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: | 811-06093 | |
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, 2012 – December 31, 2012 | ||
Item 1: Reports to Shareholders | ||
Annual Report | December 31, 2012
Vanguard Institutional Index Fund
> For the 12 months ended December 31, 2012, Vanguard Institutional Index Fund
notched its best yearly performance since 2009, with Institutional Shares
returning 15.98% and Institutional Plus Shares returning 16.00%.
> The period was marked by strong returns from financial stocks and lackluster
results from utility stocks.
> For the decade ended December 31, the fund closely tracked its benchmark
index and exceeded the average annual return of peer funds.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Fund Profile. | 7 |
| Performance Summary. | 8 |
| Financial Statements. | 10 |
| About Your Fund’s Expenses. | 26 |
| Glossary. | 28 |
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.
About the cover: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It
was featured in the 2003 movie Master and Commander: The Far Side of the World, which was based on Patrick O’Brian’s sea
novels, set amid the Napoleonic Wars. Vanguard was named for another ship of that era, the HMSVanguard, which was the
flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
| Fiscal Year Ended December 31, 2012 | |
| Total | |
| Returns | |
| Vanguard Institutional Index Fund | |
| Institutional Shares | 15.98% |
| Institutional Plus Shares | 16.00 |
| S&P 500 Index | 16.00 |
| Large-Cap Core Funds Average | 14.94 |
| 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, 2011, Through December 31, 2012 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Institutional Index Fund | ||||
| Institutional Shares | $115.04 | $130.52 | $2.830 | $0.000 |
| Institutional Plus Shares | 115.05 | 130.53 | 2.855 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
For the 12 months ended December 31, 2012, Vanguard Institutional Index Fund posted its best annual result since 2009. Institutional Shares of the fund returned 15.98% and Institutional Plus Shares returned 16.00%. The fund closely tracked its benchmark, the Standard & Poor’s 500 Index, and outperformed the average return of peer funds.
A rebound in financials—the worst-performing sector in 2011—helped drive the index’s advance. All ten industry sectors had positive returns for the year; utility stocks had the smallest gain.
With help from central banks, stocks posted strong results
Stocks around the world recorded double-digit gains for the 12 months ended December 31, with international stocks faring even better than their U.S. counterparts.
European stocks shook off investors’ concerns to deliver some of the best results, rising about 19%. The rally came as European central bankers moved to address worries about the finances of governments and banks. Still, Vanguard economists expect Europe to remain a trouble spot, with occasional spikes in market volatility, as fiscal tightening persists in the face of weak economic growth.
2
In the United States, the Federal Reserve continued buying bonds and mortgage-backed securities to try to stimulate growth. The Fed’s actions seemed to buoy both stock and bond returns.
Attention to the nation’s considerable budget challenges intensified as 2012 drew to a close. The focus on the “fiscal cliff” led to nervousness in the markets before policymakers reached a limited tax-rate agreement on the cusp of the new year. The compromise legislation, which President Barack Obama signed into law on January 2, addressed some immediate concerns, but a credible long-term deficit-reduction strategy had yet to be crafted to resolve the nation’s fiscal imbalance and open the way for growth.
Bond returns were solid, but challenges lie ahead
The broad U.S. taxable bond market returned about 4% for the 12 months. Municipal bonds performed especially well, returning more than 6%.
As bond prices rose, the yield of the 10-year U.S. Treasury note slipped to a record low in July, closing below 1.5%. (Bond yields and prices move in opposite directions.) By the end of the period, the yield had climbed, but it remained exceptionally low by historical standards.
Although bonds can provide critical diversification benefits to a portfolio, their return prospects look much less promising than in recent years. As yields have
| Market Barometer | |||
| Average Annual Total Returns | |||
| Periods Ended December 31, 2012 | |||
| One | Three | Five | |
| Year | Years | Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 16.42% | 11.12% | 1.92% |
| Russell 2000 Index (Small-caps) | 16.35 | 12.25 | 3.56 |
| Russell 3000 Index (Broad U.S. market) | 16.42 | 11.20 | 2.04 |
| MSCI All Country World Index ex USA (International) | 16.83 | 3.87 | -2.89 |
| Bonds | |||
| Barclays U.S. Aggregate Bond Index (Broad taxable market) | 4.21% | 6.19% | 5.95% |
| Barclays Municipal Bond Index (Broad tax-exempt market) | 6.78 | 6.57 | 5.91 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.07 | 0.08 | 0.44 |
| CPI | |||
| Consumer Price Index | 1.74% | 2.06% | 1.80% |
3
tumbled, the opportunity for future bond price appreciation has greatly diminished. (You can read more about our expectations for bond and stock returns in Vanguard’s Economic and Investment Outlook, available at vanguard.com/research.)
