,835 | 278 |
| * | FSI International Inc. | 62,493 | 276 |
| American Software Inc. | |||
| Class A | 40,226 | 272 | |
| Marchex Inc. Class B | 28,509 | 272 | |
| * | AXT Inc. | 25,930 | 271 |
| * | Perficient Inc. | 21,457 | 268 |
| * | Lionbridge Technologies Inc. | 71,444 | 264 |
| Cass Information | |||
| Systems Inc. | 6,697 | 254 | |
| * | BroadSoft Inc. | 10,547 | 252 |
| VirnetX Holding Corp. | 16,801 | 249 | |
| * | Verint Systems Inc. | 7,778 | 247 |
| * | Vishay Precision Group Inc. | 13,007 | 245 |
| * | CalAmp Corp. | 77,981 | 245 |
| * | FalconStor Software Inc. | 72,693 | 244 |
| * | DemandTec Inc. | 22,378 | 243 |
| * | Integral Systems Inc. | 24,413 | 242 |
| * | MoneyGram | ||
| International Inc. | 89,214 | 242 | |
| * | Vocus Inc. | 8,673 | 240 |
| * | Silicon Graphics | ||
| International Corp. | 26,043 | 235 | |
| Renaissance Learning Inc. | 19,707 | 233 | |
| * | QuinStreet Inc. | 11,922 | 229 |
| *,^ | Evergreen Solar Inc. | 386,030 | 225 |
| * | Emcore Corp. | 207,296 | 224 |
| * | LRAD Corp. | 82,645 | 222 |
| *,^ | Rubicon Technology Inc. | 10,337 | 218 |
| Stamps.com Inc. | 16,292 | 216 | |
| * | Ultratech Inc. | 10,284 | 204 |
| * | LoJack Corp. | 30,922 | 200 |
| * | BigBand Networks Inc. | 70,042 | 196 |
| * | Move Inc. | 75,125 | 193 |
| * | Maxwell Technologies Inc. | 10,166 | 192 |
| * | support.com Inc. | 29,004 | 188 |
| * | S1 Corp. | 26,711 | 184 |
| * | Conexant Systems Inc. | 111,188 | 181 |
| * | Mindspeed Technologies Inc. | 29,552 | 180 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | LaserCard Corp. | 28,615 | 179 |
| * | Supertex Inc. | 6,899 | 167 |
| * | Magma Design | ||
| Automation Inc. | 31,502 | 158 | |
| * | Nanometrics Inc. | 12,285 | 158 |
| * | Dot Hill Systems Corp. | 90,553 | 158 |
| * | Dynamics Research Corp. | 11,226 | 150 |
| * | Kemet Corp. | 10,160 | 148 |
| * | KIT Digital Inc. | 9,114 | 146 |
| * | Powerwave | ||
| Technologies Inc. | 56,117 | 143 | |
| * | Pulse Electronics Corp. | 26,190 | 139 |
| * | Saba Software Inc. | 22,572 | 138 |
| * | Network Equipment | ||
| Technologies Inc. | 29,787 | 138 | |
| * | ShoreTel Inc. | 17,576 | 137 |
| * | Hutchinson Technology Inc. | 36,408 | 135 |
| * | Zygo Corp. | 10,858 | 133 |
| * | QuickLogic Corp. | 20,604 | 131 |
| * | Wave Systems Corp. | ||
| Class A | 32,831 | 129 | |
| * | VASCO Data Security | ||
| International Inc. | 15,726 | 128 | |
| * | Spectrum Control Inc. | 8,412 | 126 |
| * | Aware Inc. | 43,990 | 123 |
| * | Super Micro Computer Inc. | 10,488 | 121 |
| * | PC-Tel Inc. | 19,415 | 116 |
| * | AuthenTec Inc. | 46,445 | 116 |
| * | NU Horizons | ||
| Electronics Corp. | 16,387 | 114 | |
| * | Global Cash Access | ||
| Holdings Inc. | 35,662 | 114 | |
| * | Virtusa Corp. | 6,908 | 113 |
| Evolving Systems Inc. | 13,428 | 112 | |
| * | Cinedigm Digital | ||
| Cinema Corp. Class A | 66,352 | 109 | |
| * | Edgewater Technology Inc. | 46,266 | 109 |
| * | Cyberoptics Corp. | 12,665 | 108 |
| * | Radisys Corp. | 11,913 | 106 |
| * | China Information | ||
| Technology Inc. | 20,337 | 106 | |
| * | TeleCommunication | ||
| Systems Inc. Class A | 22,677 | 106 | |
| * | Microvision Inc. | 56,881 | 106 |
| Imergent Inc. | 23,286 | 105 | |
| * | Seachange International Inc. | 12,187 | 104 |
| * | SMART Modular | ||
| Technologies WWH Inc. | 17,653 | 102 | |
| * | Reis Inc. | 13,713 | 96 |
| * | Concurrent Computer Corp. | 18,782 | 95 |
| * | Pericom | ||
| Semiconductor Corp. | 8,578 | 94 | |
| * | Symmetricom Inc. | 13,158 | 93 |
| * | Autobytel Inc. | 107,022 | 92 |
| * | Presstek Inc. | 40,606 | 90 |
42
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Looksmart Ltd. | 40,059 | 85 |
| * | Rudolph Technologies Inc. | 10,158 | 84 |
| * | UTStarcom Inc. | 40,330 | 83 |
| * | Bsquare Corp. | 9,341 | 82 |
| * | StarTek Inc. | 15,375 | 78 |
| * | PROS Holdings Inc. | 6,745 | 77 |
| * | Photronics Inc. | 12,757 | 75 |
| * | Web.com Group Inc. | 8,761 | 74 |
| * | BTU International Inc. | 8,000 | 72 |
| * | SRS Labs Inc. | 8,051 | 71 |
| * | PC Connection Inc. | 8,005 | 71 |
| * | MoSys Inc. | 12,422 | 71 |
| * | Occam Networks Inc. | 7,886 | 68 |
| Ipass Inc. | 48,707 | 61 | |
| * | Ness Technologies Inc. | 10,182 | 60 |
| TheStreet.com Inc. | 22,378 | 60 | |
| * | Online Resources Corp. | 12,713 | 59 |
| * | WebMediaBrands Inc. | 36,233 | 58 |
| * | Mattson Technology Inc. | 17,376 | 52 |
| * | Ikanos Communications Inc. | 36,361 | 49 |
| Telular Corp. | 7,116 | 47 | |
| * | Authentidate Holding Corp. | 105,136 | 47 |
| * | iGO Inc. | 11,872 | 46 |
| * | PRGX Global Inc. | 7,136 | 45 |
| * | PAR Technology Corp. | 7,772 | 44 |
| * | Trident Microsystems Inc. | 24,205 | 43 |
| * | China TransInfo | ||
| Technology Corp. | 9,100 | 43 | |
| * | Westell Technologies Inc. | ||
| Class A | 12,700 | 42 | |
| * | Frequency Electronics Inc. | 6,132 | 41 |
