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, 2011 – June 30, 2011
Item 1: Reports to Shareholders
 |
|
| Vanguard Institutional Index Fund |
| Semiannual Report |
|
| June 30, 2011 |
 |
> For the six months ended June 30, 2011, Vanguard Institutional Index Fund met its objective, closely tracking the 6.02% return of the S&P 500 Index.
> Despite a barrage of grim headlines, the stock market delivered solid gains, buoyed by strength in corporate earnings.
> Health care and energy stocks were among the bright spots. Financial stocks struggled.
| |
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Fund Profile. | 6 |
| Performance Summary. | 7 |
| Financial Statements. | 8 |
| About Your Fund’s Expenses. | 23 |
| Trustees Approve Advisory Arrangement. | 25 |
| Glossary. | 26 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the 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
Six Months Ended June 30, 2011
| |
| | Total |
| | Returns |
| Vanguard Institutional Index Fund | |
| Institutional Shares | 6.01% |
| Institutional Plus Shares | 6.03 |
| S&P 500 Index | 6.02 |
| Large-Cap Core Funds Average | 5.25 |
| Large-Cap Core Funds Average: Derived from data provided by Lipper Inc. |
Institutional Shares 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, 2010 , Through June 30, 2011
| | | | |
| | | | Distributions Per Share |
| | Starting | Ending | Income | Capital |
| | Share Price | Share Price | Dividends | Gains |
| Vanguard Institutional Index Fund | | | | |
| Institutional Shares | $115.01 | $120.83 | $1.092 | $0.000 |
| Institutional Plus Shares | 115.01 | 120.83 | 1.107 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
Stock prices scampered higher in the face of uncertainty about the strength of the global recovery. For the six months ended June 30, 2011, Vanguard Institutional Index Fund followed the market’s gains and retreats, performing in line with the 6.02% return of the S&P 500 Index. The fund topped the average return of its peer group, large-capitalization core funds.
All but one of the fund’s ten sectors posted positive returns for the period. The double-digit returns delivered by health care and energy stocks were notable bright spots. Weakness in the information technology sector, the single largest component of the S&P 500 Index, and a decline in the financial sector restrained the six-month returns.
Please note that on June 1, the expense ratio of Vanguard Institutional Index Fund’s Institutional Shares declined to 4 basis points from 5 basis points (1 basis point is 0.01 percentage point). The expense ratio of the Institutional Plus Shares declined from 2.5 basis points to 2 basis points. As the assets and average account balances in these shares have increased, the funds have realized economies of scale that we are passing along to shareholders.
2
For most stock markets, a ragged six-month gain
Like the U.S. market, global stock markets climbed unsteadily as investor attitudes swung from optimism about the strength of corporate earnings to fears that the slow, grinding recovery was losing momentum. Stock prices rallied through the first four months of 2011, pulled back as economic news turned gloomier, then bounced up again at the end of the period.
The broad U.S. stock market returned about 6% for the six months. International stock markets finished a few steps behind, restrained by sovereign-debt dramas in Europe and the economic aftershocks of the Japanese natural and nuclear disaster. Gains were modest in emerging markets too, as big economies such as China and Brazil grappled with inflationary pressures.
Low yields, solid returns in the bond market
Bonds delivered solid six-month returns even as interest rates hovered near generational lows. Bond prices rallied in the spring as economic anxiety prompted a search for safer havens in fixed income. The broad taxable bond market returned almost 3%. The municipal market performed even better. Municipal securities were hammered early in the year as unsettling (and in our opinion, overstated) headlines raised doubts about their safety. Toward the end, investors’ worries began to recede and prices rose.
| | | |
| Market Barometer | | | |
| |
| | | | Total Returns |
| | | Periods Ended June 30, 2011 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 6.37% | 31.93% | 3.30% |
| Russell 2000 Index (Small-caps) | 6.21 | 37.41 | 4.08 |
| Dow Jones U.S. Total Stock Market Index | 6.01 | 32.26 | 3.66 |
| MSCI All Country World Index ex USA (International) | 3.80 | 29.73 | 3.67 |
| |
| Bonds | | | |
| Barclays Capital U.S. Aggregate Bond Index (Broad | | | |
| taxable market) | 2.72% | 3.90% | 6.52% |
| Barclays Capital Municipal Bond Index (Broad | | | |
| tax-exempt market) | 4.42 | 3.48 | 4.93 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.06 | 0.14 | 1.86 |
| |
| CPI | | | |
| Consumer Price Index | 2.99% | 3.56% | 2.15% |
3
The yields on money market instruments remained nearly invisible, consistent with the Federal Reserve’s target for short-term interest rates, which since December 2008 has been anchored between 0% and 0.25%.
Strength in health care and energy carried the fund’s stocks higher
Vanguard Institutional Index Fund produced a solid half-year return despite the anxiety and pronounced volatility triggered by a series of unsettling events on the global stage. The market’s—and corporate America’s—resilience was notable. Nine out of the S&P 500 Index’s ten sectors posted positive returns, and corporate earnings continued to rebound powerfully from their recessionary depths.
Health care stocks contributed the most to the fund’s performance, returning nearly 14% for the period and accounting for almost 1.5 percentage points of the overall gain. The sector’s rise was driven in part by strong returns posted by large pharmaceutical companies, which returned to favor as investors grew more comfortable with how those firms are coping with patent expirations of valuable products and a challenging regulatory environment. The energy sector was another highlight as integrated oil and gas companies benefited from the prospect that energy prices will stay high.
Financial stocks, which make up the second-largest sector in the index, declined overall during the period. Large diversified financial services firms saw a drop in revenues from trading and investments, while the big banks continued to wrestle with bad loans and other legacies of the deep recession.
Information technology stocks, the index’s largest sector, also lagged the broader market. The sector showed signs of strength in late 2010 as investors reacted to prospects for increased business spending and to consumers’ enthusiasm for new devices such as tablet computers. Some of that enthusiasm dissipated in the past six months, however, as the economic recovery appeared to stall while competition intensified among industry bellwethers.
Some age-old counsel for an unsettled era
Over the decades, our counsel to clients, both individuals and institutions, has remained consistent: Build a broadly diversified, low-cost portfolio that includes an allocation of stock and bond funds, short-term investments, and (perhaps) alternative assets consistent with your objectives. Vanguard Institutional Index Fund can play a leading role in such a portfolio.
Since the financial crisis, of course, a series of once-hard-to-imagine developments has reverberated through the global stock and bond markets. Is our simple, straightforward counsel still relevant? In a word, yes.
Impulsive portfolio changes can do damage to sensible long-term investment plans. A commitment to those plans, by contrast,
4
has proven a reliable strategy for enhancing wealth. A recent Vanguard study of defined contribution plans found that, despite significant market shocks, participants, on average, had higher account balances in 2010 than in 2007, the eve of the financial crisis. The increase reflected the benefits of regular contributions, diversification, and the global stock markets’ rebound from crisis lows. Although the study examined individual investors, the findings hold valuable lessons for portfolios of any size.
Thank you for entrusting your organization’s assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 14, 2011
5
Institutional Index Fund
Fund Profile
As of June 30, 2011
| | | |
| Share-Class Characteristics | |
| | Institutional | Institutional |
| | Shares | Plus Shares |
| Ticker Symbol | | VINIX | VIIIX |
| Expense Ratio1 | 0.04% | 0.02% |
| 30-Day SEC Yield | 1.96% | 1.98% |
| |
| Portfolio Characteristics | | |
| | | | DJ |
| | | | U.S. Total |
| | | S&P 500 | Market |
| | Fund | Index | Index |
| Number of Stocks | 501 | 500 | 3,745 |
| Median Market Cap | $50.1B | $50.1B | $30.8B |
| Price/Earnings Ratio | 15.9x | 15.9x | 17.1x |
| Price/Book Ratio | 2.2x | 2.2x | 2.2x |
| Return on Equity | 20.3% | 20.3% | 19.1% |
| Earnings Growth Rate | 5.6% | 5.6% | 5.8% |
| Dividend Yield | 2.0% | 2.0% | 1.8% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 5% | — | — |
| 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% | 12.2% |
| Consumer Staples | 10.6 | 10.6 | 9.7 |
| Energy | 12.7 | 12.7 | 11.2 |
| Financials | 15.1 | 15.1 | 15.4 |
| Health Care | 11.7 | 11.7 | 11.3 |
| Industrials | 11.3 | 11.3 | 11.6 |
| Information | | | |
| Technology | 17.8 | 17.8 | 18.4 |
| Materials | 3.7 | 3.7 | 4.4 |
| Telecommunication | | | |
| Services | 3.1 | 3.1 | 2.6 |
| Utilities | 3.4 | 3.4 | 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 | 3.3% |
| Apple Inc. | Computer | |
| | Hardware | 2.6 |
| International Business | IT Consulting & | |
| Machines Corp. | Other Services | 1.7 |
| Chevron Corp. | Integrated Oil & | |
| | Gas | 1.7 |
| General Electric Co. | Industrial | |
| | Conglomerates | 1.7 |
| Microsoft Corp. | Systems Software | 1.6 |
| AT&T Inc. | Integrated | |
| | Telecommunication | |
| | Services | 1.5 |
| Johnson & Johnson | Pharmaceuticals | 1.5 |
| Procter & Gamble Co. | Household | |
| | Products | 1.5 |
| Pfizer Inc. | Pharmaceuticals | 1.3 |
| Top Ten | | 18.4% |
| The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated June 1, 2011. For the six months ended June 30, 2011, the annualized expense ratios were 0.048% for Institutional Shares and 0.024% 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.
Fiscal-Year Total Returns (%): December 31, 2000, Through June 30, 2011
Note: For 2011, performance data reflect the six months ended June 30, 2011.
Average Annual Total Returns: Periods Ended June 30, 2011
| | | | |
| | Inception | One | Five | Ten |
| | Date | Year | Years | Years |
| Institutional Shares | 7/31/1990 | 30.66% | 2.97% | 2.74% |
| Institutional Plus Shares | 7/7/1997 | 30.70 | 3.00 | 2.76 |
See Financial Highlights for dividend and capital gains information.
7
Institutional Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2011
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 (10.6%) | |
| | McDonald’s Corp. | 8,390,356 | 707,475 |
| | Walt Disney Co. | 15,284,673 | 596,714 |
| * | Amazon.com Inc. | 2,887,794 | 590,525 |
| | Comcast Corp. Class A | 21,524,282 | 545,425 |
| | Home Depot Inc. | 12,875,572 | 466,353 |
| * | Ford Motor Co. | 30,713,723 | 423,542 |
| | News Corp. Class A | 18,478,763 | 327,074 |
| * | DIRECTV Class A | 6,208,569 | 315,519 |
| | Time Warner Inc. | 8,659,072 | 314,930 |
| | NIKE Inc. Class B | 3,067,111 | 275,979 |
| | Target Corp. | 5,572,578 | 261,410 |
| | Lowe’s Cos. Inc. | 10,528,938 | 245,430 |
| | Viacom Inc. Class B | 4,731,435 | 241,303 |
| | Starbucks Corp. | 6,061,492 | 239,368 |
| | Johnson Controls Inc. | 5,486,114 | 228,551 |
| | Time Warner Cable Inc. | 2,720,190 | 212,284 |
| | Yum! Brands Inc. | 3,764,633 | 207,958 |
| * | priceline.com Inc. | 401,449 | 205,514 |
| | TJX Cos. Inc. | 3,122,113 | 164,005 |
| | CBS Corp. Class B | 5,407,856 | 154,070 |
| | Coach Inc. | 2,374,047 | 151,773 |
| | Carnival Corp. | 3,492,087 | 131,407 |
| * | Bed Bath & Beyond Inc. | 2,014,405 | 117,581 |
| | Kohl’s Corp. | 2,272,785 | 113,662 |
| | Omnicom Group Inc. | 2,273,023 | 109,469 |
| | McGraw-Hill Cos. Inc. | 2,464,343 | 103,281 |
| | Macy’s Inc. | 3,451,635 | 100,926 |
| * | Netflix Inc. | 352,374 | 92,565 |
| * | Discovery Communications | |
| | Inc. Class A | 2,253,028 | 92,284 |
| | Staples Inc. | 5,767,883 | 91,133 |
| | Starwood Hotels & | | |
| | Resorts Worldwide Inc. | 1,577,976 | 88,430 |
| | Wynn Resorts Ltd. | 615,565 | 88,358 |
| | Best Buy Co. Inc. | 2,609,463 | 81,963 |
| | Marriott International | | |
| | Inc. Class A | 2,296,201 | 81,492 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Tiffany & Co. | 1,033,006 | 81,112 |
| | Fortune Brands Inc. | 1,246,957 | 79,518 |
| | Limited Brands Inc. | 2,039,901 | 78,434 |
| | Harley-Davidson Inc. | 1,911,037 | 78,295 |
| * | Chipotle Mexican Grill Inc. | | |
| | Class A | 251,692 | 77,569 |
| | Mattel Inc. | 2,811,342 | 77,284 |
| | VF Corp. | 707,919 | 76,852 |
| | Ross Stores Inc. | 945,978 | 75,792 |
| * | O’Reilly Automotive Inc. | 1,115,127 | 73,052 |
| | Genuine Parts Co. | 1,272,440 | 69,221 |
| | Polo Ralph Lauren Corp. | | |
| | Class A | 520,200 | 68,984 |
| | Cablevision Systems Corp. | | |
| | Class A | 1,861,671 | 67,411 |
| | Nordstrom Inc. | 1,356,559 | 63,677 |
| * | CarMax Inc. | 1,826,059 | 60,388 |
| * | AutoZone Inc. | 204,475 | 60,289 |
| | JC Penney Co. Inc. | 1,723,793 | 59,540 |
| | Gap Inc. | 3,159,681 | 57,190 |
| | Darden Restaurants Inc. | 1,103,033 | 54,887 |
| | Family Dollar Stores Inc. | 988,785 | 51,970 |
| | Whirlpool Corp. | 616,254 | 50,114 |
| | Interpublic Group of Cos. | | |
| | Inc. | 3,951,054 | 49,388 |
| | Hasbro Inc. | 1,101,466 | 48,387 |
| | Abercrombie & Fitch Co. | 708,740 | 47,429 |
| | Expedia Inc. | 1,615,007 | 46,819 |
| | Wyndham Worldwide | | |
| | Corp. | 1,374,238 | 46,243 |
| * | Apollo Group Inc. Class A | 985,575 | 43,050 |
| | International Game | | |
| | Technology | 2,427,171 | 42,670 |
| | H&R Block Inc. | 2,470,526 | 39,627 |
| | Newell Rubbermaid Inc. | 2,356,850 | 37,191 |
| | Scripps Networks | | |
| | Interactive Inc. Class A | 733,791 | 35,868 |
| * | Goodyear Tire & Rubber | | |
| | Co. | 1,975,050 | 33,122 |
8
| | | |
| Institutional Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | GameStop Corp. Class A | 1,144,252 | 30,517 |
| | DeVry Inc. | 495,302 | 29,287 |
| * | Urban Outfitters Inc. | 1,007,630 | 28,365 |
| | Leggett & Platt Inc. | 1,156,102 | 28,186 |
| | Gannett Co. Inc. | 1,945,082 | 27,854 |
| | DR Horton Inc. | 2,273,638 | 26,192 |
| | Harman International | | |
| | Industries Inc. | 565,492 | 25,769 |
| *,^ | Sears Holdings Corp. | 348,596 | 24,904 |
| | Lennar Corp. Class A | 1,300,672 | 23,607 |
| * | Pulte Group Inc. | 2,725,635 | 20,878 |
| | Comcast Corp. Class A | | |
| | Special Shares | 844,535 | 20,463 |
| * | Big Lots Inc. | 608,248 | 20,163 |
| *,^ | AutoNation Inc. | 513,380 | 18,795 |
| | Washington Post Co. | | |
| | Class B | 41,721 | 17,479 |
| | | | 10,341,585 |
| Consumer Staples (10.6%) | | |
| | Procter & Gamble Co. | 22,571,953 | 1,434,899 |
| | Coca-Cola Co. | 18,512,164 | 1,245,683 |
| | Philip Morris | | |
| | International Inc. | 14,381,119 | 960,227 |
| | PepsiCo Inc. | 12,781,986 | 900,235 |
| | Wal-Mart Stores Inc. | 15,444,509 | 820,721 |
| | Kraft Foods Inc. | 14,214,950 | 500,793 |
| | Altria Group Inc. | 16,927,996 | 447,068 |
| | CVS Caremark Corp. | 10,964,737 | 412,055 |
| | Colgate-Palmolive Co. | 3,953,382 | 345,565 |
| | Walgreen Co. | 7,402,746 | 314,321 |
| | Costco Wholesale Corp. | 3,532,543 | 286,984 |
| | Kimberly-Clark Corp. | 3,176,845 | 211,451 |
| | General Mills Inc. | 5,162,270 | 192,140 |
| | Archer-Daniels-Midland | | |
| | Co. | 5,515,022 | 166,278 |
| | Sysco Corp. | 4,718,054 | 147,109 |
| | HJ Heinz Co. | 2,602,168 | 138,643 |
| | Lorillard Inc. | 1,161,902 | 126,496 |
| | Kroger Co. | 4,903,840 | 121,615 |
| | Kellogg Co. | 2,024,530 | 111,997 |
| | Mead Johnson Nutrition | | |
| | Co. | 1,652,293 | 111,612 |
| | Reynolds American Inc. | 2,734,336 | 101,307 |
| | Avon Products Inc. | 3,479,275 | 97,420 |
| | Estee Lauder Cos. Inc. | | |
| | Class A | 922,201 | 97,006 |
| | Sara Lee Corp. | 4,732,202 | 89,865 |
| | ConAgra Foods Inc. | 3,307,074 | 85,356 |
| | Coca-Cola Enterprises Inc. | 2,628,852 | 76,710 |
| | Whole Foods Market Inc. | 1,208,023 | 76,649 |
| | Dr Pepper Snapple | | |
| | Group Inc. | 1,790,430 | 75,073 |
| | Clorox Co. | 1,078,498 | 72,734 |
| | JM Smucker Co. | 938,191 | 71,715 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Hershey Co. | 1,240,296 | 70,511 |
| | Safeway Inc. | 2,864,099 | 66,934 |
| | Brown-Forman Corp. | | |
| | Class B | 833,391 | 62,246 |
| | Molson Coors Brewing | | |
| | Co. Class B | 1,284,770 | 57,481 |
| | McCormick & Co. Inc. | 1,071,190 | 53,099 |
| | Campbell Soup Co. | 1,475,691 | 50,985 |
| | Tyson Foods Inc. Class A | 2,426,419 | 47,121 |
| | Hormel Foods Corp. | 1,123,908 | 33,504 |
| * | Constellation Brands Inc. | | |
| | Class A | 1,447,563 | 30,138 |
| * | Dean Foods Co. | 1,482,276 | 18,188 |
| | SUPERVALU Inc. | 1,716,845 | 16,155 |
| | | | 10,346,089 |
| Energy (12.6%) | | |
| | Exxon Mobil Corp. | 39,835,318 | 3,241,798 |
| | Chevron Corp. | 16,256,188 | 1,671,786 |
| | Schlumberger Ltd. | 10,972,906 | 948,059 |
| | ConocoPhillips | 11,430,377 | 859,450 |
| | Occidental Petroleum | | |
| | Corp. | 6,573,266 | 683,883 |
| | Apache Corp. | 3,100,702 | 382,596 |
| | Halliburton Co. | 7,399,158 | 377,357 |
| | Anadarko Petroleum | | |
| | Corp. | 4,023,125 | 308,815 |
| | Marathon Oil Corp. | 5,758,171 | 303,340 |
| | Devon Energy Corp. | 3,420,499 | 269,569 |
| | National Oilwell Varco Inc. | 3,421,071 | 267,562 |
| | Baker Hughes Inc. | 3,514,514 | 255,013 |
| | EOG Resources Inc. | 2,170,641 | 226,940 |
| | Hess Corp. | 2,444,996 | 182,788 |
| | Chesapeake Energy Corp. | 5,317,887 | 157,888 |
| | Spectra Energy Corp. | 5,255,922 | 144,065 |
| | Williams Cos. Inc. | 4,755,704 | 143,860 |
| | Peabody Energy Corp. | 2,189,096 | 128,960 |
| | Noble Energy Inc. | 1,426,867 | 127,890 |
| | El Paso Corp. | 6,217,859 | 125,601 |
| * | Southwestern Energy Co. | 2,813,107 | 120,626 |
| | Valero Energy Corp. | 4,611,014 | 117,904 |
| | Murphy Oil Corp. | 1,564,480 | 102,724 |
| * | Cameron International | | |
| | Corp. | 1,981,774 | 99,663 |
| | Consol Energy Inc. | 1,833,089 | 88,868 |
| * | FMC Technologies Inc. | 1,943,815 | 87,063 |
| | Pioneer Natural | | |
| | Resources Co. | 944,358 | 84,586 |
| * | Alpha Natural | | |
| | Resources Inc. | 1,832,351 | 83,262 |
| | Noble Corp. | 2,039,590 | 80,380 |
| * | Newfield Exploration Co. | 1,069,672 | 72,759 |
| | Range Resources Corp. | 1,299,345 | 72,114 |
| * | Denbury Resources Inc. | 3,211,978 | 64,240 |
| | EQT Corp. | 1,208,138 | 63,451 |
9
| | | |
| Institutional Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | QEP Resources Inc. | 1,429,092 | 59,779 |
| * | Nabors Industries Ltd. | 2,323,321 | 57,247 |
| | Helmerich & Payne Inc. | 864,802 | 57,181 |
| | Cabot Oil & Gas Corp. | 844,607 | 56,006 |
| | Sunoco Inc. | 980,249 | 40,886 |
| * | Rowan Cos. Inc. | 1,031,560 | 40,035 |
| | Diamond Offshore | | |
| | Drilling Inc. | 561,861 | 39,561 |
| * | Tesoro Corp. | 1,163,186 | 26,649 |
| | | | 12,322,204 |
| Financials (15.0%) | | |
| | JPMorgan Chase & Co. | 32,133,504 | 1,315,546 |
| | Wells Fargo & Co. | 42,770,675 | 1,200,145 |
| * | Berkshire Hathaway Inc. | | |
| | Class B | 12,861,338 | 995,339 |
| | Citigroup Inc. | 23,617,894 | 983,449 |
| | Bank of America Corp. | 81,940,715 | 898,070 |
| | Goldman Sachs Group | | |
| | Inc. | 4,186,594 | 557,194 |
| | American Express Co. | 8,457,353 | 437,245 |
| | US Bancorp | 15,579,706 | 397,438 |
| | MetLife Inc. | 8,547,653 | 374,986 |
| | Morgan Stanley | 12,490,630 | 287,409 |
| | Simon Property Group | | |
| | Inc. | 2,371,700 | 275,663 |
| | Bank of New York | | |
| | Mellon Corp. | 10,040,984 | 257,250 |
| | PNC Financial Services | | |
| | Group Inc. | 4,255,633 | 253,678 |
| | Prudential Financial Inc. | 3,946,111 | 250,933 |
| | Travelers Cos. Inc. | 3,387,050 | 197,736 |
| | Capital One Financial | | |
| | Corp. | 3,712,469 | 191,823 |
| | State Street Corp. | 4,075,720 | 183,774 |
| | ACE Ltd. | 2,728,240 | 179,573 |
| | Aflac Inc. | 3,781,895 | 176,539 |
| | CME Group Inc. | 542,272 | 158,121 |
| | Franklin Resources Inc. | 1,166,136 | 153,102 |
| | BB&T Corp. | 5,631,696 | 151,155 |
| | BlackRock Inc. | 777,224 | 149,079 |
| | Chubb Corp. | 2,365,493 | 148,104 |
| | Equity Residential | 2,382,514 | 142,951 |
| | Marsh & McLennan | | |
| | Cos. Inc. | 4,429,148 | 138,145 |
| | AON Corp. | 2,672,751 | 137,112 |
| | Charles Schwab Corp. | 8,098,869 | 133,226 |
| | ProLogis Inc. | 3,673,222 | 131,648 |
| | Allstate Corp. | 4,228,634 | 129,100 |
| | Public Storage | 1,131,301 | 128,980 |
| | T Rowe Price Group Inc. | 2,100,263 | 126,730 |
| | Boston Properties Inc. | 1,177,208 | 124,972 |
| | Vornado Realty Trust | 1,325,822 | 123,540 |
| | HCP Inc. | 3,283,127 | 120,458 |
| | Discover Financial | | |
| | Services | 4,410,750 | 117,988 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Progressive Corp. | 5,285,759 | 113,010 |
| | Ameriprise Financial Inc. | 1,959,027 | 112,997 |
| | SunTrust Banks Inc. | 4,341,229 | 112,004 |
| | Loews Corp. | 2,512,322 | 105,744 |
| | American International | | |
| | Group Inc. | 3,528,357 | 103,451 |
| | Weyerhaeuser Co. | 4,355,985 | 95,222 |
| | Hartford Financial | | |
| | Services Group Inc. | 3,601,344 | 94,967 |
| | Fifth Third Bancorp | 7,430,512 | 94,739 |
| | Host Hotels & Resorts Inc. | 5,549,718 | 94,068 |
| | AvalonBay Communities | | |
| | Inc. | 706,259 | 90,684 |
| | Northern Trust Corp. | 1,955,710 | 89,884 |
| | M&T Bank Corp. | 1,014,946 | 89,265 |
| * | Berkshire Hathaway Inc. | | |
| | Class A | 759 | 88,124 |
| | Invesco Ltd. | 3,737,243 | 87,451 |
| | Principal Financial Group | | |
| | Inc. | 2,598,865 | 79,057 |
| | Health Care REIT Inc. | 1,429,701 | 74,959 |
| * | IntercontinentalExchange | | |
| | Inc. | 594,419 | 74,130 |
| | NYSE Euronext | 2,117,485 | 72,566 |
| | Lincoln National Corp. | 2,535,396 | 72,233 |
| | SLM Corp. | 4,265,842 | 71,709 |
| | Ventas Inc. | 1,322,103 | 69,688 |
| | KeyCorp | 7,690,422 | 64,061 |
| | Unum Group | 2,488,644 | 63,411 |
| | Regions Financial Corp. | 10,162,629 | 63,008 |
| | Moody’s Corp. | 1,602,363 | 61,451 |
| | Kimco Realty Corp. | 3,290,127 | 61,328 |
| * | CB Richard Ellis Group | | |
| | Inc. Class A | 2,359,908 | 59,257 |
| | XL Group plc Class A | 2,501,633 | 54,986 |
| | Leucadia National Corp. | 1,601,533 | 54,612 |
| | Plum Creek Timber | | |
| | Co. Inc. | 1,309,165 | 53,074 |
| | Comerica Inc. | 1,430,584 | 49,455 |
| | Huntington Bancshares | | |
| | Inc. | 6,987,537 | 45,838 |
| | People’s United Financial | | |
| | Inc. | 3,046,834 | 40,949 |
| * | Genworth Financial Inc. | | |
| | Class A | 3,970,278 | 40,814 |
| | Torchmark Corp. | 615,548 | 39,481 |
| | Legg Mason Inc. | 1,204,168 | 39,449 |
| | Cincinnati Financial Corp. | 1,319,312 | 38,498 |
| | Zions Bancorporation | 1,487,817 | 35,722 |
| | Hudson City Bancorp Inc. | 4,262,841 | 34,913 |
| | Marshall & Ilsley Corp. | 4,283,769 | 34,142 |
| * | NASDAQ OMX Group Inc. | 1,214,859 | 30,736 |
| | Assurant Inc. | 780,781 | 28,319 |
| * | E*Trade Financial Corp. | 2,036,518 | 28,104 |
10
| | | |
| Institutional Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Apartment Investment & | | |
| | Management Co. | 966,872 | 24,684 |
| | First Horizon National | | |
| | Corp. | 2,130,571 | 20,326 |
| ^ | Federated Investors Inc. | | |
| | Class B | 753,377 | 17,961 |
| | Janus Capital Group Inc. | 1,506,874 | 14,225 |
| | | | 14,712,957 |
| Health Care (11.6%) | | |
| | Johnson & Johnson | 22,166,394 | 1,474,509 |
| | Pfizer Inc. | 63,893,052 | 1,316,197 |
| | Merck & Co. Inc. | 24,959,762 | 880,830 |
| | Abbott Laboratories | 12,568,700 | 661,365 |
| | UnitedHealth Group Inc. | 8,761,135 | 451,899 |
| * | Amgen Inc. | 7,518,140 | 438,683 |
| | Bristol-Myers Squibb Co. | 13,795,353 | 399,513 |
| | Medtronic Inc. | 8,647,378 | 333,183 |
| | Eli Lilly & Co. | 8,237,909 | 309,169 |
| | Baxter International Inc. | 4,612,272 | 275,307 |
| * | Gilead Sciences Inc. | 6,364,329 | 263,547 |
| | WellPoint Inc. | 2,968,908 | 233,861 |
| * | Express Scripts Inc. | 4,281,245 | 231,102 |
| * | Celgene Corp. | 3,742,281 | 225,734 |
| | Covidien plc | 4,008,565 | 213,376 |
| * | Biogen Idec Inc. | 1,953,817 | 208,902 |
| | Allergan Inc. | 2,464,522 | 205,171 |
| * | Thermo Fisher Scientific | | |
| | Inc. | 3,099,062 | 199,549 |
| * | Medco Health Solutions | | |
| | Inc. | 3,232,770 | 182,716 |
| | McKesson Corp. | 2,038,631 | 170,532 |
| | Stryker Corp. | 2,698,180 | 158,356 |
| | Becton Dickinson and Co. | 1,768,770 | 152,415 |
| * | Agilent Technologies Inc. | 2,814,230 | 143,835 |
| | Aetna Inc. | 3,068,569 | 135,293 |
| | Cardinal Health Inc. | 2,834,768 | 128,755 |
| | St. Jude Medical Inc. | 2,659,054 | 126,784 |
| * | Intuitive Surgical Inc. | 317,675 | 118,210 |
| | CIGNA Corp. | 2,187,752 | 112,516 |
| | Humana Inc. | 1,361,546 | 109,659 |
| * | Zimmer Holdings Inc. | 1,552,536 | 98,120 |
| | AmerisourceBergen | | |
| | Corp. Class A | 2,215,858 | 91,737 |
| * | Forest Laboratories Inc. | 2,314,498 | 91,052 |
| * | Mylan Inc. | 3,552,659 | 87,644 |
| * | Boston Scientific Corp. | 12,359,937 | 85,407 |
| * | Edwards Lifesciences | | |
| | Corp. | 927,615 | 80,870 |
| * | Laboratory Corp. of | | |
| | America Holdings | 810,422 | 78,441 |
| * | Hospira Inc. | 1,357,027 | 76,889 |
| | CR Bard Inc. | 692,865 | 76,118 |
| * | Life Technologies Corp. | 1,445,898 | 75,288 |
| | Quest Diagnostics Inc. | 1,272,726 | 75,218 |
| * | Cerner Corp. | 1,169,622 | 71,476 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Waters Corp. | 741,196 | 70,962 |
| * | Watson Pharmaceuticals | | |
| | Inc. | 1,022,986 | 70,310 |
| * | DaVita Inc. | 772,154 | 66,876 |
| * | Varian Medical Systems | | |
| | Inc. | 947,469 | 66,342 |
| * | Cephalon Inc. | 621,860 | 49,687 |
| * | CareFusion Corp. | 1,807,175 | 49,101 |
| * | Coventry Health Care Inc. | 1,198,268 | 43,701 |
| | DENTSPLY International | | |
| | Inc. | 1,139,373 | 43,387 |
| | Patterson Cos. Inc. | 775,382 | 25,502 |
| * | Tenet Healthcare Corp. | 3,960,643 | 24,714 |
| | PerkinElmer Inc. | 912,289 | 24,550 |
| | | | 11,384,360 |
| Industrials (11.2%) | | |
| | General Electric Co. | 85,761,831 | 1,617,468 |
| | United Technologies Corp. | 7,401,226 | 655,082 |
| | United Parcel Service Inc. | | |
| | Class B | 7,975,001 | 581,617 |
| | Caterpillar Inc. | 5,211,285 | 554,793 |
| | 3M Co. | 5,745,979 | 545,006 |
| | Boeing Co. | 5,970,013 | 441,363 |
| | Union Pacific Corp. | 3,966,509 | 414,104 |
| | Honeywell International | | |
| | Inc. | 6,364,021 | 379,232 |
| | Emerson Electric Co. | 6,078,308 | 341,905 |
| | Deere & Co. | 3,393,833 | 279,822 |
| | FedEx Corp. | 2,552,484 | 242,103 |
| | CSX Corp. | 8,917,209 | 233,809 |
| | Danaher Corp. | 4,403,127 | 233,322 |
| | Illinois Tool Works Inc. | 4,043,457 | 228,415 |
| | General Dynamics Corp. | 3,008,079 | 224,162 |
| | Norfolk Southern Corp. | 2,856,127 | 214,010 |
| | Precision Castparts Corp. | 1,163,364 | 191,548 |
| | Tyco International Ltd. | 3,791,954 | 187,436 |
| | Lockheed Martin Corp. | 2,302,827 | 186,460 |
| | Cummins Inc. | 1,586,766 | 164,214 |
| | Northrop Grumman Corp. | 2,366,928 | 164,146 |
| | PACCAR Inc. | 2,955,194 | 150,981 |
| | Raytheon Co. | 2,880,009 | 143,568 |
| | Waste Management Inc. | 3,834,384 | 142,907 |
| | Eaton Corp. | 2,758,946 | 141,948 |
| | Ingersoll-Rand plc | 2,678,531 | 121,632 |
| | Parker Hannifin Corp. | 1,311,712 | 117,713 |
| | CH Robinson Worldwide | | |
| | Inc. | 1,318,170 | 103,924 |
| | Dover Corp. | 1,509,079 | 102,316 |
| | Rockwell Automation Inc. | 1,167,172 | 101,264 |
| | Stanley Black & Decker | | |
| | Inc. | 1,359,679 | 97,965 |
| | Goodrich Corp. | 1,010,002 | 96,455 |
| | Fluor Corp. | 1,409,602 | 91,145 |
| | Expeditors International | | |
| | of Washington Inc. | 1,717,713 | 87,930 |
11
| | | |
| Institutional Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | ITT Corp. | 1,489,046 | 87,749 |
| | Fastenal Co. | 2,384,862 | 85,831 |
| | Joy Global Inc. | 849,590 | 80,915 |
| | Rockwell Collins Inc. | 1,246,005 | 76,866 |
| | Republic Services Inc. | | |
| | Class A | 2,453,992 | 75,706 |
| | L-3 Communications | | |
| | Holdings Inc. | 858,451 | 75,072 |
| | Southwest Airlines Co. | 6,403,326 | 73,126 |
| | WW Grainger Inc. | 470,658 | 72,317 |
| | Roper Industries Inc. | 775,273 | 64,580 |
| * | Stericycle Inc. | 694,036 | 61,852 |
| | Iron Mountain Inc. | 1,622,544 | 55,312 |
| | Pall Corp. | 938,762 | 52,787 |
| | Textron Inc. | 2,232,738 | 52,715 |
| | Flowserve Corp. | 451,369 | 49,601 |
| * | Jacobs Engineering | | |
| | Group Inc. | 1,026,331 | 44,389 |
| | Pitney Bowes Inc. | 1,649,917 | 37,932 |
| * | Quanta Services Inc. | 1,748,917 | 35,328 |
| | Masco Corp. | 2,898,345 | 34,867 |
| | Equifax Inc. | 994,550 | 34,531 |
| | Cintas Corp. | 1,021,567 | 33,742 |
| | Avery Dennison Corp. | 854,771 | 33,020 |
| | Robert Half International | | |
| | Inc. | 1,187,852 | 32,108 |
| | Dun & Bradstreet Corp. | 399,717 | 30,195 |
| | RR Donnelley & Sons Co. | 1,517,387 | 29,756 |
| | Snap-On Inc. | 470,858 | 29,419 |
| | Ryder System Inc. | 415,486 | 23,620 |
| | | | 10,943,101 |
| Information Technology (17.7%) | |
| * | Apple Inc. | 7,478,129 | 2,510,184 |
| | International Business | | |
| | Machines Corp. | 9,794,386 | 1,680,227 |
| | Microsoft Corp. | 60,009,150 | 1,560,238 |
| | Oracle Corp. | 31,510,013 | 1,036,995 |
| * | Google Inc. Class A | 2,032,606 | 1,029,271 |
| | Intel Corp. | 42,874,857 | 950,107 |
| | Qualcomm Inc. | 13,500,676 | 766,703 |
| | Cisco Systems Inc. | 44,477,307 | 694,291 |
| | Hewlett-Packard Co. | 16,772,604 | 610,523 |
| * | EMC Corp. | 16,638,416 | 458,388 |
| | Visa Inc. Class A | 3,873,194 | 326,355 |
| | Texas Instruments Inc. | 9,389,595 | 308,260 |
| * | eBay Inc. | 9,235,820 | 298,040 |
| | Corning Inc. | 12,694,629 | 230,408 |
| | Mastercard Inc. Class A | 761,382 | 229,435 |
| * | Dell Inc. | 13,276,285 | 221,316 |
| | Automatic Data | | |
| | Processing Inc. | 4,040,731 | 212,866 |
| * | Cognizant Technology | | |
| | Solutions Corp. Class A | 2,460,157 | 180,428 |
| * | Yahoo! Inc. | 10,535,683 | 158,457 |
| * | NetApp Inc. | 2,974,562 | 156,997 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Salesforce.com Inc. | 974,417 | 145,169 |
| | Applied Materials Inc. | 10,659,427 | 138,679 |
| * | Juniper Networks Inc. | 4,310,412 | 135,778 |
| | Broadcom Corp. Class A | 3,858,012 | 129,784 |
| * | Adobe Systems Inc. | 4,078,989 | 128,284 |
| * | Motorola Solutions Inc. | 2,745,353 | 126,396 |
| * | Citrix Systems Inc. | 1,520,028 | 121,602 |
| | Altera Corp. | 2,605,441 | 120,762 |
| * | Symantec Corp. | 6,109,203 | 120,473 |
| | Xerox Corp. | 11,329,912 | 117,944 |
| * | Intuit Inc. | 2,212,273 | 114,728 |
| | Western Union Co. | 5,113,655 | 102,427 |
| | Analog Devices Inc. | 2,423,445 | 94,854 |
| * | Teradata Corp. | 1,365,331 | 82,193 |
| | Paychex Inc. | 2,604,747 | 80,018 |
| * | SanDisk Corp. | 1,927,967 | 80,011 |
| | Xilinx Inc. | 2,148,379 | 78,351 |
| * | BMC Software Inc. | 1,430,523 | 78,250 |
| * | NVIDIA Corp. | 4,855,117 | 77,366 |
| | Amphenol Corp. Class A | 1,424,785 | 76,924 |
| * | Fiserv Inc. | 1,161,112 | 72,720 |
| * | F5 Networks Inc. | 656,102 | 72,335 |
| * | Autodesk Inc. | 1,868,061 | 72,107 |
| * | Red Hat Inc. | 1,561,231 | 71,660 |
| | CA Inc. | 3,070,138 | 70,122 |
| * | Western Digital Corp. | 1,879,699 | 68,383 |
| | Fidelity National | | |
| | Information Services Inc. | 2,176,508 | 67,015 |
| * | Electronic Arts Inc. | 2,687,964 | 63,436 |
| | Linear Technology Corp. | 1,841,242 | 60,798 |
| | Microchip Technology Inc. | 1,540,076 | 58,384 |
| *,^ | First Solar Inc. | 438,846 | 58,046 |
| | KLA-Tencor Corp. | 1,357,460 | 54,950 |
| * | Motorola Mobility | | |
| | Holdings Inc. | 2,384,911 | 52,563 |
| * | Micron Technology Inc. | 6,963,393 | 52,086 |
| | National Semiconductor | | |
| | Corp. | 1,949,616 | 47,980 |
| | Computer Sciences Corp. | 1,255,167 | 47,646 |
| * | Akamai Technologies Inc. | 1,511,040 | 47,552 |
| | Harris Corp. | 1,028,384 | 46,339 |
| | VeriSign Inc. | 1,362,009 | 45,573 |
| | FLIR Systems Inc. | 1,292,334 | 43,565 |
| * | SAIC Inc. | 2,258,344 | 37,985 |
| * | LSI Corp. | 4,901,906 | 34,902 |
| * | Advanced Micro Devices | | |
| | Inc. | 4,666,820 | 32,621 |
| | Jabil Circuit Inc. | 1,590,943 | 32,137 |
| * | JDS Uniphase Corp. | 1,836,239 | 30,592 |
| | Molex Inc. | 1,124,878 | 28,988 |
| * | Novellus Systems Inc. | 722,543 | 26,113 |
| | Total System Services Inc. | 1,309,245 | 24,326 |
| * | Teradyne Inc. | 1,500,322 | 22,205 |
| * | Lexmark International Inc. | | |
| | Class A | 641,121 | 18,759 |
12
| | | |
| Institutional Index Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Compuware Corp. | 1,766,029 | 17,236 |
| * | MEMC Electronic | | |
| | Materials Inc. | 1,864,550 | 15,905 |
| * | Monster Worldwide Inc. | 1,047,082 | 15,350 |
| | Tellabs Inc. | 2,940,117 | 13,554 |
| | | | 17,293,415 |
| Materials (3.6%) | | |
| | EI du Pont de Nemours | | |
| | & Co. | 7,509,854 | 405,908 |
| | Freeport-McMoRan | | |
| | Copper & Gold Inc. | 7,660,343 | 405,232 |
| | Dow Chemical Co. | 9,506,167 | 342,222 |
| | Monsanto Co. | 4,334,038 | 314,391 |
| | Praxair Inc. | 2,458,729 | 266,502 |
| | Newmont Mining Corp. | 3,992,045 | 215,451 |
| | Air Products & Chemicals | | |
| | Inc. | 1,713,339 | 163,761 |
| | Alcoa Inc. | 8,601,191 | 136,415 |
| | PPG Industries Inc. | 1,278,711 | 116,094 |
| | Cliffs Natural Resources | | |
| | Inc. | 1,169,971 | 108,164 |
| | Ecolab Inc. | 1,876,365 | 105,789 |
| | International Paper Co. | 3,535,523 | 105,429 |
| | Nucor Corp. | 2,556,301 | 105,371 |
| | CF Industries Holdings Inc. | 577,893 | 81,870 |
| | Sigma-Aldrich Corp. | 984,806 | 72,265 |
| | Sherwin-Williams Co. | 714,409 | 59,917 |
| | Eastman Chemical Co. | 574,343 | 58,623 |
| | Allegheny Technologies | | |
| | Inc. | 858,026 | 54,459 |
| | United States Steel Corp. | 1,162,363 | 53,515 |
| | Ball Corp. | 1,357,926 | 52,226 |
| | FMC Corp. | 579,955 | 49,888 |
| | MeadWestvaco Corp. | 1,373,284 | 45,744 |
| | International Flavors & | | |
| | Fragrances Inc. | 649,859 | 41,747 |
| | Vulcan Materials Co. | 1,044,936 | 40,261 |
| | Airgas Inc. | 565,442 | 39,604 |
| * | Owens-Illinois Inc. | 1,327,492 | 34,263 |
| | Sealed Air Corp. | 1,295,624 | 30,823 |
| | Bemis Co. Inc. | 852,143 | 28,785 |
| | AK Steel Holding Corp. | 892,869 | 14,072 |
| | Titanium Metals Corp. | 729,546 | 13,365 |
| | | | 3,562,156 |
| Telecommunication Services (3.1%) | |
| | AT&T Inc. | 47,888,748 | 1,504,186 |
| | Verizon Communications | | |
| | Inc. | 22,877,399 | 851,725 |
| | CenturyLink Inc. | 4,856,138 | 196,334 |
| * | American Tower Corp. | | |
| | Class A | 3,207,158 | 167,831 |
| * | Sprint Nextel Corp. | 24,190,876 | 130,389 |
| | Frontier Communications | | |
| | Corp. | 8,049,597 | 64,960 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Windstream Corp. | 4,123,103 | 53,435 |
| * | MetroPCS | | |
| | Communications Inc. | 2,148,749 | 36,980 |
| | | | 3,005,840 |
| Utilities (3.4%) | | |
| | Southern Co. | 6,866,264 | 277,260 |
| | Exelon Corp. | 5,356,157 | 229,458 |
| | Dominion Resources Inc. | 4,655,977 | 224,744 |
| | Duke Energy Corp. | 10,765,441 | 202,713 |
| | NextEra Energy Inc. | 3,412,051 | 196,056 |
| | FirstEnergy Corp. | 3,381,679 | 149,301 |
| | American Electric Power | | |
| | Co. Inc. | 3,895,714 | 146,790 |
| | PG&E Corp. | 3,217,817 | 135,245 |
| | Public Service Enterprise | | |
| | Group Inc. | 4,090,763 | 133,522 |
| | PPL Corp. | 4,666,857 | 129,879 |
| | Consolidated Edison Inc. | 2,365,700 | 125,950 |
| | Progress Energy Inc. | 2,381,480 | 114,335 |
| | Sempra Energy | 1,936,633 | 102,409 |
| | Edison International | 2,635,165 | 102,113 |
| | Entergy Corp. | 1,439,392 | 98,282 |
| | Xcel Energy Inc. | 3,915,951 | 95,157 |
| | DTE Energy Co. | 1,369,746 | 68,515 |
| * | AES Corp. | 5,313,027 | 67,688 |
| | CenterPoint Energy Inc. | 3,440,789 | 66,579 |
| | Oneok Inc. | 866,021 | 64,094 |
| | Constellation Energy | | |
| | Group Inc. | 1,622,701 | 61,598 |
| | Wisconsin Energy Corp. | 1,889,831 | 59,246 |
| | Ameren Corp. | 1,949,677 | 56,229 |
| | Northeast Utilities | 1,429,250 | 50,267 |
| * | NRG Energy Inc. | 1,951,138 | 47,959 |
| | NiSource Inc. | 2,262,718 | 45,820 |
| | CMS Energy Corp. | 2,042,402 | 40,215 |
| | Pinnacle West Capital | | |
| | Corp. | 882,324 | 39,334 |
| | SCANA Corp. | 925,164 | 36,424 |
| | Pepco Holdings Inc. | 1,826,645 | 35,857 |
| | TECO Energy Inc. | 1,738,743 | 32,845 |
| | Integrys Energy Group Inc. | 629,858 | 32,652 |
| | Nicor Inc. | 368,585 | 20,176 |
| | | | 3,288,712 |
| Total Common Stocks | | |
| (Cost $83,809,039) | | 97,200,419 |
| Temporary Cash Investments (0.6%)1 | |
| Money Market Fund (0.5%) | | |
| 2,3 | Vanguard Market Liquidity | | |
| | Fund, 0.140% | 559,529,316 | 559,529 |
13
| | | |
| Institutional Index Fund | | |
| |
| |
| |
| | | Face | Market |
| | | Amount | Value |
| | | ($000) | ($000) |
| U.S. Government and Agency Obligations (0.1%) |
| 4,5 | Federal Home Loan Bank | | |
| | Discount Notes, | | |
| | 0.053%, 8/10/11 | 2,000 | 2,000 |
| 4,5 | Federal Home Loan Bank | | |
| | Discount Notes, | | |
| | 0.070%, 8/17/11 | 15,000 | 14,998 |
| 4,5 | Freddie Mac Discount | | |
| | Notes, 0.080%, 8/15/11 | 6,500 | 6,499 |
| 4,5 | Freddie Mac Discount | | |
| | Notes, 0.090%, 8/22/11 | 13,000 | 12,998 |
| 4,5 | Freddie Mac Discount Notes, | | |
| | 0.075%%–.100%, 8/29/11 | 15,500 | 15,498 |
| | | | 51,993 |
| Total Temporary Cash Investments | |
| (Cost $611,523) | | 611,522 |
| Total Investments (100.0%) | | |
| (Cost $84,420,562) | | 97,811,941 |
| Other Assets and Liabilities (0.0%) | |
| Other Assets | | 321,260 |
| Liabilities2 | | (315,392) |
| | | | 5,868 |
| Net Assets (100%) | | 97,817,809 |
| |
| At June 30, 2011, net assets consisted of: |
| | Amount |
| | ($000) |
| Paid-in Capital | 85,488,348 |
| Undistributed Net Investment Income | 33,380 |
| Accumulated Net Realized Losses | (1,112,086) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 13,391,379 |
| Futures Contracts | 16,788 |
| Net Assets | 97,817,809 |
| |
| |
| Institutional Shares—Net Assets | |
| Applicable to 499,122,668 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 60,307,212 |
| Net Asset Value Per Share— | |
| Institutional Shares | $120.83 |
| |
| |
| Institutional Plus Shares—Net Assets | |
| Applicable to 310,439,919 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 37,510,597 |
| Net Asset Value Per Share— | |
| Institutional Plus Shares | $120.83 |
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 $79,293,000.