As it has since late 2008, the Fed held its target for short-term interest rates between 0% and 0.25%, which kept a tight lid on returns from money market funds and savings accounts.
Financial, tech stocks rallied; utility, energy stocks lagged
As I mentioned earlier, financial stocks were among the best performers for the year as banks, brokerages, and finance companies put some more distance between their balance sheets and the financial crisis. Bank stocks seemed to get a further lift as the U.S. housing recovery gathered strength—a development that benefited shares of home improvement retailers and home builders as well.
The benchmark’s largest sector, information technology, also boosted returns significantly as the “ripple effect” of the growing popularity of smartphones and tablet computers spread from computer hardware manufacturers to software and internet companies. IT services and communication equipment firms also benefited from consumer and corporate demand.
Weak spots included energy and utility stocks. Economic sluggishness has restrained power and energy demand, while the abundance of natural gas has put pressure on oil and gas prices.
Your fund has delivered solid long-term results
For the ten-year period ended December 31, Institutional Shares of the Institutional Index Fund produced an average annual return of 7.11%. By historical standards, the results don’t appear impressive—until, that is, you consider the challenges of the past decade. Over the ten years, investors endured some traumatic events, including the aftermath of the bursting of the technology bubble in the early 2000s and the more recent financial crisis and global recession. The fund emerged from that turbulence with a ten-year average return that was more than a percentage point better than the average return of peer funds.
Through the market’s ups and downs, the fund met its goal of closely tracking the S&P 500 Index. This success reflects the skill of the advisor, Vanguard Equity Investment Group. The group relies on its proven portfolio management strategies in seeking to produce benchmark-tracking returns regardless of external market conditions. At the same time, the fund’s low costs help you keep your share of the market’s returns.
4
Gus Sauter united traditional values with pioneering investment acumen
When I was interviewing for a job at Vanguard in the mid-1980s, Jack Brennan, who would go on to become our chairman and chief executive officer and is now chairman emeritus, described Vanguard as “a company with the intellectual rigor of Wall Street but with Midwestern values.”
I’m reminded of that when I think about Gus Sauter’s 25-year career at Vanguard. Gus retired as our chief investment officer at the end of December, having set the highest of standards for both intellectual achievement and devotion to doing the right thing for clients, colleagues, and community.
Gus played a pivotal role in transforming indexing from a novelty to an investing mainstay, a change that has benefited all investors. In addition, he developed our active quantitative equity strategies, oversaw the growth of our industry-leading expertise in fixed income, and ultimately helped Vanguard to become a global investment manager responsible for $2 trillion in client assets.
As for the Midwestern values, Gus—a native of Ohio, incidentally—served our clients with a dedication to thrift, candor, and common sense that has helped make Vanguard what it is. His colleagues knew that in any situation they could count on him to keep a level-headed, long-term
| Total Returns | |
| Ten Years Ended December 31, 2012 | |
| Average | |
| Annual Return | |
| Institutional Index Fund Institutional Shares | 7.11% |
| S&P 500 Index | 7.10 |
| Large-Cap Core Funds Average | 5.64 |
| Large-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be
lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our
website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so
an investor’s shares, when sold, could be worth more or less than their original cost.
5
outlook. Just two weeks after he started at Vanguard, he helped guide us through the stock market crash of 1987. Some 20 years later, he helped us navigate the financial crisis of 2008–2009.