| * | NaviSite Inc. | 11,027 | 41 |
| * | Rosetta Stone Inc. | 1,884 | 40 |
| * | Information Services | ||
| Group Inc. | 18,690 | 39 | |
| * | Pixelworks Inc. | 11,145 | 39 |
| * | NCI Inc. Class A | 1,656 | 38 |
| Bel Fuse Inc. Class A | 1,477 | 38 | |
| * | PLX Technology Inc. | 10,402 | 38 |
| * | EndWave Corp. | 16,504 | 37 |
| * | RAE Systems Inc. | 22,951 | 37 |
| * | Transwitch Corp. | 16,462 | 35 |
| * | Ditech Networks Inc. | 23,868 | 34 |
| * | Tollgrade | ||
| Communications Inc. | 3,673 | 34 | |
| * | Datalink Corp. | 7,013 | 34 |
| * | Viasystems Group Inc. | 1,531 | 31 |
| Richardson Electronics Ltd. | 2,625 | 31 | |
| * | Rimage Corp. | 1,944 | 29 |
| * | X-Rite Inc. | 6,261 | 29 |
| * | PDF Solutions Inc. | 5,923 | 29 |
| * | Zhone Technologies Inc. | 10,572 | 28 |
| * | Planar Systems Inc. | 13,735 | 28 |
| * | Network Engines Inc. | 17,889 | 27 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | GSE Systems Inc. | 7,311 | 26 |
| * | MEMSIC Inc. | 8,040 | 26 |
| * | Rainmaker Systems Inc. | 19,115 | 26 |
| * | Lantronix Inc. | 6,995 | 26 |
| * | ORBCOMM Inc. | 9,769 | 25 |
| * | Vertro Inc. | 4,874 | 24 |
| * | Opnext Inc. | 13,481 | 24 |
| * | Zix Corp. | 5,332 | 23 |
| * | Ramtron International Corp. | 6,551 | 22 |
| * | QAD Inc. Class A | 2,292 | 21 |
| * | ID Systems Inc. | 6,149 | 20 |
| * | Digital Ally Inc. | 9,000 | 16 |
| * | Transact Technologies Inc. | 1,500 | 14 |
| * | eLoyalty Corp. | 2,159 | 14 |
| * | HSW International Inc. | 3,300 | 14 |
| * | Identive Group Inc. | 5,405 | 14 |
| * | Research Frontiers Inc. | 2,555 | 14 |
| * | Spire Corp. | 2,366 | 12 |
| * | Superconductor | ||
| Technologies Inc. | 7,872 | 12 | |
| * | SS&C Technologies | ||
| Holdings Inc. | 307 | 6 | |
| * | QAD Inc. Class B | 573 | 6 |
| * | LeCroy Corp. | 496 | 5 |
| * | Selectica Inc. | 829 | 4 |
| * | Parkervision Inc. | 7,548 | 3 |
| * | Calix Inc. | 125 | 2 |
| * | Monotype Imaging | ||
| Holdings Inc. | 169 | 2 | |
| * | Travelzoo Inc. | 43 | 2 |
| * | Management Network | ||
| Group Inc. | 626 | 2 | |
| * | Fabrinet | 75 | 2 |
| * | Ultra Clean Holdings | 163 | 2 |
| * | Amtech Systems Inc. | 60 | 2 |
| * | Digimarc Corp. | 46 | 1 |
| * | Wireless Telecom Group Inc. | 1,403 | 1 |
| * | Innodata Isogen Inc. | 370 | 1 |
| * | Echo Global Logistics Inc. | 81 | 1 |
| * | Deltek Inc. | 125 | 1 |
| * | Tier Technologies Inc. Class B | 121 | 1 |
| * | Market Leader Inc. | 364 | 1 |
| * | Dialogic Inc. | 146 | 1 |
| * | Guidance Software Inc. | 80 | 1 |
| * | Pervasive Software Inc. | 108 | 1 |
| * | Numerex Corp. Class A | 62 | 1 |
| * | PC Mall Inc. | 63 | — |
| * | TechTarget Inc. | 55 | — |
| * | Newtek Business Services Inc. | 204 | — |
| * | Glu Mobile Inc. | 160 | — |
| * | GTSI Corp. | 50 | — |
| * | Intellicheck Mobilisa Inc. | 110 | — |
| * | Performance Technologies Inc. | 70 | — |
| * | Video Display Corp. | 19 | — |
| 2,824,368 |
43
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Materials (4.2%) | |||
| Freeport-McMoRan | |||
| Copper & Gold Inc. | 501,255 | 60,196 | |
| EI du Pont de | |||
| Nemours & Co. | 965,852 | 48,177 | |
| Dow Chemical Co. | 1,235,842 | 42,192 | |
| Monsanto Co. | 575,889 | 40,105 | |
| Newmont Mining Corp. | 524,660 | 32,230 | |
| Praxair Inc. | 326,125 | 31,135 | |
| Air Products & | |||
| Chemicals Inc. | 226,560 | 20,606 | |
| Alcoa Inc. | 1,088,616 | 16,754 | |
| PPG Industries Inc. | 176,039 | 14,800 | |
| Nucor Corp. | 336,264 | 14,735 | |
| Mosaic Co. | 166,202 | 12,691 | |
| Ecolab Inc. | 248,670 | 12,538 | |
| International Paper Co. | 442,658 | 12,058 | |
| Cliffs Natural Resources Inc. | 144,464 | 11,270 | |
| CF Industries Holdings Inc. | 75,773 | 10,241 | |
| United States Steel Corp. | 152,976 | 8,937 | |
| Sigma-Aldrich Corp. | 129,493 | 8,619 | |
| Sherwin-Williams Co. | 98,605 | 8,258 | |
| Lubrizol Corp. | 71,987 | 7,694 | |
| Walter Energy Inc. | 56,457 | 7,217 | |
| Celanese Corp. Class A | 166,516 | 6,855 | |
| Eastman Chemical Co. | 77,178 | 6,489 | |
| Ball Corp. | 92,811 | 6,316 | |
| Vulcan Materials Co. | 136,992 | 6,077 | |
| FMC Corp. | 73,415 | 5,865 | |
| * | Crown Holdings Inc. | 173,115 | 5,779 |
| * | Owens-Illinois Inc. | 174,131 | 5,346 |
| Airgas Inc. | 84,873 | 5,301 | |
| Allegheny Technologies Inc. | 94,713 | 5,226 | |
| Albemarle Corp. | 87,859 | 4,901 | |
| MeadWestvaco Corp. | 182,321 | 4,770 | |
| International Flavors & | |||
| Fragrances Inc. | 85,328 | 4,743 | |
| Nalco Holding Co. | 147,731 | 4,719 | |
| Martin Marietta | |||
| Materials Inc. | 48,748 | 4,497 | |
| Sealed Air Corp. | 170,534 | 4,340 | |
| Ashland Inc. | 79,960 | 4,067 | |
| Steel Dynamics Inc. | 220,296 | 4,031 | |
| Reliance Steel & | |||
| Aluminum Co. | 75,478 | 3,857 | |
| Bemis Co. Inc. | 116,176 | 3,794 | |
| Sonoco Products Co. | 107,664 | 3,625 | |
| Domtar Corp. | 45,820 | 3,479 | |