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 Includes $80,312,000 of collateral received for securities on loan.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
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 $43,694,000 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.
14
Institutional Index Fund
Statement of Operations
| |
| | Six Months Ended |
| | June 30, 2011 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 915,218 |
| Interest1 | 319 |
| Security Lending | 3,935 |
| Total Income | 919,472 |
| Expenses | |
| The Vanguard Group—Note B | |
| Management and Administrative—Institutional Shares | 13,857 |
| Management and Administrative—Institutional Plus Shares | 4,414 |
| Total Expenses | 18,271 |
| Net Investment Income | 901,201 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 344,951 |
| Futures Contracts | 5,479 |
| Realized Net Gain (Loss) | 350,430 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 4,151,196 |
| Futures Contracts | 11,357 |
| Change in Unrealized Appreciation (Depreciation) | 4,162,553 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 5,414,184 |
| 1 Interest income from an affiliated company of the fund was $282,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
15
Institutional Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | June 30, | December 31, |
| | 2011 | 2010 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 901,201 | 1,531,136 |
| Realized Net Gain (Loss) | 350,430 | 362,691 |
| Change in Unrealized Appreciation (Depreciation) | 4,162,553 | 9,247,462 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 5,414,184 | 11,141,289 |
| Distributions | | |
| Net Investment Income | | |
| Institutional Shares | (532,984) | (973,854) |
| Institutional Plus Shares | (345,055) | (557,036) |
| Realized Capital Gain | | |
| Institutional Shares | — | — |
| Institutional Plus Shares | — | — |
| Total Distributions | (878,039) | (1,530,890) |
| Capital Share Transactions | | |
| Institutional Shares | 2,787,814 | 4,204,043 |
| Institutional Plus Shares | 2,165,342 | 5,345,988 |
| Net Increase (Decrease) from Capital Share Transactions | 4,953,156 | 9,550,031 |
| Total Increase (Decrease) | 9,489,301 | 19,160,430 |
| Net Assets | | |
| Beginning of Period | 88,328,508 | 69,168,078 |
| End of Period1 | 97,817,809 | 88,328,508 |
| 1 Net Assets—End of Period includes undistributed net investment income of $33,380,000 and $10,218,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
Institutional Index Fund
Financial Highlights
Institutional Shares
| | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $115.01 | $101.98 | $82.54 | $134.14 | $129.59 | $114.01 |
| Investment Operations | | | | | | |
| Net Investment Income | 1.120 | 2.118 | 2.207 | 2.521 | 2.560 | 2.240 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 5.792 | 13.032 | 19.441 | (51.599) | 4.550 | 15.580 |
| Total from Investment Operations | 6.912 | 15.150 | 21.648 | (49.078) | 7.110 | 17.820 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.092) | (2.120) | (2.208) | (2.522) | (2.560) | (2.240) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.092) | (2.120) | (2.208) | (2.522) | (2.560) | (2.240) |
| Net Asset Value, End of Period | $120.83 | $115.01 | $101.98 | $82.54 | $134.14 | $129.59 |
| |
| Total Return | 6.01% | 15.05% | 26.63% | -36.95% | 5.47% | 15.78% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $60,307 | $54,686 | $44,401 | $31,543 | $45,847 | $45,243 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.048% | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.91% | 2.05% | 2.56% | 2.28% | 1.90% | 1.87% |
| Portfolio Turnover Rate1 | 5% | 4% | 11% | 7% | 7% | 8% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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.
17
Institutional Index Fund
Financial Highlights
Institutional Plus Shares
| | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $115.01 | $101.98 | $82.54 | $134.14 | $129.59 | $114.01 |
| Investment Operations | | | | | | |
| Net Investment Income | 1.134 | 2.144 | 2.229 | 2.548 | 2.597 | 2.269 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 5.793 | 13.031 | 19.441 | (51.598) | 4.548 | 15.580 |
| Total from Investment Operations | 6.927 | 15.175 | 21.670 | (49.050) | 7.145 | 17.849 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.107) | (2.145) | (2.230) | (2.550) | (2.595) | (2.269) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.107) | (2.145) | (2.230) | (2.550) | (2.595) | (2.269) |
| Net Asset Value, End of Period | $120.83 | $115.01 | $101.98 | $82.54 | $134.14 | $129.59 |
| |
| Total Return | 6.03% | 15.07% | 26.66% | -36.94% | 5.50% | 15.81% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $37,511 | $33,643 | $24,767 | $17,643 | $25,776 | $20,294 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.024% | 0.025% | 0.025% | 0.025% | 0.025% | 0.025% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.94% | 2.08% | 2.59% | 2.30% | 1.93% | 1.90% |
| Portfolio Turnover Rate1 | 5% | 4% | 11% | 7% | 7% | 8% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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.
18
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 considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, 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.
19
Institutional Index Fund
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.
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. Effective June 2011, the annual fee rate was reduced to 0.04% for the Institutional Shares and 0.02% for the Institutional Plus 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 June 30, 2011, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 97,200,419 | — | — |
| Temporary Cash Investments | 559,529 | 51,993 | — |
| Futures Contracts—Assets1 | 5,322 | — | — |
| Total | 97,765,270 | 51,993 | — |
| 1 Represents variation margin on the last day of the reporting period. |
20
Institutional Index Fund
D. At June 30, 2011, 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 | September 2011 | 1,838 | 604,472 | 15,972 |
| E-mini S&P 500 Index | September 2011 | 314 | 20,653 | 816 |
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 will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2011, the fund realized $387,973,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2010, 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $84,420,562,000. Net unrealized appreciation of investment securities for tax purposes was $13,391,379,000, consisting of unrealized gains of $22,210,516,000 on securities that had risen in value since their purchase and $8,819,137,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2011, the fund purchased $7,727,618,000 of investment securities and sold $2,943,871,000 of investment securities, other than temporary cash investments.
21
Institutional Index Fund
G. Capital share transactions for each class of shares were:
| | | | |
| | Six Months Ended | | Year Ended |
| | | June 30, 2011 | December 31, 2010 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Institutional Shares | | | | |
| Issued | 9,168,253 | 76,720 | 11,900,739 | 113,680 |
| Issued in Lieu of Cash Distributions | 496,917 | 4,123 | 899,134 | 8,464 |
| Redeemed | (6,877,356) | (57,222) | (8,595,831) | (82,033) |
| Net Increase (Decrease)—Institutional Shares | 2,787,814 | 23,621 | 4,204,042 | 40,111 |
| Institutional Plus Shares | | | | |
| Issued | 4,990,979 | 41,407 | 8,059,479 | 75,663 |
| Issued in Lieu of Cash Distributions | 335,463 | 2,783 | 540,349 | 5,079 |
| Redeemed | (3,161,100) | (26,271) | (3,253,840) | (31,078) |
| Net Increase (Decrease)—Institutional Plus Shares | 2,165,342 | 17,919 | 5,345,988 | 49,664 |
H. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
22
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The 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. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not 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.
23
Six Months Ended June 30, 2011
| | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| Institutional Index Fund | 12/31/2010 | 6/30/2011 | Period |
| Based on Actual Fund Return | | | |
| Institutional Shares | $1,000.00 | $1,060.14 | $0.25 |
| Institutional Plus Shares | 1,000.00 | 1,060.28 | 0.12 |
| Based on Hypothetical 5% Yearly Return | | | |
| Institutional Shares | $1,000.00 | $1,024.56 | $0.24 |
| Institutional Plus Shares | 1,000.00 | 1,024.68 | 0.12 |
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 0.048% for Institutional Shares and 0.024% 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.
24
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Institutional Index Fund has amended and renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Quantitative Equity Group—serves as the investment advisor for the fund. The amended investment advisory arrangement reduced the management and shareholder services expenses paid to Vanguard by the fund which resulted in a lower expense ratio. The board determined that amending the investment advisory arrangement and continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the fund’s investment management over both the short and long term, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Quantitative Equity Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted the amendment and continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance of its target index and peer group. The board concluded that the fund has performed in line with expectations, and that its results have been consistent with its investment strategies. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s low-cost arrangement with Vanguard ensures that the fund and its shareholders benefit from economies of scale.
The board will consider whether to renew the advisory arrangement again after a one-year period.
25
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 securities 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.
26
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.
27
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 178 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 | and President (2006–2008) of Rohm and Haas Co. |
| | (chemicals); Director of Tyco International, Ltd. |
| F. William McNabb III | (diversified manufacturing and services) and Hewlett- |
| Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing); |
| Board. Principal Occupation(s) During the Past Five | Senior Advisor at New Mountain Capital; Trustee |
| Years: Chairman of the Board of The Vanguard Group, | of The Conference Board; Member of the Board of |
| Inc., and of each of the investment companies served | Managers of Delphi Automotive LLP (automotive |
| by The Vanguard Group, since January 2010; Director | components). |
| of The Vanguard Group since 2008; Chief Executive | |
| Officer and President of The Vanguard Group and of | Amy Gutmann |
| each of the investment companies served by The | Born 1949. Trustee Since June 2006. Principal |
| Vanguard Group since 2008; Director of Vanguard | Occupation(s) During the Past Five Years: President |
| Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Christopher H. |
| Vanguard Group (1995–2008). | Browne Distinguished Professor of Political Science |
| | in the School of Arts and Sciences with secondary |
| | appointments at the Annenberg School for Commu- |
| Independent Trustees | nication and the Graduate School of Education |
| | of the University of Pennsylvania; Director of |
| Emerson U. Fullwood | Carnegie Corporation of New York, Schuylkill River |
| Born 1948. Trustee Since January 2008. Principal | Development Corporation, and Greater Philadelphia |
| Occupation(s) During the Past Five Years: Executive | Chamber of Commerce; Trustee of the National |
| Chief Staff and Marketing Officer for North America | Constitution Center; Chair of the Presidential |
| and Corporate Vice President (retired 2008) of Xerox | Commission for the Study of Bioethical Issues. |
| Corporation (document management products and | |
| services); Executive in Residence and 2010 | JoAnn Heffernan Heisen |
| Distinguished Minett Professor at the Rochester | Born 1950. Trustee Since July 1998. Principal |
| Institute of Technology; Director of SPX Corporation | Occupation(s) During the Past Five Years: Corporate |
| (multi-industry manufacturing), the United Way of | Vice President and Chief Global Diversity Officer |
| Rochester, Amerigroup Corporation (managed health | (retired 2008) and Member of the Executive |
| care), the University of Rochester Medical Center, | Committee (1997–2008) of Johnson & Johnson |
| Monroe Community College Foundation, and North | (pharmaceuticals/consumer products); Director of |
| Carolina A&T University. | Skytop Lodge Corporation (hotels), the University |
| | Medical Center at Princeton, the Robert Wood |
| Rajiv L. Gupta | Johnson Foundation, and the Center for Work Life |
| Born 1945. Trustee Since December 2001.2 | Policy; Member of the Advisory Board of the |
| Principal Occupation(s) During the Past Five Years: | Maxwell School of Citizenship and Public Affairs |
| Chairman and Chief Executive Officer (retired 2009) | at Syracuse University. |
| | |
| F. Joseph Loughrey | Thomas J. Higgins | |
| Born 1949. Trustee Since October 2009. Principal | Born 1957. Chief Financial Officer Since September |
| Occupation(s) During the Past Five Years: President | 2008. Principal Occupation(s) During the Past Five |
| and Chief Operating Officer (retired 2009) and Vice | Years: Principal of The Vanguard Group, Inc.; Chief |
| Chairman of the Board (2008–2009) of Cummins Inc. | Financial Officer of each of the investment companies |
| (industrial machinery); Director of SKF AB (industrial | served by The Vanguard Group since 2008; Treasurer |
| machinery), Hillenbrand, Inc. (specialized consumer | of each of the investment companies served by The |
| services), the Lumina Foundation for Education, and | Vanguard Group (1998–2008). |
| Oxfam America; Chairman of the Advisory Council | | |
| for the College of Arts and Letters and Member | Kathryn J. Hyatt | |
| of the Advisory Board to the Kellogg Institute for | Born 1955. Treasurer Since November 2008. Principal |
| International Studies at the University of Notre Dame. | Occupation(s) During the Past Five Years: Principal |
| | of The Vanguard Group, Inc.; Treasurer of each of |
| André F. Perold | the investment companies served by The Vanguard |
| Born 1952. Trustee Since December 2004. Principal | Group since 2008; Assistant Treasurer of each of the |
| Occupation(s) During the Past Five Years: George | investment companies served by The Vanguard Group |
| Gund Professor of Finance and Banking at the Harvard | (1988–2008). | |
| Business School; Chair of the Investment Committee | | |
| of HighVista Strategies LLC (private investment firm). | Heidi Stam | |
| | Born 1956. Secretary Since July 2005. Principal |
| Alfred M. Rankin, Jr. | Occupation(s) During the Past Five Years: Managing |
| Born 1941. Trustee Since January 1993. Principal | Director of The Vanguard Group, Inc., since 2006; |
| Occupation(s) During the Past Five Years: Chairman, | General Counsel of The Vanguard Group since 2005; |
| President, and Chief Executive Officer of NACCO | Secretary of The Vanguard Group and of each of the |
| Industries, Inc. (forklift trucks/housewares/lignite); | investment companies served by The Vanguard Group |
| Director of Goodrich Corporation (industrial products/ | since 2005; Director and Senior Vice President of |
| aircraft systems and services) and the National | Vanguard Marketing Corporation since 2005; |
| Association of Manufacturers; Chairman of the | Principal of The Vanguard Group (1997–2006). |
| Federal Reserve Bank of Cleveland; Vice Chairman | | |
| of University Hospitals of Cleveland; President of | | |
| the Board of The Cleveland Museum of Art. | Vanguard Senior Management Team |
| |
| Peter F. Volanakis | R. Gregory Barton | Michael S. Miller |
| Born 1955. Trustee Since July 2009. Principal | Mortimer J. Buckley | James M. Norris |
| Occupation(s) During the Past Five Years: President | Kathleen C. Gubanich | Glenn W. Reed |
| and Chief Operating Officer (retired 2010) of Corning | Paul A. Heller | George U. Sauter |
| Incorporated (communications equipment); Director of | Martha G. King | |
| Corning Incorporated (2000–2010) and Dow Corning | | |
| (2001–2010); Overseer of the Amos Tuck School of | | |
| Business Administration at Dartmouth College. | Chairman Emeritus and Senior Advisor |
| |
| | John J. Brennan | |
| Executive Officers | Chairman, 1996–2009 | |
| | Chief Executive Officer and President, 1996–2008 |
| Glenn Booraem | | |
| Born 1967. Controller Since July 2010. Principal | | |
| Occupation(s) During the Past Five Years: Principal | Founder | |
| of The Vanguard Group, Inc.; Controller of each of | | |
| the investment companies served by The Vanguard | John C. Bogle | |
| Group since 2010; Assistant Controller of each of | Chairman and Chief Executive Officer, 1974–1996 |
| the investment companies served by The Vanguard | | |
| Group (2001–2010). | | |
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
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| with the offering of shares of any Vanguard | buying, selling, or holding units/shares in the funds. |
| 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. |
| |
| | Q942 082011 |
 |
|
| Vanguard Institutional Total Stock |
| Market Index Fund Semiannual Report |
|
| June 30, 2011 |
 |
> For the six months ended June 30, 2011, Vanguard Institutional Total Stock Market Index Fund returned about 6%.
> The fund tightly tracked its benchmark and outpaced the average return for multi-cap core funds.
> With the exception of financials, all market sectors posted gains. Health care and energy stocks contributed most to fund returns.
| |
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Fund Profile. | 5 |
| Performance Summary. | 6 |
| Financial Statements. | 7 |
| About Your Fund’s Expenses. | 52 |
| Trustees Approve Advisory Arrangement. | 54 |
| Glossary. | 55 |
Institutional Total Stock Market Index FundPlease 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
Six Months Ended June 30, 2011
| |
| | Total |
| | Returns |
| Vanguard Institutional Total Stock Market Index Fund | |
| Institutional Shares | 6.36% |
| Institutional Plus Shares | 6.41 |
| MSCI US Broad Market Index | 6.36 |
| Multi-Cap Core Funds Average | 5.96 |
| Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc. |
Institutional Shares 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, 2010 , Through June 30, 2011
| | | | |
| | | | Distributions Per Share |
| | Starting | Ending | Income | Capital |
| | Share Price | Share Price | Dividends | Gains |
| Vanguard Institutional Total Stock Market Index | | | | |
| Fund | | | | |
| Institutional Shares | $28.54 | $30.11 | $0.244 | $0.000 |
| Institutional Plus Shares | 28.54 | 30.12 | 0.247 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
For the six months ended June 30, Institutional Shares of Vanguard Institutional Total Stock Market Index Fund returned 6.36%, closely tracking the target MSCI US Broad Market Index and outperforming the average return of peer funds.
The fund posted positive results in nine out of ten sectors, with health care and energy stocks contributing most significantly. Only the financial sector recorded a loss.
On June 1, we announced that the expense ratios of the fund’s Institutional and Institutional Plus Shares had declined as strong cash flow and growth in average account balances had created additional economies of scale for clients. The expense ratio dropped from 0.052% to 0.045% for Institutional Shares and from 0.032% to 0.025% for Institutional Plus Shares.
These figures include “acquired fund fees and expenses,” which result from the fund’s holdings in business development companies. These fees have no impact on the fund’s total return or tracking error relative to the index. Without these nonoperating costs, the Institutional Shares have an expense ratio of 0.04%; the Institutional Plus Shares have an expense ratio of 0.02%
For stock markets, a ragged six-month gain
Global stock markets climbed unsteadily as investor attitudes swung from giddy optimism about the strength of corporate
2
earnings to fears that the slow, grinding recovery was losing momentum. Stock prices rallied through the first four months of 2011, pulled back as economic news turned gloomier, then bounced back at the end of the period.
Low yields, solid returns in the bond market
Bonds delivered solid sixmonth returns even as interest rates hovered near generational lows. Bond prices rallied in the spring as economic anxiety prompted a search for safer havens in fixed income. The broad taxable bond market returned almost 3%. The municipal market performed even better. Municipal securities were hammered early in the year as unsettling headlines raised doubts about their safety. Toward the end of the period, investors’ worries began to recede and prices rose.
The yields on money market instruments remained nearly invisible, consistent with the Federal Reserve Board’s target for shortterm interest rates, which since December 2008 has been anchored between 0% and 0.25%.
Health care and energy stocks led the fund’s returns
Vanguard Institutional Total Stock Market Index Fund is designed to provide investors with exposure to the entire U.S. equity market, including small, mid, and largecap growth and value stocks. During the past six months, returns among these segments were more similar than different.
| | | |
| Market Barometer | | | |
| |
| | | | Total Returns |
| | | Periods Ended June 30, 2011 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 6.37% | 31.93% | 3.30% |
| Russell 2000 Index (Small-caps) | 6.21 | 37.41 | 4.08 |
| Dow Jones U.S. Total Stock Market Index | 6.01 | 32.26 | 3.66 |
| MSCI All Country World Index ex USA (International) | 3.80 | 29.73 | 3.67 |
| |
| Bonds | | | |
| Barclays Capital U.S. Aggregate Bond Index (Broad | | | |
| taxable market) | 2.72% | 3.90% | 6.52% |
| Barclays Capital Municipal Bond Index (Broad | | | |
| tax-exempt market) | 4.42 | 3.48 | 4.93 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.06 | 0.14 | 1.86 |
| |
| CPI | | | |
| Consumer Price Index | 2.99% | 3.56% | 2.15% |
3
On a sector basis, the fund’s performance was led by holdings in health care and energy. Health care—the market’s top performer for the six months—lagged early on but bounced back later as investors looked to the sector for stability amid rising concerns over economic uncertainty. These stocks generally gained across the industry, with pharmaceuticals and health care providers leading the way.
Despite signs of a weakening global economy, crude oil prices remained high, boosting stocks within the energy sector. Oil and gas companies added most to fund returns. Consumer discretionary and industrial stocks also contributed significantly to the fund’s six-month performance.
As I noted earlier, the financial sector—which accounted for about 16% of fund holdings, on average, ended the period in negative territory. Battered investment and commercial banks weighed most heavily on performance.
The fund closely tracked its target index, as it has done since its inception in 2001 (the full track record is in the Performance Summary, later in this report). Such tight tracking is a credit to the advisor, Vanguard Quantitative Equity Group, which combines skilled portfolio management with sophisticated risk-control and trading systems. The fund’s low expense ratio is important as well.
Focus on your goals rather than the market’s swings
The stock market turned in solid results for the six months just ended. But the financial markets are unpredictable, and nobody knows what the next six months will bring. Good or bad, there will always be unexpected news that drives returns up or down. At Vanguard, we believe that the best way to deal with this uncertainty is to ignore short-term volatility and, instead, focus on the long term. We believe in creating an investment plan that includes a broad mix of stock, bond, and money market funds. Such a diversified portfolio can help protect your institution’s assets from the market’s twists and turns.
By offering broad, low-cost exposure to all segments of the U.S. stock market, Vanguard Institutional Total Stock Market Index Fund can serve as a cornerstone in a long-term investment plan.
Thank you for entrusting your institution’s assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 12, 2011
4
Institutional Total Stock Market Index Fund
Fund Profile
As of June 30, 2011
| | |
| Share-Class Characteristics | |
| | Institutional | Institutional |
| | Shares | Plus Shares |
| Ticker Symbol | VITNX | VITPX |
| Expense Ratio1 | 0.045% | 0.025% |
| 30-Day SEC Yield | 1.80% | 1.82% |
| |
| Portfolio Characteristics | |
| | | MSCI US |
| | | Broad Market |
| | Fund | Index |
| Number of Stocks | 3,306 | 3,377 |
| Median Market Cap | $31.0B | $31.0B |
| Price/Earnings Ratio | 17.0x | 17.0x |
| Price/Book Ratio | 2.2x | 2.2x |
| Return on Equity | 18.9% | 18.7% |
| Earnings Growth Rate | 5.6% | 5.6% |
| Dividend Yield | 1.8% | 1.8% |
| Foreign Holdings | 0.0% | 0.0% |
| Turnover Rate | | |
| (Annualized) | 11% | — |
| Short-Term Reserves | -0.1% | — |
| |
| Sector Diversification (% of equity exposure) |
| | | MSCI US |
| | | Broad Market |
| | Fund | Index |
| Consumer Discretionary | 11.6% | 11.6% |
| Consumer Staples | 9.2 | 9.2 |
| Energy | 11.7 | 11.7 |
| Financials | 15.5 | 15.6 |
| Health Care | 11.7 | 11.7 |
| Industrials | 11.6 | 11.6 |
| Information Technology | 18.1 | 18.0 |
| Materials | 4.4 | 4.4 |
| 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 | 2.7% |
| Apple Inc. | Computer | |
| | Hardware | 2.1 |
| International Business | IT Consulting & | |
| Machines Corp. | Other Services | 1.4 |
| Chevron Corp. | Integrated Oil & | |
| | Gas | 1.4 |
| General Electric Co. | Industrial | |
| | Conglomerates | 1.3 |
| Microsoft Corp. | Systems Software | 1.3 |
| AT&T Inc. | Integrated | |
| | Telecommunication | |
| | Services | 1.2 |
| Johnson & Johnson | Pharmaceuticals | 1.2 |
| Procter & Gamble Co. | Household | |
| | Products | 1.2 |
| Pfizer Inc. | Pharmaceuticals | 1.1 |
| Top Ten | | 14.9% |
| The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated June 1, 2011. For the six months ended June 30, 2011, the annualized expense ratios were 0.044% for Institutional Shares and 0.024% for Institutional Plus Shares.
5
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.
Fiscal-Year Total Returns (%): August 31, 2001, Through June 30, 2011
Note: For 2011, performance data reflect the six months ended June 30, 2011.