An important aspect of Gus’s legacy is the team of world-class investment professionals that he cultivated at Vanguard. That team is now led by Tim Buckley, who oversaw our services for individual investors before becoming chief investment officer. I am confident that Tim will not only carry on Gus’s legacy, but also—as Gus himself put it—take Vanguard investment management to the next level.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
January 15, 2013
6
Institutional Index Fund
Fund Profile
As of December 31, 2012
| Share-Class Characteristics | ||
| Institutional | Institutional | |
| Shares | Plus Shares | |
| Ticker Symbol | VINIX | VIIIX |
| Expense Ratio1 | 0.04% | 0.02% |
| 30-Day SEC Yield | 2.25% | 2.27% |
| Portfolio Characteristics | |||
| DJ U.S. | |||
| Total | |||
| Market | |||
| S&P 500 | FA | ||
| Fund | Index | Index | |
| Number of Stocks | 503 | 500 | 3,604 |
| Median Market Cap | $56.4B | $56.4B | $35.1B |
| Price/Earnings Ratio | 15.9x | 15.9x | 16.8x |
| Price/Book Ratio | 2.1x | 2.1x | 2.1x |
| Return on Equity | 18.7% | 18.7% | 17.1% |
| Earnings Growth Rate | 9.7% | 9.7% | 9.7% |
| Dividend Yield | 2.3% | 2.3% | 2.1% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 5% | — | — |
| Short-Term Reserves | -0.1% | — | — |
| Sector Diversification (% of equity exposure) | |||
| DJ U.S. | |||
| Total | |||
| Market | |||
| S&P 500 | FA | ||
| Fund | Index | Index | |
| Consumer Discretionary | 11.5% | 11.5% | 12.3% |
| Consumer Staples | 10.6 | 10.6 | 9.3 |
| Energy | 11.0 | 11.0 | 10.2 |
| Financials | 15.6 | 15.6 | 16.9 |
| Health Care | 12.0 | 12.0 | 11.7 |
| Industrials | 10.1 | 10.1 | 11.1 |
| Information Technology | 19.1 | 19.1 | 18.3 |
| Materials | 3.6 | 3.6 | 4.0 |
| Telecommunication Services | 3.1 | 3.1 | 2.7 |
| Utilities | 3.4 | 3.4 | 3.5 |
| Volatility Measures | ||
| DJ U.S. | ||
| Total | ||
| Market | ||
| S&P 500 | FA | |
| Index | Index | |
| R-Squared | 1.00 | 1.00 |
| Beta | 1.00 | 0.96 |
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) | ||
| Apple Inc. | Computer Hardware | 3.9% |
| Exxon Mobil Corp. | Integrated Oil & Gas | 3.1 |
| General Electric Co. | Industrial | |
| Conglomerates | 1.7 | |
| Chevron Corp. | Integrated Oil & Gas | 1.7 |
| International Business | IT Consulting & | |
| Machines Corp. | Other Services | 1.6 |
| Microsoft Corp. | Systems Software | 1.6 |
| Johnson & Johnson | Pharmaceuticals | 1.5 |
| AT&T Inc. | Integrated | |
| Telecommunication | ||
| Services | 1.5 | |
| Google Inc. Class A | Internet Software & | |
| Services | 1.5 | |
| Procter & Gamble Co. | Household Products | 1.4 |
| Top Ten | 19.5% | |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated April 27, 2012. For the fiscal year ended December 31, 2012, the expense ratios
were 0.040% for Institutional Shares and 0.020% for Institutional Plus Shares.
7
Institutional Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2002, Through December 31, 2012
Initial Investment of $5,000,000
| Average Annual Total Returns | |||||
| Periods Ended December 31, 2012 | |||||
| Final Value | |||||
| One | Five | Ten | of a $5,000,000 | ||
| Year | Years | Years | Investment | ||
| Institutional Index Fund Institutional | |||||
| Shares | 15.98% | 1.69% | 7.11% | $9,936,915 | |
| •••••••• | S&P 500 Index | 16.00 | 1.66 | 7.10 | 9,928,999 |
| – – – – | Large-Cap Core Funds Average | 14.94 | 0.50 | 5.64 | 8,658,476 |
| Dow Jones U.S. Total Stock Market | |||||
| Float-Adjusted Index | 16.38 | 2.21 | 7.95 | 10,742,011 | |
| Large-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |||||
| Final Value | ||||
| One | Five | Ten | of a $200,000,000 | |
| Year | Years | Years | Investment | |
| Institutional Index Fund Institutional Plus | ||||
| Shares | 16.00% | 1.72% | 7.14% | $398,457,435 |
| S&P 500 Index | 16.00 | 1.66 | 7.10 | 397,159,952 |
| Dow Jones U.S. Total Stock Market | ||||
| Float-Adjusted Index | 16.38 | 2.21 | 7.95 | 429,680,456 |
See Financial Highlights for dividend and capital gains information.