| Valspar Corp. | 100,495 | 3,465 | |
| Aptargroup Inc. | 71,864 | 3,419 | |
| Huntsman Corp. | 203,754 | 3,181 | |
| Compass Minerals | |||
| International Inc. | 34,911 | 3,116 | |
| * | Hecla Mining Co. | 274,542 | 3,091 |
| RPM International Inc. | 138,545 | 3,062 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Solutia Inc. | 129,986 | 3,000 |
| Royal Gold Inc. | 54,676 | 2,987 | |
| Packaging Corp. of America | 111,057 | 2,870 | |
| Cytec Industries Inc. | 52,623 | 2,792 | |
| * | WR Grace & Co. | 77,937 | 2,738 |
| * | Rockwood Holdings Inc. | 68,873 | 2,694 |
| * | Coeur d’Alene Mines Corp. | 95,557 | 2,611 |
| Scotts Miracle-Gro Co. | |||
| Class A | 50,339 | 2,556 | |
| Cabot Corp. | 66,216 | 2,493 | |
| Temple-Inland Inc. | 109,754 | 2,331 | |
| * | Allied Nevada Gold Corp. | 85,671 | 2,254 |
| Rock-Tenn Co. Class A | 39,716 | 2,143 | |
| * | Stillwater Mining Co. | 98,265 | 2,098 |
| Commercial Metals Co. | 122,772 | 2,037 | |
| Sensient Technologies Corp. | 53,140 | 1,952 | |
| AK Steel Holding Corp. | 118,249 | 1,936 | |
| Silgan Holdings Inc. | 53,705 | 1,923 | |
| Carpenter Technology Corp. | 47,126 | 1,896 | |
| * | Intrepid Potash Inc. | 48,526 | 1,810 |
| Olin Corp. | 84,869 | 1,742 | |
| Schnitzer Steel | |||
| Industries Inc. | 24,948 | 1,656 | |
| * | Titanium Metals Corp. | 96,303 | 1,654 |
| Greif Inc. Class A | 26,384 | 1,633 | |
| NewMarket Corp. | 13,088 | 1,615 | |
| * | Ferro Corp. | 92,653 | 1,356 |
| * | Louisiana-Pacific Corp. | 139,677 | 1,321 |
| Minerals Technologies Inc. | 20,195 | 1,321 | |
| Balchem Corp. | 38,787 | 1,311 | |
| Arch Chemicals Inc. | 33,684 | 1,278 | |
| * | OM Group Inc. | 33,095 | 1,274 |
| Eagle Materials Inc. | 44,976 | 1,271 | |
| * | PolyOne Corp. | 99,797 | 1,246 |
| Schweitzer-Mauduit | |||
| International Inc. | 19,709 | 1,240 | |
| * | Century Aluminum Co. | 79,380 | 1,233 |
| Texas Industries Inc. | 26,899 | 1,231 | |
| Worthington Industries Inc. | 66,274 | 1,219 | |
| Buckeye Technologies Inc. | 55,760 | 1,172 | |
| Globe Specialty Metals Inc. | 68,320 | 1,168 | |
| * | Brush Engineered | ||
| Materials Inc. | 29,349 | 1,134 | |
| Innophos Holdings Inc. | 31,024 | 1,119 | |
| HB Fuller Co. | 53,085 | 1,089 | |
| AMCOL International Corp. | 32,129 | 996 | |
| * | Calgon Carbon Corp. | 63,533 | 961 |
| * | Clearwater Paper Corp. | 11,759 | 921 |
| Westlake Chemical Corp. | 20,093 | 873 | |
| * | RTI International Metals Inc. | 31,441 | 848 |
| * | US Gold Corp. | 102,644 | 828 |
| Koppers Holdings Inc. | 22,489 | 805 | |
| * | General Moly Inc. | 117,122 | 759 |
| * | AM Castle & Co. | 36,711 | 676 |
| Stepan Co. | 8,711 | 664 |
44
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| PH Glatfelter Co. | 52,042 | 639 | |
| Hawkins Inc. | 13,917 | 618 | |
| * | Graphic Packaging | ||
| Holding Co. | 157,939 | 614 | |
| A Schulman Inc. | 26,450 | 605 | |
| Kaiser Aluminum Corp. | 11,862 | 594 | |
| * | Georgia Gulf Corp. | 24,442 | 588 |
| Quaker Chemical Corp. | 13,768 | 574 | |
| Deltic Timber Corp. | 9,815 | 553 | |
| Neenah Paper Inc. | 26,487 | 521 | |
| * | Innospec Inc. | 24,779 | 505 |
| American Vanguard Corp. | 58,376 | 499 | |
| * | Mercer International Inc. | 61,040 | 473 |
| * | Omnova Solutions Inc. | 55,847 | 467 |
| Haynes International Inc. | 11,025 | 461 | |
| Myers Industries Inc. | 46,206 | 450 | |
| * | Kraton Performance | ||
| Polymers Inc. | 14,162 | 438 | |
| * | Horsehead Holding Corp. | 30,199 | 394 |
| * | Headwaters Inc. | 85,507 | 392 |
| * | US Energy Corp. Wyoming | 63,227 | 384 |
| Zep Inc. | 19,154 | 381 | |
| * | STR Holdings Inc. | 18,552 | 371 |
| Olympic Steel Inc. | 12,172 | 349 | |
| * | Zoltek Cos. Inc. | 26,301 | 304 |
| *,^ | China Green Agriculture Inc. | 33,449 | 301 |
| Wausau Paper Corp. | 31,184 | 268 | |
| * | KapStone Paper and | ||
| Packaging Corp. | 17,524 | 268 | |
| *,^ | Flotek Industries Inc. | 48,565 | 265 |
| * | LSB Industries Inc. | 10,612 | 257 |
| * | Landec Corp. | 40,323 | 241 |
| * | Spartech Corp. | 24,882 | 233 |
| Boise Inc. | 29,292 | 232 | |
| * | Universal Stainless & Alloy | 4,761 | 149 |
| * | Gulf Resources Inc. | 13,754 | 147 |
| *,^ | China Agritech Inc. | 10,087 | 124 |
| Chase Corp. | 7,325 | 119 | |
| * | Capital Gold Corp. | 22,354 | 113 |
| * | Paramount Gold and | ||
| Silver Corp. | 27,135 | 108 | |
| * | ADA-ES Inc. | 9,200 | 103 |
| * | TPC Group Inc. | 3,226 | 98 |
| * | AEP Industries Inc. | 3,457 | 90 |
| * | Ampal American Israel | ||
| Class A | 37,313 | 86 | |
| * | China Direct Industries Inc. | 55,297 | 83 |
| *,^ | Orient Paper Inc. | 12,890 | 82 |
| * | Nanophase | ||
| Technologies Corp. | 66,261 | 78 | |
| *,^ | General Steel Holdings Inc. | 26,733 | 77 |
| KMG Chemicals Inc. | 4,354 | 72 | |
| * | Senomyx Inc. | 9,986 | 71 |
| * | Penford Corp. | 10,087 | 62 |