Average Annual Total Returns: Periods Ended June 30, 2011
| | | | |
| | Inception | One | Five | Ten |
| | Date | Year | Years | Years |
| Institutional Shares | 8/31/2001 | 32.60% | 3.70% | 4.781 |
| Institutional Plus Shares | 5/31/2001 | 32.62 | 3.72 | 3.90 |
| 1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
6
Institutional Total Stock Market Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2011
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 (11.5%) | |
| | McDonald’s Corp. | 1,189,014 | 100,258 |
| * | Amazon.com Inc. | 411,230 | 84,092 |
| | Walt Disney Co. | 2,056,090 | 80,270 |
| | Comcast Corp. Class A | 2,944,065 | 74,603 |
| | Home Depot Inc. | 1,867,642 | 67,646 |
| * | Ford Motor Co. | 4,018,618 | 55,417 |
| * | DIRECTV Class A | 901,281 | 45,803 |
| | News Corp. Class A | 2,575,990 | 45,595 |
| | Time Warner Inc. | 1,245,516 | 45,299 |
| | NIKE Inc. Class B | 420,653 | 37,850 |
| | Lowe’s Cos. Inc. | 1,543,065 | 35,969 |
| | Target Corp. | 762,253 | 35,757 |
| | Starbucks Corp. | 850,176 | 33,573 |
| | Johnson Controls Inc. | 771,923 | 32,158 |
| | Viacom Inc. Class B | 621,581 | 31,701 |
| | Time Warner Cable Inc. | 391,340 | 30,540 |
| | Yum! Brands Inc. | 532,734 | 29,428 |
| * | priceline.com Inc. | 56,017 | 28,677 |
| * | General Motors Co. | 889,335 | 27,000 |
| | TJXCos. Inc. | 451,124 | 23,698 |
| | Coach Inc. | 337,142 | 21,553 |
| | CBSCorp. Class B | 716,586 | 20,416 |
| | Carnival Corp. | 519,598 | 19,552 |
| * | Las Vegas Sands Corp. | 414,036 | 17,476 |
| * | Bed Bath & Beyond Inc. | 290,298 | 16,945 |
| | Kohl’s Corp. | 316,591 | 15,833 |
| | Omnicom Group Inc. | 323,787 | 15,594 |
| * | Netflix Inc. | 57,270 | 15,044 |
| | McGraw-Hill Cos. Inc. | 349,498 | 14,647 |
| | Macy’s Inc. | 482,409 | 14,106 |
| | Wynn Resorts Ltd. | 92,386 | 13,261 |
| | Staples Inc. | 824,229 | 13,023 |
| | Starwood Hotels & Resorts | | |
| | Worldwide Inc. | 219,077 | 12,277 |
| | Limited Brands Inc. | 315,030 | 12,113 |
| | Best Buy Co. Inc. | 381,912 | 11,996 |
| | Marriott International Inc. | | |
| | Class A | 335,466 | 11,906 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Harley-Davidson Inc. | 268,457 | 10,999 |
| | Mattel Inc. | 397,452 | 10,926 |
| * | Liberty Media Corp.– | | |
| | Interactive | 650,474 | 10,908 |
| * | Chipotle Mexican Grill Inc. | | |
| | Class A | 35,379 | 10,903 |
| | Ross Stores Inc. | 135,804 | 10,881 |
| | Tiffany & Co. | 136,887 | 10,748 |
| | VF Corp. | 98,908 | 10,737 |
| * | O’Reilly Automotive Inc. | 160,883 | 10,539 |
| | Virgin Media Inc. | 348,704 | 10,437 |
| * | BorgWarner Inc. | 127,395 | 10,292 |
| | Fortune Brands Inc. | 157,405 | 10,038 |
| | Polo Ralph Lauren Corp. | | |
| | Class A | 74,578 | 9,890 |
| | Genuine Parts Co. | 179,669 | 9,774 |
| * | Dollar Tree Inc. | 142,793 | 9,513 |
| | Nordstrom Inc. | 198,804 | 9,332 |
| * | Sirius XM Radio Inc. | 4,259,186 | 9,328 |
| | Gap Inc. | 490,125 | 8,871 |
| * | AutoZone Inc. | 29,950 | 8,831 |
| | Cablevision Systems Corp. | | |
| | Class A | 241,237 | 8,735 |
| * | CarMax Inc. | 257,048 | 8,501 |
| | Autoliv Inc. | 101,476 | 7,961 |
| | Darden Restaurants Inc. | 157,387 | 7,832 |
| | Family Dollar Stores Inc. | 144,129 | 7,575 |
| * | DISH Network Corp. | | |
| | Class A | 233,540 | 7,163 |
| | Whirlpool Corp. | 86,686 | 7,049 |
| * | TRW Automotive | | |
| | Holdings Corp. | 118,789 | 7,012 |
| * | Fossil Inc. | 59,393 | 6,992 |
| | JC Penney Co. Inc. | 202,332 | 6,989 |
| | Interpublic Group | | |
| | of Cos. Inc. | 557,505 | 6,969 |
| | Abercrombie & Fitch Co. | 99,924 | 6,687 |
| | Wyndham Worldwide Corp. | 197,521 | 6,647 |
| | Expedia Inc. | 226,581 | 6,569 |
| * | Liberty Media Corp.– | | |
| | Capital | 76,207 | 6,535 |
7
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Discovery | | |
| | Communications Inc. | | |
| | Class A | 157,776 | 6,463 |
| | Lear Corp. | 119,900 | 6,412 |
| * | Apollo Group Inc. Class A | 146,378 | 6,394 |
| * | Lululemon Athletica Inc. | 56,681 | 6,338 |
| | Hasbro Inc. | 140,573 | 6,175 |
| | PetSmart Inc. | 134,099 | 6,084 |
| * | Royal Caribbean Cruises Ltd. | 160,133 | 6,027 |
| | International Game | | |
| | Technology | 340,531 | 5,987 |
| * | Discovery | | |
| | Communications Inc. | 160,310 | 5,859 |
| * | Liberty Global Inc. Class A | 129,196 | 5,819 |
| | H&R Block Inc. | 347,719 | 5,577 |
| | Tractor Supply Co. | 82,869 | 5,542 |
| | Advance Auto Parts Inc. | 93,430 | 5,465 |
| * | Tempur-Pedic | | |
| | International Inc. | 78,462 | 5,321 |
| * | Liberty Global Inc. | 122,290 | 5,222 |
| | Newell Rubbermaid Inc. | 330,834 | 5,221 |
| | Scripps Networks | | |
| | Interactive Inc. Class A | 106,347 | 5,198 |
| * | MGM Resorts International | 389,762 | 5,149 |
| | Comcast Corp. Class A | | |
| | Special Shares | 209,395 | 5,074 |
| | Gentex Corp. | 162,435 | 4,910 |
| | Tupperware Brands Corp. | 71,677 | 4,835 |
| * | Goodyear Tire & Rubber Co. | 276,966 | 4,645 |
| * | NVR Inc. | 6,389 | 4,635 |
| * | GameStop Corp. Class A | 172,570 | 4,602 |
| * | Signet Jewelers Ltd. | 97,805 | 4,578 |
| | Phillips-Van Heusen Corp. | 68,773 | 4,503 |
| | DeVry Inc. | 74,988 | 4,434 |
| ^ | Garmin Ltd. | 132,985 | 4,393 |
| * | Panera Bread Co. Class A | 34,320 | 4,313 |
| * | Liberty Media Corp.–Starz | 56,062 | 4,218 |
| * | Urban Outfitters Inc. | 149,636 | 4,212 |
| | Foot Locker Inc. | 176,409 | 4,191 |
| * | LKQ Corp. | 157,950 | 4,121 |
| | Polaris Industries Inc. | 36,752 | 4,086 |
| | Leggett & Platt Inc. | 166,928 | 4,070 |
| * | Dick’s Sporting Goods Inc. | 104,525 | 4,019 |
| * | Mohawk Industries Inc. | 66,574 | 3,994 |
| * | Dollar General Corp. | 116,698 | 3,955 |
| | Williams-Sonoma Inc. | 107,877 | 3,936 |
| | Gannett Co. Inc. | 273,158 | 3,912 |
| * | Deckers Outdoor Corp. | 43,968 | 3,875 |
| | DR Horton Inc. | 327,595 | 3,774 |
| | Harman International | | |
| | Industries Inc. | 79,471 | 3,622 |
| *,^ | Sears Holdings Corp. | 49,737 | 3,553 |
| * | Toll Brothers Inc. | 171,097 | 3,549 |
| | Jarden Corp. | 99,965 | 3,450 |
| | Sotheby’s | 76,847 | 3,343 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Ulta Salon Cosmetics & | | |
| | Fragrance Inc. | 50,853 | 3,284 |
| * | Under Armour Inc. Class A | 41,901 | 3,239 |
| | Service Corp. International | 273,690 | 3,197 |
| * | Hanesbrands Inc. | 109,879 | 3,137 |
| | Guess? Inc. | 73,490 | 3,091 |
| | Chico’sFAS Inc. | 202,462 | 3,084 |
| * | Penn National Gaming Inc. | 76,097 | 3,070 |
| * | Tenneco Inc. | 68,749 | 3,030 |
| * | Dana Holding Corp. | 165,176 | 3,023 |
| * | Pulte Group Inc. | 391,844 | 3,002 |
| * | Big Lots Inc. | 86,029 | 2,852 |
| | Weight Watchers | | |
| | International Inc. | 37,490 | 2,829 |
| | Lennar Corp. Class A | 152,871 | 2,775 |
| | John Wiley & Sons Inc. | | |
| | Class A | 52,504 | 2,731 |
| * | Warnaco Group Inc. | 49,849 | 2,605 |
| * | CROCS Inc. | 101,103 | 2,603 |
| * | Ascena Retail Group Inc. | 76,348 | 2,600 |
| | American Eagle | | |
| | Outfitters Inc. | 200,798 | 2,560 |
| | Dillard’s Inc. Class A | 47,936 | 2,499 |
| | Brinker International Inc. | 101,798 | 2,490 |
| | Washington Post Co. | | |
| | Class B | 5,914 | 2,478 |
| | Aaron’s Inc. | 86,818 | 2,453 |
| | Wolverine World Wide Inc. | 55,705 | 2,326 |
| | Rent-A-Center Inc. | 72,398 | 2,212 |
| * | ITT Educational Services Inc. | 27,434 | 2,146 |
| * | Hyatt Hotels Corp. Class A | 50,620 | 2,066 |
| * | Cheesecake Factory Inc. | 65,289 | 2,048 |
| * | Carter’s Inc. | 65,926 | 2,028 |
| * | Iconix Brand Group Inc. | 83,438 | 2,019 |
| | Cinemark Holdings Inc. | 97,254 | 2,014 |
| * | WMS Industries Inc. | 65,438 | 2,010 |
| * | Bally Technologies Inc. | 49,192 | 2,001 |
| | Brunswick Corp. | 96,854 | 1,976 |
| * | Sally Beauty Holdings Inc. | 115,446 | 1,974 |
| * | Timberland Co. Class A | 45,798 | 1,968 |
| * | Lamar Advertising Co. | | |
| | Class A | 71,074 | 1,945 |
| | Wendy’s/Arby’s Group Inc. | | |
| | Class A | 379,781 | 1,925 |
| | Men’s Wearhouse Inc. | 57,089 | 1,924 |
| | Six Flags Entertainment | | |
| | Corp. | 51,162 | 1,916 |
| | Strayer Education Inc. | 15,132 | 1,913 |
| * | Live Nation | | |
| | Entertainment Inc. | 166,513 | 1,910 |
| | Vail Resorts Inc. | 40,775 | 1,885 |
| *,^ | AutoNation Inc. | 51,348 | 1,880 |
| *,^ | Coinstar Inc. | 34,402 | 1,876 |
| * | Career Education Corp. | 87,800 | 1,857 |
| * | Shutterfly Inc. | 32,280 | 1,854 |
| * | Aeropostale Inc. | 100,871 | 1,765 |
8
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Madison Square Garden Co. | | |
| | Class A | 63,553 | 1,750 |
| | Morningstar Inc. | 28,742 | 1,747 |
| * | ANN Inc. | 66,488 | 1,735 |
| * | Life Time Fitness Inc. | 42,829 | 1,709 |
| * | Valassis Communications Inc. | 56,296 | 1,706 |
| | Pool Corp. | 57,040 | 1,700 |
| * | Tesla Motors Inc. | 58,309 | 1,699 |
| | Hillenbrand Inc. | 71,459 | 1,690 |
| * | Steven Madden Ltd. | 42,940 | 1,611 |
| | RadioShack Corp. | 120,823 | 1,608 |
| * | DreamWorks Animation | | |
| | SKG Inc. Class A | 79,643 | 1,601 |
| * | JOS A Bank Clothiers Inc. | 31,400 | 1,570 |
| * | DSW Inc. Class A | 30,449 | 1,541 |
| * | HSN Inc. | 46,451 | 1,529 |
| * | BJ’s Restaurants Inc. | 27,985 | 1,465 |
| | ThorIndustries Inc. | 50,622 | 1,460 |
| * | Saks Inc. | 129,398 | 1,445 |
| * | Genesco Inc. | 26,859 | 1,399 |
| * | Buffalo Wild Wings Inc. | 20,893 | 1,385 |
| * | Pier 1 Imports Inc. | 119,676 | 1,385 |
| * | Cabela’s Inc. | 50,888 | 1,382 |
| * | Domino’s Pizza Inc. | 54,543 | 1,377 |
| | Matthews International | | |
| | Corp. Class A | 34,040 | 1,367 |
| | Buckle Inc. | 31,981 | 1,366 |
| * | Jack in the Box Inc. | 59,078 | 1,346 |
| * | Vitamin Shoppe Inc. | 29,318 | 1,342 |
| * | Office Depot Inc. | 317,302 | 1,339 |
| * | New York Times Co. | | |
| | Class A | 152,438 | 1,329 |
| | Express Inc. | 60,532 | 1,320 |
| | Cooper Tire & Rubber Co. | 66,588 | 1,318 |
| * | Childrens Place Retail | | |
| | Stores Inc. | 29,619 | 1,318 |
| | Meredith Corp. | 42,311 | 1,317 |
| | MDC Holdings Inc. | 53,352 | 1,315 |
| | Texas Roadhouse Inc. | | |
| | Class A | 74,287 | 1,303 |
| | Arbitron Inc. | 31,423 | 1,299 |
| * | Hibbett Sports Inc. | 31,884 | 1,298 |
| | Cracker Barrel Old | | |
| | Country Store Inc. | 26,309 | 1,297 |
| * | Orient-Express Hotels Ltd. | | |
| | Class A | 116,804 | 1,256 |
| *,^ | Education Management | | |
| | Corp. | 52,372 | 1,254 |
| | Finish Line Inc. Class A | 58,452 | 1,251 |
| * | Gaylord Entertainment Co. | 41,176 | 1,235 |
| | Regal Entertainment Group | | |
| | Class A | 97,326 | 1,202 |
| | Bob Evans Farms Inc. | 33,699 | 1,178 |
| * | 99 Cents Only Stores | 58,016 | 1,174 |
| | Group 1 Automotive Inc. | 27,175 | 1,119 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | ChoiceHotels | | |
| | International Inc. | 33,251 | 1,109 |
| | Ameristar Casinos Inc. | 46,235 | 1,096 |
| * | Ascent Media Corp. Class A | 20,612 | 1,092 |
| * | Belo Corp. Class A | 141,378 | 1,065 |
| * | Collective Brands Inc. | 71,457 | 1,050 |
| | Jones Group Inc. | 96,665 | 1,049 |
| * | American Axle & | | |
| | Manufacturing Holdings Inc. | 92,134 | 1,048 |
| * | American Public | | |
| | Education Inc. | 23,512 | 1,047 |
| | CEC Entertainment Inc. | 25,924 | 1,040 |
| * | Eastman Kodak Co. | 289,490 | 1,036 |
| | PF Chang’s China Bistro Inc. | 25,237 | 1,016 |
| | National CineMedia Inc. | 59,608 | 1,008 |
| | Cato Corp. Class A | 34,522 | 994 |
| | Scholastic Corp. | 37,342 | 993 |
| * | Asbury Automotive | | |
| | Group Inc. | 52,404 | 971 |
| | Regis Corp. | 62,779 | 962 |
| * | Maidenform Brands Inc. | 34,041 | 942 |
| | Penske Automotive | | |
| | Group Inc. | 41,077 | 934 |
| | American Greetings Corp. | | |
| | Class A | 38,810 | 933 |
| * | Helen of Troy Ltd. | 26,382 | 911 |
| | Ethan Allen Interiors Inc. | 42,708 | 909 |
| * | G-III Apparel Group Ltd. | 25,713 | 887 |
| * | Krispy Kreme Doughnuts Inc. | 92,120 | 876 |
| * | Pinnacle Entertainment Inc. | 57,217 | 853 |
| * | Clear Channel Outdoor | | |
| | Holdings Inc. Class A | 66,944 | 850 |
| | Brown Shoe Co. Inc. | 79,105 | 842 |
| | Monro Muffler Brake Inc. | 22,552 | 841 |
| | KBHome | 85,347 | 835 |
| * | AFC Enterprises Inc. | 50,598 | 832 |
| * | California Pizza Kitchen Inc. | 44,747 | 826 |
| | ChurchillDowns Inc. | 18,175 | 819 |
| * | Blue Nile Inc. | 18,588 | 818 |
| | International Speedway | | |
| | Corp. Class A | 28,380 | 806 |
| * | Charming Shoppes Inc. | 193,342 | 804 |
| * | Pre-Paid Legal Services Inc. | 11,972 | 796 |
| * | Amerigon Inc. | 44,993 | 782 |
| | RylandGroup Inc. | 47,149 | 779 |
| * | Peet’s Coffee & Tea Inc. | 13,434 | 775 |
| * | OfficeMax Inc. | 97,042 | 762 |
| * | DineEquity Inc. | 14,546 | 760 |
| * | Scientific Games Corp. | | |
| | Class A | 73,485 | 760 |
| | Columbia Sportswear Co. | 11,859 | 752 |
| * | iRobot Corp. | 20,881 | 737 |
| * | Select Comfort Corp. | 40,605 | 730 |
| | Barnes & Noble Inc. | 43,513 | 721 |
| * | Denny’s Corp. | 184,496 | 716 |
9
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Papa John’s | | |
| | International Inc. | 21,478 | 714 |
| | Stewart Enterprises Inc. | | |
| | Class A | 97,464 | 711 |
| * | Capella Education Co. | 16,695 | 699 |
| * | Liz Claiborne Inc. | 127,675 | 683 |
| * | America’s Car-Mart Inc. | 20,468 | 675 |
| | Blyth Inc. | 13,331 | 671 |
| * | Lions Gate | | |
| | Entertainment Corp. | 100,404 | 665 |
| * | Meritage Homes Corp. | 29,183 | 658 |
| | Standard Motor Products Inc. | 41,989 | 639 |
| * | Sonic Corp. | 59,390 | 631 |
| | Drew Industries Inc. | 24,737 | 612 |
| * | K12 Inc. | 18,385 | 609 |
| * | Modine Manufacturing Co. | 38,574 | 593 |
| * | Federal-Mogul Corp. | 25,441 | 581 |
| * | Dorman Products Inc. | 14,623 | 579 |
| * | True Religion Apparel Inc. | 19,573 | 569 |
| * | Skechers U.S.A. Inc. Class A | 39,277 | 569 |
| | Bebe Stores Inc. | 90,948 | 556 |
| * | Steiner Leisure Ltd. | 12,129 | 554 |
| * | Cavco Industries Inc. | 12,277 | 552 |
| | Universal Technical | | |
| | Institute Inc. | 27,733 | 548 |
| * | Fuel Systems Solutions Inc. | 21,923 | 547 |
| | Fred’s Inc. Class A | 36,958 | 533 |
| * | Biglari Holdings Inc. | 1,343 | 525 |
| * | K-Swiss Inc. Class A | 49,254 | 524 |
| * | Boyd Gaming Corp. | 60,079 | 523 |
| * | Cost Plus Inc. | 51,667 | 517 |
| | Callaway Golf Co. | 82,903 | 516 |
| * | Red Robin Gourmet | | |
| | Burgers Inc. | 14,159 | 515 |
| * | Vera Bradley Inc. | 13,384 | 511 |
| * | La-Z-Boy Inc. | 51,772 | 511 |
| * | Quiksilver Inc. | 105,161 | 494 |
| * | Exide Technologies | 64,324 | 491 |
| | Oxford Industries Inc. | 14,490 | 489 |
| * | Warner Music Group Corp. | 59,238 | 487 |
| * | Jakks Pacific Inc. | 26,380 | 486 |
| | PEP Boys-Manny | | |
| | Moe & Jack | 42,884 | 469 |
| | HOT Topic Inc. | 62,995 | 469 |
| | Lithia Motors Inc. Class A | 22,896 | 449 |
| | Nutrisystem Inc. | 31,898 | 448 |
| | AH Belo Corp. Class A | 59,044 | 439 |
| * | Ruby Tuesday Inc. | 40,750 | 439 |
| * | Arctic Cat Inc. | 31,839 | 428 |
| *,^ | Bridgepoint Education Inc. | 17,041 | 426 |
| * | Knology Inc. | 28,606 | 425 |
| | Christopher& Banks Corp. | 73,023 | 420 |
| * | Interval Leisure Group Inc. | 30,236 | 414 |
| * | Corinthian Colleges Inc. | 95,980 | 409 |
| | Stage Stores Inc. | 24,263 | 408 |
| * | Benihana Inc. Class A | 38,200 | 401 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Harte-Hanks Inc. | 48,735 | 396 |
| * | Rue21 Inc. | 11,899 | 387 |
| * | Lumber Liquidators | | |
| | Holdings Inc. | 14,937 | 379 |
| | CherokeeInc. | 21,485 | 369 |
| | Haverty Furniture Cos. Inc. | 31,885 | 367 |
| * | O’Charleys Inc. | 49,890 | 365 |
| * | Audiovox Corp. Class A | 47,891 | 362 |
| | Lennar Corp. Class B | 24,500 | 360 |
| * | Build-A-Bear Workshop Inc. | 55,245 | 360 |
| | CSS Industries Inc. | 16,895 | 354 |
| * | Overstock.com Inc. | 23,182 | 353 |
| * | Zumiez Inc. | 13,494 | 337 |
| | Lincoln Educational | | |
| | Services Corp. | 19,632 | 337 |
| * | Beazer Homes USA Inc. | 98,327 | 333 |
| | Big 5 Sporting Goods Corp. | 42,380 | 333 |
| * | Perry Ellis International Inc. | 13,151 | 332 |
| * | Shuffle Master Inc. | 35,460 | 332 |
| | Movado Group Inc. | 19,384 | 332 |
| | Carriage Services Inc. | | |
| | Class A | 58,072 | 329 |
| * | Unifi Inc. | 23,842 | 329 |
| * | Standard Pacific Corp. | 97,895 | 328 |
| * | Fisher Communications Inc. | 10,687 | 319 |
| * | Winnebago Industries Inc. | 32,987 | 319 |
| * | Isle of Capri Casinos Inc. | 35,516 | 314 |
| | Superior Industries | | |
| | International Inc. | 14,209 | 314 |
| * | Wet Seal Inc. Class A | 70,168 | 314 |
| * | Valuevision Media Inc. | | |
| | Class A | 40,501 | 310 |
| | Sonic Automotive Inc. | | |
| | Class A | 21,082 | 309 |
| * | MarineMax Inc. | 34,846 | 305 |
| * | Core-Mark Holding Co. Inc. | 8,021 | 286 |
| | Sinclair Broadcast Group Inc. | | |
| | Class A | 24,888 | 273 |
| * | Citi Trends Inc. | 17,941 | 271 |
| | Bassett Furniture | | |
| | Industries Inc. | 34,218 | 270 |
| * | Pacific Sunwear of | | |
| | California Inc. | 101,374 | 265 |
| * | Marine Products Corp. | 39,051 | 262 |
| | Sturm Ruger & Co. Inc. | 11,708 | 257 |
| * | Town Sports International | | |
| | Holdings Inc. | 33,684 | 256 |
| | Stein Mart Inc. | 26,281 | 253 |
| * | Journal Communications Inc. | | |
| | Class A | 47,472 | 245 |
| * | Leapfrog Enterprises Inc. | 57,625 | 243 |
| *,^ | Conn’s Inc. | 27,772 | 240 |
| | PetMed Express Inc. | 19,945 | 236 |
| * | Systemax Inc. | 15,552 | 232 |
| | CPICorp. | 17,641 | 232 |
10
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Casual Male Retail | | |
| | Group Inc. | 54,572 | 226 |
| * | EW Scripps Co. Class A | 23,394 | 226 |
| * | Talbots Inc. | 67,094 | 224 |
| * | Tuesday Morning Corp. | 48,114 | 224 |
| *,^ | Hovnanian Enterprises Inc. | | |
| | Class A | 92,444 | 223 |
| *,^ | Cumulus Media Inc. Class A | 63,550 | 222 |
| * | Entercom Communications | | |
| | Corp. Class A | 24,900 | 216 |
| | Bon-Ton Stores Inc. | 22,199 | 216 |
| | Ambassadors Group Inc. | 24,275 | 214 |
| | Speedway Motorsports Inc. | 15,106 | 214 |
| * | Steinway Musical | | |
| | Instruments Inc. | 8,226 | 211 |
| * | Kirkland’s Inc. | 17,249 | 207 |
| * | Universal Electronics Inc. | 8,176 | 207 |
| * | Grand Canyon Education Inc. | 14,319 | 203 |
| * | AC Moore Arts & Crafts Inc. | 79,300 | 198 |
| * | Carmike Cinemas Inc. | 28,337 | 196 |
| * | Furniture Brands | | |
| | International Inc. | 46,692 | 193 |
| * | Bluegreen Corp. | 65,697 | 192 |
| * | Kenneth Cole Productions Inc. | | |
| | Class A | 15,309 | 191 |
| * | Morgans Hotel Group Co. | 26,141 | 188 |
| * | Cache Inc. | 36,970 | 182 |
| | Marcus Corp. | 18,302 | 181 |
| * | Stoneridge Inc. | 12,035 | 177 |
| | World Wrestling | | |
| | Entertainment Inc. | | |
| | Class A | 18,303 | 174 |
| | Books-A-Million Inc. | 48,683 | 169 |
| * | New York & Co. Inc. | 33,806 | 167 |
| * | Caribou Coffee Co. Inc. | 12,636 | 167 |
| * | 1-800-Flowers.com Inc. | | |
| | Class A | 52,796 | 164 |
| | Learning Tree | | |
| | International Inc. | 17,928 | 160 |
| | Destination Maternity Corp. | 7,784 | 156 |
| | ShilohIndustries Inc. | 14,402 | 155 |
| * | Zale Corp. | 27,104 | 152 |
| * | Martha Stewart Living | | |
| | Omnimedia Class A | 34,157 | 148 |
| * | Global Traffic Network Inc. | 12,788 | 147 |
| * | Luby’s Inc. | 26,003 | 144 |
| * | hhgregg Inc. | 10,524 | 141 |
| * | Nautilus Inc. | 69,718 | 139 |
| * | Kid Brands Inc. | 27,010 | 139 |
| * | Gray Television Inc. | 49,174 | 130 |
| * | McClatchy Co. Class A | 45,878 | 129 |
| * | Multimedia Games | | |
| | Holding Co. Inc. | 27,848 | 127 |
| | PRIMEDIA Inc. | 17,701 | 125 |
| | Gaiam Inc. Class A | 24,536 | 122 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Entravision Communications | | |
| | Corp. Class A | 64,615 | 120 |
| * | Shoe Carnival Inc. | 3,885 | 117 |
| * | Coldwater Creek Inc. | 78,742 | 110 |
| | News Corp. Class B | 6,073 | 110 |
| | Weyco Group Inc. | 4,377 | 108 |
| * | Geeknet Inc. | 3,963 | 106 |
| * | M/I Homes Inc. | 8,310 | 102 |
| * | West Marine Inc. | 9,785 | 101 |
| * | Rentrak Corp. | 5,681 | 101 |
| | Strattec Security Corp. | 4,751 | 100 |
| * | Bravo Brio Restaurant | | |
| | Group Inc. | 3,889 | 95 |
| | Dover Downs Gaming & | | |
| | Entertainment Inc. | 28,574 | 91 |
| * | Cosi Inc. | 95,907 | 91 |
| * | dELiA*s Inc. | 56,204 | 88 |
| * | Monarch Casino & | | |
| | Resort Inc. | 8,199 | 86 |
| * | Smith & Wesson | | |
| | Holding Corp. | 27,455 | 82 |
| | Einstein Noah | | |
| | Restaurant Group Inc. | 5,200 | 78 |
| * | Carrols Restaurant Group Inc. | 7,396 | 77 |
| * | Midas Inc. | 12,009 | 76 |
| | Hooker Furniture Corp. | 8,480 | 75 |
| * | Harris Interactive Inc. | 83,901 | 71 |
| | Lifetime Brands Inc. | 5,762 | 68 |
| | Flexsteel Industries | 4,539 | 66 |
| | Escalade Inc. | 10,787 | 65 |
| * | Navarre Corp. | 33,043 | 65 |
| * | LodgeNet Interactive Corp. | 21,301 | 65 |
| * | Stanley Furniture Co. Inc. | 15,291 | 64 |
| * | Jamba Inc. | 29,276 | 63 |
| * | Delta Apparel Inc. | 3,566 | 61 |
| * | Century Casinos Inc. | 21,680 | 60 |
| | Skyline Corp. | 3,395 | 59 |
| * | Media General Inc. Class A | 15,014 | 57 |
| | Spartan Motors Inc. | 10,244 | 55 |
| *,^ | Quantum Fuel | | |
| | Systems Technologies | | |
| | Worldwide Inc. | 15,407 | 53 |
| * | Benihana Inc. Class A | 5,006 | 52 |
| * | Johnson Outdoors Inc. | | |
| | Class A | 3,043 | 52 |
| * | Sealy Corp. | 19,540 | 49 |
| * | LIN TV Corp. Class A | 9,843 | 48 |
| * | Red Lion Hotels Corp. | 6,001 | 47 |
| * | Libbey Inc. | 2,920 | 47 |
| * | Dixie Group Inc. | 10,757 | 46 |
| * | MTR Gaming Group Inc. | 14,610 | 44 |
| * | Radio One Inc. | 22,730 | 40 |
| * | Heelys Inc. | 17,566 | 40 |
| * | McCormick & Schmick’s | | |
| | Seafood Restaurants Inc. | 4,605 | 40 |
| | Collectors Universe | 2,637 | 39 |
11
Institutional Total Stock Market Index Fund
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Famous Dave’s Of | | |
| | America Inc. | 3,756 | 38 |
| * | Emerson Radio Corp. | 17,970 | 37 |
| | Salem Communications | | |
| | Corp. Class A | 9,336 | 34 |
| * | Saga Communications Inc. | | |
| | Class A | 852 | 32 |
| * | Ruth’s Hospitality Group Inc. | 5,449 | 31 |
| * | TravelCenters of | | |
| | America LLC | 5,100 | 28 |
| * | American Apparel Inc. | 31,165 | 28 |
| * | US Auto Parts Network Inc. | 3,601 | 28 |
| * | Reading International Inc. | | |
| | Class A | 6,019 | 27 |
| *,^ | Lee Enterprises Inc. | 29,385 | 26 |
| * | Bidz.com Inc. | 25,690 | 25 |
| * | Nexstar Broadcasting | | |
| | Group Inc. Class A | 3,078 | 25 |
| * | Duckwall-ALCO Stores Inc. | 2,176 | 23 |
| * | Archipelago Learning Inc. | 2,260 | 22 |
| * | Culp Inc. | 2,263 | 21 |
| * | Motorcar Parts of | | |
| | America Inc. | 1,400 | 21 |
| * | Hastings Entertainment Inc. | 4,944 | 20 |
| *,^ | SuperMedia Inc. | 5,398 | 20 |
| *,^ | Atrinsic Inc. | 6,292 | 20 |
| * | Orbitz Worldwide Inc. | 8,037 | 20 |
| * | Daily Journal Corp. | 264 | 19 |
| * | Trans World | | |
| | Entertainment Corp. | 8,958 | 18 |
| * | Empire Resorts Inc. | 17,700 | 16 |
| *,^ | Wonder Auto | | |
| | Technology Inc. | 5,838 | 16 |
| * | Hallwood Group Inc. | 804 | 15 |
| * | Entertainment Gaming | | |
| | Asia Inc. | 54,853 | 15 |
| | Outdoor Channel | | |
| | Holdings Inc. | 1,761 | 12 |
| * | Spanish Broadcasting | | |
| | System Inc. | 17,056 | 12 |
| * | Canterbury Park Holding Corp. | 818 | 12 |
| * | Dex One Corp. | 4,578 | 12 |
| * | Hollywood Media Corp. | 7,061 | 11 |
| * | Dover Motorsports Inc. | 4,709 | 9 |
| * | Great Wolf Resorts Inc. | 2,551 | 8 |
| * | Princeton Review Inc. | 32,613 | 7 |
| | Educational | | |
| | Development Corp. | 1,122 | 6 |
| * | Lakes Entertainment Inc. | 2,747 | 6 |
| * | Nobel Learning | | |
| | Communities Inc. | 375 | 4 |
| * | Radio One Inc. Class A | 1,680 | 3 |
| | Gaming Partners | | |
| | International Corp. | 309 | 2 |
| * | Forward Industries Inc. | 557 | 1 |
| | Mac-Gray Corp. | 82 | 1 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Frisch’s Restaurants Inc. | 29 | 1 |
| * | Cambium Learning | | |
| | Group Inc. | 200 | 1 |
| * | Vitacost.com Inc. | 123 | 1 |
| * | Premier Exhibitions Inc. | 319 | 1 |
| * | Rick’s Cabaret | | |
| | International Inc. | 64 | 1 |
| * | Morton’s Restaurant | | |
| | Group Inc. | 62 | — |
| * | Krispy Kreme Doughnuts Inc. | |
| | Warrants Exp. 03/02/2012 | 332 | — |
| * | Joe’s Jeans Inc. | 260 | — |
| * | Universal Travel Group | 118 | — |
| * | Tandy Brands Accessories Inc. 42 | — |
| * | Sport Chalet Inc. Class A | 37 | — |
| * | Private Media Group Inc. | 69 | — |
| * | SPAR Group Inc. | 29 | — |
| * | Sport Chalet Inc. Class B | 5 | — |
| | | | 1,977,797 |
| Consumer Staples (9.1%) | | |
| | Procter & Gamble Co. | 3,191,915 | 202,910 |
| | Coca-Cola Co. | 2,353,201 | 158,347 |
| | Philip Morris | | |
| | International Inc. | 2,048,137 | 136,754 |
| | PepsiCo Inc. | 1,808,019 | 127,339 |
| | Wal-Mart Stores Inc. | 2,232,691 | 118,645 |
| | Kraft Foods Inc. | 1,893,469 | 66,707 |
| | Altria Group Inc. | 2,384,093 | 62,964 |
| | CVS Caremark Corp. | 1,559,297 | 58,598 |
| | Colgate-Palmolive Co. | 562,888 | 49,202 |
| | Walgreen Co. | 1,051,250 | 44,636 |
| | Costco Wholesale Corp. | 497,495 | 40,417 |
| | Kimberly-Clark Corp. | 460,860 | 30,675 |
| | General Mills Inc. | 724,662 | 26,972 |
| | Archer-Daniels-Midland Co. | 726,364 | 21,900 |
| | Sysco Corp. | 664,075 | 20,706 |
| | HJ Heinz Co. | 365,545 | 19,476 |
| | Lorillard Inc. | 165,884 | 18,060 |
| | Kroger Co. | 688,576 | 17,077 |
| | Kellogg Co. | 291,282 | 16,114 |
| | Mead Johnson Nutrition Co. | 233,170 | 15,751 |
| | Reynolds American Inc. | 398,714 | 14,772 |
| | Estee Lauder Cos. Inc. | | |
| | Class A | 138,115 | 14,528 |
| | Avon Products Inc. | 489,808 | 13,715 |
| * | Green Mountain Coffee | | |
| | Roasters Inc. | 145,613 | 12,997 |
| | ConAgra Foods Inc. | 496,586 | 12,817 |
| | Sara Lee Corp. | 673,947 | 12,798 |
| | Bunge Ltd. | 165,209 | 11,391 |
| | Coca-Cola Enterprises Inc. | 376,279 | 10,980 |
| | Hershey Co. | 189,893 | 10,795 |
| | Dr Pepper Snapple | | |
| | Group Inc. | 255,329 | 10,706 |
| | Whole Foods Market Inc. | 168,221 | 10,674 |
| | Clorox Co. | 156,838 | 10,577 |
12
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | JM Smucker Co. | 135,707 | 10,373 |
| | Safeway Inc. | 419,678 | 9,808 |
| | Molson Coors Brewing Co. | | |
| | Class B | 186,035 | 8,323 |
| | Campbell Soup Co. | 228,114 | 7,881 |
| | Herbalife Ltd. | 134,680 | 7,763 |
| | Brown-Forman Corp. | | |
| | Class B | 95,948 | 7,166 |
| * | Hansen Natural Corp. | 86,203 | 6,978 |
| | TysonFoods Inc. Class A | 350,475 | 6,806 |
| | McCormick & Co. Inc. | 137,255 | 6,804 |
| | Church& Dwight Co. Inc. | 162,559 | 6,590 |
| * | Energizer Holdings Inc. | 80,533 | 5,827 |
| * | Ralcorp Holdings Inc. | 62,658 | 5,425 |
| | Hormel Foods Corp. | 166,999 | 4,978 |
| | Corn Products | | |
| | International Inc. | 86,839 | 4,800 |
| * | Constellation Brands Inc. | | |
| | Class A | 211,825 | 4,410 |
| * | Smithfield Foods Inc. | 170,315 | 3,725 |
| * | BJ’s Wholesale Club Inc. | 62,298 | 3,137 |
| | Flowers Foods Inc. | 131,934 | 2,908 |
| * | Dean Foods Co. | 208,769 | 2,562 |
| | Nu Skin Enterprises Inc. | | |
| | Class A | 63,431 | 2,382 |
| * | Darling International Inc. | 133,098 | 2,356 |
| | SUPERVALUInc. | 241,897 | 2,276 |
| * | United Natural Foods Inc. | 52,211 | 2,228 |
| * | TreeHouse Foods Inc. | 40,396 | 2,206 |
| | Ruddick Corp. | 50,483 | 2,198 |
| | Diamond Foods Inc. | 24,889 | 1,900 |
| | Casey’s General Stores Inc. | 43,062 | 1,895 |
| | Lancaster Colony Corp. | 22,204 | 1,350 |
| * | Hain Celestial Group Inc. | 39,122 | 1,305 |
| | Fresh Del Monte | | |
| | Produce Inc. | 47,745 | 1,273 |
| * | Fresh Market Inc. | 32,683 | 1,264 |
| | Sanderson Farms Inc. | 24,372 | 1,165 |
| | Andersons Inc. | 26,156 | 1,105 |
| * | Rite Aid Corp. | 789,938 | 1,051 |
| | B&G Foods Inc. Class A | 48,853 | 1,007 |
| | Universal Corp. | 25,814 | 972 |
| | Vector Group Ltd. | 51,261 | 912 |
| * | Central European | | |
| | Distribution Corp. | 81,262 | 910 |
| | J&J Snack Foods Corp. | 18,188 | 907 |
| * | Boston Beer Co. Inc. Class A | 9,942 | 891 |
| | Tootsie Roll Industries Inc. | 27,274 | 798 |
| ^ | Cal-Maine Foods Inc. | 24,698 | 789 |
| | Pricesmart Inc. | 14,887 | 763 |
| * | Elizabeth Arden Inc. | 25,827 | 750 |
| | Inter Parfums Inc. | 31,173 | 718 |
| | Snyders-Lance Inc. | 32,320 | 699 |
| | Coca-Cola Bottling Co. | | |
| | Consolidated | 10,280 | 696 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Central Garden and Pet Co. | | |
| | Class A | 64,800 | 658 |
| * | Chiquita Brands | | |
| | International Inc. | 49,189 | 640 |
| * | Prestige Brands | | |
| | Holdings Inc. | 49,573 | 637 |
| * | Pantry Inc. | 33,815 | 635 |
| * | Winn-Dixie Stores Inc. | 68,563 | 579 |
| * | Medifast Inc. | 24,296 | 577 |
| | WD-40 Co. | 14,524 | 567 |
| *,^ | Star Scientific Inc. | 116,487 | 524 |
| * | Central Garden and Pet Co. | 50,005 | 519 |
| | Nash Finch Co. | 13,444 | 481 |
| * | Heckmann Corp. | 74,391 | 449 |
| * | Omega Protein Corp. | 31,783 | 439 |
| | Weis Markets Inc. | 10,217 | 416 |
| | Alico Inc. | 15,023 | 385 |
| | Ingles Markets Inc. Class A | 23,046 | 381 |
| * | Dole Food Co. Inc. | 24,526 | 332 |
| * | Spectrum Brands | | |
| | Holdings Inc. | 10,200 | 326 |
| * | Smart Balance Inc. | 60,880 | 315 |
| * | Susser Holdings Corp. | 17,839 | 280 |
| * | Alliance One | | |
| | International Inc. | 82,063 | 265 |
| | Spartan Stores Inc. | 13,343 | 261 |
| * | Pilgrim’s Pride Corp. | 46,030 | 249 |
| | Imperial Sugar Co. | 10,290 | 206 |
| * | John B Sanfilippo & Son Inc. | 22,171 | 188 |
| * | Revlon Inc. Class A | 10,562 | 177 |
| | National Beverage Corp. | 11,983 | 176 |
| * | Lifeway Foods Inc. | 15,345 | 172 |
| | Farmer Bros Co. | 14,425 | 146 |
| * | USANA Health Sciences Inc. | 4,633 | 145 |
| | Griffin Land & Nurseries Inc. | 4,456 | 145 |
| * | Overhill Farms Inc. | 22,256 | 124 |
| | Oil-Dri Corp. of America | 4,907 | 105 |
| * | Jones Soda Co. | 80,705 | 90 |
| | MGP Ingredients Inc. | 9,902 | 86 |
| * | Reddy Ice Holdings Inc. | 29,622 | 83 |
| | Schiff Nutrition | | |
| | International Inc. | 7,078 | 79 |
| * | Parlux Fragrances Inc. | 23,537 | 76 |
| * | Primo Water Corp. | 4,800 | 69 |