8
Institutional Index Fund
Fiscal-Year Total Returns (%): December 31, 2002, Through December 31, 2012
9
Institutional Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2012
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Common Stocks (99.4%)1 | |||
| Consumer Discretionary (11.4%) | |||
| Comcast Corp. Class A | 23,502,397 | 878,520 | |
| Home Depot Inc. | 13,699,435 | 847,310 | |
| * | Amazon.com Inc. | 3,320,157 | 833,824 |
| McDonald’s Corp. | 9,198,841 | 811,430 | |
| Walt Disney Co. | 16,236,898 | 808,435 | |
| News Corp. Class A | 18,474,379 | 471,836 | |
| Ford Motor Co. | 34,933,533 | 452,389 | |
| Time Warner Inc. | 8,675,678 | 414,958 | |
| Lowe’s Cos. Inc. | 10,304,997 | 366,034 | |
| Starbucks Corp. | 6,813,335 | 365,331 | |
| Target Corp. | 5,962,992 | 352,830 | |
| NIKE Inc. Class B | 6,687,794 | 345,090 | |
| * | priceline.com Inc. | 456,897 | 283,824 |
| TJX Cos. Inc. | 6,681,966 | 283,650 | |
| * | DIRECTV | 5,535,506 | 277,661 |
| Yum! Brands Inc. | 4,139,779 | 274,881 | |
| Time Warner Cable Inc. | 2,765,105 | 268,741 | |
| Viacom Inc. Class B | 4,233,275 | 223,263 | |
| CBS Corp. Class B | 5,414,454 | 206,020 | |
| Johnson Controls Inc. | 6,265,534 | 192,352 | |
| Carnival Corp. | 4,085,497 | 150,224 | |
| Coach Inc. | 2,599,541 | 144,301 | |
| Macy’s Inc. | 3,621,997 | 141,330 | |
| McGraw-Hill Cos. Inc. | 2,544,654 | 139,116 | |
| * | Discovery | ||
| Communications Inc. | |||
| Class A | 2,188,662 | 138,936 | |
| VF Corp. | 807,552 | 121,916 | |
| Omnicom Group Inc. | 2,420,735 | 120,940 | |
| * | AutoZone Inc. | 338,414 | 119,944 |
| * | Bed Bath & Beyond Inc. | 2,100,177 | 117,421 |
| Mattel Inc. | 3,144,232 | 115,142 | |
| Ross Stores Inc. | 2,037,802 | 110,347 | |
| * | Dollar General Corp. | 2,406,309 | 106,094 |
| Limited Brands Inc. | 2,193,316 | 103,218 | |
| Starwood Hotels & | |||
| Resorts Worldwide Inc. | 1,795,813 | 103,008 | |
| Harley-Davidson Inc. | 2,073,356 | 101,263 | |
| * | O’Reilly Automotive Inc. | 1,049,481 | 93,845 |
| Genuine Parts Co. | 1,420,340 | 90,305 | |
| * | Chipotle Mexican Grill Inc. | ||
| Class A | 288,370 | 85,779 | |
| Gap Inc. | 2,723,817 | 84,547 | |
| * | Dollar Tree Inc. | 2,080,230 | 84,374 |
| Ralph Lauren Corp. | |||
| Class A | 561,709 | 84,211 | |
| Marriott International Inc. | |||
| Class A | 2,253,392 | 83,984 | |
| Kohl’s Corp. | 1,937,493 | 83,274 | |
| Wynn Resorts Ltd. | 728,236 | 81,919 | |
| * | CarMax Inc. | 2,096,785 | 78,713 |
| * | BorgWarner Inc. | 1,072,495 | 76,812 |
| * | Delphi Automotive plc | 2,001,153 | 76,544 |
| Nordstrom Inc. | 1,393,577 | 74,556 | |
| Whirlpool Corp. | 713,514 | 72,600 | |
| Staples Inc. | 6,175,402 | 70,400 | |
| Wyndham | |||
| Worldwide Corp. | 1,285,481 | 68,400 | |
| PetSmart Inc. | 984,106 | 67,254 | |
| Tiffany & Co. | 1,092,126 | 62,623 | |
| Newell Rubbermaid Inc. | 2,635,688 | 58,697 | |
| Lennar Corp. Class A | 1,504,457 | 58,177 | |
| * | PulteGroup Inc. | 3,115,467 | 56,577 |