| * | American Pacific Corp. | 9,574 | 55 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Yongye International Inc. | 6,320 | 53 |
| * | Noranda Aluminum | ||
| Holding Corp. | 2,902 | 42 | |
| *,^ | China Precision Steel Inc. | 23,861 | 41 |
| * | Solitario Exploration & | ||
| Royalty Corp. | 10,187 | 37 | |
| * | Golden Minerals Co. | 979 | 26 |
| * | United States Lime & | ||
| Minerals Inc. | 617 | 26 | |
| * | Puda Coal Inc. | 1,633 | 23 |
| * | Metals USA Holdings Corp. | 1,496 | 23 |
| * | Sutor Technology Group Ltd. 5,366 | 12 | |
| * | Verso Paper Corp. | 2,817 | 10 |
| * | Graham Packaging Co. Inc. | 139 | 2 |
| * | ShengdaTech Inc. | 221 | 1 |
| * | Rock of Ages Corp. | 32 | — |
| * | Continental Materials Corp. | 5 | — |
| 641,851 | |||
| Telecommunication Services (2.8%) | |||
| AT&T Inc. | 6,295,765 | 184,970 | |
| Verizon | |||
| Communications Inc. | 3,011,826 | 107,763 | |
| * | American Tower Corp. | ||
| Class A | 427,479 | 22,075 | |
| CenturyLink Inc. | 321,185 | 14,829 | |
| * | Crown Castle | ||
| International Corp. | 309,405 | 13,561 | |
| * | Sprint Nextel Corp. | 3,142,738 | 13,294 |
| Qwest Communications | |||
| International Inc. | 1,668,173 | 12,695 | |
| Frontier | |||
| Communications Corp. | 1,058,196 | 10,296 | |
| * | NII Holdings Inc. | 179,559 | 8,019 |
| Windstream Corp. | 515,351 | 7,184 | |
| * | SBA Communications Corp. | ||
| Class A | 115,976 | 4,748 | |
| Telephone & | |||
| Data Systems Inc. | 92,941 | 3,397 | |
| * | MetroPCS | ||
| Communications Inc. | 263,764 | 3,331 | |
| * | tw telecom inc Class A | 153,897 | 2,624 |
| * | Syniverse Holdings Inc. | 74,914 | 2,311 |
| * | Level 3 | ||
| Communications Inc. | 1,782,577 | 1,747 | |
| AboveNet Inc. | 17,496 | 1,023 | |
| * | United States Cellular Corp. 19,386 | 968 | |
| * | Leap Wireless | ||
| International Inc. | 71,200 | 873 | |
| Alaska Communications | |||
| Systems Group Inc. | 74,886 | 831 | |
| NTELOS Holdings Corp. | 42,972 | 819 | |
| * | Cincinnati Bell Inc. | 289,524 | 811 |
| *,^ | Clearwire Corp. Class A | 154,907 | 798 |
| Atlantic Tele-Network Inc. | 17,110 | 656 | |
45
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Cogent Communications | ||
| Group Inc. | 43,608 | 617 | |
| * | General Communication Inc. | ||
| Class A | 45,302 | 573 | |
| Consolidated | |||
| Communications | |||
| Holdings Inc. | 25,481 | 492 | |
| Shenandoah | |||
| Telecommunications Co. | 23,271 | 436 | |
| * | Premiere Global | ||
| Services Inc. | 63,495 | 432 | |
| IDT Corp. Class B | 16,278 | 418 | |
| * | PAETEC Holding Corp. | 107,173 | 401 |
| USA Mobility Inc. | 21,314 | 379 | |
| * | Cbeyond Inc. | 23,506 | 359 |
| * | Neutral Tandem Inc. | 22,614 | 327 |
| * | Vonage Holdings Corp. | 122,496 | 274 |
| * | Global Crossing Ltd. | 20,925 | 270 |
| HickoryTech Corp. | 26,156 | 251 | |
| Telephone & | |||
| Data Systems Inc. - | |||
| Special Common Shares | 7,633 | 241 | |
| * | 8x8 Inc. | 93,814 | 223 |
| * | ICO Global Communications | ||
| Holdings Ltd. | 147,446 | 221 | |
| * | Iridium Communications Inc. | 24,286 | 200 |
| * | Hughes Communications Inc. | 4,216 | 170 |
| * | FiberTower Corp. | 30,094 | 134 |
| * | SureWest Communications | 9,920 | 106 |
| * | Arbinet Corp. | 10,811 | 90 |
| IDT Corp. | 552 | 14 | |
| * | Globalstar Inc. | 742 | 1 |
| Warwick Valley Telephone Co. | 38 | 1 | |
| 426,253 | |||
| Utilities (3.4%) | |||
| Southern Co. | 885,091 | 33,837 | |
| Exelon Corp. | 704,303 | 29,327 | |
| Dominion Resources Inc. | 627,703 | 26,815 | |
| Duke Energy Corp. | 1,405,089 | 25,025 | |
| NextEra Energy Inc. | 420,924 | 21,884 | |
| PG&E Corp. | 416,327 | 19,917 | |
| American Electric Power | |||
| Co. Inc. | 510,844 | 18,380 | |
| Public Service Enterprise | |||
| Group Inc. | 539,362 | 17,157 | |
| Consolidated Edison Inc. | 301,266 | 14,934 | |
| Entergy Corp. | 199,108 | 14,103 | |
| Progress Energy Inc. | 311,830 | 13,558 | |
| PPL Corp. | 514,381 | 13,538 | |
| Sempra Energy | 250,972 | 13,171 | |
| Edison International | 330,024 | 12,739 | |
| FirstEnergy Corp. | 325,048 | 12,033 | |
| Xcel Energy Inc. | 490,020 | 11,540 | |
| * | AES Corp. | 719,141 | 8,759 |
| DTE Energy Co. | 179,986 | 8,157 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Wisconsin Energy Corp. | 124,709 | 7,340 | |
| Ameren Corp. | 255,217 | 7,195 | |
| CenterPoint Energy Inc. | 427,423 | 6,719 | |
| Constellation Energy | |||
| Group Inc. | 204,854 | 6,275 | |
| Northeast Utilities | 188,124 | 5,997 | |
| Oneok Inc. | 107,729 | 5,976 | |
| * | NRG Energy Inc. | 269,577 | 5,268 |
| NiSource Inc. | 296,560 | 5,225 | |
| SCANA Corp. | 128,546 | 5,219 | |
| * | Calpine Corp. | 379,474 | 5,062 |
| National Fuel Gas Co. | 74,549 | 4,892 | |
| Pinnacle West Capital Corp. | 115,961 | 4,807 | |
| OGE Energy Corp. | 104,047 | 4,738 | |
| American Water Works | |||
| Co. Inc. | 186,560 | 4,718 | |
| NSTAR | 110,270 | 4,652 | |