| * | Physicians Formula | | |
| | Holdings Inc. | 16,081 | 64 |
| * | Inventure Foods Inc. | 15,484 | 62 |
| * | Nutraceutical | | |
| | International Corp. | 2,978 | 46 |
| * | Mannatech Inc. | 47,134 | 45 |
| | Female Health Co. | 8,917 | 45 |
| | Limoneira Co. | 1,483 | 34 |
| * | Seneca Foods Corp. Class A | 857 | 22 |
| | Bridgford Foods Corp. | 2,030 | 22 |
| | Reliv International Inc. | 10,512 | 19 |
| | Calavo Growers Inc. | 779 | 16 |
13
| | | |
| Institutional Total Stock Market Index Fund |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Orchids Paper Products Co. | 926 | 12 |
| * | Craft Brewers Alliance Inc. | 1,300 | 11 |
| * | HQ Sustainable Maritime | | |
| | Industries Inc. | 12,113 | 9 |
| | Village Super Market Inc. | | |
| | Class A | 242 | 7 |
| * | Crystal Rock Holdings Inc. | 80 | — |
| | | | 1,565,426 |
| Energy (11.7%) | | |
| | Exxon Mobil Corp. | 5,650,973 | 459,876 |
| | ChevronCorp. | 2,287,837 | 235,281 |
| | Schlumberger Ltd. | 1,551,037 | 134,010 |
| | ConocoPhillips | 1,547,808 | 116,380 |
| | Occidental Petroleum Corp. | 926,362 | 96,379 |
| | Apache Corp. | 436,286 | 53,833 |
| | Halliburton Co. | 1,040,889 | 53,085 |
| | Anadarko Petroleum Corp. | 565,548 | 43,411 |
| | Marathon Oil Corp. | 804,710 | 42,392 |
| | National Oilwell Varco Inc. | 479,937 | 37,536 |
| | Devon Energy Corp. | 462,385 | 36,441 |
| | Baker Hughes Inc. | 494,984 | 35,916 |
| | EOG Resources Inc. | 289,884 | 30,307 |
| | Hess Corp. | 346,445 | 25,900 |
| | ChesapeakeEnergy Corp. | 745,316 | 22,128 |
| | Spectra Energy Corp. | 739,184 | 20,261 |
| | Williams Cos. Inc. | 668,142 | 20,211 |
| | Peabody Energy Corp. | 308,383 | 18,167 |
| | Noble Energy Inc. | 200,382 | 17,960 |
| * | Southwestern Energy Co. | 396,408 | 16,998 |
| | Valero Energy Corp. | 648,512 | 16,582 |
| | El Paso Corp. | 803,204 | 16,225 |
| * | Weatherford | | |
| | International Ltd. | 845,815 | 15,859 |
| * | Cameron International Corp. | 279,016 | 14,032 |
| | Murphy Oil Corp. | 208,829 | 13,712 |
| | Consol Energy Inc. | 257,841 | 12,500 |
| * | FMC Technologies Inc. | 273,841 | 12,265 |
| * | Alpha Natural | | |
| | Resources Inc. | 258,238 | 11,734 |
| | Noble Corp. | 287,533 | 11,332 |
| | Pioneer Natural | | |
| | Resources Co. | 119,507 | 10,704 |
| * | Newfield Exploration Co. | 153,184 | 10,420 |
| * | Concho Resources Inc. | 111,584 | 10,249 |
| | Range Resources Corp. | 182,934 | 10,153 |
| * | Denbury Resources Inc. | 455,487 | 9,110 |
| | Cimarex Energy Co. | 97,552 | 8,772 |
| * | Petrohawk Energy Corp. | 344,754 | 8,505 |
| | EQTCorp. | 161,518 | 8,483 |
| | QEP Resources Inc. | 200,936 | 8,405 |
| | Helmerich & Payne Inc. | 121,233 | 8,016 |
| * | Nabors Industries Ltd. | 325,243 | 8,014 |
| * | Ultra Petroleum Corp. | 173,952 | 7,967 |
| | Cabot Oil & Gas Corp. | 118,847 | 7,881 |
| * | Whiting Petroleum Corp. | 134,687 | 7,665 |
| | Arch Coal Inc. | 240,346 | 6,408 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Kinder Morgan | | |
| | Management LLC | 95,958 | 6,294 |
| * | Plains Exploration & | | |
| | Production Co. | 159,744 | 6,089 |
| | Sunoco Inc. | 137,518 | 5,736 |
| | Core Laboratories NV | 51,382 | 5,731 |
| * | Rowan Cos. Inc. | 144,055 | 5,591 |
| | Diamond Offshore | | |
| | Drilling Inc. | 79,223 | 5,578 |
| | Patterson-UTI Energy Inc. | 175,755 | 5,556 |
| | Southern Union Co. | 135,057 | 5,423 |
| | SM Energy Co. | 72,292 | 5,312 |
| * | McDermott | | |
| | International Inc. | 266,124 | 5,272 |
| | Oceaneering | | |
| | International Inc. | 123,407 | 4,998 |
| * | Dresser-Rand Group Inc. | 91,767 | 4,932 |
| | Energen Corp. | 82,190 | 4,644 |
| * | Oil States International Inc. | 57,992 | 4,634 |
| * | SandRidge Energy Inc. | 421,304 | 4,491 |
| | Holly Corp. | 60,711 | 4,213 |
| * | Brigham Exploration Co. | 133,249 | 3,988 |
| | Frontier Oil Corp. | 120,582 | 3,896 |
| * | Tesoro Corp. | 163,161 | 3,738 |
| | CARBOCeramics Inc. | 22,514 | 3,669 |
| | Kinder Morgan Inc. | 125,150 | 3,596 |
| * | Superior Energy | | |
| | Services Inc. | 89,984 | 3,342 |
| * | Continental Resources Inc. | 51,178 | 3,322 |
| * | Forest Oil Corp. | 123,043 | 3,286 |
| | Tidewater Inc. | 58,647 | 3,156 |
| * | Rosetta Resources Inc. | 60,305 | 3,108 |
| | Lufkin Industries Inc. | 34,281 | 2,950 |
| * | Atwood Oceanics Inc. | 66,408 | 2,931 |
| | World Fuel Services Corp. | 79,320 | 2,850 |
| * | Unit Corp. | 46,546 | 2,836 |
| | Berry Petroleum Co. Class A | 52,827 | 2,807 |
| * | Key Energy Services Inc. | 146,323 | 2,634 |
| | EXCO Resources Inc. | 146,047 | 2,578 |
| * | Dril-Quip Inc. | 36,624 | 2,484 |
| * | Bill Barrett Corp. | 53,496 | 2,480 |
| * | CVR Energy Inc. | 100,118 | 2,465 |
| * | Energy XXI Bermuda Ltd. | 73,289 | 2,435 |
| * | Complete Production | | |
| | Services Inc. | 71,694 | 2,392 |
| | SEACOR Holdings Inc. | 23,364 | 2,335 |
| * | Patriot Coal Corp. | 104,150 | 2,318 |
| | Bristow Group Inc. | 41,639 | 2,124 |
| * | McMoRan Exploration Co. | 107,734 | 1,991 |
| * | Helix Energy Solutions | | |
| | Group Inc. | 114,053 | 1,889 |
| * | Gran Tierra Energy Inc. | 273,850 | 1,810 |
| * | Cobalt International | | |
| | Energy Inc. | 131,959 | 1,799 |
| * | Swift Energy Co. | 47,702 | 1,778 |
| * | Carrizo Oil & Gas Inc. | 41,410 | 1,729 |
14
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Oasis Petroleum Inc. | 57,852 | 1,717 |
| * | Quicksilver Resources Inc. | 107,610 | 1,588 |
| * | Stone Energy Corp. | 49,855 | 1,515 |
| * | Comstock Resources Inc. | 51,376 | 1,479 |
| * | Cloud Peak Energy Inc. | 69,192 | 1,474 |
| *,^ | Northern Oil and Gas Inc. | 64,784 | 1,435 |
| * | Gulfport Energy Corp. | 47,628 | 1,414 |
| * | ION Geophysical Corp. | 148,953 | 1,409 |
| * | Exterran Holdings Inc. | 68,118 | 1,351 |
| | RPCInc. | 49,523 | 1,215 |
| * | Basic Energy Services Inc. | 37,377 | 1,176 |
| * | Gulfmark Offshore Inc. | 25,931 | 1,146 |
| *,^ | ATP Oil & Gas Corp. | 74,277 | 1,137 |
| * | Kodiak Oil & Gas Corp. | 197,038 | 1,137 |
| * | Tetra Technologies Inc. | 87,256 | 1,111 |
| * | Enbridge Energy | | |
| | Management LLC | 35,716 | 1,104 |
| * | Pioneer Drilling Co. | 70,714 | 1,078 |
| *,^ | Clean Energy Fuels Corp. | 79,180 | 1,041 |
| * | Newpark Resources Inc. | 104,677 | 949 |
| * | Western Refining Inc. | 51,478 | 930 |
| | W&T Offshore Inc. | 35,424 | 925 |
| * | Hercules Offshore Inc. | 159,224 | 877 |
| | Contango Oil & Gas Co. | 15,003 | 877 |
| | Penn Virginia Corp. | 65,491 | 865 |
| * | James River Coal Co. | 41,211 | 858 |
| | OverseasShipholding | | |
| | Group Inc. | 31,496 | 849 |
| * | Endeavour | | |
| | International Corp. | 56,208 | 847 |
| * | Global Industries Ltd. | 147,855 | 810 |
| * | Approach Resources Inc. | 35,127 | 796 |
| *,^ | Abraxas Petroleum Corp. | 205,086 | 785 |
| * | Petroleum | | |
| | Development Corp. | 25,526 | 764 |
| * | Cal Dive International Inc. | 126,907 | 759 |
| * | Clayton Williams Energy Inc. | 12,208 | 733 |
| * | SemGroup Corp. Class A | 28,300 | 726 |
| * | Parker Drilling Co. | 123,807 | 724 |
| * | Vaalco Energy Inc. | 113,705 | 685 |
| * | Hornbeck Offshore | | |
| | Services Inc. | 24,722 | 680 |
| * | Callon Petroleum Co. | 96,414 | 677 |
| *,^ | BPZ Resources Inc. | 199,958 | 656 |
| | Gulf Island Fabrication Inc. | 20,136 | 650 |
| * | FX Energy Inc. | 70,041 | 615 |
| * | Harvest Natural | | |
| | Resources Inc. | 55,304 | 610 |
| | Crosstex Energy Inc. | 50,376 | 599 |
| * | Amyris Inc. | 21,002 | 590 |
| | Delek US Holdings Inc. | 36,024 | 566 |
| * | GMX Resources Inc. | 126,772 | 564 |
| * | Cheniere Energy Inc. | 60,572 | 555 |
| * | Matrix Service Co. | 40,718 | 545 |
| | Targa Resources Corp. | 15,638 | 523 |
| * | Energy Partners Ltd. | 33,903 | 502 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Goodrich Petroleum Corp. | 27,255 | 502 |
| | Alon USA Energy Inc. | 43,354 | 489 |
| * | Resolute Energy Corp. | 27,005 | 436 |
| * | Triangle Petroleum Corp. | 64,939 | 420 |
| * | Magnum Hunter | | |
| | Resources Corp. | 61,728 | 417 |
| * | Dawson Geophysical Co. | 12,179 | 416 |
| * | Hyperdynamics Corp. | 86,418 | 372 |
| * | USEC Inc. | 110,834 | 370 |
| * | Tesco Corp. | 18,504 | 359 |
| * | Petroquest Energy Inc. | 47,148 | 331 |
| * | OYO Geospace Corp. | 3,275 | 328 |
| * | Venoco Inc. | 21,854 | 278 |
| * | Oilsands Quest Inc. | 869,328 | 278 |
| * | Natural Gas Services | | |
| | Group Inc. | 16,485 | 266 |
| * | Willbros Group Inc. | 29,763 | 254 |
| | General Maritime Corp. | 184,620 | 249 |
| * | PHI Inc. | 9,055 | 197 |
| * | Bolt Technology Corp. | 15,395 | 191 |
| * | Double Eagle Petroleum Co. | 21,047 | 184 |
| * | CREDO Petroleum Corp. | 19,272 | 181 |
| * | Georesources Inc. | 7,988 | 180 |
| * | Gastar Exploration Ltd. | 51,818 | 178 |
| * | Mitcham Industries Inc. | 9,973 | 173 |
| * | Delta Petroleum Corp. | 346,916 | 172 |
| * | Rex Energy Corp. | 16,544 | 170 |
| * | Westmoreland Coal Co. | 9,078 | 161 |
| * | Geokinetics Inc. | 19,185 | 151 |
| * | Warren Resources Inc. | 37,647 | 143 |
| * | CAMAC Energy Inc. | 99,482 | 132 |
| * | Union Drilling Inc. | 12,160 | 125 |
| | Adams Resources & | | |
| | Energy Inc. | 4,551 | 116 |
| * | ENGlobal Corp. | 26,662 | 81 |
| * | Evergreen Energy Inc. | 40,683 | 73 |
| * | REX American | | |
| | Resources Corp. | 4,267 | 71 |
| * | Toreador Resources Corp. | 18,622 | 69 |
| * | HKN Inc. | 28,657 | 65 |
| *,^ | TransAtlantic Petroleum Ltd. | 36,700 | 62 |
| * | Green Plains Renewable | | |
| | Energy Inc. | 5,716 | 62 |
| * | Rentech Inc. | 58,126 | 62 |
| * | Vantage Drilling Co. | 31,079 | 57 |
| | Panhandle Oil and | | |
| | Gas Inc. Class A | 1,562 | 46 |
| *,^ | Uranium Energy Corp. | 14,828 | 45 |
| * | Global Geophysical | | |
| | Services Inc. | 2,533 | 45 |
| * | Syntroleum Corp. | 28,793 | 42 |
| * | Evolution Petroleum Corp. | 5,951 | 42 |
| | Houston American | | |
| | Energy Corp. | 1,694 | 31 |
| * | Gasco Energy Inc. | 117,639 | 26 |
| *,^ | Cano Petroleum Inc. | 49,785 | 16 |
15
| | | |
| Institutional Total Stock Market Index Fund |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Uranium Resources Inc. | 8,178 | 14 |
| * | Barnwell Industries Inc. | 2,036 | 11 |
| * | GeoGlobal Resources Inc. | 19,882 | 9 |
| * | Atlas Energy Inc. Escrow | 82,734 | 8 |
| * | Verenium Corp. | 2,972 | 5 |
| * | RAM Energy Resources Inc. | 4,137 | 5 |
| *,^ | Pacific Ethanol Inc. | 3,910 | 4 |
| * | TGC Industries Inc. | 408 | 3 |
| * | Uranerz Energy Corp. | 381 | 1 |
| * | Isramco Inc. | 8 | 1 |
| * | PrimeEnergy Corp. | 10 | — |
| * | GeoMet Inc. | 161 | — |
| * | Cubic Energy Inc. | 223 | — |
| * | Tri-Valley Corp. | 249 | — |
| * | GreenHunter Energy Inc. | 41 | — |
| | | | 1,996,468 |
| Financials (15.4%) | | |
| | JPMorgan Chase & Co. | 4,539,723 | 185,856 |
| | Wells Fargo & Co. | 5,703,546 | 160,042 |
| | Citigroup Inc. | 3,311,320 | 137,883 |
| | Bank of America Corp. | 11,534,332 | 126,416 |
| | Goldman Sachs Group Inc. | 563,544 | 75,002 |
| * | Berkshire Hathaway Inc. | | |
| | Class B | 960,289 | 74,317 |
| | American Express Co. | 1,233,334 | 63,763 |
| | US Bancorp | 2,190,386 | 55,877 |
| | MetLife Inc. | 1,202,536 | 52,755 |
| | Simon Property Group Inc. | 333,928 | 38,812 |
| | Morgan Stanley | 1,585,296 | 36,478 |
| | Bank of New York | | |
| | Mellon Corp. | 1,415,288 | 36,260 |
| | PNC Financial Services | | |
| | Group Inc. | 599,230 | 35,720 |
| | Prudential Financial Inc. | 551,640 | 35,079 |
| | Travelers Cos. Inc. | 491,276 | 28,681 |
| | Capital One Financial Corp. | 516,077 | 26,666 |
| | State Street Corp. | 572,391 | 25,809 |
| | ACE Ltd. | 382,449 | 25,173 |
| | Aflac Inc. | 535,918 | 25,017 |
| | Franklin Resources Inc. | 177,972 | 23,366 |
| | BB&T Corp. | 791,616 | 21,247 |
| | CME Group Inc. | 72,591 | 21,167 |
| | ChubbCorp. | 336,525 | 21,070 |
| | BlackRock Inc. | 105,192 | 20,177 |
| | EquityResidential | 335,058 | 20,103 |
| | Marsh & McLennan | | |
| | Cos. Inc. | 620,074 | 19,340 |
| | CharlesSchwab Corp. | 1,165,630 | 19,175 |
| | Public Storage | 163,956 | 18,693 |
| | ProLogis Inc. | 517,911 | 18,562 |
| | Allstate Corp. | 603,814 | 18,434 |
| | T Rowe Price Group Inc. | 295,204 | 17,813 |
| | Vornado Realty Trust | 188,405 | 17,556 |
| | AON Corp. | 341,686 | 17,528 |
| | Boston Properties Inc. | 162,607 | 17,262 |
| | HCP Inc. | 457,606 | 16,790 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Discover Financial Services | 621,467 | 16,624 |
| | Annaly Capital | | |
| | Management Inc. | 916,531 | 16,534 |
| | Ameriprise Financial Inc. | 280,996 | 16,208 |
| | Loews Corp. | 377,257 | 15,879 |
| | American International | | |
| | Group Inc. | 540,423 | 15,845 |
| | SunTrust Banks Inc. | 610,546 | 15,752 |
| | Progressive Corp. | 714,617 | 15,279 |
| | Weyerhaeuser Co. | 611,145 | 13,360 |
| | Fifth Third Bancorp | 1,045,916 | 13,335 |
| | Host Hotels & Resorts Inc. | 775,460 | 13,144 |
| | Hartford Financial | | |
| | Services Group Inc. | 481,497 | 12,697 |
| | AvalonBay | | |
| | Communities Inc. | 98,201 | 12,609 |
| | Invesco Ltd. | 524,711 | 12,278 |
| | Northern Trust Corp. | 248,387 | 11,416 |
| | M&T Bank Corp. | 128,205 | 11,276 |
| | Principal Financial | | |
| | Group Inc. | 365,613 | 11,122 |
| * | Intercontinental Exchange Inc. | 83,680 | 10,436 |
| | Health Care REIT Inc. | 196,176 | 10,286 |
| | Lincoln National Corp. | 359,907 | 10,254 |
| | NYSE Euronext | 297,676 | 10,201 |
| | SLM Corp. | 600,496 | 10,094 |
| | Ventas Inc. | 185,759 | 9,791 |
| * | CIT Group Inc. | 216,891 | 9,600 |
| | KeyCorp | 1,083,683 | 9,027 |
| | Moody’s Corp. | 235,372 | 9,027 |
| | Unum Group | 352,923 | 8,992 |
| | Regions Financial Corp. | 1,433,448 | 8,887 |
| | Kimco Realty Corp. | 463,232 | 8,635 |
| * | CB Richard Ellis Group Inc. | | |
| | Class A | 331,912 | 8,334 |
| | General Growth | | |
| | Properties Inc. | 493,528 | 8,237 |
| | Leucadia National Corp. | 236,686 | 8,071 |
| | Macerich Co. | 148,644 | 7,952 |
| | XL Group plc Class A | 354,505 | 7,792 |
| | Willis Group Holdings plc | 185,494 | 7,626 |
| | Plum Creek Timber Co. Inc. | 184,500 | 7,480 |
| | SL Green Realty Corp. | 90,030 | 7,461 |
| | New York Community | | |
| | Bancorp Inc. | 496,570 | 7,444 |
| | Comerica Inc. | 201,501 | 6,966 |
| | Huntington Bancshares Inc. | 983,972 | 6,455 |
| | Digital Realty Trust Inc. | 104,242 | 6,440 |
| | Rayonier Inc. | 92,396 | 6,038 |
| | Federal Realty | | |
| | Investment Trust | 70,225 | 5,982 |
| | Nationwide Health | | |
| | Properties Inc. | 144,226 | 5,972 |
| * | Affiliated Managers | | |
| | Group Inc. | 58,868 | 5,972 |
16
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | People’s United | | |
| | Financial Inc. | 437,802 | 5,884 |
| * | Genworth Financial Inc. | | |
| | Class A | 558,306 | 5,739 |
| | American Capital | | |
| | Agency Corp. | 196,120 | 5,709 |
| | Torchmark Corp. | 88,891 | 5,701 |
| | Legg Mason Inc. | 164,852 | 5,401 |
| | Alexandria Real Estate | | |
| | Equities Inc. | 69,089 | 5,349 |
| | Cincinnati Financial Corp. | 176,501 | 5,150 |
| * | MSCI Inc. Class A | 136,459 | 5,142 |
| | UDR Inc. | 207,994 | 5,106 |
| | TD Ameritrade | | |
| | Holding Corp. | 261,568 | 5,103 |
| | Reinsurance Group of | | |
| | America Inc. Class A | 83,678 | 5,093 |
| | EverestRe Group Ltd. | 62,030 | 5,071 |
| | Camden Property Trust | 79,586 | 5,063 |
| | PartnerRe Ltd. | 73,204 | 5,040 |
| | Zions Bancorporation | 208,336 | 5,002 |
| * | Berkshire Hathaway Inc. | | |
| | Class A | 43 | 4,993 |
| | Essex Property Trust Inc. | 36,673 | 4,961 |
| * | Arch Capital Group Ltd. | 153,658 | 4,905 |
| | Marshall & Ilsley Corp. | 602,539 | 4,802 |
| | Realty Income Corp. | 143,307 | 4,799 |
| | First Niagara Financial | | |
| | Group Inc. | 351,941 | 4,646 |
| | Jones Lang LaSalle Inc. | 48,894 | 4,611 |
| | WR Berkley Corp. | 136,634 | 4,432 |
| | Hudson City Bancorp Inc. | 540,256 | 4,425 |
| | Liberty Property Trust | 130,643 | 4,256 |
| | RenaissanceRe | | |
| | Holdings Ltd. | 60,252 | 4,215 |
| * | Markel Corp. | 10,523 | 4,176 |
| | BRE Properties Inc. | 83,697 | 4,175 |
| | Assurant Inc. | 113,963 | 4,133 |
| | HCC Insurance | | |
| | Holdings Inc. | 131,037 | 4,128 |
| | Regency Centers Corp. | 93,370 | 4,105 |
| | Eaton Vance Corp. | 134,458 | 4,065 |
| | Senior Housing | | |
| | Properties Trust | 173,118 | 4,053 |
| | ChimeraInvestment Corp. | 1,170,522 | 4,050 |
| | Duke Realty Corp. | 287,830 | 4,032 |
| | Piedmont Office Realty | | |
| | Trust Inc. Class A | 196,767 | 4,012 |
| * | E*Trade Financial Corp. | 286,372 | 3,952 |
| | Axis Capital Holdings Ltd. | 127,142 | 3,936 |
| | Raymond James | | |
| | Financial Inc. | 122,109 | 3,926 |
| * | American Capital Ltd. | 390,242 | 3,875 |
| | SEI Investments Co. | 169,760 | 3,821 |
| | Fidelity National | | |
| | Financial Inc. Class A | 242,224 | 3,813 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Taubman Centers Inc. | 63,620 | 3,766 |
| | Ares Capital Corp. | 233,047 | 3,745 |
| | Commerce Bancshares Inc. | 84,309 | 3,625 |
| | Cullen/Frost Bankers Inc. | 62,811 | 3,571 |
| | Waddell & Reed | | |
| | Financial Inc. Class A | 97,977 | 3,561 |
| * | NASDAQ OMX Group Inc. | 140,591 | 3,557 |
| | Brown & Brown Inc. | 138,331 | 3,550 |
| | Arthur J Gallagher & Co. | 123,774 | 3,533 |
| | Transatlantic Holdings Inc. | 71,076 | 3,483 |
| | Apartment Investment & | | |
| | Management Co. | 134,722 | 3,439 |
| | White Mountains | | |
| | Insurance Group Ltd. | 8,180 | 3,437 |
| | East West Bancorp Inc. | 169,442 | 3,424 |
| | Hospitality Properties Trust | 140,733 | 3,413 |
| | Developers Diversified | | |
| | Realty Corp. | 234,249 | 3,303 |
| | Old Republic | | |
| | International Corp. | 280,757 | 3,299 |
| | Weingarten Realty | | |
| | Investors | 130,437 | 3,282 |
| | Mack-Cali Realty Corp. | 97,890 | 3,224 |
| | Jefferies Group Inc. | 157,982 | 3,223 |
| * | Popular Inc. | 1,165,619 | 3,217 |
| | American Financial | | |
| | Group Inc. | 89,796 | 3,205 |
| | MFA Financial Inc. | 394,709 | 3,173 |
| | Assured Guaranty Ltd. | 188,453 | 3,074 |
| | City National Corp. | 53,623 | 2,909 |
| | CBL& Associates | | |
| | Properties Inc. | 160,158 | 2,904 |
| * | SVB Financial Group | 48,368 | 2,888 |
| | BioMed Realty Trust Inc. | 149,634 | 2,879 |
| | First Horizon National Corp. | 300,200 | 2,864 |
| | Hancock Holding Co. | 91,314 | 2,829 |
| | Mid-America Apartment | | |
| | Communities Inc. | 40,716 | 2,747 |
| | Associated Banc-Corp | 197,396 | 2,744 |
| | Highwoods Properties Inc. | 81,761 | 2,709 |
| | American Campus | | |
| | Communities Inc. | 76,147 | 2,705 |
| | Douglas Emmett Inc. | 134,620 | 2,678 |
| * | Signature Bank | 46,278 | 2,647 |
| | Home Properties Inc. | 43,298 | 2,636 |
| * | Forest City Enterprises Inc. | | |
| | Class A | 139,345 | 2,602 |
| | Kilroy Realty Corp. | 65,780 | 2,598 |
| | EquityLifestyle | | |
| | Properties Inc. | 41,384 | 2,584 |
| ^ | Federated Investors Inc. | | |
| | Class B | 106,766 | 2,545 |
| | Bank of Hawaii Corp. | 54,680 | 2,544 |
| | Corporate Office | | |
| | Properties Trust | 81,038 | 2,521 |
| | Valley National Bancorp | 183,744 | 2,501 |
17
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Tanger Factory | | |
| | Outlet Centers | 92,657 | 2,480 |
| | Entertainment | | |
| | Properties Trust | 52,974 | 2,474 |
| | Washington REIT | 75,106 | 2,442 |
| | LaSalle Hotel Properties | 92,545 | 2,438 |
| | Fulton Financial Corp. | 226,969 | 2,431 |
| | Erie Indemnity Co. Class A | 34,018 | 2,406 |
| | Omega Healthcare | | |
| | Investors Inc. | 113,994 | 2,395 |
| * | Allied World Assurance Co. | | |
| | Holdings Ltd. | 41,269 | 2,376 |
| * | Alleghany Corp. | 7,126 | 2,374 |
| | TCF Financial Corp. | 170,072 | 2,347 |
| | National Retail | | |
| | Properties Inc. | 95,475 | 2,340 |
| | Hatteras Financial Corp. | 82,793 | 2,337 |
| * | ProAssurance Corp. | 33,119 | 2,318 |
| | Apollo Investment Corp. | 222,805 | 2,275 |
| | Post Properties Inc. | 55,797 | 2,274 |
| * | CNO Financial Group Inc. | 286,219 | 2,264 |
| | Protective Life Corp. | 97,728 | 2,260 |
| | Validus Holdings Ltd. | 72,559 | 2,246 |
| | Capitol Federal | | |
| | Financial Inc. | 190,928 | 2,245 |
| | CapitalSource Inc. | 348,018 | 2,245 |
| | Prosperity Bancshares Inc. | 50,549 | 2,215 |
| | StanCorp Financial | | |
| | Group Inc. | 52,373 | 2,210 |
| | Starwood Property | | |
| | Trust Inc. | 106,317 | 2,181 |
| | Invesco Mortgage | | |
| | Capital Inc. | 103,090 | 2,178 |
| | FirstMerit Corp. | 131,247 | 2,167 |
| | Extra Space Storage Inc. | 100,687 | 2,148 |
| | CommonWealth REIT | 81,796 | 2,114 |
| | Washington Federal Inc. | 127,490 | 2,095 |
| * | Stifel Financial Corp. | 58,040 | 2,081 |
| | Aspen Insurance | | |
| | Holdings Ltd. | 80,152 | 2,062 |
| | DiamondRock | | |
| | Hospitality Co. | 188,309 | 2,021 |
| | Endurance Specialty | | |
| | Holdings Ltd. | 48,678 | 2,012 |
| * | Howard Hughes Corp. | 30,150 | 1,961 |
| | Cash America | | |
| | International Inc. | 33,549 | 1,941 |
| | Hanover Insurance | | |
| | Group Inc. | 51,339 | 1,936 |
| | Janus Capital Group Inc. | 200,263 | 1,890 |
| | Alterra Capital Holdings Ltd. | 84,344 | 1,881 |
| | SynovusFinancial Corp. | 900,727 | 1,874 |
| | First American | | |
| | Financial Corp. | 118,612 | 1,856 |
| * | Ezcorp Inc. Class A | 51,130 | 1,819 |
| | Webster Financial Corp. | 84,254 | 1,771 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Brandywine Realty Trust | 152,439 | 1,767 |
| | Unitrin Inc. | 59,508 | 1,766 |
| | IberiabankCorp. | 30,510 | 1,759 |
| | DuPont Fabros | | |
| | Technology Inc. | 69,739 | 1,757 |
| | Colonial Properties Trust | 84,850 | 1,731 |
| | BOK Financial Corp. | 31,113 | 1,704 |
| * | Portfolio Recovery | | |
| | Associates Inc. | 19,446 | 1,649 |
| | Westamerica | | |
| | Bancorporation | 33,397 | 1,645 |
| *,^ | St. Joe Co. | 78,766 | 1,641 |
| | Trustmark Corp. | 69,765 | 1,633 |
| | Greenhill & Co. Inc. | 30,328 | 1,632 |
| | Delphi Financial Group Inc. | 55,035 | 1,608 |
| | Potlatch Corp. | 45,445 | 1,603 |
| | Healthcare Realty Trust Inc. | 77,213 | 1,593 |
| | Northwest Bancshares Inc. | 125,286 | 1,576 |
| | UMB Financial Corp. | 36,845 | 1,543 |
| | Umpqua Holdings Corp. | 129,928 | 1,503 |
| | Lexington Realty Trust | 162,686 | 1,485 |
| * | MBIA Inc. | 169,900 | 1,476 |
| | Medical Properties | | |
| | Trust Inc. | 128,300 | 1,475 |
| | DCT Industrial Trust Inc. | 278,631 | 1,457 |
| * | Strategic Hotels & | | |
| | Resorts Inc. | 205,314 | 1,454 |
| | CBOEHoldings Inc. | 58,709 | 1,444 |
| * | Ocwen Financial Corp. | 112,925 | 1,441 |
| | FNBCorp. | 138,814 | 1,437 |
| * | MF Global Holdings Ltd. | 185,307 | 1,434 |
| | First Financial Bancorp | 85,511 | 1,427 |
| | Platinum Underwriters | | |
| | Holdings Ltd. | 42,497 | 1,413 |
| | Capstead Mortgage Corp. | 104,201 | 1,396 |
| | Cathay General Bancorp | 84,991 | 1,393 |
| | Anworth Mortgage | | |
| | Asset Corp. | 184,597 | 1,386 |
| * | World Acceptance Corp. | 21,115 | 1,385 |
| * | First Cash Financial | | |
| | Services Inc. | 32,309 | 1,357 |
| * | First Industrial | | |
| | Realty Trust Inc. | 117,960 | 1,351 |
| | National Health | | |
| | Investors Inc. | 30,392 | 1,350 |
| | Redwood Trust Inc. | 88,731 | 1,342 |
| | RLI Corp. | 21,617 | 1,339 |
| | EquityOne Inc. | 71,708 | 1,337 |
| | Community Bank | | |
| | System Inc. | 53,874 | 1,336 |
| * | PHH Corp. | 63,472 | 1,302 |
| | EastGroup Properties Inc. | 30,614 | 1,301 |
| | International | | |
| | Bancshares Corp. | 77,742 | 1,301 |
| | Astoria Financial Corp. | 101,622 | 1,300 |
| | Sovran Self Storage Inc. | 31,532 | 1,293 |
18
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Wintrust Financial Corp. | 39,661 | 1,276 |
| | Montpelier Re Holdings Ltd. | 70,632 | 1,271 |
| | Alexander’s Inc. | 3,198 | 1,270 |
| * | Dollar Financial Corp. | 58,224 | 1,261 |
| | SymetraFinancial Corp. | 93,824 | 1,260 |
| | CVB Financial Corp. | 135,472 | 1,253 |
| | Mercury General Corp. | 31,329 | 1,237 |
| | Prospect Capital Corp. | 121,836 | 1,232 |
| * | MGIC Investment Corp. | 206,762 | 1,230 |
| | National Penn | | |
| | Bancshares Inc. | 154,483 | 1,225 |
| | First Midwest Bancorp Inc. | 99,652 | 1,225 |
| | NBT Bancorp Inc. | 55,106 | 1,219 |
| | EvercorePartners Inc. | | |
| | Class A | 36,514 | 1,217 |
| * | Sunstone Hotel | | |
| | Investors Inc. | 130,732 | 1,212 |
| | PS Business Parks Inc. | 21,917 | 1,208 |
| | Glimcher Realty Trust | 124,659 | 1,184 |
| | CypressSharpridge | | |
| | Investments Inc. | 91,033 | 1,166 |
| | Susquehanna | | |
| | Bancshares Inc. | 145,447 | 1,164 |
| | Glacier Bancorp Inc. | 86,192 | 1,162 |
| | Acadia Realty Trust | 57,117 | 1,161 |
| | Sterling Bancshares Inc. | 141,950 | 1,158 |
| | optionsXpress Holdings Inc. | 69,172 | 1,154 |
| | First Citizens | | |
| | BancShares Inc. Class A | 6,161 | 1,153 |
| * | Knight Capital Group Inc. | | |
| | Class A | 103,966 | 1,146 |
| | BancorpSouth Inc. | 92,114 | 1,143 |
| | First Financial | | |
| | Bankshares Inc. | 32,809 | 1,130 |
| | Old National Bancorp | 103,377 | 1,116 |
| | United Bankshares Inc. | 45,373 | 1,111 |
| | Columbia Banking | | |
| | System Inc. | 64,392 | 1,109 |
| | Associated Estates | | |
| | Realty Corp. | 68,170 | 1,108 |
| | Cousins Properties Inc. | 128,220 | 1,095 |
| | Bank of the Ozarks Inc. | 20,909 | 1,089 |
| | American Equity | | |
| | Investment Life | | |
| | Holding Co. | 85,032 | 1,081 |
| | Cohen & Steers Inc. | 32,468 | 1,076 |
| | Argo Group International | | |
| | Holdings Ltd. | 36,146 | 1,074 |
| | MBFinancial Inc. | 55,266 | 1,063 |
| * | TFS Financial Corp. | 108,625 | 1,051 |
| | Tower Group Inc. | 43,770 | 1,043 |
| | Franklin Street | | |
| | Properties Corp. | 79,077 | 1,021 |
| * | Texas Capital | | |
| | Bancshares Inc. | 39,481 | 1,020 |
| | Ashford Hospitality Trust Inc. | 79,357 | 988 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Brookline Bancorp Inc. | 103,367 | 958 |
| * | iStar Financial Inc. | 117,482 | 953 |
| | First Commonwealth | | |
| | Financial Corp. | 165,452 | 950 |
| | PacWest Bancorp | 46,168 | 950 |
| | Home Bancshares Inc. | 40,009 | 946 |
| | Hersha Hospitality Trust | | |
| | Class A | 167,744 | 934 |
| | City Holding Co. | 27,991 | 925 |
| | First Potomac Realty Trust | 58,977 | 903 |
| | ChemicalFinancial Corp. | 48,065 | 902 |
| * | Altisource Portfolio | | |
| | Solutions SA | 24,438 | 899 |
| | Selective Insurance | | |
| | Group Inc. | 55,135 | 897 |
| * | Pinnacle Financial | | |
| | Partners Inc. | 57,097 | 888 |
| | PrivateBancorp Inc. Class A | 64,128 | 885 |
| | Park National Corp. | 13,393 | 882 |
| | Provident Financial | | |
| | Services Inc. | 61,300 | 878 |
| | ChesapeakeLodging Trust | 51,126 | 872 |
| | Amtrust Financial | | |
| | Services Inc. | 38,248 | 871 |
| | BlackRock Kelso | | |
| | Capital Corp. | 97,086 | 871 |
| | Boston Private Financial | | |
| | Holdings Inc. | 132,093 | 869 |
| | Independent Bank Corp. | 32,974 | 866 |
| | S&T Bancorp Inc. | 46,020 | 856 |
| | FBLFinancial Group Inc. | | |
| | Class A | 25,970 | 835 |
| * | Investors Bancorp Inc. | 58,598 | 832 |
| * | Encore Capital Group Inc. | 26,864 | 825 |
| | Employers Holdings Inc. | 49,191 | 825 |
| | Dime Community | | |
| | Bancshares Inc. | 56,724 | 825 |
| * | AMERISAFE Inc. | 35,946 | 813 |
| | Newcastle Investment Corp. | 139,048 | 804 |
| | Pebblebrook Hotel Trust | 39,128 | 790 |
| * | Credit Acceptance Corp. | 9,271 | 783 |
| | BGC Partners Inc. Class A | 100,563 | 777 |
| * | ICG Group Inc. | 63,494 | 777 |
| | Oriental Financial Group Inc. | 60,040 | 774 |
| | Saul Centers Inc. | 19,565 | 770 |
| | Radian Group Inc. | 181,980 | 770 |
| * | Financial Engines Inc. | 29,598 | 767 |
| | U-Store-It Trust | 72,823 | 766 |
| | Infinity Property & | | |
| | Casualty Corp. | 13,921 | 761 |
| | TwoHarbors | | |
| | Investment Corp. | 70,293 | 756 |
| ^ | Fifth Street Finance Corp. | 64,707 | 751 |
| | Community Trust | | |
| | Bancorp Inc. | 26,510 | 735 |
19
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | LPL Investment | | |
| | Holdings Inc. | 21,119 | 722 |
| | American National | | |
| | Insurance Co. | 9,307 | 721 |
| | Colony Financial Inc. | 39,750 | 718 |
| * | Navigators Group Inc. | 15,257 | 717 |
| | Flushing Financial Corp. | 55,150 | 717 |
| | Berkshire Hills Bancorp Inc. | 31,808 | 712 |
| | Pennsylvania REIT | 44,956 | 706 |
| | KBWInc. | 37,216 | 696 |
| | Inland Real Estate Corp. | 77,873 | 688 |
| * | Beneficial Mutual | | |
| | Bancorp Inc. | 83,651 | 687 |
| | First Busey Corp. | 129,349 | 684 |
| | Calamos Asset | | |
| | Management Inc. Class A | 46,747 | 679 |
| * | Enstar Group Ltd. | 6,451 | 674 |
| | Primerica Inc. | 30,653 | 673 |
| * | Investment Technology | | |
| | Group Inc. | 47,736 | 669 |
| * | Cowen Group Inc. Class A | 175,841 | 661 |
| | ARMOUR Residential | | |
| | REIT Inc. | 89,700 | 659 |
| | Capital Southwest Corp. | 7,133 | 658 |
| | Cedar Shopping | | |
| | Centers Inc. | 127,279 | 655 |
| | Interactive Brokers | | |
| | Group Inc. | 41,757 | 653 |
| | Flagstone Reinsurance | | |
| | Holdings SA | 74,588 | 629 |
| | Bancfirst Corp. | 16,262 | 628 |
| | Cardinal Financial Corp. | 56,785 | 622 |
| | Duff & Phelps Corp. Class A | 47,678 | 612 |
| | CreXus Investment Corp. | 54,889 | 610 |
| | Government Properties | | |
| | Income Trust | 22,556 | 609 |
| | Arlington Asset | | |
| | Investment Corp. Class A | 19,408 | 609 |
| | Provident New York Bancorp | 72,313 | 605 |
| | LTC Properties Inc. | 21,712 | 604 |
| * | FPIC Insurance Group Inc. | 14,491 | 604 |
| | Horace Mann | | |
| | Educators Corp. | 38,485 | 601 |
| | Federal Agricultural | | |
| | Mortgage Corp. | 27,107 | 600 |
| * | Piper Jaffray Cos. | 20,797 | 599 |
| | Advance America Cash | | |
| | Advance Centers Inc. | 86,730 | 598 |
| | Hudson Valley Holding Corp. | 30,115 | 582 |
| | Solar Capital Ltd. | 23,374 | 577 |
| | MarketAxess Holdings Inc. | 22,934 | 575 |
| * | Greenlight Capital Re Ltd. | | |
| | Class A | 21,846 | 574 |
| | Nelnet Inc. Class A | 25,846 | 570 |
| * | Intl. FCStone Inc. | 23,544 | 570 |
| | Agree Realty Corp. | 25,488 | 569 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Safety Insurance Group Inc. | 13,538 | 569 |
| | Northfield Bancorp Inc. | 40,419 | 568 |