| Family Dollar Stores Inc. | 877,801 | 55,661 | |
| Darden Restaurants Inc. | 1,178,609 | 53,120 | |
| Expedia Inc. | 852,828 | 52,406 | |
| DR Horton Inc. | 2,559,167 | 50,620 | |
| *,^ | Netflix Inc. | 508,248 | 47,155 |
| H&R Block Inc. | 2,482,118 | 46,093 | |
| Scripps Networks | |||
| Interactive Inc. Class A | 795,283 | 46,063 | |
| * | Fossil Inc. | 494,211 | 46,011 |
| Interpublic Group of | |||
| Cos. Inc. | 3,946,768 | 43,493 | |
| * | TripAdvisor Inc. | 1,002,877 | 42,081 |
| Garmin Ltd. | 998,964 | 40,778 | |
| * | Urban Outfitters Inc. | 1,001,239 | 39,409 |
10
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Hasbro Inc. | 1,059,899 | 38,050 | |
| Gannett Co. Inc. | 2,102,287 | 37,862 | |
| Leggett & Platt Inc. | 1,292,588 | 35,184 | |
| Abercrombie & Fitch Co. | 727,898 | 34,917 | |
| International | |||
| Game Technology | 2,437,695 | 34,542 | |
| * | Goodyear Tire & | ||
| Rubber Co. | 2,241,270 | 30,952 | |
| Comcast Corp. | 844,535 | 30,361 | |
| Cablevision Systems | |||
| Corp. Class A | 1,974,306 | 29,496 | |
| Best Buy Co. Inc. | 2,443,643 | 28,957 | |
| ^ | GameStop Corp. Class A | 1,108,678 | 27,817 |
| Harman International | |||
| Industries Inc. | 620,612 | 27,704 | |
| ^ | JC Penney Co. Inc. | 1,303,902 | 25,700 |
| * | Apollo Group Inc. Class A | 915,268 | 19,147 |
| Washington Post Co. | |||
| Class B | 41,415 | 15,125 | |
| * | Big Lots Inc. | 529,613 | 15,073 |
| * | AutoNation Inc. | 356,493 | 14,153 |
| 13,393,100 | |||
| Consumer Staples (10.6%) | |||
| Procter & Gamble Co. | 25,051,943 | 1,700,776 | |
| Coca-Cola Co. | 35,341,362 | 1,281,124 | |
| Philip Morris | |||
| International Inc. | 15,306,238 | 1,280,214 | |
| Wal-Mart Stores Inc. | 15,325,166 | 1,045,636 | |
| PepsiCo Inc. | 14,172,901 | 969,852 | |
| Altria Group Inc. | 18,554,964 | 582,997 | |
| CVS Caremark Corp. | 11,422,786 | 552,292 | |
| Colgate-Palmolive Co. | 4,069,443 | 425,420 | |
| Mondelez International | |||
| Inc. Class A | 16,282,604 | 414,718 | |
| Costco Wholesale Corp. | 3,962,158 | 391,342 | |
| Kimberly-Clark Corp. | 3,585,294 | 302,706 | |
| Walgreen Co. | 7,871,595 | 291,328 | |
| Kraft Foods Group Inc. | 5,428,067 | 246,814 | |
| General Mills Inc. | 5,912,045 | 238,906 | |
| Sysco Corp. | 5,386,062 | 170,523 | |
| HJ Heinz Co. | 2,938,200 | 169,475 | |
| Archer-Daniels-Midland Co. | 6,034,440 | 165,283 | |
| Whole Foods Market Inc. | 1,581,041 | 144,397 | |
| Lorillard Inc. | 1,186,138 | 138,387 | |
| Estee Lauder Cos. Inc. | |||
| Class A | 2,199,780 | 131,679 | |
| Kellogg Co. | 2,266,167 | 126,566 | |
| Reynolds American Inc. | 2,970,622 | 123,073 | |
| Mead Johnson | |||
| Nutrition Co. | 1,860,406 | 122,582 | |
| Kroger Co. | 4,708,063 | 122,504 | |
| ConAgra Foods Inc. | 3,734,377 | 110,164 | |
| Hershey Co. | 1,370,345 | 98,966 | |
| Beam Inc. | 1,456,783 | 88,995 | |
| Brown-Forman Corp. | |||
| Class B | 1,387,673 | 87,770 | |
| Clorox Co. | 1,194,597 | 87,468 | |