| CMS Energy Corp. | 245,770 | 4,571 | |
| Allegheny Energy Inc. | 181,280 | 4,394 | |
| Pepco Holdings Inc. | 239,185 | 4,365 | |
| Alliant Energy Corp. | 118,414 | 4,354 | |
| Integrys Energy Group Inc. | 82,246 | 3,990 | |
| MDU Resources Group Inc. | 191,167 | 3,875 | |
| TECO Energy Inc. | 216,997 | 3,863 | |
| UGI Corp. | 117,686 | 3,717 | |
| NV Energy Inc. | 250,382 | 3,518 | |
| Energen Corp. | 72,858 | 3,516 | |
| ITC Holdings Corp. | 53,618 | 3,323 | |
| Aqua America Inc. | 146,131 | 3,285 | |
| Questar Corp. | 187,033 | 3,256 | |
| DPL Inc. | 126,611 | 3,255 | |
| Westar Energy Inc. | 126,744 | 3,189 | |
| * | GenOn Energy Inc. | 816,319 | 3,110 |
| Atmos Energy Corp. | 96,270 | 3,004 | |
| AGL Resources Inc. | 83,080 | 2,978 | |
| Great Plains Energy Inc. | 144,525 | 2,802 | |
| Nicor Inc. | 48,712 | 2,432 | |
| Hawaiian Electric | |||
| Industries Inc. | 100,191 | 2,283 | |
| Piedmont Natural Gas | |||
| Co. Inc. | 77,156 | 2,157 | |
| Vectren Corp. | 82,866 | 2,103 | |
| Cleco Corp. | 65,226 | 2,006 | |
| WGL Holdings Inc. | 54,346 | 1,944 | |
| New Jersey Resources Corp. | 44,265 | 1,908 | |
| IDACORP Inc. | 51,580 | 1,907 | |
| Southwest Gas Corp. | 48,839 | 1,791 | |
| Portland General Electric Co. | 80,640 | 1,750 | |
| South Jersey Industries Inc. | 31,994 | 1,690 | |
| UIL Holdings Corp. | 51,384 | 1,539 | |
| Unisource Energy Corp. | 38,840 | 1,392 | |
| Avista Corp. | 60,007 | 1,351 | |
| Northwest Natural Gas Co. | 28,525 | 1,326 | |
| Allete Inc. | 34,881 | 1,300 | |
| * | El Paso Electric Co. | 46,950 | 1,293 |
46
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| PNM Resources Inc. | 94,022 | 1,224 | |
| Black Hills Corp. | 39,917 | 1,198 | |
| NorthWestern Corp. | 38,997 | 1,124 | |
| MGE Energy Inc. | 24,451 | 1,046 | |
| Laclede Group Inc. | 28,296 | 1,034 | |
| Empire District Electric Co. | 44,069 | 978 | |
| Otter Tail Corp. | 37,213 | 839 | |
| CH Energy Group Inc. | 16,507 | 807 | |
| American States Water Co. | 22,818 | 787 | |
| California Water | |||
| Service Group | 19,244 | 717 | |
| Ormat Technologies Inc. | 21,330 | 631 | |
| * | Dynegy Inc. Class A | 111,247 | 625 |
| SJW Corp. | 20,242 | 536 | |
| Connecticut Water | |||
| Service Inc. | 17,347 | 484 | |
| Chesapeake Utilities Corp. | 8,978 | 373 | |
| Central Vermont Public | |||
| Service Corp. | 15,723 | 344 | |
| Middlesex Water Co. | 11,367 | 209 | |
| * | Cadiz Inc. | 13,146 | 164 |
| Unitil Corp. | 5,194 | 118 | |
| Consolidated Water Co. Ltd. | 11,915 | 109 | |
| Artesian Resources Corp. | |||
| Class A | 3,380 | 64 | |
| *,^ | China Natural Gas Inc. | 7,702 | 42 |
| York Water Co. | 1,944 | 34 | |
| Delta Natural Gas Co. Inc. | 700 | 22 | |
| Pennichuck Corp. | 737 | 20 | |
| * | Synthesis Energy | ||
| Systems Inc. | 15,351 | 18 | |
| * | Purecycle Corp. | 2,730 | 10 |
| RGC Resources Inc. | 16 | 1 | |
| 511,052 | |||
| Total Common Stocks | |||
| (Cost $13,509,966) | 15,135,870 | ||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Temporary Cash Investments (0.8%)1 | |||
| Money Market Fund (0.7%) | |||
| 2,3 | Vanguard Market | ||
| Liquidity Fund, | |||
| 0.211% | 115,610,964 | 115,611 | |
| Face | |||
| Amount | |||
| ($000) | |||
| U.S. Government and Agency Obligations (0.1%) | |||
| 4,5 | Federal Home Loan | ||
| Bank Discount Notes, | |||
| 0.220%, 3/2/11 | 5,000 | 4,998 | |
| 4,5 | Federal Home Loan | ||
| Bank Discount Notes, | |||
| 0.250%, 3/18/11 | 2,000 | 1,999 | |
| 4,5 | Freddie Mac Discount | ||
| Notes, 0.240%, 3/14/11 | 3,000 | 2,998 | |
| 4,5 | Freddie Mac Discount | ||
| Notes, 0.271%, 6/7/11 | 250 | 250 | |
| 10,245 | |||
| Total Temporary Cash Investments | |||
| (Cost $125,856) | 125,856 | ||
| Total Investments (100.2%) | |||
| (Cost $13,635,822) | 15,261,726 | ||
| Other Assets and Liabilities (-0.2%) | |||
| Other Assets | 63,923 | ||
| Liabilities3 | (101,494) | ||
| (37,571) | |||
| Net Assets (100%) | 15,224,155 | ||
47
Institutional Total Stock Market Index Fund
At December 31, 2010, net assets consisted of:
| Amount | |
| ($000) | |
| Paid-in Capital | 13,999,688 |
| Undistributed Net Investment Income | 1,173 |
| Accumulated Net Realized Losses | (403,702) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 1,625,904 |
| Futures Contracts | 1,092 |
| Net Assets | 15,224,155 |
| Institutional Shares—Net Assets | |
| Applicable to 78,774,541 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 2,248,184 |
| Net Asset Value Per Share— | |
| Institutional Shares | $28.54 |
| Institutional Plus Shares—Net Assets | |
| Applicable to 454,609,506 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 12,975,971 |
| Net Asset Value Per Share— | |
| Institutional Plus Shares | $28.54 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $27,591,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 99.9% and 0.3%, respectively, of net assets.