| | Arrow Financial Corp. | 23,156 | 567 |
| * | Hilltop Holdings Inc. | 63,600 | 562 |
| * | Citizens Republic | | |
| | Bancorp Inc. | 812,833 | 561 |
| * | Pico Holdings Inc. | 19,314 | 560 |
| | NorthStar Realty | | |
| | Finance Corp. | 137,540 | 554 |
| * | Global Indemnity plc | 24,753 | 549 |
| | Oritani Financial Corp. | 42,790 | 547 |
| | Banner Corp. | 30,735 | 538 |
| | Abington Bancorp Inc. | 51,410 | 536 |
| | GFI Group Inc. | 115,746 | 531 |
| | Camden National Corp. | 16,133 | 529 |
| | BankFinancial Corp. | 61,769 | 523 |
| | Trustco Bank Corp. NY | 104,615 | 513 |
| | Education Realty Trust Inc. | 59,564 | 510 |
| | Hercules Technology | | |
| | Growth Capital Inc. | 48,420 | 509 |
| | GAMCOInvestors Inc. | 10,912 | 505 |
| | Investors Real Estate Trust | 57,991 | 502 |
| | Sun Communities Inc. | 13,231 | 494 |
| | Excel Trust Inc. | 44,562 | 492 |
| | Southside Bancshares Inc. | 24,408 | 484 |
| | WesBanco Inc. | 24,622 | 484 |
| | Getty Realty Corp. | 19,103 | 482 |
| | MCG Capital Corp. | 78,902 | 480 |
| | Bancorp Rhode Island Inc. | 10,537 | 478 |
| * | Avatar Holdings Inc. | 31,176 | 474 |
| | Lakeland Financial Corp. | 20,916 | 466 |
| * | Ameris Bancorp | 52,129 | 462 |
| | Simmons First National | | |
| | Corp. Class A | 17,629 | 452 |
| * | Forestar Group Inc. | 27,412 | 450 |
| | ViewPoint Financial Group | 32,612 | 450 |
| | ChathamLodging Trust | 27,665 | 446 |
| * | Citizens Inc. | 64,960 | 443 |
| | Bank of Marin Bancorp | 12,360 | 437 |
| * | FelCor Lodging Trust Inc. | 81,358 | 434 |
| | Artio Global Investors Inc. | | |
| | Class A | 37,896 | 428 |
| | Harleysville Group Inc. | 13,478 | 420 |
| | Walter Investment | | |
| | Management Corp. | 18,921 | 420 |
| * | Green Dot Corp. Class A | 12,100 | 411 |
| * | Phoenix Cos. Inc. | 165,792 | 408 |
| | Gladstone Capital Corp. | 44,033 | 407 |
| | Presidential Life Corp. | 38,884 | 406 |
| | Alliance Financial Corp. | 13,058 | 399 |
| | Meadowbrook Insurance | | |
| | Group Inc. | 39,838 | 395 |
| | Bryn Mawr Bank Corp. | 19,449 | 394 |
| | Cogdell Spencer Inc. | 63,859 | 383 |
| * | HFF Inc. Class A | 25,295 | 382 |
| * | Arbor Realty Trust Inc. | 81,287 | 380 |
20
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | CoBiz Financial Inc. | 58,069 | 380 |
| | Ames National Corp. | 20,535 | 373 |
| *,^ | Capital Trust Inc. Class A | 96,253 | 373 |
| * | Central Pacific | | |
| | Financial Corp. | 26,155 | 366 |
| | Renasant Corp. | 25,177 | 365 |
| * | National Financial | | |
| | Partners Corp. | 30,911 | 357 |
| | Consolidated-Tomoka | | |
| | Land Co. | 12,327 | 353 |
| | Bank Mutual Corp. | 96,009 | 352 |
| | Republic Bancorp Inc. | | |
| | Class A | 17,608 | 350 |
| | SCBT Financial Corp. | 12,188 | 350 |
| | Great Southern Bancorp Inc. | 18,410 | 349 |
| | Baldwin & Lyons Inc. | 14,938 | 346 |
| | First Merchants Corp. | 38,367 | 343 |
| | 1st Source Corp. | 16,281 | 338 |
| | United Fire & Casualty Co. | 19,262 | 335 |
| | Maiden Holdings Ltd. | 36,089 | 328 |
| * | BRT Realty Trust | 51,374 | 324 |
| * | PMI Group Inc. | 301,471 | 323 |
| * | Gleacher & Co. Inc. | 158,064 | 322 |
| | Centerstate Banks Inc. | 44,258 | 306 |
| * | Nara Bancorp Inc. | 37,229 | 303 |
| | Parkway Properties Inc. | 17,730 | 302 |
| | Capital City Bank Group Inc. | 29,455 | 302 |
| * | Safeguard Scientifics Inc. | 15,984 | 302 |
| * | Doral Financial Corp. | 152,143 | 298 |
| | Edelman Financial | | |
| | Group Inc. | 37,653 | 297 |
| | Gladstone Investment Corp. | 41,355 | 295 |
| | Lakeland Bancorp Inc. | 29,392 | 293 |
| * | MPG Office Trust Inc. | 102,026 | 292 |
| * | Marlin Business | | |
| | Services Corp. | 22,605 | 286 |
| | Hudson Pacific | | |
| | Properties Inc. | 18,281 | 284 |
| | PennantPark | | |
| | Investment Corp. | 24,878 | 279 |
| * | FBR & Co. | 81,335 | 277 |
| * | Western Alliance Bancorp | 38,808 | 276 |
| | Donegal Group Inc. Class A | 21,253 | 272 |
| | National Western Life | | |
| | Insurance Co. Class A | 1,687 | 269 |
| | Sabra Healthcare REIT Inc. | 16,003 | 267 |
| * | eHealth Inc. | 19,983 | 267 |
| *,^ | Sterling Financial Corp. | 15,672 | 252 |
| * | Center Financial Corp. | 39,615 | 252 |
| * | Meridian Interstate | | |
| | Bancorp Inc. | 18,299 | 251 |
| * | Ladenburg Thalmann | | |
| | Financial Services Inc. | 179,035 | 247 |
| * | Virtus Investment | | |
| | Partners Inc. | 4,060 | 246 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | American Safety Insurance | | |
| | Holdings Ltd. | 12,865 | 246 |
| | ESSA Bancorp Inc. | 19,791 | 246 |
| * | Gramercy Capital Corp. | 81,049 | 246 |
| * | First Defiance Financial Corp. | 16,666 | 245 |
| * | Tejon Ranch Co. | 7,130 | 243 |
| | Crawford & Co. Class B | 34,032 | 241 |
| | Apollo Commercial Real | | |
| | Estate Finance Inc. | 14,779 | 238 |
| | SY Bancorp Inc. | 10,072 | 234 |
| | Retail Opportunity | | |
| | Investments Corp. | 21,710 | 234 |
| | Heartland Financial USA Inc. | 15,930 | 232 |
| | Enterprise Financial | | |
| | Services Corp. | 16,922 | 229 |
| | Universal Health Realty | | |
| | Income Trust | 5,609 | 224 |
| | Medallion Financial Corp. | 22,697 | 221 |
| | Sierra Bancorp | 19,154 | 217 |
| | First Financial Holdings Inc. | 23,267 | 209 |
| | US Global Investors Inc. | | |
| | Class A | 28,710 | 207 |
| | First of Long Island Corp. | 7,411 | 207 |
| | Sandy Spring Bancorp Inc. | 11,442 | 206 |
| | DynexCapital Inc. | 20,413 | 198 |
| | Ramco-Gershenson | | |
| | Properties Trust | 15,920 | 197 |
| | American National | | |
| | Bankshares Inc. | 10,688 | 197 |
| | PennyMac Mortgage | | |
| | Investment Trust | 11,525 | 191 |
| | StellarOne Corp. | 15,422 | 187 |
| | EMC Insurance Group Inc. | 9,778 | 187 |
| | First Community | | |
| | Bancshares Inc. | 13,063 | 183 |
| | First Financial Corp. | 5,546 | 182 |
| * | NewStar Financial Inc. | 16,437 | 176 |
| * | First Marblehead Corp. | 97,999 | 173 |
| | Center Bancorp Inc. | 16,612 | 173 |
| | MVC Capital Inc. | 13,096 | 173 |
| ^ | RAITFinancial Trust | 81,174 | 170 |
| | Stewart Information | | |
| | Services Corp. | 16,924 | 170 |
| | Washington Trust | | |
| | Bancorp Inc. | 7,328 | 168 |
| * | AmeriServ Financial Inc. | 88,046 | 168 |
| | Campus Crest | | |
| | Communities Inc. | 12,927 | 167 |
| | Westfield Financial Inc. | 20,216 | 164 |
| *,^ | BankAtlantic Bancorp Inc. | | |
| | Class A | 172,716 | 164 |
| | OneBeacon Insurance | | |
| | Group Ltd. Class A | 12,126 | 162 |
| | Tompkins Financial Corp. | 4,115 | 161 |
| * | Flagstar Bancorp Inc. | 133,173 | 158 |
| | TowneBank | 11,815 | 158 |
21
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Asset Acceptance | | |
| | Capital Corp. | 37,492 | 151 |
| | Urstadt Biddle Properties Inc. | | |
| | Class A | 8,352 | 151 |
| | Asta Funding Inc. | 17,759 | 149 |
| | Resource Capital Corp. | 23,568 | 149 |
| | State Auto Financial Corp. | 8,247 | 144 |
| * | United Community Banks Inc. | 13,586 | 143 |
| | Trico Bancshares | 9,667 | 141 |
| | Bar Harbor Bankshares | 4,984 | 141 |
| * | American Independence | | |
| | Corp. | 24,191 | 140 |
| | SWSGroup Inc. | 22,584 | 135 |
| | Resource America Inc. | | |
| | Class A | 22,622 | 133 |
| | Institutional Financial | | |
| | Markets Inc. | 39,382 | 133 |
| | First Bancorp | 12,435 | 127 |
| | Diamond Hill Investment | | |
| | Group Inc. | 1,514 | 123 |
| | Coresite Realty Corp. | 7,270 | 119 |
| | OceanFirst Financial Corp. | 9,036 | 117 |
| | German American | | |
| | Bancorp Inc. | 6,894 | 114 |
| | Bridge Bancorp Inc. | 5,352 | 114 |
| | CapLease Inc. | 23,004 | 113 |
| | Financial Institutions Inc. | 6,824 | 112 |
| | Kite Realty Group Trust | 22,297 | 111 |
| | Century Bancorp Inc. Class A | 4,130 | 109 |
| | WSFS Financial Corp. | 2,747 | 109 |
| | Investors Title Co. | 2,618 | 105 |
| | SeaBright Holdings Inc. | 10,396 | 103 |
| ^ | Life Partners Holdings Inc. | 29,886 | 103 |
| | CFS Bancorp Inc. | 19,042 | 102 |
| * | Eagle Bancorp Inc. | 7,686 | 102 |
| | Merchants Bancshares Inc. | 4,158 | 102 |
| | Mission West Properties Inc. | 11,214 | 98 |
| | Crawford & Co. Class A | 19,214 | 97 |
| | Kohlberg Capital Corp. | 12,042 | 96 |
| | Oppenheimer Holdings Inc. | | |
| | Class A | 3,280 | 93 |
| | Clifton Savings Bancorp Inc. | 8,188 | 90 |
| * | Guaranty Bancorp | 65,951 | 88 |
| * | Hanmi Financial Corp. | 79,675 | 85 |
| * | Bridge Capital Holdings | 7,649 | 85 |
| *,^ | CIFC Deerfield Corp. | 12,350 | 85 |
| | Main Street Capital Corp. | 4,315 | 82 |
| *,^ | BancTrust Financial | | |
| | Group Inc. | 31,127 | 80 |
| | Univest Corp. of | | |
| | Pennsylvania | 5,060 | 79 |
| * | CompuCredit Holdings Corp. | 33,221 | 77 |
| | Union First Market | | |
| | Bankshares Corp. | 6,274 | 76 |
| * | Cape Bancorp Inc. | 7,639 | 76 |
| | TICC Capital Corp. | 7,631 | 73 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Sterling Bancorp | 7,360 | 70 |
| * | Metro Bancorp Inc. | 6,058 | 69 |
| * | Primus Guaranty Ltd. | 12,484 | 66 |
| | Suffolk Bancorp | 4,640 | 65 |
| | Winthrop Realty Trust | 5,302 | 63 |
| | Kaiser Federal Financial | | |
| | Group Inc. | 5,065 | 62 |
| *,^ | Anchor Bancorp | | |
| | Wisconsin Inc. | 85,708 | 61 |
| * | Thomas Properties | | |
| | Group Inc. | 18,002 | 58 |
| | MainSource Financial | | |
| | Group Inc. | 6,829 | 57 |
| | ESB Financial Corp. | 4,350 | 56 |
| | Monmouth Real Estate | | |
| | Investment Corp. Class A | 6,635 | 56 |
| | Ameriana Bancorp | 11,164 | 56 |
| | One Liberty Properties Inc. | 3,525 | 54 |
| * | First Acceptance Corp. | 28,977 | 54 |
| * | First Financial Northwest Inc. | 10,288 | 52 |
| * | West Coast Bancorp | 2,934 | 49 |
| * | Nicholas Financial Inc. | 4,116 | 49 |
| | Triangle Capital Corp. | 2,607 | 48 |
| | Citizens & Northern Corp. | 3,193 | 48 |
| | First Pactrust Bancorp Inc. | 3,225 | 48 |
| | VIST Financial Corp. | 6,454 | 45 |
| * | Affirmative Insurance | | |
| | Holdings Inc. | 18,300 | 43 |
| * | Southwest Bancorp Inc. | 4,391 | 43 |
| * | Republic First Bancorp Inc. | 19,317 | 43 |
| | Central Bancorp Inc. | 2,000 | 41 |
| * | Hampton Roads | | |
| | Bankshares Inc. | 4,117 | 41 |
| * | Firstcity Financial Corp. | 6,068 | 40 |
| | Golub Capital BDC Inc. | 2,666 | 40 |
| * | NewBridge Bancorp | 8,541 | 39 |
| | Roma Financial Corp. | 3,657 | 38 |
| | Westwood Holdings | | |
| | Group Inc. | 960 | 37 |
| *,^ | First BanCorp | 8,382 | 36 |
| | Peoples Bancorp Inc. | 3,136 | 35 |
| * | Hallmark Financial Services | 4,490 | 35 |
| * | Penson Worldwide Inc. | 9,875 | 35 |
| * | Grubb & Ellis Co. | 106,143 | 34 |
| * | Mercantile Bank Corp. | 4,071 | 34 |
| | UMH Properties Inc. | 3,150 | 34 |
| | PMC Commercial Trust | 3,945 | 33 |
| * | Consumer Portfolio | | |
| | Services Inc. | 27,554 | 33 |
| | CNBFinancial Corp. | 2,306 | 32 |
| * | Atlantic Coast Financial Corp. | 4,671 | 32 |
| | West Bancorporation Inc. | 3,588 | 32 |
| | Eastern Insurance | | |
| | Holdings Inc. | 2,351 | 31 |
| | NGP Capital Resources Co. | 3,760 | 31 |
| * | Bancorp Inc. | 2,941 | 31 |
22
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Pulaski Financial Corp. | 4,255 | 31 |
| | Kansas City Life Insurance Co. | 934 | 29 |
| | North Central Bancshares Inc. | 1,596 | 29 |
| | Gladstone Commercial Corp. | 1,583 | 27 |
| * | Heritage Commerce Corp. | 5,119 | 26 |
| * | American River Bankshares | 4,269 | 26 |
| * | Macatawa Bank Corp. | 9,356 | 26 |
| * | Virginia Commerce | | |
| | Bancorp Inc. | 4,336 | 26 |
| | Eastern Virginia | | |
| | Bankshares Inc. | 7,531 | 25 |
| * | Colony Bankcorp Inc. | 8,747 | 25 |
| * | Maui Land & | | |
| | Pineapple Co. Inc. | 4,926 | 25 |
| | Rockville Financial Inc. | 2,398 | 24 |
| * | Tree.com Inc. | 4,506 | 23 |
| | Kennedy-Wilson Holdings Inc. | 1,868 | 23 |
| * | Stratus Properties Inc. | 1,643 | 22 |
| | FXCM Inc. Class A | 2,200 | 22 |
| | Heritage Financial Corp. | 1,680 | 22 |
| | Alliance Bancorp Inc. | | |
| | of Pennsylvania | 1,919 | 21 |
| | Peapack Gladstone | | |
| | Financial Corp. | 1,781 | 21 |
| | Bank of Kentucky | | |
| | Financial Corp. | 937 | 21 |
| | Meta Financial Group Inc. | 1,065 | 20 |
| | Provident Financial | | |
| | Holdings Inc. | 2,366 | 19 |
| * | Sun Bancorp Inc. | 4,829 | 18 |
| | First M&F Corp. | 4,721 | 18 |
| | Independence Holding Co. | 1,651 | 17 |
| * | 21st Century Holding Co. | 6,330 | 17 |
| * | BCSB Bancorp Inc. | 1,216 | 17 |
| * | First Place Financial Corp. | 14,860 | 17 |
| | ShoreBancshares Inc. | 2,438 | 17 |
| | Citizens South Banking Corp. | 4,075 | 17 |
| * | Waterstone Financial Inc. | 7,258 | 16 |
| | National Interstate Corp. | 710 | 16 |
| * | Camco Financial Corp. | 8,557 | 15 |
| | Federal Agricultural | | |
| | Mortgage Corp. Class A | 1,021 | 15 |
| * | Wilshire Bancorp Inc. | 4,940 | 15 |
| | TF Financial Corp. | 662 | 14 |
| * | Pacific Mercantile Bancorp | 3,311 | 14 |
| * | North Valley Bancorp | 1,335 | 14 |
| * | Green Bankshares Inc. | 5,230 | 14 |
| | First South Bancorp Inc. | 3,190 | 14 |
| | Codorus Valley Bancorp Inc. | 1,213 | 13 |
| | Home Federal Bancorp Inc. | 1,068 | 12 |
| | HopFed Bancorp Inc. | 1,384 | 11 |
| | Epoch Holding Corp. | 601 | 11 |
| * | United Community | | |
| | Financial Corp. | 7,740 | 10 |
| | First United Corp. | 1,861 | 9 |
| * | Unity Bancorp Inc. | 1,345 | 9 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Indiana Community Bancorp | 461 | 8 |
| | Middleburg Financial Corp. | 539 | 8 |
| | Parkvale Financial Corp. | 349 | 8 |
| * | Seacoast Banking Corp. | | |
| | of Florida | 4,924 | 7 |
| * | Farmers Capital Bank Corp. | 1,229 | 6 |
| | State Bancorp Inc. | 441 | 6 |
| | Wayne Savings | | |
| | Bancshares Inc. | 693 | 6 |
| | Northrim BanCorp Inc. | 303 | 6 |
| * | Preferred Bank | 793 | 6 |
| * | Jefferson Bancshares Inc. | 1,639 | 5 |
| | Firstbank Corp. | 878 | 5 |
| | MutualFirst Financial Inc. | 544 | 5 |
| | HF Financial Corp. | 396 | 4 |
| * | HMN Financial Inc. | 1,737 | 4 |
| * | Timberland Bancorp Inc. | 706 | 4 |
| * | Premierwest Bancorp | 2,834 | 4 |
| ^ | Old Second Bancorp Inc. | 4,290 | 4 |
| * | ZipRealty Inc. | 1,295 | 3 |
| * | Royal Bancshares of | | |
| | Pennsylvania Inc. | 1,796 | 3 |
| | Peoples Financial Corp. | 187 | 3 |
| * | Independent Bank Corp. | 1,015 | 2 |
| | Territorial Bancorp Inc. | 91 | 2 |
| | United Financial Bancorp Inc. | 109 | 2 |
| | First Interstate Bancsystem Inc. | 110 | 2 |
| | THLCredit Inc. | 117 | 2 |
| | Washington Banking Co. | 114 | 2 |
| * | First Financial Service Corp. | 438 | 1 |
| | Orrstown Financial | | |
| | Services Inc. | 53 | 1 |
| | National Bankshares Inc. | 51 | 1 |
| | Pacific Continental Corp. | 130 | 1 |
| * | Harris & Harris Group Inc. | 229 | 1 |
| | Terreno Realty Corp. | 65 | 1 |
| | Tower Bancorp Inc. | 40 | 1 |
| * | 1st United Bancorp Inc. | 175 | 1 |
| * | MetroCorp Bancshares Inc. | 159 | 1 |
| | Penns Woods Bancorp Inc. | 27 | 1 |
| | First Bancorp Inc. | 62 | 1 |
| * | Home Bancorp Inc. | 53 | 1 |
| | JMP Group Inc. | 111 | 1 |
| | Midsouth Bancorp Inc. | 54 | 1 |
| | Legacy Bancorp Inc. | 52 | 1 |
| * | Valley National Bancorp | | |
| | Warrants Exp. 06/30/2015 | 240 | 1 |
| | United Security Bancshares | 128 | 1 |
| * | Encore Bancshares Inc. | 51 | 1 |
| * | Taylor Capital Group Inc. | 75 | 1 |
| | Universal Insurance | | |
| | Holdings Inc. | 131 | 1 |
| | Fox Chase Bancorp Inc. | 43 | 1 |
| | Citizens Holding Co. | 29 | 1 |
| | New Hampshire Thrift | | |
| | Bancshares Inc. | 41 | 1 |
23
| | | |
| Institutional Total Stock Market Index Fund |
| |
| |
| |
| | | | Market |
| | | | Value |
| | Shares | ($000) |
| * | Princeton National | | |
| | Bancorp Inc. | 100 | 1 |
| | C&F Financial Corp. | 23 | — |
| | OhioValley Banc Corp. | 28 | — |
| | Union Bankshares Inc. | 25 | — |
| | Horizon Bancorp | 18 | — |
| | Hingham Institution for Savings | 9 | — |
| | Norwood Financial Corp. | 18 | — |
| | Oneida Financial Corp. | 52 | — |
| * | Intervest Bancshares Corp. | | |
| | Class A | 131 | — |
| | Auburn National | | |
| | Bancorporation Inc. | 18 | — |
| | QC Holdings Inc. | 88 | — |
| | Commercial National | | |
| | Financial Corp. | 17 | — |
| | Old Point Financial Corp. | 27 | — |
| | SI Financial Group Inc. | 31 | — |
| | California First National Bancorp | 19 | — |
| | Salisbury Bancorp Inc. | 11 | — |
| | LNBBancorp Inc. | 46 | — |
| | Landmark Bancorp Inc. | 16 | — |
| * | 1st Constitution Bancorp | 31 | — |
| * | Yadkin Valley Financial Corp. | 114 | — |
| | Community Bank Shares | | |
| | of Indiana Inc. | 22 | — |
| | Hawthorn Bancshares Inc. | 28 | — |
| | CheviotFinancial Corp. | 23 | — |
| * | Community Capital Corp. | 66 | — |
| | United Bancshares Inc. | 23 | — |
| * | First Citizens Banc Corp. | 54 | — |
| * | Community Bankers | | |
| | Trust Corp. | 151 | — |
| * | Tower Financial Corp. | 24 | — |
| | Mid Penn Bancorp Inc. | 24 | — |
| * | United Security Bancshares | 57 | — |
| | ECB Bancorp Inc. | 16 | — |
| * | Rodman & Renshaw | | |
| | Capital Group Inc. | 129 | — |
| * | MBT Financial Corp. | 114 | — |
| * | Summit Financial Group Inc. | 44 | — |
| * | Severn Bancorp Inc. | 41 | — |
| * | Southern Community | | |
| | Financial Corp. | 118 | — |
| | National Security Group Inc. | 11 | — |
| * | Vestin Realty Mortgage II Inc. | 90 | — |
| | Porter Bancorp Inc. | 25 | — |
| | Prudential Bancorp Inc. | | |
| | of Pennsylvania | 19 | — |
| * | WSB Holdings Inc. | 35 | — |
| | WVS Financial Corp. | 11 | — |
| * | First Security Group Inc. | 116 | — |
| * | Transcontinental Realty | | |
| | Investors Inc. | 12 | — |
| * | Berkshire Bancorp Inc. | 1 | — |
| | | | 2,646,884 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| Health Care (11.6%) | | |
| | Johnson & Johnson | 3,117,181 | 207,355 |
| | Pfizer Inc. | 9,111,587 | 187,699 |
| | Merck & Co. Inc. | 3,513,599 | 123,995 |
| | Abbott Laboratories | 1,763,759 | 92,809 |
| | UnitedHealth Group Inc. | 1,246,498 | 64,294 |
| * | Amgen Inc. | 1,062,745 | 62,011 |
| | Bristol-Myers Squibb Co. | 1,940,172 | 56,187 |
| | Medtronic Inc. | 1,223,372 | 47,137 |
| | Eli Lilly & Co. | 1,187,390 | 44,563 |
| | Baxter International Inc. | 660,364 | 39,417 |
| * | Gilead Sciences Inc. | 906,369 | 37,533 |
| | WellPoint Inc. | 428,020 | 33,715 |
| * | Celgene Corp. | 536,130 | 32,339 |
| * | Express Scripts Inc. | 571,736 | 30,862 |
| | Covidien plc | 562,828 | 29,959 |
| | Allergan Inc. | 348,385 | 29,003 |
| * | Thermo Fisher | | |
| | Scientific Inc. | 445,231 | 28,668 |
| * | Biogen Idec Inc. | 260,904 | 27,896 |
| * | Medco Health | | |
| | Solutions Inc. | 461,019 | 26,057 |
| | McKesson Corp. | 289,787 | 24,241 |
| | Becton Dickinson and Co. | 252,082 | 21,722 |
| * | Agilent Technologies Inc. | 397,033 | 20,292 |
| | Stryker Corp. | 334,467 | 19,630 |
| | Aetna Inc. | 438,204 | 19,320 |
| | St. Jude Medical Inc. | 390,386 | 18,614 |
| | Cardinal Health Inc. | 398,626 | 18,106 |
| * | Intuitive Surgical Inc. | 44,303 | 16,486 |
| | CIGNA Corp. | 309,201 | 15,902 |
| | Humana Inc. | 192,170 | 15,477 |
| * | Zimmer Holdings Inc. | 218,954 | 13,838 |
| | AmerisourceBergen Corp. | | |
| | Class A | 312,374 | 12,932 |
| * | Forest Laboratories Inc. | 326,079 | 12,828 |
| * | Mylan Inc. | 498,118 | 12,289 |
| * | Vertex Pharmaceuticals Inc. | 232,957 | 12,111 |
| * | Boston Scientific Corp. | 1,736,108 | 11,997 |
| | Quest Diagnostics Inc. | 195,133 | 11,532 |
| * | Edwards Lifesciences Corp. | 130,945 | 11,416 |
| * | Laboratory Corp. of | | |
| | America Holdings | 115,920 | 11,220 |
| * | Illumina Inc. | 145,501 | 10,934 |
| * | Hospira Inc. | 189,935 | 10,762 |
| * | Life Technologies Corp. | 205,194 | 10,684 |
| | CR Bard Inc. | 96,949 | 10,651 |
| * | Waters Corp. | 104,139 | 9,970 |
| * | Cerner Corp. | 161,539 | 9,872 |
| * | Watson | | |
| | Pharmaceuticals Inc. | 143,422 | 9,857 |
| * | Alexion | | |
| | Pharmaceuticals Inc. | 208,183 | 9,791 |
| * | Varian Medical | | |
| | Systems Inc. | 136,866 | 9,583 |
| * | DaVita Inc. | 109,436 | 9,478 |
24
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Perrigo Co. | 94,725 | 8,324 |
| * | Henry Schein Inc. | 104,801 | 7,503 |
| * | CareFusion Corp. | 254,304 | 6,909 |
| * | Cephalon Inc. | 86,357 | 6,900 |
| * | Dendreon Corp. | 168,054 | 6,628 |
| * | Coventry Health Care Inc. | 170,697 | 6,225 |
| * | Mettler-Toledo | | |
| | International Inc. | 36,906 | 6,225 |
| | DENTSPLY | | |
| | International Inc. | 162,063 | 6,171 |
| * | HCA Holdings Inc. | 182,669 | 6,028 |
| * | Hologic Inc. | 297,301 | 5,997 |
| * | ResMed Inc. | 174,808 | 5,410 |
| * | Endo Pharmaceuticals | | |
| | Holdings Inc. | 133,741 | 5,372 |
| | Universal Health | | |
| | Services Inc. Class B | 102,784 | 5,296 |
| * | Human Genome | | |
| | Sciences Inc. | 215,444 | 5,287 |
| * | IDEXX Laboratories Inc. | 65,374 | 5,070 |
| * | Pharmasset Inc. | 42,219 | 4,737 |
| * | Regeneron | | |
| | Pharmaceuticals Inc. | 80,097 | 4,542 |
| * | Kinetic Concepts Inc. | 73,870 | 4,257 |
| | Omnicare Inc. | 133,251 | 4,249 |
| * | Allscripts Healthcare | | |
| | Solutions Inc. | 216,741 | 4,209 |
| | Cooper Cos. Inc. | 52,977 | 4,198 |
| * | Covance Inc. | 68,889 | 4,090 |
| * | AMERIGROUP Corp. | 56,493 | 3,981 |
| * | Mednax Inc. | 54,700 | 3,949 |
| | Warner Chilcott plc Class A | 158,917 | 3,835 |
| * | Gen-Probe Inc. | 55,114 | 3,811 |
| | Patterson Cos. Inc. | 111,987 | 3,683 |
| | PerkinElmer Inc. | 129,262 | 3,478 |
| * | Tenet Healthcare Corp. | 553,857 | 3,456 |
| * | BioMarin Pharmaceutical Inc. | 126,213 | 3,434 |
| * | Health Net Inc. | 106,357 | 3,413 |
| * | Sirona Dental Systems Inc. | 64,018 | 3,399 |
| * | Alere Inc. | 91,882 | 3,365 |
| | Techne Corp. | 40,186 | 3,350 |
| | Pharmaceutical Product | | |
| | Development Inc. | 124,802 | 3,350 |
| * | Healthspring Inc. | 72,087 | 3,324 |
| | Hill-Rom Holdings Inc. | 71,984 | 3,314 |
| * | United Therapeutics Corp. | 59,331 | 3,269 |
| | Lincare Holdings Inc. | 109,790 | 3,214 |
| * | Health Management | | |
| | Associates Inc. Class A | 287,011 | 3,094 |
| * | Brookdale Senior Living Inc. | | |
| | Class A | 117,047 | 2,838 |
| * | Catalyst Health | | |
| | Solutions Inc. | 50,629 | 2,826 |
| * | Healthsouth Corp. | 106,397 | 2,793 |
| | Teleflex Inc. | 45,670 | 2,789 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Community Health | | |
| | Systems Inc. | 105,717 | 2,715 |
| * | Salix Pharmaceuticals Ltd. | 66,360 | 2,643 |
| | Medicis Pharmaceutical | | |
| | Corp. Class A | 69,149 | 2,639 |
| * | Bio-Rad Laboratories Inc. | | |
| | Class A | 22,007 | 2,627 |
| * | Onyx Pharmaceuticals Inc. | 71,884 | 2,538 |
| * | WellCare Health Plans Inc. | 48,541 | 2,496 |
| | Owens& Minor Inc. | 72,333 | 2,495 |
| * | Cubist Pharmaceuticals Inc. | 67,839 | 2,442 |
| * | HMS Holdings Corp. | 31,744 | 2,440 |
| * | Cepheid Inc. | 69,678 | 2,414 |
| * | Incyte Corp. Ltd. | 126,624 | 2,398 |
| | STERIS Corp. | 67,632 | 2,366 |
| * | Myriad Genetics Inc. | 102,523 | 2,328 |
| * | LifePoint Hospitals Inc. | 58,751 | 2,296 |
| * | Seattle Genetics Inc. | 109,786 | 2,253 |
| * | Charles River Laboratories | | |
| | International Inc. | 54,771 | 2,226 |
| * | Thoratec Corp. | 66,618 | 2,186 |
| * | Centene Corp. | 59,343 | 2,108 |
| * | Magellan Health | | |
| | Services Inc. | 37,870 | 2,073 |
| * | Alkermes Inc. | 109,243 | 2,032 |
| | Quality Systems Inc. | 23,100 | 2,017 |
| * | Amylin Pharmaceuticals Inc. | 149,193 | 1,993 |
| * | VCA Antech Inc. | 92,802 | 1,967 |
| * | InterMune Inc. | 54,152 | 1,941 |
| * | Volcano Corp. | 59,409 | 1,918 |
| * | Haemonetics Corp. | 28,874 | 1,859 |
| | Masimo Corp. | 61,515 | 1,826 |
| * | Theravance Inc. | 80,079 | 1,779 |
| * | PSS World Medical Inc. | 62,862 | 1,761 |
| * | Bruker Corp. | 84,065 | 1,712 |
| | West Pharmaceutical | | |
| | Services Inc. | 37,846 | 1,656 |
| * | Viropharma Inc. | 89,124 | 1,649 |
| * | Questcor | | |
| | Pharmaceuticals Inc. | 68,127 | 1,642 |
| * | Ariad Pharmaceuticals Inc. | 143,927 | 1,631 |
| * | Align Technology Inc. | 70,649 | 1,611 |
| * | Parexel International Corp. | 67,343 | 1,587 |
| | ChemedCorp. | 23,964 | 1,570 |
| * | athenahealth Inc. | 37,823 | 1,555 |
| * | Impax Laboratories Inc. | 69,804 | 1,521 |
| * | NuVasive Inc. | 44,990 | 1,479 |
| * | Immucor Inc. | 71,543 | 1,461 |
| * | Acorda Therapeutics Inc. | 44,432 | 1,436 |
| * | Zoll Medical Corp. | 24,855 | 1,408 |
| * | Par Pharmaceutical Cos. Inc. | 41,183 | 1,358 |
| | Invacare Corp. | 39,742 | 1,319 |
| * | Isis Pharmaceuticals Inc. | 141,439 | 1,296 |
| * | Air Methods Corp. | 17,324 | 1,295 |
| * | Integra LifeSciences | | |
| | Holdings Corp. | 26,722 | 1,278 |
25
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Momenta | | |
| | Pharmaceuticals Inc. | 65,370 | 1,272 |
| * | Kindred Healthcare Inc. | 59,168 | 1,270 |
| * | Exelixis Inc. | 141,258 | 1,266 |
| * | Medicines Co. | 76,201 | 1,258 |
| * | CONMED Corp. | 44,153 | 1,257 |
| * | MWI Veterinary Supply Inc. | 14,484 | 1,170 |
| * | Immunogen Inc. | 92,813 | 1,131 |
| * | Auxilium | | |
| | Pharmaceuticals Inc. | 56,426 | 1,106 |
| * | Amsurg Corp. Class A | 41,465 | 1,083 |
| * | Cyberonics Inc. | 38,745 | 1,083 |
| | Analogic Corp. | 20,163 | 1,060 |
| | Meridian Bioscience Inc. | 43,394 | 1,046 |
| | Computer Programs & | | |
| | Systems Inc. | 16,203 | 1,029 |
| * | Affymetrix Inc. | 129,633 | 1,028 |
| * | Abaxis Inc. | 37,245 | 1,015 |
| * | Molina Healthcare Inc. | 37,391 | 1,014 |
| | PDL BioPharma Inc. | 166,909 | 980 |
| * | Greatbatch Inc. | 36,112 | 969 |
| * | Nektar Therapeutics | 131,328 | 955 |
| * | Halozyme Therapeutics Inc. | 138,106 | 954 |
| * | Emergent Biosolutions Inc. | 41,779 | 942 |
| * | Amedisys Inc. | 35,013 | 932 |
| * | Enzon Pharmaceuticals Inc. | 92,302 | 928 |
| * | ABIOMED Inc. | 56,771 | 920 |
| * | Geron Corp. | 223,558 | 896 |
| * | Accretive Health Inc. | 31,069 | 894 |
| * | Bio-Reference Labs Inc. | 42,302 | 884 |
| * | Hanger Orthopedic | | |
| | Group Inc. | 36,078 | 883 |
| * | DexCom Inc. | 60,547 | 877 |
| * | Natus Medical Inc. | 54,191 | 821 |
| * | AMAG Pharmaceuticals Inc. | 43,584 | 819 |
| * | Akorn Inc. | 116,844 | 818 |
| * | Emeritus Corp. | 37,680 | 801 |
| * | Genomic Health Inc. | 28,611 | 799 |
| | Cantel Medical Corp. | 29,575 | 796 |
| * | Luminex Corp. | 38,054 | 795 |
| * | Neogen Corp. | 17,264 | 781 |
| * | Wright Medical Group Inc. | 51,505 | 773 |
| * | Opko Health Inc. | 207,704 | 766 |
| * | Accuray Inc. | 95,460 | 765 |
| * | ICU Medical Inc. | 16,842 | 736 |
| * | Arthrocare Corp. | 21,852 | 731 |
| * | Depomed Inc. | 88,756 | 726 |
| * | Alnylam Pharmaceuticals Inc. | 77,479 | 726 |
| * | Insulet Corp. | 32,490 | 720 |
| * | Medivation Inc. | 33,409 | 716 |
| * | Vivus Inc. | 85,302 | 694 |
| *,^ | Cadence Pharmaceuticals Inc. | 75,303 | 693 |
| * | Corvel Corp. | 14,494 | 680 |
| * | NxStage Medical Inc. | 32,226 | 671 |
| *,^ | AVANIR Pharmaceuticals Inc. | 199,549 | 671 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Chelsea Therapeutics | | |
| | International Ltd. | 130,215 | 664 |
| * | Gentiva Health Services Inc. | 31,820 | 663 |
| * | Arqule Inc. | 105,640 | 660 |
| * | Idenix Pharmaceuticals Inc. | 131,179 | 656 |
| * | Micromet Inc. | 112,379 | 645 |
| * | Orthofix International NV | 15,148 | 643 |
| * | Curis Inc. | 179,492 | 643 |
| * | Healthways Inc. | 41,956 | 637 |
| * | MedAssets Inc. | 46,976 | 628 |
| * | Angiodynamics Inc. | 44,044 | 627 |
| | Assisted Living | | |
| | Concepts Inc. Class A | 37,184 | 624 |
| * | MAKO Surgical Corp. | 20,891 | 621 |
| | Landauer Inc. | 9,830 | 605 |
| * | AMN Healthcare | | |
| | Services Inc. | 72,673 | 605 |
| * | Lexicon | | |
| | Pharmaceuticals Inc. | 343,382 | 604 |
| *,^ | Biosante | | |
| | Pharmaceuticals Inc. | 211,926 | 583 |
| * | Merit Medical Systems Inc. | 32,221 | 579 |
| * | Capital Senior Living Corp. | 61,423 | 571 |
| * | Affymax Inc. | 82,323 | 566 |
| * | Allos Therapeutics Inc. | 263,551 | 564 |
| * | Savient Pharmaceuticals Inc. | 74,517 | 558 |
| * | Jazz Pharmaceuticals Inc. | 16,688 | 557 |
| * | OraSure Technologies Inc. | 64,534 | 550 |
| * | Alphatec Holdings Inc. | 156,380 | 544 |
| * | American Dental | | |
| | Partners Inc. | 41,651 | 540 |
| * | Caliper Life Sciences Inc. | 66,417 | 539 |
| * | BioScrip Inc. | 82,414 | 535 |
| * | Sequenom Inc. | 69,641 | 526 |
| * | IPC The Hospitalist Co. Inc. | 11,314 | 524 |
| * | HeartWare International Inc. | 7,046 | 522 |
| * | Ironwood | | |
| | Pharmaceuticals Inc. | 32,981 | 518 |
| * | Conceptus Inc. | 43,147 | 504 |
| * | NPS Pharmaceuticals Inc. | 53,253 | 503 |
| * | AVI BioPharma Inc. | 349,426 | 500 |
| * | Emdeon Inc. Class A | 37,079 | 486 |
| * | AVEO Pharmaceuticals Inc. | 23,500 | 484 |
| *,^ | Biolase Technology Inc. | 92,482 | 475 |
| | Atrion Corp. | 2,390 | 473 |
| * | Continucare Corp. | 76,044 | 470 |
| * | Almost Family Inc. | 16,839 | 461 |
| * | Endologix Inc. | 48,751 | 453 |
| * | Arena Pharmaceuticals Inc. | 328,509 | 447 |
| *,^ | Cerus Corp. | 148,739 | 446 |
| * | Columbia Laboratories Inc. | 143,433 | 443 |
| *,^ | CytoriTherapeutics Inc. | 86,525 | 414 |
| * | Team Health Holdings Inc. | 18,219 | 410 |
| *,^ | MannKind Corp. | 107,660 | 409 |
| | Universal American Corp. | 35,784 | 392 |
| * | Array Biopharma Inc. | 173,338 | 388 |
26
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | PharMerica Corp. | 30,294 | 387 |
| * | Quidel Corp. | 24,257 | 368 |
| * | Ardea Biosciences Inc. | 14,330 | 365 |
| * | Kensey Nash Corp. | 14,396 | 363 |
| * | Codexis Inc. | 36,862 | 355 |
| * | Rigel Pharmaceuticals Inc. | 37,941 | 348 |
| * | Five Star Quality Care Inc. | 59,762 | 347 |
| * | Spectrum | | |
| | Pharmaceuticals Inc. | 37,472 | 347 |
| * | Sunrise Senior Living Inc. | 36,188 | 345 |
| * | Exactech Inc. | 19,095 | 344 |
| * | Cross Country | | |
| | Healthcare Inc. | 44,474 | 338 |
| * | Allied Healthcare | | |
| | International Inc. | 135,338 | 337 |
| * | CryoLife Inc. | 59,839 | 335 |
| * | Acadia Pharmaceuticals Inc. | 204,934 | 334 |
| * | Targacept Inc. | 15,590 | 328 |
| * | Optimer | | |
| | Pharmaceuticals Inc. | 27,473 | 327 |
| *,^ | Aastrom Biosciences Inc. | 116,043 | 319 |
| * | Select Medical | | |
| | Holdings Corp. | 35,433 | 314 |
| * | Anika Therapeutics Inc. | 43,826 | 312 |