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 Includes $29,678,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
5 Securities with a value of $7,247,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
48
Institutional Total Stock Market Index Fund
Statement of Operations
| Year Ended | |
| December 31, 2010 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 261,568 |
| Interest1 | 135 |
| Security Lending | 3,038 |
| Total Income | 264,741 |
| Expenses | |
| The Vanguard Group—Note B | |
| Management and Administrative—Institutional Shares | 835 |
| Management and Administrative—Institutional Plus Shares | 2,856 |
| Total Expenses | 3,691 |
| Net Investment Income | 261,050 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 92,739 |
| Futures Contracts | 9,696 |
| Realized Net Gain (Loss) | 102,435 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 1,946,531 |
| Futures Contracts | 591 |
| Change in Unrealized Appreciation (Depreciation) | 1,947,122 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 2,310,607 |
| 1 Interest income from an affiliated company of the fund was $119,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
49
Institutional Total Stock Market Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2010 | 2009 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 261,050 | 226,378 |
| Realized Net Gain (Loss) | 102,435 | (122,854) |
| Change in Unrealized Appreciation (Depreciation) | 1,947,122 | 2,710,614 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 2,310,607 | 2,814,138 |
| Distributions | ||
| Net Investment Income | ||
| Institutional Shares | (37,307) | (37,609) |
| Institutional Plus Shares | (224,408) | (188,293) |
| Realized Capital Gain | ||
| Institutional Shares | — | — |
| Institutional Plus Shares | — | — |
| Total Distributions | (261,715) | (225,902) |
| Capital Share Transactions | ||
| Institutional Shares | 275,016 | 66,331 |
| Institutional Plus Shares | 679,934 | 1,829,292 |
| Net Increase (Decrease) from Capital Share Transactions | 954,950 | 1,895,623 |
| Total Increase (Decrease) | 3,003,842 | 4,483,859 |
| Net Assets | ||
| Beginning of Period | 12,220,313 | 7,736,454 |
| End of Period1 | 15,224,155 | 12,220,313 |
| 1 Net Assets—End of Period includes undistributed net investment income of $1,173,000 and $1,838,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
50
Institutional Total Stock Market Index Fund
Financial Highlights
Institutional Shares
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $24.80 | $19.68 | $31.89 | $30.71 | $27.00 |
| Investment Operations | |||||
| Net Investment Income | .495 | .483 | .550 | .547 | .501 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.741 | 5.120 | (12.208) | 1.179 | 3.710 |
| Total from Investment Operations | 4.236 | 5.603 | (11.658) | 1.726 | 4.211 |
| Distributions | |||||
| Dividends from Net Investment Income | (.496) | (.483) | (.552) | (.546) | (.501) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.496) | (.483) | (.552) | (.546) | (.501) |
| Net Asset Value, End of Period | $28.54 | $24.80 | $19.68 | $31.89 | $30.71 |
| Total Return | 17.28% | 28.84% | -36.90% | 5.60% | 15.74% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $2,248 | $1,700 | $1,106 | $1,271 | $939 |
| Ratio of Total Expenses to | |||||
| Average Net Assets | 0.045% | 0.045% | 0.045% | 0.045% | 0.045% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.95% | 2.36% | 2.12% | 1.81% | 1.81% |
| Portfolio Turnover Rate1 | 14% | 13% | 13% | 10% | 8% |
| 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. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
51
Institutional Total Stock Market Index Fund
Financial Highlights
Institutional Plus Shares
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $24.81 | $19.68 | $31.89 | $30.71 | $27.00 |
| Investment Operations | |||||
| Net Investment Income | .499 | .487 | .556 | .553 | .506 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.732 | 5.130 | (12.209) | 1.179 | 3.710 |
| Total from Investment Operations | 4.231 | 5.617 | (11.653) | 1.732 | 4.216 |
| Distributions | |||||
| Dividends from Net Investment Income | (.501) | (.487) | (.557) | (.552) | (.506) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.501) | (.487) | (.557) | (.552) | (.506) |
| Net Asset Value, End of Period | $28.54 | $24.81 | $19.68 | $31.89 | $30.71 |
| Total Return | 17.25% | 28.92% | -36.89% | 5.62% | 15.76% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $12,976 | $10,520 | $6,631 | $8,599 | $4,615 |
| Ratio of Total Expenses to | |||||
| Average Net Assets | 0.025% | 0.025% | 0.025% | 0.025% | 0.025% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.97% | 2.38% | 2.14% | 1.83% | 1.83% |
| Portfolio Turnover Rate1 | 14% | 13% | 13% | 10% | 8% |
| 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. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
52
Institutional Total Stock Market Index Fund
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 con siders 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 for all open federal income tax years (December 31, 2007–2010), 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 fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
53
Institutional Total Stock Market Index Fund
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. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value 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 December 31, 2010, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 15,135,870 | — | — |
| Temporary Cash Investments | 115,611 | 10,245 | — |
| Futures Contracts—Liabilities1 | (141) | — | — |
| Total | 15,251,340 | 10,245 | — |
| 1 Represents variation margin on the last day of the reporting period. | |||
The following table summarizes changes in investments valued based on Level 3 inputs during the year ended December 31, 2010:
| Investments in | |
| Common Stocks | |
| Amount Valued Based on Level 3 Inputs | ($000) |
| Balance as of December 31, 2009 | 29 |
| Total Sales | (9) |
| Net Realized Gain (Loss) | (89) |
| Change in Unrealized Appreciation (Depreciation) | 69 |
| Balance as of December 31, 2010 | — |
54
Institutional Total Stock Market Index Fund
D. At December 31, 2010, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| S&P 500 Index | March 2011 | 144 | 45,108 | 750 |
| E-mini S&P 500 Index | March 2011 | 405 | 25,373 | 220 |
| E-mini Russell 2000 Index | March 2011 | 73 | 5,711 | 87 |
| S&P MidCap 400 Index | March 2011 | 6 | 2,716 | 35 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. 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 are primarily attributed to tax deferral of losses on wash sales and will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended December 31, 2010, the fund realized $97,407,000 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.
For tax purposes, at December 31, 2010, the fund had $1,173,000 of ordinary income available for distribution. The fund had available capital loss carryforwards totaling $115,540,000 to offset future net capital gains through December 31, 2017. In addition, the fund realized losses of $197,289,000 during the period from November 1, 2010, through December 31, 2010, which are deferred and will be treated as realized for tax purposes in fiscal 2011.
At December 31, 2010, the cost of investment securities for tax purposes was $13,725,603,000. Net unrealized appreciation of investment securities for tax purposes was $1,536,123,000, consisting of unrealized gains of $2,701,262,000 on securities that had risen in value since their purchase and $1,165,139,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2010, the fund purchased $2,966,271,000 of investment securities and sold $2,018,777,000 of investment securities, other than temporary cash investments.
55
Institutional Total Stock Market Index Fund
G. Capital share transactions for each class of shares were:
| Year Ended December 31, | ||||
| 2010 | 2009 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Institutional Shares | ||||
| Issued | 968,244 | 36,921 | 616,126 | 36,199 |
| Issued in Lieu of Cash Distributions | 32,776 | 1,248 | 35,139 | 1,632 |
| Redeemed | (726,004) | (27,934) | (584,934) | (25,497) |
| Net Increase (Decrease)—Institutional Shares | 275,016 | 10,235 | 66,331 | 12,334 |
| Institutional Plus Shares | ||||
| Issued | 2,681,039 | 108,189 | 3,248,471 | 159,817 |
| Issued in Lieu of Cash Distributions | 199,020 | 7,597 | 164,499 | 7,560 |
| Redeemed | (2,200,125) | (85,280) | (1,583,678) | (80,238) |
| Net Increase (Decrease)—Institutional Plus Shares | 679,934 | 30,506 | 1,829,292 | 87,139 |
H. In preparing the financial statements as of December 31, 2010, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
56
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Institutional Index Funds and the Shareholders of Vanguard Institutional Total Stock Market Index Fund:
In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Institutional Total Stock Market Index Fund (constituting a separate portfolio of Vanguard Institutional Index Funds, hereafter referred to as the “Fund”) at December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on ou r audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2010 by correspondence with the custodian and broker and by agreement to the underlying ownership records of Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 8, 2011
| Special 2010 tax information (unaudited) for Vanguard Institutional Total Stock Market Index Fund |
This information for the fiscal year ended December 31, 2010, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $248,237,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 92.3% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
57
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 accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect 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.
58
Six Months Ended December 31, 2010
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Institutional Total Stock Market Index Fund | 6/30/2010 | 12/31/2010 | Period |
| Based on Actual Fund Return | |||
| Institutional Shares | $1,000.00 | $1,246.75 | $0.25 |
| Institutional Plus Shares | 1,000.00 | 1,246.35 | 0.14 |
| Based on Hypothetical 5% Yearly Return | |||
| Institutional Shares | $1,000.00 | $1,024.98 | $0.23 |
| Institutional Plus Shares | 1,000.00 | 1,025.08 | 0.13 |
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.
59
Glossary
30-Day SEC 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.
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). 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.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
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.
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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.
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.
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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. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 179 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
| Interested Trustee1 | Amy Gutmann |
| Born 1949. Trustee Since June 2006. Principal | |
| F. William McNabb III | Occupation(s) During the Past Five Years: President |
| Born 1957. Trustee Since July 2009. Chairman of the | of the University of Pennsylvania; Christopher H. |
| Board. Principal Occupation(s) During the Past Five | Browne Distinguished Professor of Political Science |
| Years: Chairman of the Board of The Vanguard Group, | in the School of Arts and Sciences with secondary |
| Inc., and of each of the investment companies served | appointments at the Annenberg School for Commu- |
| by The Vanguard Group, since January 2010; Director | nication and the Graduate School of Education |
| of The Vanguard Group since 2008; Chief Executive | of the University of Pennsylvania; Director of |
| Officer and President of The Vanguard Group and of | Carnegie Corporation of New York, Schuylkill River |
| each of the investment companies served by The | Development Corporation, and Greater Philadelphia |
| Vanguard Group since 2008; Director of Vanguard | Chamber of Commerce; Trustee of the National |
| Marketing Corporation; Managing Director of The | Constitution Center; Chair of the Presidential |
| Vanguard Group (1995–2008). | Commission for the Study of Bioethical Issues. |
| JoAnn Heffernan Heisen | |
| Independent Trustees | Born 1950. Trustee Since July 1998. Principal |
| Occupation(s) During the Past Five Years: Corporate | |
| Emerson U. Fullwood | Vice President and Chief Global Diversity Officer |
| Born 1948. Trustee Since January 2008. Principal | since 2006 (retired 2008) and Member of the |
| Occupation(s) During the Past Five Years: Executive | Executive Committee (retired 2008) of Johnson & |
| Chief Staff and Marketing Officer for North America | Johnson (pharmaceuticals/consumer products); Vice |
| and Corporate Vice President (retired 2008) of Xerox | President and Chief Information Officer of Johnson & |
| Corporation (document management products and | Johnson (1997–2005); Director of the University |
| services); Director of SPX Corporation (multi-industry | Medical Center at Princeton and Women’s Research |
| manufacturing), the United Way of Rochester, | and Education Institute; Member of the Advisory |
| Amerigroup Corporation (managed health care), | Board of the Maxwell School of Citizenship and Public |
| the University of Rochester Medical Center, and | Affairs at Syracuse University. |
| Monroe Community College Foundation. | |
| F. Joseph Loughrey | |
| Rajiv L. Gupta | Born 1949. Trustee Since October 2009. Principal |
| Born 1945. Trustee Since December 2001.2 | Occupation(s) During the Past Five Years: President |
| Principal Occupation(s) During the Past Five Years: | and Chief Operating Officer since 2005 (retired 2009) |
| Chairman and Chief Executive Officer (retired 2009) | and Vice Chairman of the Board (2008–2009) of |
| and President (2006–2008) of Rohm and Haas Co. | Cummins Inc. (industrial machinery); Director of |
| (chemicals); Director of Tyco International, Ltd. | SKF AB (industrial machinery), Hillenbrand, Inc. |
| (diversified manufacturing and services) and Hewlett- | (specialized consumer services), Sauer-Danfoss Inc. |
| Packard Co. (electronic computer manufacturing); | (machinery), the Lumina Foundation for Education, |
| Trustee of The Conference Board; Member of the | and Oxfam America; Chairman of the Advisory |