| * | BioCryst | | |
| | Pharmaceuticals Inc. | 81,376 | 311 |
| * | Adolor Corp. | 155,361 | 309 |
| * | Albany Molecular | | |
| | Research Inc. | 63,829 | 307 |
| * | Symmetry Medical Inc. | 33,832 | 303 |
| * | Cutera Inc. | 35,124 | 300 |
| * | Agenus Inc. | 375,480 | 293 |
| * | eResearchTechnology Inc. | 45,959 | 293 |
| * | Omnicell Inc. | 17,608 | 275 |
| * | Immunomedics Inc. | 66,795 | 272 |
| *,^ | Biotime Inc. | 51,697 | 265 |
| * | Oncothyreon Inc. | 28,582 | 263 |
| *,^ | Cell Therapeutics Inc. | 166,759 | 263 |
| * | BioMimetic Therapeutics Inc. | 50,806 | 260 |
| * | SonoSite Inc. | 7,375 | 259 |
| * | Furiex Pharmaceuticals Inc. | 14,386 | 256 |
| *,^ | KV Pharmaceutical Co. | | |
| | Class A | 91,214 | 248 |
| *,^ | Delcath Systems Inc. | 47,873 | 247 |
| * | LHC Group Inc. | 10,392 | 240 |
| * | Cynosure Inc. Class A | 19,672 | 238 |
| | National Healthcare Corp. | 4,694 | 233 |
| * | Cytokinetics Inc. | 183,998 | 230 |
| * | Anadys Pharmaceuticals Inc. | 220,336 | 223 |
| * | Pharmacyclics Inc. | 21,210 | 221 |
| * | Alliance HealthCare | | |
| | Services Inc. | 58,235 | 221 |
| * | Corcept Therapeutics Inc. | 53,245 | 212 |
| * | Medcath Corp. | 15,512 | 211 |
| * | Merge Healthcare Inc. | 39,836 | 207 |
| * | Exact Sciences Corp. | 23,837 | 205 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | AtriCure Inc. | 15,869 | 205 |
| * | Triple-S Management Corp. | | |
| | Class B | 9,365 | 204 |
| * | ZIOPHARM Oncology Inc. | 32,262 | 197 |
| * | SIGA Technologies Inc. | 20,268 | 197 |
| * | XenoPort Inc. | 26,736 | 190 |
| * | Medidata Solutions Inc. | 7,882 | 188 |
| * | Neurocrine Biosciences Inc. | 23,366 | 188 |
| * | Cambrex Corp. | 40,478 | 187 |
| | US Physical Therapy Inc. | 7,446 | 184 |
| * | GTx Inc. | 38,373 | 184 |
| * | Durect Corp. | 87,905 | 178 |
| * | Nabi Biopharmaceuticals | 32,813 | 177 |
| * | Harvard Bioscience Inc. | 32,527 | 173 |
| * | BioClinica Inc. | 34,347 | 171 |
| * | Dyax Corp. | 85,882 | 170 |
| * | Ligand Pharmaceuticals Inc. | | |
| | Class B | 13,873 | 166 |
| * | IRIS International Inc. | 15,773 | 158 |
| * | Insmed Inc. | 12,761 | 153 |
| * | SurModics Inc. | 13,774 | 153 |
| * | Anthera Pharmaceuticals Inc. | 18,479 | 151 |
| *,^ | BSD Medical Corp. | 36,907 | 151 |
| * | Palomar Medical | | |
| | Technologies Inc. | 13,361 | 151 |
| * | Dynavax Technologies Corp. | 54,785 | 151 |
| * | Alexza Pharmaceuticals Inc. | 82,614 | 150 |
| *,^ | Biodel Inc. | 80,236 | 150 |
| * | Complete Genomics Inc. | 9,800 | 150 |
| | Ensign Group Inc. | 4,885 | 148 |
| * | Icad Inc. | 140,536 | 148 |
| * | Medical Action | | |
| | Industries Inc. | 17,304 | 141 |
| * | Protalix BioTherapeutics Inc. | 22,105 | 138 |
| * | Hooper Holmes Inc. | 140,545 | 131 |
| * | Sun Healthcare Group Inc. | 16,003 | 128 |
| * | Progenics | | |
| | Pharmaceuticals Inc. | 17,520 | 126 |
| * | Celldex Therapeutics Inc. | 34,263 | 122 |
| * | Orexigen Therapeutics Inc. | 75,463 | 120 |
| | Pain Therapeutics Inc. | 30,145 | 117 |
| * | SuperGen Inc. | 38,565 | 115 |
| * | Rural/Metro Corp. | 6,495 | 112 |
| * | ExamWorks Group Inc. | 4,240 | 108 |
| * | Mediware Information | | |
| | Systems | 9,696 | 107 |
| * | PDI Inc. | 14,034 | 100 |
| * | Hansen Medical Inc. | 28,215 | 96 |
| * | LCA-Vision Inc. | 19,598 | 94 |
| * | Novavax Inc. | 45,248 | 91 |
| * | Metropolitan Health | | |
| | Networks Inc. | 18,811 | 90 |
| * | Spectranetics Corp. | 14,389 | 90 |
| * | Sangamo Biosciences Inc. | 14,949 | 88 |
| * | Kendle International Inc. | 5,812 | 88 |
| * | Pozen Inc. | 19,738 | 83 |
27
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Metabolix Inc. | 11,502 | 82 |
| * | Sciclone Pharmaceuticals Inc. | 13,379 | 81 |
| * | Digirad Corp. | 29,423 | 80 |
| * | Rochester Medical Corp. | 8,804 | 80 |
| * | Myrexis Inc. | 21,693 | 78 |
| * | Neoprobe Corp. | 23,100 | 77 |
| * | ISTA Pharmaceuticals Inc. | 10,024 | 77 |
| * | CardioNet Inc. | 13,983 | 74 |
| * | Vascular Solutions Inc. | 5,792 | 72 |
| * | CytRx Corp. | 92,391 | 67 |
| * | Bovie Medical Corp. | 25,071 | 66 |
| | Maxygen Inc. | 11,920 | 65 |
| * | Arrowhead Research Corp. | 131,075 | 64 |
| * | PROLOR Biotech Inc. | 12,986 | 64 |
| * | Enzo Biochem Inc. | 14,966 | 64 |
| * | Alimera Sciences Inc. | 7,516 | 61 |
| * | Staar Surgical Co. | 11,459 | 61 |
| * | Apricus Biosciences Inc. | 12,381 | 59 |
| * | AspenBio Pharma Inc. | 90,830 | 59 |
| * | Providence Service Corp. | 4,627 | 59 |
| * | Keryx Biopharmaceuticals Inc. | 12,315 | 58 |
| * | Osiris Therapeutics Inc. | 7,222 | 56 |
| * | RTI Biologics Inc. | 20,497 | 56 |
| * | Hi-Tech Pharmacal Co. Inc. | 1,879 | 54 |
| * | MAP Pharmaceuticals Inc. | 3,043 | 49 |
| | Psychemedics Corp. | 4,661 | 44 |
| * | Infinity Pharmaceuticals Inc. | 5,335 | 44 |
| * | Zalicus Inc. | 17,826 | 42 |
| * | Unilife Corp. | 8,089 | 42 |
| * | American Caresource | | |
| | Holdings Inc. | 29,867 | 41 |
| * | RadNet Inc. | 8,952 | 39 |
| * | Discovery Laboratories Inc. | 17,399 | 39 |
| * | Synovis Life | | |
| | Technologies Inc. | 2,184 | 38 |
| * | Transcend Services Inc. | 1,266 | 37 |
| * | Vical Inc. | 8,370 | 34 |
| * | Hemispherx Biopharma Inc. | 85,879 | 34 |
| * | Theragenics Corp. | 18,481 | 33 |
| | Medtox Scientific Inc. | 1,858 | 32 |
| * | Santarus Inc. | 9,544 | 32 |
| * | Vanda Pharmaceuticals Inc. | 4,408 | 31 |
| * | Stereotaxis Inc. | 8,643 | 30 |
| * | Skilled Healthcare Group Inc. | 3,154 | 30 |
| * | Clinical Data Inc. | | |
| | Contingent Value Rights | | |
| | Exp. 04/14/2018 | 29,879 | 28 |
| * | ThermoGenesis Corp. | 14,114 | 28 |
| * | GenVec Inc. | 8,765 | 28 |
| * | DynaVox Inc. Class A | 3,582 | 27 |
| *,^ | Cel-Sci Corp. | 51,767 | 26 |
| * | ARCA Biopharma Inc. | 16,054 | 26 |
| * | Chindex International Inc. | 1,887 | 26 |
| * | Idera Pharmaceuticals Inc. | 10,479 | 23 |
| * | MELA Sciences Inc. | 9,482 | 22 |
| * | Achillion Pharmaceuticals Inc. | 2,900 | 22 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Repligen Corp. | 5,756 | 21 |
| * | Peregrine | | |
| | Pharmaceuticals Inc. | 9,884 | 18 |
| * | Orchid Cellmark Inc. | 6,435 | 18 |
| * | Telik Inc. | 21,985 | 17 |
| * | ADVENTRX | | |
| | Pharmaceuticals Inc. | 5,620 | 17 |
| * | Obagi Medical Products Inc. | 1,637 | 15 |
| * | Amicus Therapeutics Inc. | 2,502 | 15 |
| * | Cardica Inc. | 4,675 | 13 |
| * | Acura Pharmaceuticals Inc. | 3,165 | 12 |
| * | EnteroMedics Inc. | 4,462 | 12 |
| | Young Innovations Inc. | 421 | 12 |
| * | IVAX Diagnostics Inc. | 11,606 | 11 |
| * | StemCells Inc. | 18,917 | 10 |
| * | CombiMatrix Corp. | 2,351 | 9 |
| * | Anacor Pharmaceuticals Inc. | 1,200 | 8 |
| * | Strategic Diagnostics Inc. | 3,761 | 8 |
| * | Lannett Co. Inc. | 1,384 | 7 |
| * | Entremed Inc. | 2,162 | 5 |
| * | XOMA Ltd. | 2,060 | 5 |
| * | Capstone Therapeutics Corp. | 15,292 | 4 |
| * | Cornerstone Therapeutics Inc. | 400 | 4 |
| * | Arcadia Resources Inc. | 38,500 | 3 |
| * | Heska Corp. | 291 | 3 |
| * | RXi Pharmaceuticals Corp. | 1,714 | 2 |
| | Daxor Corp. | 161 | 2 |
| * | Inhibitex Inc. | 346 | 1 |
| * | Cardiovascular Systems Inc. | 89 | 1 |
| * | Dusa Pharmaceuticals Inc. | 180 | 1 |
| * | OncoGenex | | |
| | Pharmaceutical Inc. | 64 | 1 |
| * | MedQuist Holdings Inc. | 84 | 1 |
| * | Synta Pharmaceuticals Corp. | 180 | 1 |
| * | Synergetics USA Inc. | 146 | 1 |
| * | Solta Medical Inc. | 287 | 1 |
| * | Biospecifics | | |
| | Technologies Corp. | 33 | 1 |
| * | EpiCept Corp. | 1,326 | 1 |
| | Utah Medical Products Inc. | 24 | 1 |
| * | Somaxon Pharmaceuticals Inc. | 279 | 1 |
| * | Omeros Corp. | 143 | 1 |
| | National Research Corp. | 15 | 1 |
| * | Transcept Pharmaceuticals Inc. | 40 | — |
| * | Cumberland | | |
| | Pharmaceuticals Inc. | 75 | — |
| * | ProPhase Labs Inc. | 465 | — |
| * | Inovio Pharmaceuticals Inc. | 648 | — |
| * | TranS1 Inc. | 84 | — |
| * | Vision-Sciences Inc. | 140 | — |
| * | Repros Therapeutics Inc. | 66 | — |
| * | Celsion Corp. | 91 | — |
| * | Sharps Compliance Corp. | 72 | — |
| * | Sucampo Pharmaceuticals Inc. | | |
| | Class A | 58 | — |
| * | Nanosphere Inc. | 116 | — |
28
Institutional Total Stock Market Index Fund
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | PURE Bioscience Inc. | 236 | — |
| * | Retractable Technologies Inc. 71 | — |
| * | Bionovo Inc. | 138 | — |
| * | Poniard Pharmaceuticals Inc. | 268 | — |
| | | | 1,990,467 |
| Industrials (11.6%) | | |
| | General Electric Co. | 12,101,116 | 228,227 |
| | United Technologies Corp. | 997,378 | 88,278 |
| | Caterpillar Inc. | 728,020 | 77,505 |
| | 3M Co. | 770,701 | 73,101 |
| | United Parcel Service Inc. | | |
| | Class B | 837,456 | 61,076 |
| | Boeing Co. | 797,235 | 58,940 |
| | Union Pacific Corp. | 559,562 | 58,418 |
| | Honeywell International Inc. | 848,953 | 50,589 |
| | Emerson Electric Co. | 859,498 | 48,347 |
| | Deere & Co. | 479,856 | 39,564 |
| | Danaher Corp. | 638,569 | 33,838 |
| | CSX Corp. | 1,266,315 | 33,203 |
| | FedEx Corp. | 341,121 | 32,355 |
| | Norfolk Southern Corp. | 405,849 | 30,410 |
| | Illinois Tool Works Inc. | 511,245 | 28,880 |
| | Lockheed Martin Corp. | 338,995 | 27,448 |
| | Precision Castparts Corp. | 163,533 | 26,926 |
| | General Dynamics Corp. | 361,034 | 26,904 |
| | TycoInternational Ltd. | 539,940 | 26,689 |
| | Cummins Inc. | 214,272 | 22,175 |
| | Northrop Grumman Corp. | 315,483 | 21,879 |
| | Raytheon Co. | 410,002 | 20,439 |
| | Waste Management Inc. | 514,813 | 19,187 |
| | PACCAR Inc. | 374,706 | 19,144 |
| | Eaton Corp. | 364,470 | 18,752 |
| | Ingersoll-Rand plc | 375,691 | 17,060 |
| | Parker Hannifin Corp. | 184,511 | 16,558 |
| | CHRobinson | | |
| | Worldwide Inc. | 189,274 | 14,922 |
| | Dover Corp. | 212,648 | 14,418 |
| | Rockwell Automation Inc. | 162,249 | 14,077 |
| | Goodrich Corp. | 143,182 | 13,674 |
| | Stanley Black & Decker Inc. | 181,101 | 13,048 |
| | Fluor Corp. | 201,238 | 13,012 |
| | Expeditors International | | |
| | of Washington Inc. | 241,829 | 12,379 |
| | ITT Corp. | 198,895 | 11,721 |
| | Fastenal Co. | 319,298 | 11,492 |
| | Joy Global Inc. | 119,233 | 11,356 |
| | L-3 Communications | | |
| | Holdings Inc. | 129,081 | 11,288 |
| | Cooper Industries plc | 187,438 | 11,184 |
| | Rockwell Collins Inc. | 176,816 | 10,908 |
| | Republic Services Inc. | | |
| | Class A | 350,203 | 10,804 |
| | WW Grainger Inc. | 67,316 | 10,343 |
| | Southwest Airlines Co. | 902,148 | 10,303 |
| | Roper Industries Inc. | 108,724 | 9,057 |
| * | Delta Air Lines Inc. | 951,489 | 8,725 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | United Continental | | |
| | Holdings Inc. | 374,449 | 8,474 |
| * | Stericycle Inc. | 92,479 | 8,242 |
| | AMETEK Inc. | 183,234 | 8,227 |
| | Bucyrus International Inc. | | |
| | Class A | 87,775 | 8,045 |
| | Textron Inc. | 314,660 | 7,429 |
| | Pall Corp. | 131,683 | 7,405 |
| | Iron Mountain Inc. | 205,378 | 7,001 |
| | Flowserve Corp. | 63,601 | 6,989 |
| * | Kansas City Southern | 117,053 | 6,945 |
| | KBRInc. | 172,386 | 6,497 |
| * | Jacobs Engineering | | |
| | Group Inc. | 144,086 | 6,232 |
| | Pitney Bowes Inc. | 232,275 | 5,340 |
| * | AGCO Corp. | 107,660 | 5,314 |
| * | WABCO Holdings Inc. | 75,867 | 5,239 |
| | JB Hunt Transport | | |
| | Services Inc. | 110,656 | 5,211 |
| | Donaldson Co. Inc. | 83,241 | 5,051 |
| * | Owens Corning | 135,143 | 5,048 |
| | Manpower Inc. | 93,356 | 5,009 |
| | Gardner Denver Inc. | 59,565 | 5,006 |
| | Masco Corp. | 410,189 | 4,935 |
| | Cintas Corp. | 149,114 | 4,925 |
| * | TransDigm Group Inc. | 53,765 | 4,903 |
| * | Hertz Global Holdings Inc. | 307,403 | 4,882 |
| * | Quanta Services Inc. | 240,672 | 4,862 |
| | EquifaxInc. | 139,884 | 4,857 |
| * | Verisk Analytics Inc. | | |
| | Class A | 138,676 | 4,801 |
| | Timken Co. | 94,884 | 4,782 |
| | SPXCorp. | 57,699 | 4,769 |
| * | BE Aerospace Inc. | 116,595 | 4,758 |
| | RR Donnelley & Sons Co. | 235,394 | 4,616 |
| | Pentair Inc. | 112,230 | 4,530 |
| | Avery Dennison Corp. | 115,712 | 4,470 |
| * | Navistar International Corp. | 78,119 | 4,411 |
| * | Foster Wheeler AG | 142,415 | 4,327 |
| | IDEX Corp. | 94,046 | 4,312 |
| | Dun & Bradstreet Corp. | 56,717 | 4,284 |
| | Robert Half | | |
| | International Inc. | 158,489 | 4,284 |
| * | URS Corp. | 91,899 | 4,112 |
| | Towers Watson & Co. | | |
| | Class A | 62,079 | 4,079 |
| * | IHS Inc. Class A | 47,726 | 3,981 |
| | Hubbell Inc. Class B | 60,945 | 3,958 |
| | Kennametal Inc. | 93,673 | 3,954 |
| | Snap-On Inc. | 63,177 | 3,947 |
| | Waste Connections Inc. | 123,462 | 3,917 |
| * | Sensata Technologies | | |
| | Holding NV | 99,459 | 3,745 |
| | Nordson Corp. | 66,098 | 3,625 |
| | Wabtec Corp. | 54,714 | 3,596 |
| * | Terex Corp. | 124,399 | 3,539 |
29
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Babcock & Wilcox Co. | 126,428 | 3,503 |
| | MSC Industrial Direct Co. | | |
| | Class A | 52,455 | 3,478 |
| | Graco Inc. | 68,524 | 3,471 |
| | Carlisle Cos. Inc. | 69,619 | 3,427 |
| * | Aecom Technology Corp. | 121,816 | 3,330 |
| | RyderSystem Inc. | 58,409 | 3,321 |
| | Lincoln Electric Holdings Inc. | 91,238 | 3,271 |
| * | Nielsen Holdings NV | 102,147 | 3,183 |
| | Trinity Industries Inc. | 90,912 | 3,171 |
| * | Copart Inc. | 67,943 | 3,166 |
| * | Kirby Corp. | 55,088 | 3,122 |
| * | Thomas & Betts Corp. | 56,596 | 3,048 |
| | Harsco Corp. | 91,954 | 2,998 |
| * | Oshkosh Corp. | 103,485 | 2,995 |
| | Regal-Beloit Corp. | 44,071 | 2,943 |
| * | Shaw Group Inc. | 96,972 | 2,930 |
| * | Alaska Air Group Inc. | 40,926 | 2,802 |
| * | Clean Harbors Inc. | 27,046 | 2,793 |
| | Acuity Brands Inc. | 49,255 | 2,747 |
| | Alliant Techsystems Inc. | 38,114 | 2,719 |
| * | Corrections Corp. | | |
| | of America | 124,479 | 2,695 |
| * | Spirit Aerosystems | | |
| | Holdings Inc. Class A | 122,449 | 2,694 |
| * | GrafTech International Ltd. | 132,683 | 2,690 |
| * | WESCO International Inc. | 49,117 | 2,657 |
| * | Polypore International Inc. | 39,049 | 2,649 |
| * | Esterline Technologies Corp. | 34,645 | 2,647 |
| * | Genesee & Wyoming Inc. | | |
| | Class A | 45,007 | 2,639 |
| | Crane Co. | 53,358 | 2,636 |
| | CLARCOR Inc. | 54,637 | 2,583 |
| | Landstar System Inc. | 54,558 | 2,536 |
| * | General Cable Corp. | 59,521 | 2,534 |
| | Covanta Holding Corp. | 153,027 | 2,523 |
| | Valmont Industries Inc. | 25,594 | 2,467 |
| | Robbins & Myers Inc. | 46,577 | 2,462 |
| | Con-way Inc. | 62,771 | 2,436 |
| * | Hexcel Corp. | 111,221 | 2,435 |
| * | Dollar Thrifty Automotive | | |
| | Group Inc. | 32,828 | 2,421 |
| | Manitowoc Co. Inc. | 142,222 | 2,395 |
| | Woodward Inc. | 66,677 | 2,324 |
| | UTi Worldwide Inc. | 116,115 | 2,286 |
| | Alexander & Baldwin Inc. | 47,142 | 2,270 |
| | Lennox International Inc. | 52,086 | 2,243 |
| * | EMCOR Group Inc. | 76,031 | 2,228 |
| | Triumph Group Inc. | 22,279 | 2,219 |
| | Toro Co. | 36,219 | 2,191 |
| | Actuant Corp. Class A | 77,651 | 2,083 |
| * | AMR Corp. | 381,467 | 2,060 |
| * | Avis Budget Group Inc. | 117,773 | 2,013 |
| * | FTI Consulting Inc. | 52,950 | 2,009 |
| * | Teledyne Technologies Inc. | 39,137 | 1,971 |
| | Watsco Inc. | 28,816 | 1,959 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | EnerSys | 56,689 | 1,951 |
| * | Moog Inc. Class A | 44,606 | 1,941 |
| * | Middleby Corp. | 20,069 | 1,887 |
| | Belden Inc. | 53,768 | 1,874 |
| | AO Smith Corp. | 43,512 | 1,841 |
| * | Huntington Ingalls | | |
| | Industries Inc. | 52,550 | 1,813 |
| | Brady Corp. Class A | 56,337 | 1,806 |
| * | Old Dominion Freight | | |
| | Line Inc. | 48,152 | 1,796 |
| * | Chart Industries Inc. | 33,168 | 1,790 |
| | GATXCorp. | 47,939 | 1,780 |
| | United Stationers Inc. | 50,188 | 1,778 |
| * | United Rentals Inc. | 69,597 | 1,768 |
| * | Atlas Air Worldwide | | |
| | Holdings Inc. | 29,478 | 1,754 |
| * | JetBlue Airways Corp. | 284,455 | 1,735 |
| * | Acacia Research– | | |
| | Acacia Technologies | 47,099 | 1,728 |
| | Corporate Executive | | |
| | Board Co. | 38,942 | 1,700 |
| | Herman Miller Inc. | 62,344 | 1,697 |
| * | Geo Group Inc. | 73,392 | 1,690 |
| * | CoStar Group Inc. | 28,146 | 1,669 |
| * | US Airways Group Inc. | 184,673 | 1,645 |
| * | Meritor Inc. | 102,008 | 1,636 |
| | Mueller Industries Inc. | 42,896 | 1,626 |
| | Curtiss-Wright Corp. | 49,936 | 1,616 |
| * | Tetra Tech Inc. | 71,474 | 1,608 |
| | Brink’s Co. | 53,205 | 1,587 |
| * | HUB Group Inc. Class A | 42,101 | 1,586 |
| * | II-VI Inc. | 60,696 | 1,554 |
| | Applied Industrial | | |
| | Technologies Inc. | 43,596 | 1,552 |
| * | MasTec Inc. | 75,897 | 1,497 |
| | Mine Safety Appliances Co. | 39,437 | 1,473 |
| | Briggs & Stratton Corp. | 74,092 | 1,471 |
| | HEICO Corp. Class A | 36,616 | 1,456 |
| | Deluxe Corp. | 58,335 | 1,441 |
| | Franklin Electric Co. Inc. | 30,084 | 1,412 |
| | Kaydon Corp. | 37,749 | 1,409 |
| | Knoll Inc. | 69,960 | 1,404 |
| | Barnes Group Inc. | 56,505 | 1,402 |
| * | Advisory Board Co. | 23,847 | 1,380 |
| | Simpson Manufacturing | | |
| | Co. Inc. | 46,124 | 1,378 |
| | Interface Inc. Class A | 70,920 | 1,374 |
| | Rollins Inc. | 67,102 | 1,368 |
| | AAR Corp. | 50,450 | 1,367 |
| | ABM Industries Inc. | 57,174 | 1,334 |
| | Macquarie Infrastructure Co. | | |
| | LLC | 48,019 | 1,325 |
| | HNI Corp. | 51,447 | 1,292 |
| | Healthcare Services | | |
| | Group Inc. | 78,749 | 1,280 |
| | Werner Enterprises Inc. | 49,848 | 1,249 |
30
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | ESCO Technologies Inc. | 33,472 | 1,232 |
| | Knight Transportation Inc. | 72,153 | 1,226 |
| | Aircastle Ltd. | 95,358 | 1,213 |
| * | Swift Transportation Co. | 88,353 | 1,197 |
| * | USG Corp. | 83,253 | 1,194 |
| | Watts Water | | |
| | Technologies Inc. Class A | 33,249 | 1,177 |
| * | Korn/Ferry International | 52,303 | 1,150 |
| | Albany International Corp. | 43,178 | 1,139 |
| | Raven Industries Inc. | 19,772 | 1,102 |
| * | Orbital Sciences Corp. | 65,021 | 1,096 |
| * | Beacon Roofing Supply Inc. | 47,822 | 1,091 |
| | Granite Construction Inc. | 43,962 | 1,078 |
| * | Astec Industries Inc. | 29,145 | 1,078 |
| * | Blount International Inc. | 61,476 | 1,074 |
| | CIRCOR International Inc. | 24,793 | 1,062 |
| | Armstrong World | | |
| | Industries Inc. | 23,266 | 1,060 |
| * | Ceradyne Inc. | 27,033 | 1,054 |
| | Insperity Inc. | 35,112 | 1,040 |
| * | Altra Holdings Inc. | 43,095 | 1,034 |
| * | Colfax Corp. | 41,450 | 1,028 |
| | Skywest Inc. | 67,210 | 1,012 |
| * | Mobile Mini Inc. | 47,534 | 1,007 |
| * | 3D Systems Corp. | 50,294 | 991 |
| | Heartland Express Inc. | 59,803 | 990 |
| | Forward Air Corp. | 29,148 | 985 |
| | American Science & | | |
| | Engineering Inc. | 12,299 | 984 |
| * | Dycom Industries Inc. | 60,131 | 983 |
| | AZZ Inc. | 21,151 | 969 |
| * | SYKES Enterprises Inc. | 44,920 | 967 |
| | Kaman Corp. | 26,905 | 954 |
| * | Consolidated Graphics Inc. | 17,344 | 953 |
| * | DigitalGlobe Inc. | 37,476 | 952 |
| * | GeoEye Inc. | 24,654 | 922 |
| | Cubic Corp. | 17,638 | 899 |
| * | Insituform Technologies Inc. | | |
| | Class A | 42,491 | 891 |
| | Steelcase Inc. Class A | 74,099 | 844 |
| | Badger Meter Inc. | 22,597 | 836 |
| | Ennis Inc. | 47,039 | 818 |
| | Arkansas Best Corp. | 34,473 | 818 |
| | Mueller Water Products Inc. | | |
| | Class A | 202,366 | 805 |
| | Lindsay Corp. | 11,614 | 799 |
| | G&K Services Inc. Class A | 23,551 | 797 |
| | AAON Inc. | 36,441 | 796 |
| * | Layne Christensen Co. | 26,210 | 795 |
| * | ACCO Brands Corp. | 99,729 | 783 |
| | Cascade Corp. | 16,400 | 780 |
| * | Allegiant Travel Co. Class A | 15,633 | 774 |
| | Titan International Inc. | 31,251 | 758 |
| * | Amerco Inc. | 7,872 | 757 |
| * | EnPro Industries Inc. | 15,695 | 754 |
| * | CBIZ Inc. | 94,845 | 698 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Comfort Systems USA Inc. | 65,588 | 696 |
| | Unifirst Corp. | 12,172 | 684 |
| | Seaboard Corp. | 280 | 677 |
| * | Greenbrier Cos. Inc. | 33,965 | 671 |
| * | RSC Holdings Inc. | 56,071 | 671 |
| * | Sauer-Danfoss Inc. | 13,232 | 667 |
| | Ameron International Corp. | 10,124 | 665 |
| | DynamicMaterials Corp. | 29,581 | 663 |
| * | Interline Brands Inc. | 35,850 | 659 |
| | TALInternational Group Inc. | 19,070 | 659 |
| * | American Railcar | | |
| | Industries Inc. | 27,852 | 653 |
| * | RBC Bearings Inc. | 17,196 | 649 |
| | Marten Transport Ltd. | 30,019 | 648 |
| * | Huron Consulting Group Inc. | 20,624 | 623 |
| * | Celadon Group Inc. | 43,363 | 605 |
| * | Air Transport Services | | |
| | Group Inc. | 88,026 | 603 |
| * | Powell Industries Inc. | 16,348 | 597 |
| * | GenCorp Inc. | 92,083 | 591 |
| * | On Assignment Inc. | 59,735 | 587 |
| *,^ | American Superconductor | | |
| | Corp. | 64,770 | 586 |
| | US Ecology Inc. | 33,770 | 577 |
| * | KAR Auction Services Inc. | 30,432 | 575 |
| * | NN Inc. | 38,108 | 570 |
| * | American Reprographics Co. | 80,032 | 566 |
| * | Rush Enterprises Inc. | | |
| | Class A | 29,508 | 562 |
| * | Exponent Inc. | 12,781 | 556 |
| | Quanex Building | | |
| | Products Corp. | 33,468 | 549 |
| * | H&E Equipment | | |
| | Services Inc. | 38,973 | 545 |
| | Resources Connection Inc. | 43,717 | 526 |
| | Gorman-Rupp Co. | 15,966 | 526 |
| | Ampco-Pittsburgh Corp. | 22,373 | 525 |
| * | Active Power Inc. | 213,720 | 524 |
| | Standex International Corp. | 17,067 | 523 |
| | Apogee Enterprises Inc. | 40,528 | 519 |
| * | Navigant Consulting Inc. | 49,330 | 517 |
| | Alamo Group Inc. | 21,782 | 516 |
| | Tennant Co. | 12,922 | 516 |
| | Houston Wire & Cable Co. | 33,104 | 515 |
| * | Generac Holdings Inc. | 26,308 | 510 |
| * | Aerovironment Inc. | 14,360 | 508 |
| * | APAC Customer | | |
| | Services Inc. | 94,033 | 501 |
| * | Cenveo Inc. | 77,972 | 499 |
| | Intersections Inc. | 27,372 | 498 |
| | EnergySolutions Inc. | 100,730 | 498 |
| | CDI Corp. | 37,376 | 497 |
| * | Franklin Covey Co. | 50,722 | 491 |
| * | Griffon Corp. | 47,956 | 483 |
| * | Commercial Vehicle | | |
| | Group Inc. | 33,610 | 477 |
31
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Tutor Perini Corp. | 24,622 | 472 |
| | Tredegar Corp. | 25,296 | 464 |
| | Barrett Business | | |
| | Services Inc. | 31,997 | 458 |
| * | TrueBlue Inc. | 31,272 | 453 |
| * | Wabash National Corp. | 47,925 | 449 |
| | NACCO Industries Inc. | | |
| | Class A | 4,621 | 447 |
| * | Trex Co. Inc. | 18,041 | 442 |
| | Universal Forest | | |
| | Products Inc. | 18,253 | 437 |
| | Miller Industries Inc. | 23,241 | 434 |
| | Aceto Corp. | 64,070 | 430 |
| | Sun Hydraulics Corp. | 8,954 | 428 |
| | Ducommun Inc. | 20,691 | 426 |
| | McGrath Rentcorp | 14,826 | 416 |
| * | Furmanite Corp. | 48,522 | 385 |
| * | Michael Baker Corp. | 17,846 | 377 |
| *,^ | EnerNOC Inc. | 23,744 | 374 |
| | National Presto | | |
| | Industries Inc. | 3,598 | 365 |
| * | Dolan Co. | 42,852 | 363 |
| * | CRA International Inc. | 13,317 | 361 |
| * | GP Strategies Corp. | 26,031 | 356 |
| * | ICF International Inc. | 13,846 | 351 |
| * | Kforce Inc. | 26,474 | 346 |
| * | M&F Worldwide Corp. | 13,196 | 341 |
| | Heidrick & Struggles | | |
| | International Inc. | 15,055 | 341 |
| | Graham Corp. | 16,673 | 340 |
| | Federal Signal Corp. | 51,042 | 335 |
| * | Capstone Turbine Corp. | 217,632 | 333 |
| *,^ | Higher One Holdings Inc. | 17,463 | 330 |
| * | A123 Systems Inc. | 61,263 | 326 |
| * | Northwest Pipe Co. | 12,259 | 319 |
| | Encore Wire Corp. | 13,072 | 317 |
| * | SFN Group Inc. | 34,826 | 317 |
| | American Woodmark Corp. | 18,171 | 315 |
| * | Park-Ohio Holdings Corp. | 14,762 | 312 |
| * | Lydall Inc. | 26,021 | 311 |
| * | Kadant Inc. | 9,789 | 308 |
| * | Trimas Corp. | 12,444 | 308 |
| * | Kelly Services Inc. Class A | 18,282 | 302 |
| | John Bean Technologies Corp. | 15,538 | 300 |
| * | Flow International Corp. | 83,763 | 298 |
| * | Casella Waste Systems Inc. | | |
| | Class A | 48,674 | 297 |
| | International | | |
| | Shipholding Corp. | 13,646 | 290 |
| | Hardinge Inc. | 26,370 | 288 |
| * | Quality Distribution Inc. | 22,014 | 287 |
| * | Hawaiian Holdings Inc. | 49,623 | 283 |
| * | United Capital Corp. | 9,424 | 282 |
| * | Genco Shipping & | | |
| | Trading Ltd. | 37,082 | 279 |
| * | Columbus McKinnon Corp. | 15,502 | 278 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Pacer International Inc. | 56,957 | 269 |
| | LBFoster Co. Class A | 7,994 | 263 |
| * | Kratos Defense & Security | | |
| | Solutions Inc. | 21,424 | 261 |
| * | DXP Enterprises Inc. | 10,115 | 256 |
| * | Force Protection Inc. | 50,643 | 251 |
| * | Covenant Transportation | | |
| | Group Inc. Class A | 31,968 | 248 |
| * | Builders FirstSource Inc. | 112,965 | 243 |
| * | Broadwind Energy Inc. | 167,329 | 243 |
| | Multi-Color Corp. | 9,584 | 237 |
| * | Accuride Corp. | 18,616 | 235 |
| | Viad Corp. | 10,490 | 234 |
| | Great Lakes Dredge & | | |
| | Dock Corp. | 41,603 | 232 |
| * | Astronics Corp. | 7,535 | 232 |
| * | Gibraltar Industries Inc. | 20,075 | 227 |
| * | MYR Group Inc. | 9,616 | 225 |
| * | Team Inc. | 8,998 | 217 |
| | Vicor Corp. | 12,965 | 210 |
| * | Republic Airways | | |
| | Holdings Inc. | 38,121 | 208 |
| * | Titan Machinery Inc. | 7,099 | 204 |
| * | Taser International Inc. | 44,260 | 201 |
| * | PAM Transportation | | |
| | Services Inc. | 19,594 | 193 |
| * | Orion Marine Group Inc. | 20,535 | 193 |
| * | PowerSecure | | |
| | International Inc. | 26,134 | 189 |
| | Courier Corp. | 17,041 | 188 |
| | LSI Industries Inc. | 23,349 | 185 |
| | Insteel Industries Inc. | 14,324 | 180 |
| * | FuelCell Energy Inc. | 136,541 | 179 |
| * | Hudson Highland Group Inc. | 30,074 | 161 |
| | Lawson Products Inc. | 7,689 | 151 |
| * | School Specialty Inc. | 10,487 | 151 |
| * | Global Power Equipment | | |
| | Group Inc. | 5,680 | 151 |
| * | Fuel Tech Inc. | 22,373 | 148 |
| * | RailAmerica Inc. | 9,783 | 147 |
| | Kimball International Inc. | | |
| | Class B | 22,815 | 147 |
| * | Hurco Cos. Inc. | 4,445 | 143 |
| | HEICO Corp. | 2,535 | 139 |
| * | Metalico Inc. | 23,416 | 138 |
| * | Pinnacle Airlines Corp. | 29,941 | 136 |
| | Met-Pro Corp. | 11,280 | 128 |
| * | Odyssey Marine | | |
| | Exploration Inc. | 40,732 | 128 |
| *,^ | BlueLinx Holdings Inc. | 54,330 | 126 |
| * | Eagle Bulk Shipping Inc. | 50,492 | 125 |
| * | Pike Electric Corp. | 13,897 | 123 |
| * | LMI Aerospace Inc. | 4,926 | 120 |
| | LS Starrett Co. Class A | 11,075 | 114 |
| * | Ceco Environmental Corp. | 16,790 | 113 |
| | Preformed Line Products Co. | 1,518 | 108 |
32
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Saia Inc. | 6,233 | 106 |
| * | Sterling Construction Co. Inc. | 7,217 | 99 |
| * | Frozen Food Express | | |
| | Industries | 27,702 | 99 |
| * | Magnetek Inc. | 52,794 | 96 |
| * | Innovative Solutions & | | |
| | Support Inc. | 17,518 | 96 |
| * | FreightCar America Inc. | 3,730 | 95 |
| * | InnerWorkings Inc. | 11,298 | 94 |
| * | Energy Recovery Inc. | 27,812 | 91 |
| * | NCI Building Systems Inc. | 7,783 | 89 |
| * | CAI International Inc. | 4,266 | 88 |
| * | AT Cross Co. Class A | 7,673 | 87 |
| * | Willis Lease Finance Corp. | 6,194 | 83 |
| * | Heritage-Crystal Clean Inc. | 4,202 | 81 |
| * | Standard Parking Corp. | 4,938 | 79 |
| | Eastern Co. | 4,797 | 77 |
| * | Innovaro Inc. | 35,674 | 76 |
| * | Coleman Cable Inc. | 5,100 | 75 |
| * | Ener1 Inc. | 67,891 | 75 |
| * | Altair Nanotechnologies Inc. | 81,682 | 71 |
| * | Satcon Technology Corp. | 29,171 | 70 |
| | Primoris Services Corp. | 5,335 | 69 |
| * | Ameresco Inc. Class A | 4,800 | 68 |
| * | Tecumseh Products Co. | | |
| | Class A | 6,671 | 68 |
| * | Keyw Holding Corp. | 5,400 | 67 |
| | Schawk Inc. Class A | 4,014 | 66 |
| * | UQM Technologies Inc. | 29,271 | 66 |
| * | WCA Waste Corp. | 11,241 | 65 |
| * | TRC Cos. Inc. | 10,156 | 63 |
| * | PMFG Inc. | 3,188 | 63 |
| *,^ | Valence Technology Inc. | 47,866 | 57 |
| * | TBS International plc | | |
| | Class A | 28,797 | 53 |
| * | Arotech Corp. | 23,576 | 51 |
| * | Sypris Solutions Inc. | 12,458 | 51 |
| * | Argan Inc. | 4,911 | 50 |
| ^ | Horizon Lines Inc. Class A | 39,908 | 48 |
| * | Hill International Inc. | 7,987 | 46 |
| * | Ultralife Corp. | 9,678 | 45 |
| | SeaCube Container | | |
| | Leasing Ltd. | 2,600 | 45 |
| * | USA Truck Inc. | 3,758 | 42 |
| * | Innotrac Corp. | 28,467 | 42 |
| *,^ | Ascent Solar | | |
| | Technologies Inc. | 30,091 | 29 |
| | Superior Uniform Group Inc. | 2,385 | 28 |
| * | Ocean Power | | |
| | Technologies Inc. | 7,673 | 28 |
| * | Perma-Fix Environmental | | |
| | Services | 19,051 | 27 |
| | TwinDisc Inc. | 662 | 26 |
| *,^ | Westinghouse Solar Inc. | 17,295 | 25 |
| | US Home Systems Inc. | 4,921 | 25 |
| * | Plug Power Inc. | 11,027 | 25 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Mistras Group Inc. | 1,389 | 23 |
| *,^ | Hoku Corp. | 13,616 | 22 |
| * | Applied Energetics Inc. | 66,426 | 22 |
| *,^ | YRC Worldwide Inc. | 18,767 | 21 |
| * | Integrated Electrical | | |
| | Services Inc. | 6,100 | 19 |
| | Standard Register Co. | 5,754 | 18 |
| * | Orion Energy Systems Inc. | 4,439 | 17 |
| *,^ | Beacon Power Corp. | 12,270 | 15 |
| | Virco Manufacturing | 5,176 | 15 |
| * | BlueLinx Holdings Inc. | | |
| | Rights Exp. 07/22/2011 | 54,330 | 9 |
| * | Omega Flex Inc. | 626 | 9 |
| * | Rush Enterprises Inc. | | |
| | Class B | 455 | 7 |
| * | Sparton Corp. | 700 | 7 |
| * | Key Technology Inc. | 359 | 6 |
| * | Universal Truckload | | |
| | Services Inc. | 104 | 2 |
| * | Xerium Technologies Inc. | 89 | 2 |
| * | Supreme Industries Inc. | | |
| | Class A | 435 | 2 |
| | Douglas Dynamics Inc. | 87 | 1 |
| * | Roadrunner Transportation | | |
| | Systems Inc. | 89 | 1 |
| * | Patriot Transportation | | |
| | Holding Inc. | 42 | 1 |
| | VSE Corp. | 31 | 1 |
| | Baltic Trading Ltd. | 124 | 1 |
| * | SL Industries Inc. | 28 | 1 |
| * | Lime Energy Co. | 96 | 1 |
| * | PGT Inc. | 159 | — |
| | | | 1,984,539 |
| Information Technology (17.9%) | |
| * | Apple Inc. | 1,049,917 | 352,426 |
| | International Business | | |
| | Machines Corp. | 1,389,842 | 238,427 |
| | Microsoft Corp. | 8,618,101 | 224,071 |
| | Oracle Corp. | 4,606,314 | 151,594 |
| * | Google Inc. Class A | 285,905 | 144,777 |
| | Intel Corp. | 6,254,347 | 138,596 |
| | Qualcomm Inc. | 1,873,296 | 106,384 |
| | Cisco Systems Inc. | 6,299,897 | 98,341 |
| | Hewlett-Packard Co. | 2,478,264 | 90,209 |