| Board of Managers of Delphi Automotive LLP | Council for the College of Arts and Letters at the |
| (automotive components). | University of Notre Dame. |
| André F. Perold | Kathryn J. Hyatt | |
| Born 1952. Trustee Since December 2004. Principal | Born 1955. Treasurer Since November 2008. Principal | |
| Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Principal | |
| Gund Professor of Finance and Banking at the Harvard | of The Vanguard Group, Inc.; Treasurer of each of | |
| Business School; Chair of the Investment Committee | the investment companies served by The Vanguard | |
| of HighVista Strategies LLC (private investment firm). | Group since 2008; Assistant Treasurer of each of the | |
| investment companies served by The Vanguard Group | ||
| Alfred M. Rankin, Jr. | (1988–2008). | |
| Born 1941. Trustee Since January 1993. Principal | ||
| Occupation(s) During the Past Five Years: Chairman, | Heidi Stam | |
| President, and Chief Executive Officer of NACCO | Born 1956. Secretary Since July 2005. Principal | |
| Industries, Inc. (forklift trucks/housewares/lignite); | Occupation(s) During the Past Five Years: Managing | |
| Director of Goodrich Corporation (industrial products/ | Director of The Vanguard Group, Inc., since 2006; | |
| aircraft systems and services); Chairman of the | General Counsel of The Vanguard Group since 2005; | |
| Federal Reserve Bank of Cleveland; Trustee of The | Secretary of The Vanguard Group and of each of the | |
| Cleveland Museum of Art. | investment companies served by The Vanguard Group | |
| since 2005; Director and Senior Vice President of | ||
| Peter F. Volanakis | Vanguard Marketing Corporation since 2005; | |
| Born 1955. Trustee Since July 2009. Principal | Principal of The Vanguard Group (1997–2006). | |
| Occupation(s) During the Past Five Years: President | ||
| since 2007 and Chief Operating Officer since 2005 | ||
| of Corning Incorporated (communications equipment); | Vanguard Senior Management Team | |
| President of Corning Technologies (2001–2005); | ||
| Director of Corning Incorporated and Dow Corning; | R. Gregory Barton | Michael S. Miller |
| Trustee of the Corning Incorporated Foundation and | Mortimer J. Buckley | James M. Norris |
| the Corning Museum of Glass; Overseer of the | Kathleen C. Gubanich | Glenn W. Reed |
| Amos Tuck School of Business Administration at | Paul A. Heller | George U. Sauter |
| Dartmouth College. | ||
| Chairman Emeritus and Senior Advisor | ||
| Executive Officers | ||
| John J. Brennan | ||
| Glenn Booraem | Chairman, 1996–2009 | |
| Born 1967. Controller Since July 2010. Principal | Chief Executive Officer and President, 1996–2008 | |
| Occupation(s) During the Past Five Years: Principal | ||
| of The Vanguard Group, Inc.; Controller of each of | ||
| the investment companies served by The Vanguard | Founder | |
| Group since 2010; Assistant Controller of each of | ||
| the investment companies served by The Vanguard | John C. Bogle | |
| Group (2001–2010). | Chairman and Chief Executive Officer, 1974–1996 | |
| Thomas J. Higgins | ||
| Born 1957. Chief Financial Officer Since September | ||
| 2008. Principal Occupation(s) During the Past Five | ||
| Years: Principal of The Vanguard Group, Inc.; Chief | ||
| Financial Officer of each of the investment companies | ||
| served by The Vanguard Group since 2008; Treasurer | ||
| of each of the investment companies served by The | ||
| Vanguard Group (1998–2008). | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
| |
| P.O. Box 2600 | |
| Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
| The funds or securities referred to herein are not | |
| Fund Information > 800-662-7447 | sponsored, endorsed, or promoted by MSCI, and MSCI |
| Direct Investor Account Services > 800-662-2739 | bears no liability with respect to any such funds or |
| Institutional Investor Services > 800-523-1036 | securities. For any such funds or securities, the |
| Text Telephone for People | prospectus or the Statement of Additional Information |
| With Hearing Impairment > 800-749-7273 | contains a more detailed description of the limited |
| relationship MSCI has with The Vanguard Group and | |
| This material may be used in conjunction | any related funds. |
| with the offering of shares of any Vanguard | |
| fund only if preceded or accompanied by | |
| the fund’s current prospectus. | |
| All comparative mutual fund data are from Lipper Inc. or | |
| Morningstar, Inc., unless otherwise noted. | |
| You can obtain a free copy of Vanguard’s proxy voting | |
| guidelines by visiting vanguard.com/proxyreporting or by | |
| calling Vanguard at 800-662-2739. The guidelines are | |
| also available from the SEC’s website, sec.gov. In | |
| addition, you may obtain a free report on how your fund | |
| voted the proxies for securities it owned during the 12 | |
| months ended June 30. To get the report, visit either | |
| vanguard.com/proxyreporting or 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 20549-1520. | |
| © 2011 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q8710 022011 | |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. The following members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts serving on its Audit Committee, and to be independent: Charles D. Ellis, Rajiv L. Gupta, JoAnn Heffernan Heisen, André F. Perold, and Alfred M. Rankin, Jr.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended December 31, 2010: $43,000
Fiscal Year Ended December 31, 2009: $67,500
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended December 31, 2010: $3,607,060
Fiscal Year Ended December 31, 2009: $3,354,640
(b) Audit-Related Fees.
Fiscal Year Ended December 31, 2010: $791,350
Fiscal Year Ended December 31, 2009: $876,210
Includes fees billed in connection with assurance and related services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(c) Tax Fees.
Fiscal Year Ended December 31, 2010: $336,090
Fiscal Year Ended December 31, 2009: $423,070
Includes fees billed in connection with tax compliance, planning and advice services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group and related to income and excise taxes.
(d) All Other Fees.
Fiscal Year Ended December 31, 2010: $16,000
Fiscal Year Ended December 31, 2009: $0
Includes fees billed for services related to risk management and privacy matters. Services were provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; and (4) other registered investment
companies in the Vanguard Group. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; or (4) other registered investment companies in the Vanguard Group.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended December 31, 2010: $352,090
Fiscal Year Ended December 31, 2009: $423,070
Includes fees billed for non-audit services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Not Applicable.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant's Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) Code of Ethics.
(b) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| VANGUARD INSTITUTIONAL INDEX FUNDS | |
| By: | /s/ F. WILLIAM MCNABB III* |
| F. WILLIAM MCNABB III | |
| CHIEF EXECUTIVE OFFICER | |
| Date: February 17, 2011 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| VANGUARD INSTITUTIONAL INDEX FUNDS | |
| By: | /s/ F. WILLIAM MCNABB III* |
| F. WILLIAM MCNABB III | |
| CHIEF EXECUTIVE OFFICER | |
| Date: February 17, 2011 | |
| VANGUARD INSTITUTIONAL INDEX FUNDS | |
| By: | /s/ THOMAS J. HIGGINS* |
| THOMAS J. HIGGINS | |
| CHIEF FINANCIAL OFFICER | |
| Date: February 17, 2011 | |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on April 26, 2010, see file Number 33-53683, Incorporated by Reference.