| * | EMC Corp. | 2,357,507 | 64,949 |
| | Visa Inc. Class A | 563,768 | 47,503 |
| | Accenture plc Class A | 730,146 | 44,115 |
| | Texas Instruments Inc. | 1,335,790 | 43,854 |
| * | eBay Inc. | 1,331,752 | 42,976 |
| | Mastercard Inc. Class A | 126,836 | 38,221 |
| * | Dell Inc. | 1,979,827 | 33,004 |
| | Corning Inc. | 1,784,386 | 32,387 |
| | Automatic Data | | |
| | Processing Inc. | 565,800 | 29,806 |
| * | Cognizant Technology | | |
| | Solutions Corp. Class A | 346,760 | 25,431 |
33
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | NetApp Inc. | 411,905 | 21,740 |
| * | Yahoo! Inc. | 1,417,656 | 21,322 |
| * | Salesforce.com Inc. | 142,304 | 21,200 |
| | Applied Materials Inc. | 1,503,642 | 19,562 |
| * | Juniper Networks Inc. | 609,677 | 19,205 |
| | TE Connectivity Ltd. | 507,712 | 18,664 |
| | Broadcom Corp. Class A | 552,397 | 18,583 |
| * | Adobe Systems Inc. | 576,778 | 18,140 |
| * | Intuit Inc. | 336,369 | 17,444 |
| * | Symantec Corp. | 869,879 | 17,154 |
| * | Citrix Systems Inc. | 213,828 | 17,106 |
| | Altera Corp. | 364,709 | 16,904 |
| | Xerox Corp. | 1,594,922 | 16,603 |
| * | Motorola Solutions Inc. | 345,440 | 15,904 |
| | Western Union Co. | 737,091 | 14,764 |
| | Analog Devices Inc. | 341,481 | 13,366 |
| * | Teradata Corp. | 190,975 | 11,497 |
| | Paychex Inc. | 371,026 | 11,398 |
| * | SanDisk Corp. | 269,817 | 11,197 |
| * | BMC Software Inc. | 203,622 | 11,138 |
| | Xilinx Inc. | 297,609 | 10,854 |
| | Amphenol Corp. Class A | 200,584 | 10,830 |
| | CAInc. | 465,043 | 10,622 |
| * | NVIDIA Corp. | 662,152 | 10,551 |
| * | Fiserv Inc. | 166,556 | 10,431 |
| * | F5 Networks Inc. | 92,087 | 10,153 |
| * | Red Hat Inc. | 219,944 | 10,095 |
| * | Autodesk Inc. | 260,918 | 10,071 |
| * | Western Digital Corp. | 264,099 | 9,608 |
| * | VMware Inc. Class A | 94,422 | 9,464 |
| * | Marvell Technology | | |
| | Group Ltd. | 630,128 | 9,304 |
| | Avago Technologies Ltd. | 238,841 | 9,076 |
| * | Electronic Arts Inc. | 381,020 | 8,992 |
| | Maxim Integrated | | |
| | Products Inc. | 337,966 | 8,638 |
| | Linear Technology Corp. | 258,626 | 8,540 |
| | Fidelity National Information | |
| | Services Inc. | 275,863 | 8,494 |
| *,^ | First Solar Inc. | 63,659 | 8,420 |
| | Seagate Technology plc | 516,273 | 8,343 |
| | Microchip Technology Inc. | 214,813 | 8,144 |
| | KLA-Tencor Corp. | 190,642 | 7,717 |
| * | Micron Technology Inc. | 1,022,913 | 7,651 |
| * | Atmel Corp. | 522,318 | 7,349 |
| * | Rovi Corp. | 127,174 | 7,295 |
| | Activision Blizzard Inc. | 606,361 | 7,082 |
| * | Informatica Corp. | 120,369 | 7,033 |
| * | Motorola Mobility | | |
| | Holdings Inc. | 318,895 | 7,028 |
| | National | | |
| | Semiconductor Corp. | 274,902 | 6,765 |
| * | Akamai Technologies Inc. | 213,353 | 6,714 |
| | Computer Sciences Corp. | 176,793 | 6,711 |
| | Harris Corp. | 145,826 | 6,571 |
| * | Riverbed Technology Inc. | 163,379 | 6,468 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Polycom Inc. | 99,947 | 6,427 |
| * | Lam Research Corp. | 140,827 | 6,236 |
| | VeriSign Inc. | 186,250 | 6,232 |
| | FLIR Systems Inc. | 180,754 | 6,093 |
| * | Nuance | | |
| | Communications Inc. | 274,056 | 5,884 |
| * | ANSYS Inc. | 104,616 | 5,719 |
| * | SAIC Inc. | 339,084 | 5,703 |
| * | Flextronics | | |
| | International Ltd. | 866,167 | 5,561 |
| * | Avnet Inc. | 174,035 | 5,548 |
| * | Trimble Navigation Ltd. | 139,245 | 5,520 |
| * | TIBCO Software Inc. | 189,155 | 5,489 |
| * | Alliance Data Systems Corp. | 58,341 | 5,488 |
| * | Arrow Electronics Inc. | 130,913 | 5,433 |
| * | Equinix Inc. | 52,679 | 5,322 |
| * | ON Semiconductor Corp. | 503,704 | 5,274 |
| * | Varian Semiconductor | | |
| | Equipment Associates Inc. | 85,692 | 5,265 |
| | Factset Research | | |
| | Systems Inc. | 50,214 | 5,138 |
| * | Rackspace Hosting Inc. | 117,850 | 5,037 |
| * | LSI Corp. | 702,125 | 4,999 |
| * | Skyworks Solutions Inc. | 211,416 | 4,858 |
| | Solera Holdings Inc. | 80,364 | 4,754 |
| * | Advanced Micro | | |
| | Devices Inc. | 663,828 | 4,640 |
| | Global Payments Inc. | 90,967 | 4,639 |
| * | MICROS Systems Inc. | 92,145 | 4,581 |
| | Jabil Circuit Inc. | 223,532 | 4,515 |
| * | Acme Packet Inc. | 63,763 | 4,472 |
| * | VeriFone Systems Inc. | 100,652 | 4,464 |
| * | Synopsys Inc. | 170,159 | 4,375 |
| * | JDS Uniphase Corp. | 255,587 | 4,258 |
| * | Cree Inc. | 124,721 | 4,189 |
| | CypressSemiconductor | | |
| | Corp. | 188,030 | 3,975 |
| * | Gartner Inc. | 98,529 | 3,970 |
| * | Novellus Systems Inc. | 102,790 | 3,715 |
| * | Ariba Inc. | 106,485 | 3,671 |
| * | IAC/InterActiveCorp | 95,999 | 3,664 |
| | Total System Services Inc. | 187,376 | 3,481 |
| * | Brocade Communications | | |
| | Systems Inc. | 537,250 | 3,471 |
| * | NCR Corp. | 182,499 | 3,447 |
| | Broadridge Financial | | |
| | Solutions Inc. | 142,823 | 3,438 |
| * | Ingram Micro Inc. | 178,742 | 3,242 |
| * | Cadence Design | | |
| | Systems Inc. | 306,005 | 3,231 |
| | National Instruments Corp. | 107,013 | 3,177 |
| * | Parametric Technology | | |
| | Corp. | 134,655 | 3,088 |
| * | Teradyne Inc. | 206,732 | 3,060 |
| * | WebMD Health Corp. | 64,893 | 2,958 |
| | Molex Inc. Class A | 133,041 | 2,858 |
34
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Fortinet Inc. | 102,925 | 2,809 |
| * | Netlogic Microsystems Inc. | 69,431 | 2,806 |
| | Jack Henry & | | |
| | Associates Inc. | 93,348 | 2,801 |
| * | QLIK Technologies Inc. | 81,048 | 2,761 |
| | ADTRAN Inc. | 69,965 | 2,708 |
| * | Zebra Technologies Corp. | 63,586 | 2,681 |
| * | Lexmark International Inc. | | |
| | Class A | 89,676 | 2,624 |
| * | Concur Technologies Inc. | 52,060 | 2,607 |
| | MercadoLibre Inc. | 32,759 | 2,599 |
| * | Tech Data Corp. | 53,150 | 2,599 |
| * | Vishay Intertechnology Inc. | 172,017 | 2,587 |
| * | Dolby Laboratories Inc. | | |
| | Class A | 60,613 | 2,574 |
| * | Aruba Networks Inc. | 85,448 | 2,525 |
| * | Compuware Corp. | 249,310 | 2,433 |
| * | AOL Inc. | 121,878 | 2,421 |
| * | Fairchild Semiconductor | | |
| | International Inc. Class A | 144,060 | 2,407 |
| * | IPG Photonics Corp. | 32,242 | 2,344 |
| * | VistaPrint NV | 48,824 | 2,336 |
| * | GT Solar International Inc. | 142,764 | 2,313 |
| * | SuccessFactors Inc. | 77,937 | 2,291 |
| * | Omnivision | | |
| | Technologies Inc. | 64,952 | 2,261 |
| * | Veeco Instruments Inc. | 46,356 | 2,244 |
| * | MEMC Electronic | | |
| | Materials Inc. | 262,515 | 2,239 |
| | DST Systems Inc. | 42,247 | 2,231 |
| * | International Rectifier Corp. | 79,685 | 2,229 |
| * | Itron Inc. | 46,193 | 2,225 |
| * | Cavium Inc. | 51,019 | 2,224 |
| | Diebold Inc. | 71,318 | 2,212 |
| * | NeuStar Inc. Class A | 84,161 | 2,205 |
| | Anixter International Inc. | 33,147 | 2,166 |
| * | Wright Express Corp. | 41,377 | 2,155 |
| | InterDigital Inc. | 51,938 | 2,122 |
| * | CommVault Systems Inc. | 47,514 | 2,112 |
| * | Monster Worldwide Inc. | 141,557 | 2,075 |
| * | CACI International Inc. | | |
| | Class A | 32,851 | 2,072 |
| | Lender Processing | | |
| | Services Inc. | 97,883 | 2,047 |
| | Plantronics Inc. | 56,015 | 2,046 |
| * | PMC–Sierra Inc. | 265,028 | 2,006 |
| * | Hittite Microwave Corp. | 32,298 | 2,000 |
| * | Microsemi Corp. | 97,268 | 1,994 |
| * | Semtech Corp. | 72,625 | 1,986 |
| * | Silicon Laboratories Inc. | 48,078 | 1,984 |
| * | Ciena Corp. | 107,626 | 1,978 |
| * | Viasat Inc. | 45,279 | 1,959 |
| * | RF Micro Devices Inc. | 312,827 | 1,915 |
| * | Convergys Corp. | 140,053 | 1,910 |
| * | QLogic Corp. | 119,748 | 1,906 |
| * | TriQuint Semiconductor Inc. | 186,231 | 1,898 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Sapient Corp. | 125,588 | 1,888 |
| * | Progress Software Corp. | 76,373 | 1,843 |
| * | Netgear Inc. | 41,747 | 1,825 |
| | Intersil Corp. Class A | 141,632 | 1,820 |
| | Tellabs Inc. | 390,316 | 1,799 |
| * | CoreLogic Inc. | 107,436 | 1,795 |
| * | Aspen Technology Inc. | 101,254 | 1,740 |
| * | Taleo Corp. Class A | 46,854 | 1,735 |
| * | Blackboard Inc. | 39,837 | 1,729 |
| * | Quest Software Inc. | 74,855 | 1,701 |
| * | FEI Co. | 44,312 | 1,692 |
| * | Finisar Corp. | 92,313 | 1,664 |
| | MAXIMUSInc. | 19,771 | 1,636 |
| * | Rambus Inc. | 111,037 | 1,630 |
| * | Cymer Inc. | 32,842 | 1,626 |
| * | Plexus Corp. | 45,949 | 1,599 |
| * | Universal Display Corp. | 45,571 | 1,599 |
| * | Coherent Inc. | 28,932 | 1,599 |
| * | Lawson Software Inc. | 140,861 | 1,580 |
| | Cognex Corp. | 44,422 | 1,574 |
| * | SRA International Inc. | | |
| | Class A | 50,646 | 1,566 |
| * | ValueClick Inc. | 93,027 | 1,544 |
| * | Entegris Inc. | 151,712 | 1,535 |
| * | JDA Software Group Inc. | 49,638 | 1,533 |
| * | OpenTable Inc. | 18,282 | 1,520 |
| * | Arris Group Inc. | 130,688 | 1,517 |
| * | Ultimate Software | | |
| | Group Inc. | 27,629 | 1,504 |
| * | SolarWinds Inc. | 57,507 | 1,503 |
| | Littelfuse Inc. | 25,578 | 1,502 |
| * | MicroStrategy Inc. Class A | 9,181 | 1,494 |
| * | j2 Global | | |
| | Communications Inc. | 52,462 | 1,481 |
| | MKS Instruments Inc. | 55,761 | 1,473 |
| * | Digital River Inc. | 44,369 | 1,427 |
| * | Advent Software Inc. | 50,131 | 1,412 |
| * | EchoStar Corp. Class A | 38,323 | 1,396 |
| | Blackbaud Inc. | 50,267 | 1,393 |
| | SyntelInc. | 23,566 | 1,393 |
| * | Websense Inc. | 53,619 | 1,392 |
| * | SAVVIS Inc. | 35,147 | 1,389 |
| * | TiVo Inc. | 133,957 | 1,378 |
| * | Ancestry.com Inc. | 33,237 | 1,376 |
| * | Acxiom Corp. | 104,759 | 1,373 |
| | Fair Isaac Corp. | 45,458 | 1,373 |
| * | Mentor Graphics Corp. | 105,709 | 1,354 |
| * | Integrated Device | | |
| | Technology Inc. | 171,627 | 1,349 |
| * | ACI Worldwide Inc. | 39,352 | 1,329 |
| * | Cirrus Logic Inc. | 81,188 | 1,291 |
| | Power Integrations Inc. | 33,432 | 1,285 |
| | Pegasystems Inc. | 27,571 | 1,283 |
| * | Take-Two Interactive | | |
| | Software Inc. | 82,656 | 1,263 |
| * | Spansion Inc. Class A | 63,715 | 1,228 |
35
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Unisys Corp. | 47,731 | 1,227 |
| * | Benchmark Electronics Inc. | 74,270 | 1,225 |
| * | Lattice Semiconductor Corp. | 184,927 | 1,206 |
| * | Cabot Microelectronics Corp. | 25,931 | 1,205 |
| * | Kulicke & Soffa | | |
| | Industries Inc. | 107,718 | 1,200 |
| * | BroadSoft Inc. | 31,187 | 1,189 |
| * | Manhattan Associates Inc. | 34,299 | 1,181 |
| *,^ | RealD Inc. | 50,278 | 1,176 |
| | NIC Inc. | 86,880 | 1,169 |
| * | Tyler Technologies Inc. | 43,368 | 1,161 |
| * | Diodes Inc. | 44,407 | 1,159 |
| * | Amkor Technology Inc. | 187,146 | 1,155 |
| * | FARO Technologies Inc. | 25,840 | 1,132 |
| * | Bottomline Technologies Inc. | 44,872 | 1,109 |
| * | Insight Enterprises Inc. | 62,346 | 1,104 |
| * | Scansource Inc. | 28,981 | 1,086 |
| * | Rofin-Sinar Technologies Inc. | 31,772 | 1,085 |
| * | Blue Coat Systems Inc. | 49,215 | 1,076 |
| * | Ceva Inc. | 34,816 | 1,061 |
| * | Brooks Automation Inc. | 97,236 | 1,056 |
| * | L-1 Identity Solutions Inc. | 89,437 | 1,051 |
| | Mantech International Corp. | | |
| | Class A | 23,285 | 1,034 |
| * | Advanced Energy | | |
| | Industries Inc. | 69,567 | 1,029 |
| * | DG FastChannel Inc. | 32,079 | 1,028 |
| * | Constant Contact Inc. | 40,463 | 1,027 |
| * | Synaptics Inc. | 39,621 | 1,020 |
| * | DTS Inc. | 24,513 | 994 |
| * | Electro Scientific | | |
| | Industries Inc. | 50,924 | 983 |
| * | DealerTrack Holdings Inc. | 42,353 | 972 |
| * | Verigy Ltd. | 64,342 | 963 |
| * | ATMI Inc. | 46,981 | 960 |
| * | Euronet Worldwide Inc. | 62,148 | 958 |
| * | Dice Holdings Inc. | 70,747 | 957 |
| * | Applied Micro Circuits Corp. | 107,498 | 952 |
| * | TTM Technologies Inc. | 58,865 | 943 |
| * | Sanmina-SCI Corp. | 91,257 | 943 |
| * | CSG Systems | | |
| | International Inc. | 50,576 | 935 |
| | Earthlink Inc. | 121,250 | 933 |
| * | Tessera Technologies Inc. | 54,370 | 932 |
| * | Avid Technology Inc. | 49,307 | 929 |
| | Black Box Corp. | 29,699 | 929 |
| * | Sourcefire Inc. | 31,152 | 926 |
| * | Checkpoint Systems Inc. | 50,963 | 911 |
| * | Netscout Systems Inc. | 43,570 | 910 |
| * | LoopNet Inc. | 49,148 | 903 |
| * | Interactive Intelligence Inc. | 25,143 | 881 |
| * | Hypercom Corp. | 89,516 | 880 |
| * | Harmonic Inc. | 120,181 | 869 |
| * | Brightpoint Inc. | 106,743 | 866 |
| | Comtech | | |
| | Telecommunications Corp. | 30,837 | 865 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Electronics for Imaging Inc. | 50,143 | 863 |
| * | Ebix Inc. | 44,938 | 856 |
| *,^ | Power-One Inc. | 103,989 | 842 |
| * | NetSuite Inc. | 21,420 | 840 |
| | Forrester Research Inc. | 24,820 | 818 |
| | EPIQSystems Inc. | 57,389 | 816 |
| ^ | VirnetX Holding Corp. | 27,201 | 787 |
| * | FormFactor Inc. | 85,692 | 776 |
| * | Rogers Corp. | 16,781 | 775 |
| * | Liquidity Services Inc. | 32,421 | 765 |
| * | SYNNEX Corp. | 24,126 | 765 |
| * | Emulex Corp. | 88,314 | 760 |
| * | TeleTech Holdings Inc. | 35,594 | 750 |
| * | RealPage Inc. | 28,293 | 749 |
| * | Ciber Inc. | 134,279 | 745 |
| * | Accelrys Inc. | 104,255 | 741 |
| | Methode Electronics Inc. | 63,224 | 734 |
| * | Sonus Networks Inc. | 226,395 | 734 |
| * | Infospace Inc. | 79,782 | 728 |
| * | Loral Space & | | |
| | Communications Inc. | 10,267 | 713 |
| * | Tekelec | 77,253 | 705 |
| * | Radiant Systems Inc. | 33,692 | 704 |
| * | Agilysys Inc. | 84,072 | 701 |
| | MTS Systems Corp. | 16,670 | 697 |
| | Daktronics Inc. | 63,930 | 690 |
| | Cohu Inc. | 52,614 | 690 |
| * | Anaren Inc. | 32,187 | 684 |
| * | Intermec Inc. | 61,472 | 679 |
| | Keynote Systems Inc. | 31,180 | 674 |
| | Heartland Payment | | |
| | Systems Inc. | 32,248 | 664 |
| * | Infinera Corp. | 95,551 | 660 |
| * | PROS Holdings Inc. | 37,445 | 655 |
| * | Silicon Graphics | | |
| | International Corp. | 38,043 | 654 |
| | CTS Corp. | 67,632 | 654 |
| * | XO Group Inc. | 65,319 | 650 |
| * | Cardtronics Inc. | 27,549 | 646 |
| * | STEC Inc. | 37,910 | 645 |
| * | KIT Digital Inc. | 53,998 | 645 |
| * | Freescale Semiconductor | | |
| | Holdings I Ltd. | 34,995 | 644 |
| * | IXYS Corp. | 42,727 | 640 |
| | AVX Corp. | 41,801 | 637 |
| * | Advanced Analogic | | |
| | Technologies Inc. | 103,501 | 627 |
| * | Actuate Corp. | 103,796 | 607 |
| | Molex Inc. | 23,554 | 607 |
| * | IntraLinks Holdings Inc. | 34,887 | 603 |
| * | LTX-Credence Corp. | 66,950 | 599 |
| * | comScore Inc. | 22,858 | 592 |
| * | Synchronoss | | |
| | Technologies Inc. | 18,541 | 588 |
| * | RightNow Technologies Inc. | 18,061 | 585 |
| * | Gerber Scientific Inc. | 51,812 | 577 |
36
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Ultratech Inc. | 18,784 | 571 |
| * | Quantum Corp. | 172,368 | 569 |
| * | Emcore Corp. | 207,296 | 568 |
| | Marchex Inc. Class B | 63,609 | 565 |
| * | Computer Task Group Inc. | 42,231 | 556 |
| * | Imation Corp. | 58,234 | 550 |
| * | Digi International Inc. | 41,885 | 545 |
| | iGate Corp. | 33,016 | 539 |
| | DDi Corp. | 56,376 | 538 |
| * | EMS Technologies Inc. | 16,139 | 532 |
| * | Echelon Corp. | 57,876 | 526 |
| * | Stratasys Inc. | 15,493 | 522 |
| * | Oplink Communications Inc. | 27,757 | 517 |
| * | LogMeIn Inc. | 13,204 | 509 |
| * | Integrated Silicon | | |
| | Solution Inc. | 52,580 | 508 |
| | Park Electrochemical Corp. | 18,095 | 506 |
| * | Anadigics Inc. | 156,877 | 504 |
| | SycamoreNetworks Inc. | 22,642 | 504 |
| * | Cray Inc. | 78,644 | 503 |
| * | Callidus Software Inc. | 85,391 | 500 |
| * | OSI Systems Inc. | 11,464 | 493 |
| * | Kenexa Corp. | 20,468 | 491 |
| * | Entropic | | |
| | Communications Inc. | 54,314 | 483 |
| * | Aviat Networks Inc. | 122,430 | 482 |
| * | Powerwave | | |
| | Technologies Inc. | 161,817 | 477 |
| * | Fabrinet | 19,551 | 475 |
| | Electro Rent Corp. | 26,927 | 461 |
| * | Magma Design | | |
| | Automation Inc. | 56,902 | 455 |
| | United Online Inc. | 74,744 | 451 |
| * | Axcelis Technologies Inc. | 273,413 | 448 |
| * | Mercury Computer | | |
| | Systems Inc. | 23,947 | 447 |
| * | Hackett Group Inc. | 87,226 | 444 |
| | Opnet Technologies Inc. | 10,770 | 441 |
| * | Monolithic Power | | |
| | Systems Inc. | 28,346 | 437 |
| * | Kopin Corp. | 92,661 | 436 |
| * | Globecomm Systems Inc. | 27,835 | 433 |
| * | Newport Corp. | 23,606 | 429 |
| * | LivePerson Inc. | 30,153 | 426 |
| * | Internap Network | | |
| | Services Corp. | 57,482 | 423 |
| * | Limelight Networks Inc. | 91,897 | 419 |
| * | RealNetworks Inc. | 122,871 | 418 |
| | Micrel Inc. | 38,785 | 410 |
| * | Measurement | | |
| | Specialties Inc. | 11,482 | 410 |
| * | Verint Systems Inc. | 10,978 | 407 |
| * | Oclaro Inc. | 60,484 | 406 |
| * | Multi-Fineline Electronix Inc. | 18,797 | 406 |
| * | Volterra Semiconductor | | |
| | Corp. | 16,426 | 405 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Immersion Corp. | 45,640 | 389 |
| * | Extreme Networks | 119,643 | 388 |
| * | Kemet Corp. | 26,960 | 385 |
| | American Software Inc. | | |
| | Class A | 45,009 | 374 |
| * | ExlService Holdings Inc. | 15,968 | 369 |
| * | Standard Microsystems | | |
| | Corp. | 13,578 | 366 |
| * | DSP Group Inc. | 41,725 | 363 |
| * | Openwave Systems Inc. | 156,766 | 359 |
| * | SunPower Corp. Class B | 21,463 | 357 |
| * | MoneyGram | | |
| | International Inc. | 107,214 | 356 |
| * | Exar Corp. | 54,869 | 347 |
| | ModusLink Global | | |
| | Solutions Inc. | 77,301 | 346 |
| * | Vocus Inc. | 11,273 | 345 |
| | Bel Fuse Inc. Class B | 15,756 | 342 |
| * | KVH Industries Inc. | 32,125 | 341 |
| * | NVE Corp. | 5,810 | 340 |
| * | Net 1 UEPS | | |
| | Technologies Inc. | 38,239 | 332 |
| * | FalconStor Software Inc. | 72,693 | 326 |
| * | Silicon Image Inc. | 50,243 | 325 |
| * | DemandTec Inc. | 34,883 | 317 |
| * | Novatel Wireless Inc. | 57,867 | 317 |
| * | Zoran Corp. | 36,463 | 306 |
| * | MIPS Technologies Inc. | | |
| | Class A | 43,340 | 299 |
| * | Integral Systems Inc. | 24,413 | 297 |
| * | SMART Modular | | |
| | Technologies WWH Inc. | 32,353 | 296 |
| * | FleetCor Technologies Inc. | 9,901 | 293 |
| * | TNS Inc. | 17,220 | 286 |
| * | Dot Hill Systems Corp. | 98,053 | 278 |
| * | Ixia | 21,580 | 276 |
| | Cass Information | | |
| | Systems Inc. | 7,297 | 276 |
| * | CalAmp Corp. | 82,181 | 249 |
| | Renaissance Learning Inc. | 19,707 | 247 |
| * | ShoreTel Inc. | 23,758 | 242 |
| * | SS&C Technologies | | |
| | Holdings Inc. | 12,007 | 239 |
| * | AXT Inc. | 28,030 | 238 |
| * | Mindspeed | | |
| | Technologies Inc. | 29,552 | 236 |
| * | Nanometrics Inc. | 12,285 | 233 |
| * | THQ Inc. | 64,284 | 233 |
| * | LRAD Corp. | 82,645 | 227 |
| * | Lionbridge Technologies Inc. | 71,444 | 227 |
| * | Sigma Designs Inc. | 29,530 | 226 |
| * | Saba Software Inc. | 24,872 | 225 |
| * | Dynamics Research Corp. | 16,326 | 223 |
| * | Perficient Inc. | 21,457 | 220 |
| * | Vishay Precision Group Inc. | 13,007 | 220 |
37
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Monotype Imaging | | |
| | Holdings Inc. | 15,469 | 219 |
| | Stamps.com Inc. | 16,292 | 217 |
| * | Virtusa Corp. | 11,408 | 216 |
| * | Autobytel Inc. | 191,026 | 216 |
| * | Intevac Inc. | 20,584 | 210 |
| * | Move Inc. | 94,525 | 207 |
| * | Photronics Inc. | 24,357 | 206 |
| * | S1 Corp. | 26,711 | 200 |
| * | VASCO Data Security | | |
| | International Inc. | 15,726 | 196 |
| * | Calix Inc. | 9,231 | 192 |
| * | FSI International Inc. | 69,893 | 192 |
| * | BigBand Networks Inc. | 87,642 | 190 |
| *,^ | Rubicon Technology Inc. | 10,337 | 174 |
| * | Super Micro Computer Inc. | 10,488 | 169 |
| * | QuinStreet Inc. | 12,722 | 165 |
| * | Maxwell Technologies Inc. | 10,166 | 165 |
| * | Travelzoo Inc. | 2,543 | 164 |
| * | Global Cash Access | | |
| | Holdings Inc. | 49,762 | 158 |
| * | Comverge Inc. | 52,613 | 156 |
| * | Supertex Inc. | 6,899 | 155 |
| * | Zygo Corp. | 10,858 | 144 |
| * | Authentidate Holding Corp. | 118,892 | 143 |
| * | support.com Inc. | 29,004 | 139 |
| * | Cyberoptics Corp. | 14,065 | 136 |
| * | AuthenTec Inc. | 49,345 | 136 |
| * | Reis Inc. | 13,713 | 136 |
| * | LoJack Corp. | 30,922 | 135 |
| * | Aware Inc. | 44,194 | 133 |
| * | Identive Group Inc. | 57,005 | 132 |
| * | Seachange International Inc. | 12,187 | 131 |
| * | Smith Micro Software Inc. | 31,088 | 131 |
| *,^ | Energy Conversion | | |
| | Devices Inc. | 107,333 | 127 |
| * | PC-Tel Inc. | 19,415 | 126 |
| * | Edgewater Technology Inc. | 46,266 | 125 |
| * | Concurrent Computer Corp. | 19,383 | 121 |
| | Pulse Electronics Corp. | 26,190 | 116 |
| * | Crexendo Inc. | 23,286 | 115 |
| * | Cinedigm Digital | | |
| | Cinema Corp. Class A | 66,352 | 112 |
| * | Aeroflex Holding Corp. | 6,117 | 111 |
| * | TeleCommunication | | |
| | Systems Inc. Class A | 22,677 | 110 |
| * | Rudolph Technologies Inc. | 10,158 | 109 |
| * | Web.com Group Inc. | 8,761 | 108 |
| * | Radisys Corp. | 14,713 | 107 |
| | Ipass Inc. | 67,267 | 102 |
| * | Ness Technologies Inc. | 12,882 | 98 |
| | EvolvingSystems Inc. | 13,428 | 96 |
| * | OCZ Technology Group Inc. | 12,000 | 96 |
| *,^ | Wave Systems Corp. | | |
| | Class A | 32,831 | 93 |
| * | QuickLogic Corp. | 27,004 | 91 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Bsquare Corp. | 13,941 | 87 |
| * | PC Connection Inc. | 10,405 | 86 |
| * | Hutchinson Technology Inc. | 36,408 | 83 |
| * | Looksmart Ltd. | 54,701 | 83 |
| * | SRS Labs Inc. | 8,051 | 77 |
| * | Network Equipment | | |
| | Technologies Inc. | 35,089 | 77 |
| * | Symmetricom Inc. | 13,158 | 77 |
| * | Pericom Semiconductor | | |
| | Corp. | 8,578 | 77 |
| *,^ | SunPower Corp. Class A | 3,789 | 73 |
| * | Datalink Corp. | 10,313 | 72 |
| * | MoSys Inc. | 12,422 | 71 |
| *,^ | Microvision Inc. | 56,881 | 69 |
| | TheStreetInc. | 22,378 | 69 |
| * | Presstek Inc. | 40,606 | 66 |
| * | MaxLinear Inc. | 7,500 | 65 |
| * | BTU International Inc. | 9,100 | 64 |
| * | Frequency Electronics Inc. | 6,132 | 58 |
| *,^ | EvergreenSolar Inc. | 100,022 | 57 |
| * | Information Services | | |
| | Group Inc. | 31,590 | 56 |
| * | StarTek Inc. | 15,375 | 53 |
| * | PRGX Global Inc. | 7,136 | 51 |
| * | Transwitch Corp. | 16,462 | 51 |
| * | WebMediaBrands Inc. | 36,233 | 49 |
| * | LeCroy Corp. | 3,896 | 47 |
| * | Westell Technologies Inc. | | |
| | Class A | 12,700 | 45 |
| * | Ikanos Communications Inc. | 36,361 | 45 |
| | Telular Corp. | 7,116 | 44 |
| * | Online Resources Corp. | 12,713 | 41 |
| * | Ditech Networks Inc. | 34,438 | 41 |
| * | Planar Systems Inc. | 13,735 | 39 |
| * | Pixelworks Inc. | 15,645 | 38 |
| * | NCI Inc. Class A | 1,656 | 38 |
| | QAD Inc. Class A | 3,629 | 37 |
| * | PLX Technology Inc. | 10,402 | 36 |
| | Richardson Electronics Ltd. | 2,625 | 36 |
| * | PDF Solutions Inc. | 5,923 | 35 |
| * | Viasystems Group Inc. | 1,531 | 34 |
| | Bel Fuse Inc. Class A | 1,477 | 34 |
| * | Mattson Technology Inc. | 17,376 | 33 |
| * | Document Security | | |
| | Systems Inc. | 10,321 | 32 |
| * | X-Rite Inc. | 6,261 | 31 |
| * | Opnext Inc. | 13,481 | 31 |
| * | Network Engines Inc. | 27,889 | 31 |
| * | ORBCOMM Inc. | 9,769 | 31 |
| * | Rosetta Stone Inc. | 1,884 | 30 |
| * | PAR Technology Corp. | 7,772 | 30 |
| * | GSE Systems Inc. | 13,415 | 29 |
| * | ID Systems Inc. | 6,149 | 29 |
| * | MEMSIC Inc. | 8,040 | 28 |
| * | Mediamind Technologies Inc. | 1,228 | 27 |
| | Rimage Corp. | 1,944 | 26 |
38
| | | |
| Institutional Total Stock Market Index Fund |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Zhone Technologies Inc. | 10,572 | 25 |
| * | Envestnet Inc. | 1,600 | 24 |
| * | Numerex Corp. Class A | 2,362 | 23 |
| * | Zix Corp. | 5,332 | 20 |
| * | Ramtron International Corp. | 6,551 | 20 |
| * | Rainmaker Systems Inc. | 19,115 | 20 |
| * | iGO Inc. | 11,872 | 19 |
| * | HSW International Inc. | 3,300 | 19 |
| * | Superconductor | | |
| | Technologies Inc. | 7,872 | 18 |
| * | Lantronix Inc. | 6,995 | 18 |
| * | Transact Technologies Inc. | 1,500 | 18 |
| * | Trident Microsystems Inc. | 24,205 | 17 |
| * | Mattersight Corp. | 2,159 | 12 |
| * | Research Frontiers Inc. | 2,555 | 12 |
| * | Digital Ally Inc. | 9,500 | 11 |
| * | Vertro Inc. | 4,874 | 11 |
| * | Pervasive Software Inc. | 908 | 6 |
| * | Spire Corp. | 2,366 | 6 |
| | QAD Inc. Class B | 573 | 5 |
| * | Parkervision Inc. | 7,548 | 4 |
| * | Selectica Inc. | 829 | 4 |
| * | Intellicheck Mobilisa Inc. | 3,010 | 4 |
| * | TechTarget Inc. | 479 | 4 |
| * | Management Network | | |
| | Group Inc. | 626 | 2 |
| * | Digimarc Corp. | 46 | 2 |
| * | Ultra Clean Holdings | 163 | 1 |
| * | Echo Global Logistics Inc. | 81 | 1 |
| * | Amtech Systems Inc. | 60 | 1 |
| * | Wireless Telecom Group Inc. | 1,403 | 1 |
| * | Innodata Isogen Inc. | 370 | 1 |
| * | Deltek Inc. | 125 | 1 |
| * | Glu Mobile Inc. | 160 | 1 |
| * | Market Leader Inc. | 364 | 1 |
| * | Guidance Software Inc. | 80 | 1 |
| * | Tier Technologies Inc. Class B | 121 | 1 |
| * | PC Mall Inc. | 63 | 1 |
| * | Newtek Business Services Inc. | 204 | — |
| * | GTSI Corp. | 50 | — |
| * | Performance Technologies Inc. | 70 | — |
| * | Video Display Corp. | 19 | — |
| | | | 3,075,628 |
| Materials (4.4%) | | |
| | EI du Pont de | | |
| | Nemours & Co. | 1,050,345 | 56,771 |
| | Freeport-McMoRan | | |
| | Copper & Gold Inc. | 1,072,199 | 56,719 |
| | Dow Chemical Co. | 1,331,072 | 47,919 |
| | Monsanto Co. | 611,446 | 44,354 |
| | Praxair Inc. | 345,673 | 37,468 |
| | Newmont Mining Corp. | 554,574 | 29,930 |
| | Air Products & | | |
| | Chemicals Inc. | 245,010 | 23,418 |
| | Mosaic Co. | 314,421 | 21,296 |
| | Alcoa Inc. | 1,211,160 | 19,209 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | PPG Industries Inc. | 183,087 | 16,622 |
| | Cliffs Natural | | |
| | Resources Inc. | 164,858 | 15,241 |
| | Ecolab Inc. | 265,245 | 14,955 |
| | Nucor Corp. | 360,057 | 14,842 |
| | International Paper Co. | 476,092 | 14,197 |
| | LyondellBasellIndustries | | |
| | NV Class A | 323,730 | 12,470 |
| | CF Industries Holdings Inc. | 81,318 | 11,520 |
| | Sigma-Aldrich Corp. | 139,018 | 10,201 |
| | Lubrizol Corp. | 73,102 | 9,815 |
| | Celanese Corp. Class A | 177,785 | 9,478 |
| | Sherwin-WilliamsCo. | 103,952 | 8,718 |
| | Eastman Chemical Co. | 80,725 | 8,240 |
| | Walter Energy Inc. | 70,520 | 8,166 |
| | United States Steel Corp. | 163,895 | 7,546 |
| | Ball Corp. | 191,317 | 7,358 |
| | Allegheny Technologies Inc. | 114,966 | 7,297 |
| | FMC Corp. | 81,547 | 7,015 |
| * | Crown Holdings Inc. | 177,406 | 6,887 |
| | Albemarle Corp. | 99,284 | 6,870 |
| | MeadWestvaco Corp. | 191,956 | 6,394 |
| | Airgas Inc. | 91,234 | 6,390 |
| | International Flavors & | | |
| | Fragrances Inc. | 91,491 | 5,877 |
| | Ashland Inc. | 90,083 | 5,821 |
| | Vulcan Materials Co. | 147,101 | 5,668 |
| | Rock-Tenn Co. Class A | 78,938 | 5,237 |
| * | Owens-Illinois Inc. | 186,605 | 4,816 |
| | Domtar Corp. | 46,874 | 4,440 |
| | Sealed Air Corp. | 181,575 | 4,320 |
| | Reliance Steel & | | |
| | Aluminum Co. | 85,155 | 4,228 |
| | Nalco Holding Co. | 150,123 | 4,175 |
| | Martin Marietta | | |
| | Materials Inc. | 51,852 | 4,147 |
| | Bemis Co. Inc. | 122,004 | 4,121 |
| | Huntsman Corp. | 218,597 | 4,121 |
| * | Molycorp Inc. | 66,999 | 4,091 |
| * | Rockwood Holdings Inc. | 73,829 | 4,082 |
| | Sonoco Products Co. | 114,312 | 4,063 |
| | Aptargroup Inc. | 76,454 | 4,002 |
| | Steel Dynamics Inc. | 236,039 | 3,836 |
| * | WR Grace & Co. | 83,408 | 3,806 |
| | Valspar Corp. | 105,228 | 3,795 |
| | Temple-Inland Inc. | 123,353 | 3,669 |
| | Royal Gold Inc. | 58,354 | 3,418 |
| | RPMInternational Inc. | 148,264 | 3,413 |
| * | Allied Nevada Gold Corp. | 96,364 | 3,408 |
| | Packaging Corp. of America | 116,717 | 3,267 |
| | Compass Minerals | | |
| | International Inc. | 37,447 | 3,223 |
| * | Solutia Inc. | 139,003 | 3,176 |
| | CytecIndustries Inc. | 53,562 | 3,063 |
| | Cabot Corp. | 74,664 | 2,977 |
| | Carpenter Technology Corp. | 50,210 | 2,896 |
39
| | | |
| Institutional Total Stock Market Index Fund | |
| |
| |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Scotts Miracle-Gro Co. | | |
| | Class A | 52,766 | 2,707 |
| * | Stillwater Mining Co. | 116,453 | 2,563 |
| * | Coeur d’Alene Mines Corp. | 101,843 | 2,471 |
| * | Hecla Mining Co. | 318,201 | 2,447 |
| | Silgan Holdings Inc. | 55,763 | 2,285 |
| * | AbitibiBowater Inc. | 110,728 | 2,248 |
| | NewMarket Corp. | 12,742 | 2,175 |
| | Olin Corp. | 90,185 | 2,044 |
| | Sensient Technologies Corp. | 54,462 | 2,019 |
| * | Chemtura Corp. | 108,400 | 1,973 |
| | AK Steel Holding Corp. | 124,962 | 1,969 |
| * | Intrepid Potash Inc. | 59,618 | 1,938 |
| | Commercial Metals Co. | 131,313 | 1,884 |
| | Titanium Metals Corp. | 102,087 | 1,870 |
| | Greif Inc. Class A | 26,744 | 1,739 |
| | PolyOne Corp. | 107,303 | 1,660 |
| | Schnitzer Steel | | |
| | Industries Inc. | 27,395 | 1,578 |
| | Worthington Industries Inc. | 67,258 | 1,554 |
| | Globe Specialty Metals Inc. | 69,134 | 1,550 |
| | Innophos Holdings Inc. | 30,063 | 1,467 |
| | Buckeye Technologies Inc. | 53,516 | 1,444 |
| | Balchem Corp. | 32,782 | 1,435 |
| * | OM Group Inc. | 35,095 | 1,426 |
| * | Kraton Performance | | |
| | Polymers Inc. | 36,162 | 1,416 |
| | Minerals Technologies Inc. | 20,915 | 1,386 |
| | HB Fuller Co. | 56,302 | 1,375 |
| | Eagle Materials Inc. | 48,048 | 1,339 |
| * | RTI International Metals Inc. | 34,336 | 1,317 |
| | AMCOL International Corp. | 33,970 | 1,296 |
| * | Ferro Corp. | 95,012 | 1,277 |
| * | Century Aluminum Co. | 79,971 | 1,252 |
| * | Louisiana-Pacific Corp. | 149,732 | 1,219 |
| | Arch Chemicals Inc. | 33,847 | 1,166 |
| | Westlake Chemical Corp. | 22,222 | 1,153 |
| | Schweitzer-Mauduit | | |
| | International Inc. | 20,226 | 1,136 |
| * | Materion Corp. | 30,680 | 1,134 |
| | Texas Industries Inc. | 27,052 | 1,126 |
| * | Calgon Carbon Corp. | 65,098 | 1,107 |
| * | Innospec Inc. | 29,879 | 1,004 |
| | Haynes International Inc. | 15,525 | 961 |
| * | Georgia Gulf Corp. | 38,762 | 936 |
| | Koppers Holdings Inc. | 22,489 | 853 |
| * | Graphic Packaging | | |
| | Holding Co. | 154,939 | 843 |
| * | Clearwater Paper Corp. | 11,833 | 808 |
| | Kaiser Aluminum Corp. | 14,655 | 800 |
| | PH Glatfelter Co. | 52,042 | 800 |
| * | US Gold Corp. | 117,544 | 709 |
| | American Vanguard Corp. | 53,776 | 698 |
| * | AM Castle & Co. | 40,211 | 668 |
| | A Schulman Inc. | 26,450 | 666 |
| | MyersIndustries Inc. | 64,009 | 658 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Stepan Co. | 9,111 | 646 |
| * | Mercer International Inc. | 58,840 | 593 |
| | Quaker Chemical Corp. | 13,768 | 592 |
| | Hawkins Inc. | 16,317 | 591 |
| * | General Moly Inc. | 132,322 | 590 |
| ^ | Gold Resource Corp. | 22,840 | 569 |
| | Neenah Paper Inc. | 26,487 | 564 |
| | Deltic Timber Corp. | 9,815 | 527 |
| * | LSB Industries Inc. | 12,012 | 516 |
| | Boise Inc. | 64,792 | 505 |
| * | Flotek Industries Inc. | 56,365 | 480 |
| | Olympic Steel Inc. | 17,072 | 470 |
| * | Horsehead Holding Corp. | 35,180 | 469 |
| | Kronos Worldwide Inc. | 14,667 | 461 |
| * | Graham Packaging Co. Inc. | 17,739 | 447 |
| * | KapStone Paper and | | |
| | Packaging Corp. | 23,924 | 396 |
| * | Omnova Solutions Inc. | 55,847 | 389 |
| | Zep Inc. | 19,154 | 362 |
| * | US Energy Corp. Wyoming | 73,527 | 314 |
| * | STR Holdings Inc. | 20,952 | 313 |
| * | Zoltek Cos. Inc. | 26,301 | 277 |
| * | Headwaters Inc. | 85,507 | 268 |
| * | Landec Corp. | 40,323 | 266 |
| * | TPC Group Inc. | 6,426 | 252 |
| * | Universal Stainless & Alloy | 4,761 | 223 |
| | Wausau Paper Corp. | 31,184 | 210 |
| * | Golden Minerals Co. | 9,460 | 168 |
| * | ADA-ES Inc. | 10,500 | 168 |
| | ChaseCorp. | 9,925 | 166 |
| * | Spartech Corp. | 24,882 | 152 |
| * | Metals USA Holdings Corp. | 9,896 | 147 |
| * | Paramount Gold and | | |
| | Silver Corp. | 37,835 | 123 |
| * | AEP Industries Inc. | 3,657 | 107 |
| * | Nanophase | | |
| | Technologies Corp. | 66,261 | 80 |
| * | American Pacific Corp. | 9,574 | 77 |
| * | Noranda Aluminum | | |
| | Holding Corp. | 5,002 | 76 |
| | KMG Chemicals Inc. | 4,354 | 73 |
| * | Penford Corp. | 10,087 | 53 |
| * | Senomyx Inc. | 9,986 | 51 |
| * | Ampal American Israel | | |
| | Class A | 43,513 | 41 |
| * | Solitario Exploration & | | |
| | Royalty Corp. | 12,887 | 37 |
| * | Clean Diesel | | |
| | Technologies Inc. | 6,800 | 32 |
| * | United States Lime & | | |
| | Minerals Inc. | 617 | 25 |
| * | Verso Paper Corp. | 2,817 | 8 |
| * | China Direct Industries Inc. | 7,795 | 7 |
| * | Puda Coal Inc. | 1,633 | 2 |
| * | Continental Materials Corp. | 5 | — |
| | | | 750,894 |
40
Institutional Total Stock Market Index Fund
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| Telecommunication Services (2.8%) | |
| | AT&T Inc. | 6,736,877 | 211,605 |
| | Verizon | | |
| | Communications Inc. | 3,191,018 | 118,802 |
| | CenturyLink Inc. | 683,352 | 27,628 |
| * | American Tower Corp. | | |
| | Class A | 453,169 | 23,714 |
| * | Sprint Nextel Corp. | 3,407,901 | 18,369 |
| * | Crown Castle | | |
| | International Corp. | 331,567 | 13,525 |
| | Frontier Communications | | |
| | Corp. | 1,132,594 | 9,140 |
| * | NII Holdings Inc. | 193,509 | 8,201 |
| | Windstream Corp. | 574,714 | 7,448 |
| * | SBA Communications | | |
| | Corp. Class A | 130,965 | 5,002 |
| * | MetroPCS | | |
| | Communications Inc. | 284,569 | 4,897 |
| * | Level 3 | | |
| | Communications Inc. | 1,907,374 | 4,654 |
| * | tw telecom inc Class A | 163,001 | 3,346 |
| | Telephone & Data | | |
| | Systems Inc. | 73,418 | 2,282 |
| | AboveNet Inc. | 24,931 | 1,757 |
| * | Global Crossing Ltd. | 37,925 | 1,456 |
| * | Leap Wireless | | |
| | International Inc. | 71,200 | 1,156 |
| * | Cincinnati Bell Inc. | 296,524 | 984 |
| * | United States Cellular Corp. | 19,506 | 944 |
| | NTELOS Holdings Corp. | 42,972 | 878 |
| | Atlantic Tele-Network Inc. | 20,310 | 779 |
| * | Cogent Communications | | |
| | Group Inc. | 45,108 | 767 |
| ^ | Alaska Communications | | |
| | Systems Group Inc. | 81,186 | 720 |
| * | Vonage Holdings Corp. | 134,896 | 595 |
| *,^ | Clearwire Corp. Class A | 155,853 | 589 |
| * | General Communication | | |
| | Inc. Class A | 47,002 | 567 |
| | Consolidated | | |
| | Communications | | |
| | Holdings Inc. | 27,681 | 538 |
| * | 8x8 Inc. | 105,314 | 515 |
| * | PAETEC Holding Corp. | 107,173 | 513 |
| * | Premiere Global | | |
| | Services Inc. | 63,495 | 507 |
| | IDT Corp. Class B | 16,830 | 455 |
| * | ICO Global | | |
| | Communications | | |
| | Holdings Ltd. | 147,446 | 408 |
| | Shenandoah | | |
| | Telecommunications Co. | 23,271 | 396 |
| *,^ | Neutral Tandem Inc. | 22,614 | 394 |
| | HickoryTech Corp. | 27,856 | 331 |
| | USA Mobility Inc. | 21,314 | 325 |
| * | Cbeyond Inc. | 23,506 | 311 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Iridium | | |
| | Communications Inc. | 24,286 | 210 |
| | Telephone & Data | | |
| | Systems Inc.–Special | | |
| | Common Shares | 7,633 | 206 |
| | SureWest Communications | 10,020 | 168 |
| * | Globalstar Inc. | 54,042 | 66 |
| *,^ | FiberTower Corp. | 30,094 | 36 |
| | Warwick Valley | | |
| | Telephone Co. | 38 | 1 |
| | | | 475,185 |
| Utilities (3.4%) | | |
| | Southern Co. | 946,789 | 38,231 |
| | Exelon Corp. | 754,278 | 32,313 |
| | Dominion Resources Inc. | 662,014 | 31,955 |
| | Duke Energy Corp. | 1,514,810 | 28,524 |
| | NextEra Energy Inc. | 455,803 | 26,190 |
| | FirstEnergy Corp. | 476,613 | 21,042 |
| | American Electric | | |
| | Power Co. Inc. | 548,025 | 20,650 |
| | PG&E Corp. | 451,661 | 18,983 |
| | Public Service Enterprise | | |
| | Group Inc. | 576,781 | 18,826 |
| | PPL Corp. | 644,054 | 17,924 |
| | Consolidated Edison Inc. | 332,833 | 17,720 |
| | Progress Energy Inc. | 334,624 | 16,065 |
| | Entergy Corp. | 204,131 | 13,938 |
| | Sempra Energy | 260,403 | 13,770 |
| | Edison International | 352,834 | 13,672 |
| | Xcel Energy Inc. | 550,082 | 13,367 |
| * | AES Corp. | 763,638 | 9,729 |
| | DTE Energy Co. | 193,122 | 9,660 |
| | CenterPoint Energy Inc. | 459,972 | 8,900 |
| | Oneok Inc. | 115,876 | 8,576 |
| | Wisconsin Energy Corp. | 266,522 | 8,355 |
| | Constellation Energy | | |
| | Group Inc. | 216,433 | 8,216 |
| | Ameren Corp. | 274,229 | 7,909 |
| | Northeast Utilities | 201,233 | 7,077 |
| * | NRG Energy Inc. | 282,161 | 6,936 |
| | NiSource Inc. | 318,362 | 6,447 |
| �� | American Water | | |
| | Works Co. Inc. | 199,684 | 5,881 |
| | National Fuel Gas Co. | 79,777 | 5,808 |
| * | Calpine Corp. | 354,493 | 5,718 |
| | CMS Energy Corp. | 287,369 | 5,658 |
| | OGE Energy Corp. | 111,342 | 5,603 |
| | Pinnacle West | | |
| | Capital Corp. | 124,005 | 5,528 |
| | SCANA Corp. | 138,454 | 5,451 |
| | NSTAR | 118,134 | 5,432 |
| | Alliant Energy Corp. | 126,386 | 5,139 |
| | Pepco Holdings Inc. | 256,570 | 5,036 |
| | MDU Resources | | |
| | Group Inc. | 215,209 | 4,842 |
41
Institutional Total Stock Market Index Fund
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Integrys Energy | | |
| | Group Inc. | 88,979 | 4,613 |
| | TECO Energy Inc. | 232,706 | 4,396 |
| | ITC Holdings Corp. | 57,891 | 4,155 |
| | NV Energy Inc. | 268,507 | 4,122 |
| | DPLInc. | 135,892 | 4,099 |
| | UGI Corp. | 126,657 | 4,039 |
| | AGL Resources Inc. | 88,916 | 3,620 |
| | Questar Corp. | 201,466 | 3,568 |
| | Westar Energy Inc. | 129,483 | 3,484 |
| | Aqua America Inc. | 157,259 | 3,457 |
| | Atmos Energy Corp. | 103,372 | 3,437 |
| * | GenOn Energy Inc. | 878,625 | 3,392 |
| | Great Plains Energy Inc. | 154,726 | 3,207 |
| | Nicor Inc. | 51,916 | 2,842 |
| | Hawaiian Electric | | |
| | Industries Inc. | 108,145 | 2,602 |
| | Vectren Corp. | 93,124 | 2,594 |
| | Piedmont Natural | | |
| | Gas Co. Inc. | 82,615 | 2,500 |
| | Cleco Corp. | 69,534 | 2,423 |
| | WGL Holdings Inc. | 58,324 | 2,245 |
| | IDACORP Inc. | 56,334 | 2,225 |
| | Portland General Electric Co. | 85,940 | 2,173 |
| | New Jersey Resources Corp. | 47,432 | 2,116 |
| | Southwest Gas Corp. | 49,334 | 1,905 |
| | UIL Holdings Corp. | 57,911 | 1,873 |
| | South Jersey Industries Inc. | 33,988 | 1,846 |
| | Avista Corp. | 64,974 | 1,669 |
| | PNM Resources Inc. | 93,384 | 1,563 |
| | Unisource Energy Corp. | 41,876 | 1,563 |
| | Allete Inc. | 36,890 | 1,514 |
| | El Paso Electric Co. | 43,526 | 1,406 |
| | Northwest Natural Gas Co. | 30,598 | 1,381 |
| | NorthWestern Corp. | 41,232 | 1,365 |
| | Black Hills Corp. | 42,759 | 1,287 |
| | MGE Energy Inc. | 26,601 | 1,078 |
| | Laclede Group Inc. | 28,433 | 1,076 |
| | American States Water Co. | 26,718 | 926 |
| | Empire District Electric Co. | 47,669 | 918 |
| | CHEnergy Group Inc. | 16,507 | 879 |
| | Otter Tail Corp. | 37,446 | 790 |
| | California Water | | |
| | Service Group | 42,088 | 787 |
| * | Dynegy Inc. Class A | 118,547 | 734 |
| | Central Vermont Public | | |
| | Service Corp. | 15,723 | 568 |
| | SJWCorp. | 22,146 | 537 |
| | Ormat Technologies Inc. | 22,930 | 505 |
| | Connecticut Water | | |
| | Service Inc. | 17,347 | 444 |
| | ChesapeakeUtilities Corp. | 9,478 | 379 |
| | Middlesex Water Co. | 12,667 | 235 |
| | Unitil Corp. | 5,994 | 158 |
| * | Cadiz Inc. | 14,246 | 155 |
| | Consolidated Water Co. Ltd. | 11,915 | 111 |
| | | |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Artesian Resources Corp. | | |
| | Class A | 5,580 | 101 |
| * | Synthesis Energy | | |
| | Systems Inc. | 30,151 | 56 |
| | York Water Co. | 3,244 | 54 |
| * | Purecycle Corp. | 8,430 | 26 |
| | Delta Natural Gas Co. Inc. | 700 | 22 |
| | Pennichuck Corp. | 737 | 21 |
| | RGC Resources Inc. | 16 | 1 |
| | | | 584,313 |
| Total Common Stocks | | |
| (Cost $14,487,553) | | 17,047,601 |
| Temporary Cash Investments (0.5%)1 | |
| Money Market Fund (0.4%) | | |
| 2,3 | Vanguard Market | | |
| | Liquidity Fund, 0.140% | 73,414,814 | 73,415 |
| |
| | | Face | |
| | | Amount | |
| | | ($000) | |
| U.S. Government and Agency Obligations (0.1%) |
| 4,5 | Fannie Mae Discount | | |
| | Notes, 0.070%, 8/3/11 | 2,000 | 2,000 |
| 4 | Fannie Mae Discount | | |
| | Notes, 0.085%, 8/24/11 | 1,000 | 1,000 |
| 4,5 | Federal Home Loan | | |
| | Bank Discount Notes, | | |
| | 0.065%, 8/10/11 | 200 | 200 |
| 4,5 | Federal Home Loan | | |
| | Bank Discount Notes, | | |
| | 0.080%, 8/17/11 | 2,000 | 1,999 |
| 4,5 | Freddie Mac Discount | | |
| | Notes, 0.080%, 8/15/11 | 1,100 | 1,100 |
| 4,5 | Freddie Mac Discount | | |
| | Notes, 0.100%, 8/29/11 | 150 | 150 |
| | | | 6,449 |
| Total Temporary Cash Investments | |
| (Cost $79,864) | | 79,864 |
| Total Investments (99.9%) | | |
| (Cost $14,567,417) | | 17,127,465 |
| Other Assets and Liabilities (0.1%) | |
| Other Assets | | 149,577 |
| Liabilities3 | | (137,741) |
| | | | 11,836 |
| Net Assets (100%) | | 17,139,301 |
42
Institutional Total Stock Market Index Fund
| |
| At June 30, 2011, net assets consisted of: |
| | Amount |
| | ($000) |
| Paid-in Capital | 15,055,478 |
| Undistributed Net Investment Income | 6,715 |
| Accumulated Net Realized Losses | (484,990) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 2,560,048 |
| Futures Contracts | 2,050 |
| Net Assets | 17,139,301 |
| |
| |
| Institutional Shares—Net Assets | |
| Applicable to 94,327,625 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 2,840,391 |
| Net Asset Value Per Share— | |
| Institutional Shares | $30.11 |
| |
| |
| Institutional Plus Shares—Net Assets | |
| Applicable to 474,797,366 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 14,298,910 |
| Net Asset Value Per Share— | |
| Institutional Plus Shares | $30.12 |
Securities with a market value of less than $500 are displayed with a dash.
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 $26,552,000.
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 99.8% and 0.1%, 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 $27,787,000 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 $4,649,000 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.
43
Institutional Total Stock Market Index Fund
Statement of Operations
| |
| | Six Months Ended |
| | June 30, 2011 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 141,778 |
| Interest1 | 68 |
| Security Lending | 1,574 |
| Total Income | 143,420 |
| Expenses | |
| The Vanguard Group—Note B | |
| Management and Administrative—Institutional Shares | 556 |
| Management and Administrative—Institutional Plus Shares | 1,625 |
| Total Expenses | 2,181 |
| Net Investment Income | 141,239 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | (85,188) |
| Futures Contracts | 3,900 |
| Realized Net Gain (Loss) | (81,288) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 934,144 |
| Futures Contracts | 958 |
| Change in Unrealized Appreciation (Depreciation) | 935,102 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 995,053 |
| 1 Interest income from an affiliated company of the fund was $60,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
44
Institutional Total Stock Market Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | June 30, | December 31, |
| | 2011 | 2010 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 141,239 | 261,050 |
| Realized Net Gain (Loss) | (81,288) | 102,435 |
| Change in Unrealized Appreciation (Depreciation) | 935,102 | 1,947,122 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 995,053 | 2,310,607 |
| Distributions | | |
| Net Investment Income | | |
| Institutional Shares | (21,562) | (37,307) |
| Institutional Plus Shares | (114,135) | (224,408) |
| Realized Capital Gain | | |
| Institutional Shares | — | — |
| Institutional Plus Shares | — | — |
| Total Distributions | (135,697) | (261,715) |
| Capital Share Transactions | | |
| Institutional Shares | 466,684 | 275,016 |
| Institutional Plus Shares | 589,106 | 679,934 |
| Net Increase (Decrease) from Capital Share Transactions | 1,055,790 | 954,950 |
| Total Increase (Decrease) | 1,915,146 | 3,003,842 |
| Net Assets | | |
| Beginning of Period | 15,224,155 | 12,220,313 |
| End of Period1 | 17,139,301 | 15,224,155 |
| 1 Net Assets—End of Period includes undistributed net investment income of $6,715,000 and $1,173,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
45
Institutional Total Stock Market Index Fund
Financial Highlights
Institutional Shares
| | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $28.54 | $24.80 | $19.68 | $31.89 | $30.71 | $27.00 |
| Investment Operations | | | | | | |
| Net Investment Income | .254 | .495 | .483 | .550 | .547 | .501 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 1.560 | 3.741 | 5.120 | (12.208) | 1.179 | 3.710 |
| Total from Investment Operations | 1.814 | 4.236 | 5.603 | (11.658) | 1.726 | 4.211 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.244) | (.496) | (.483) | (.552) | (.546) | (.501) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.244) | (.496) | (.483) | (.552) | (.546) | (.501) |
| Net Asset Value, End of Period | $30.11 | $28.54 | $24.80 | $19.68 | $31.89 | $30.71 |
| |
| Total Return | 6.36% | 17.28% | 28.84% | -36.90% | 5.60% | 15.74% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $2,840 | $2,248 | $1,700 | $1,106 | $1,271 | $939 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.044% | 0.045% | 0.045% | 0.045% | 0.045% | 0.045% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.76% | 1.95% | 2.36% | 2.12% | 1.81% | 1.81% |
| Portfolio Turnover Rate1 | 11% | 14% | 13% | 13% | 10% | 8% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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.
46
Institutional Total Stock Market Index Fund
Financial Highlights
Institutional Plus Shares
| | | | | | |
| Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | June 30, | | | Year Ended December 31, |
| Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
| Net Asset Value, Beginning of Period | $28.54 | $24.81 | $19.68 | $31.89 | $30.71 | $27.00 |
| Investment Operations | | | | | | |
| Net Investment Income | .257 | .499 | .487 | .556 | .553 | .506 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 1.570 | 3.732 | 5.130 | (12.209) | 1.179 | 3.710 |
| Total from Investment Operations | 1.827 | 4.231 | 5.617 | (11.653) | 1.732 | 4.216 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.247) | (.501) | (.487) | (.557) | (.552) | (.506) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.247) | (.501) | (.487) | (.557) | (.552) | (.506) |
| Net Asset Value, End of Period | $30.12 | $28.54 | $24.81 | $19.68 | $31.89 | $30.71 |
| |
| Total Return | 6.41% | 17.25% | 28.92% | -36.89% | 5.62% | 15.76% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $14,299 | $12,976 | $10,520 | $6,631 | $8,599 | $4,615 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.024% | 0.025% | 0.025% | 0.025% | 0.025% | 0.025% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.78% | 1.97% | 2.38% | 2.14% | 1.83% | 1.83% |
| Portfolio Turnover Rate1 | 11% | 14% | 13% | 13% | 10% | 8% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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.
47
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 considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, 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.
48
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. Effective June 2011, the annual fee rate was reduced to 0.04% for the Institutional Shares and 0.02% for the Institutional Plus 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 June 30, 2011, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 17,047,573 | — | 28 |
| Temporary Cash Investments | 73,415 | 6,449 | — |
| Futures Contracts—Assets1 | 702 | — | — |
| Futures Contracts—Liabilities1 | (62) | — | — |
| Total | 17,121,628 | 6,449 | 28 |
| 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 six months ended June 30, 2011:
| |
| | Investments in |
| | Common Stock |
| Amount Valued Based on Level 3 Inputs | ($000) |
| Balance as of December 31, 2010 | — |
| Transfers in and/or out of Level 3 | 28 |
| Balance as of June 30, 2011 | 28 |
49
Institutional Total Stock Market Index Fund
D. At June 30, 2011, 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 | September 2011 | 181 | 59,526 | 1,526 |
| E-mini Russell 2000 Index | September 2011 | 73 | 6,025 | 375 |
| E-mini S&P MidCap Index | September 2011 | 30 | 2,930 | 118 |
| E-mini S&P 500 Index | September 2011 | 15 | 987 | 31 |
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 will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2010, 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $14,567,417,000. Net unrealized appreciation of investment securities for tax purposes was $2,560,048,000, consisting of unrealized gains of $3,582,003,000 on securities that had risen in value since their purchase and $1,021,955,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2011, the fund purchased $1,996,808,000 of investment securities and sold $928,710,000 of investment securities, other than temporary cash investments.
50
Institutional Total Stock Market Index Fund
G. Capital share transactions for each class of shares were:
| | | | |
| | Six Months Ended | | Year Ended |
| | | June 30, 2011 | December 31, 2010 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Institutional Shares | | | | |
| Issued | 571,110 | 19,022 | 968,244 | 36,921 |
| Issued in Lieu of Cash Distributions | 18,653 | 621 | 32,776 | 1,248 |
| Redeemed | (123,079) | (4,090) | (726,004) | (27,934) |
| Net Increase (Decrease)—Institutional Shares | 466,684 | 15,553 | 275,016 | 10,235 |
| Institutional Plus Shares | | | | |
| Issued | 1,571,100 | 53,037 | 2,681,039 | 108,189 |
| Issued in Lieu of Cash Distributions | 103,588 | 3,449 | 199,020 | 7,597 |
| Redeemed | (1,085,582) | (36,298) | (2,200,125) | (85,280) |
| Net Increase (Decrease)—Institutional Plus Shares | 589,106 | 20,188 | 679,934 | 30,506 |
H. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
51
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The 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. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not 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.
52
Six Months Ended June 30, 2011
| | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| Institutional Total Stock Market Index Fund | 12/31/2010 | 6/30/2011 | Period |
| Based on Actual Fund Return | | | |
| Institutional Shares | $1,000.00 | $1,063.60 | $0.23 |
| Institutional Plus Shares | 1,000.00 | 1,064.06 | 0.12 |
| Based on Hypothetical 5% Yearly Return | | | |
| Institutional Shares | $1,000.00 | $1,024.58 | $0.22 |
| Institutional Plus Shares | 1,000.00 | 1,024.68 | 0.12 |
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 0.044% for Institutional Shares and 0.024% for Institutional Plus Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
53
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Institutional Total Stock Market Index Fund has amended and renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Quantitative Equity Group—serves as the investment advisor for the fund. The amended investment advisory arrangement reduced the management and shareholder services expenses paid to Vanguard by the fund, which resulted in a lower expense ratio. The board determined that amending the investment advisory arrangement and continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the fund’s investment management over both the short and long term, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Quantitative Equity Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted the amendment and continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance of its target index and peer group. The board concluded that the fund has performed in line with expectations, and that its results have been consistent with its investment strategies. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s low-cost arrangement with Vanguard ensures that the fund and its shareholders benefit from economies of scale.
The board will consider whether to renew the advisory arrangement again after a one-year period.
54
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 securities 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.
55
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 178 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 | and President (2006–2008) of Rohm and Haas Co. |
| | (chemicals); Director of Tyco International, Ltd. |
| F. William McNabb III | (diversified manufacturing and services) and Hewlett- |
| Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing); |
| Board. Principal Occupation(s) During the Past Five | Senior Advisor at New Mountain Capital; Trustee |
| Years: Chairman of the Board of The Vanguard Group, | of The Conference Board; Member of the Board of |
| Inc., and of each of the investment companies served | Managers of Delphi Automotive LLP (automotive |
| by The Vanguard Group, since January 2010; Director | components). |
| of The Vanguard Group since 2008; Chief Executive | |
| Officer and President of The Vanguard Group and of | Amy Gutmann |
| each of the investment companies served by The | Born 1949. Trustee Since June 2006. Principal |
| Vanguard Group since 2008; Director of Vanguard | Occupation(s) During the Past Five Years: President |
| Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Christopher H. |
| Vanguard Group (1995–2008). | Browne Distinguished Professor of Political Science |
| | in the School of Arts and Sciences with secondary |
| | appointments at the Annenberg School for Commu- |
| Independent Trustees | nication and the Graduate School of Education |
| | of the University of Pennsylvania; Director of |
| Emerson U. Fullwood | Carnegie Corporation of New York, Schuylkill River |
| Born 1948. Trustee Since January 2008. Principal | Development Corporation, and Greater Philadelphia |
| Occupation(s) During the Past Five Years: Executive | Chamber of Commerce; Trustee of the National |
| Chief Staff and Marketing Officer for North America | Constitution Center; Chair of the Presidential |
| and Corporate Vice President (retired 2008) of Xerox | Commission for the Study of Bioethical Issues. |
| Corporation (document management products and | |
| services); Executive in Residence and 2010 | JoAnn Heffernan Heisen |
| Distinguished Minett Professor at the Rochester | Born 1950. Trustee Since July 1998. Principal |
| Institute of Technology; Director of SPX Corporation | Occupation(s) During the Past Five Years: Corporate |
| (multi-industry manufacturing), the United Way of | Vice President and Chief Global Diversity Officer |
| Rochester, Amerigroup Corporation (managed health | (retired 2008) and Member of the Executive |
| care), the University of Rochester Medical Center, | Committee (1997–2008) of Johnson & Johnson |
| Monroe Community College Foundation, and North | (pharmaceuticals/consumer products); Director of |
| Carolina A&T University. | Skytop Lodge Corporation (hotels), the University |
| | Medical Center at Princeton, the Robert Wood |
| Rajiv L. Gupta | Johnson Foundation, and the Center for Work Life |
| Born 1945. Trustee Since December 2001. 2 | Policy; Member of the Advisory Board of the |
| Principal Occupation(s) During the Past Five Years: | Maxwell School of Citizenship and Public Affairs |
| Chairman and Chief Executive Officer (retired 2009) | at Syracuse University. |
| | |
| F. Joseph Loughrey | Thomas J. Higgins | |
| Born 1949. Trustee Since October 2009. Principal | Born 1957. Chief Financial Officer Since September |
| Occupation(s) During the Past Five Years: President | 2008. Principal Occupation(s) During the Past Five |
| and Chief Operating Officer (retired 2009) and Vice | Years: Principal of The Vanguard Group, Inc.; Chief |
| Chairman of the Board (2008–2009) of Cummins Inc. | Financial Officer of each of the investment companies |
| (industrial machinery); Director of SKF AB (industrial | served by The Vanguard Group since 2008; Treasurer |
| machinery), Hillenbrand, Inc. (specialized consumer | of each of the investment companies served by The |
| services), the Lumina Foundation for Education, and | Vanguard Group (1998–2008). |
| Oxfam America; Chairman of the Advisory Council | | |
| for the College of Arts and Letters and Member | Kathryn J. Hyatt | |
| of the Advisory Board to the Kellogg Institute for | Born 1955. Treasurer Since November 2008. Principal |
| International Studies at the University of Notre Dame. | Occupation(s) During the Past Five Years: Principal |
| | of The Vanguard Group, Inc.; Treasurer of each of |
| André F. Perold | the investment companies served by The Vanguard |
| Born 1952. Trustee Since December 2004. Principal | Group since 2008; Assistant Treasurer of each of the |
| Occupation(s) During the Past Five Years: George | investment companies served by The Vanguard Group |
| Gund Professor of Finance and Banking at the Harvard | (1988–2008). | |
| Business School; Chair of the Investment Committee | | |
| of HighVista Strategies LLC (private investment firm). | Heidi Stam | |
| | Born 1956. Secretary Since July 2005. Principal |
| Alfred M. Rankin, Jr. | Occupation(s) During the Past Five Years: Managing |
| Born 1941. Trustee Since January 1993. Principal | Director of The Vanguard Group, Inc., since 2006; |
| Occupation(s) During the Past Five Years: Chairman, | General Counsel of The Vanguard Group since 2005; |
| President, and Chief Executive Officer of NACCO | Secretary of The Vanguard Group and of each of the |
| Industries, Inc. (forklift trucks/housewares/lignite); | investment companies served by The Vanguard Group |
| Director of Goodrich Corporation (industrial products/ | since 2005; Director and Senior Vice President of |
| aircraft systems and services) and the National | Vanguard Marketing Corporation since 2005; |
| Association of Manufacturers; Chairman of the | Principal of The Vanguard Group (1997–2006). |
| Federal Reserve Bank of Cleveland; Vice Chairman | | |
| of University Hospitals of Cleveland; President of | | |
| the Board of The Cleveland Museum of Art. | Vanguard Senior Management Team |
| |
| Peter F. Volanakis | R. Gregory Barton | Michael S. Miller |
| Born 1955. Trustee Since July 2009. Principal | Mortimer J. Buckley | James M. Norris |
| Occupation(s) During the Past Five Years: President | Kathleen C. Gubanich | GlennW. Reed |
| and Chief Operating Officer (retired 2010) of Corning | Paul A. Heller | George U. Sauter |
| Incorporated (communications equipment); Director of | Martha G. King | |
| Corning Incorporated (2000–2010) and Dow Corning | | |
| (2001–2010); Overseer of the Amos Tuck School of | | |
| Business Administration at Dartmouth College. | Chairman Emeritus and Senior Advisor |
| |
| | John J. Brennan | |
| Executive Officers | Chairman, 1996–2009 | |
| | Chief Executive Officer and President, 1996–2008 |
| Glenn Booraem | | |
| Born 1967. Controller Since July 2010. Principal | | |
| Occupation(s) During the Past Five Years: Principal | Founder | |
| of The Vanguard Group, Inc.; Controller of each of | | |
| the investment companies served by The Vanguard | John C. Bogle | |
| Group since 2010; Assistant Controller of each of | Chairman and Chief Executive Officer, 1974–1996 |
| the investment companies served by The Vanguard | | |
| Group (2001–2010). | | |
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
Fund Information > 800-662-7447 | The funds or securities referred to herein are not |
| Direct Investor Account Services > 800-662-2739 | sponsored, endorsed, or promoted by MSCI, and MSCI |
| Institutional Investor Services> 800-523-1036 | bears no liability with respect to any such funds or |
Text Telephone for People | securities. For any such funds or securities, the |
| With Hearing Impairment > 800-749-7273 | prospectus or the Statement of Additional Information |
| contains a more detailed description of the limited |
| This material may be used in conjunction | relationship MSCI has with the The Vanguard Group and |
| with the offering of shares of any Vanguard | any related funds. |
| 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. |
| | Q8712 082011 |
Item 2: Code of Ethics.
Not Applicable.
Item 3: Audit Committee Financial Expert.
Not Applicable.
Item 4: Principal Accountant Fees and Services.
Not Applicable.
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) 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: August 18, 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: August 18, 2011 |
| |
| | VANGUARD INSTITUTIONAL INDEX FUNDS |
| |
| By: | /s/ THOMAS J. HIGGINS* |
| | THOMAS J. HIGGINS |
| | CHIEF FINANCIAL OFFICER |
| |
| Date: August 18, 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.