| JM Smucker Co. | 993,140 | 85,648 | |
| Dr Pepper Snapple | |||
| Group Inc. | 1,905,435 | 84,182 | |
| Coca-Cola Enterprises Inc. | 2,470,475 | 78,388 | |
| McCormick & Co. Inc. | 1,214,326 | 77,146 | |
| * | Monster Beverage Corp. | 1,366,301 | 72,250 |
| Molson Coors Brewing | |||
| Co. Class B | 1,428,198 | 61,113 | |
| Campbell Soup Co. | 1,642,386 | 57,303 | |
| Avon Products Inc. | 3,960,473 | 56,872 | |
| Tyson Foods Inc. Class A | 2,630,346 | 51,029 | |
| * | Constellation Brands Inc. | ||
| Class A | 1,387,939 | 49,119 | |
| ^ | Safeway Inc. | 2,192,205 | 39,657 |
| Hormel Foods Corp. | 1,226,668 | 38,284 | |
| * | Dean Foods Co. | 1,694,817 | 27,982 |
| 12,390,930 | |||
| Energy (10.9%) | |||
| Exxon Mobil Corp. | 41,774,034 | 3,615,543 | |
| Chevron Corp. | 17,932,324 | 1,939,201 | |
| Schlumberger Ltd. | 12,163,765 | 842,827 | |
| ConocoPhillips | 11,122,293 | 644,982 | |
| Occidental | |||
| Petroleum Corp. | 7,423,295 | 568,699 | |
| Anadarko Petroleum Corp. | 4,579,181 | 340,279 | |
| Phillips 66 | 5,734,120 | 304,482 | |
| EOG Resources Inc. | 2,482,043 | 299,806 | |
| Halliburton Co. | 8,502,871 | 294,965 | |
| Apache Corp. | 3,585,253 | 281,442 | |
| National Oilwell Varco Inc. | 3,911,641 | 267,361 | |
| Kinder Morgan Inc. | 5,794,535 | 204,721 | |
| Williams Cos. Inc. | 6,174,208 | 202,144 | |
| Marathon Oil Corp. | 6,472,764 | 198,455 | |
| Marathon Petroleum Corp. | 3,107,903 | 195,798 | |
| Devon Energy Corp. | 3,451,239 | 179,602 | |
| Valero Energy Corp. | 5,072,075 | 173,059 | |
| Spectra Energy Corp. | 6,100,886 | 167,042 | |
| Noble Energy Inc. | 1,630,069 | 165,843 | |
| Baker Hughes Inc. | 4,028,472 | 164,523 | |
| Hess Corp. | 2,722,758 | 144,197 | |
| * | Cameron | ||
| International Corp. | 2,260,766 | 127,643 | |
| Ensco plc Class A | 2,128,493 | 126,177 | |
| Pioneer Natural | |||
| Resources Co. | 1,129,288 | 120,371 | |
| * | Southwestern Energy Co. | 3,202,025 | 106,980 |
| Murphy Oil Corp. | 1,691,828 | 100,748 | |
| Cabot Oil & Gas Corp. | 1,922,917 | 95,646 | |
| Range Resources Corp. | 1,490,253 | 93,633 | |
| * | FMC Technologies Inc. | 2,178,518 | 93,306 |
| EQT Corp. | 1,371,035 | 80,864 | |
| Noble Corp. | 2,313,804 | 80,567 | |
11
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Chesapeake Energy Corp. | 4,750,782 | 78,958 | |
| CONSOL Energy Inc. | 2,087,356 | 67,004 | |
| Peabody Energy Corp. | 2,459,510 | 65,447 | |
| * | Denbury Resources Inc. | 3,546,516 | 57,453 |
| Tesoro Corp. | 1,286,974 | 56,691 | |
| Helmerich & Payne Inc. | 968,924 | 54,269 | |
| QEP Resources Inc. | 1,632,359 | 49,411 | |
| Diamond Offshore | |||
| Drilling Inc. | 636,059 | 43,226 | |
| * | Nabors Industries Ltd. | 2,656,791 | 38,391 |
| * | Rowan Cos. plc Class A | 1,136,336 | 35,533 |
| * | Newfield Exploration Co. | 1,237,222 | 33,133 |
| * | WPX Energy Inc. | 1,822,435 | 27,118 |
| Energy Transfer | |||
| Partners LP | 1 | — | |
| 12,827,540 | |||
| Financials (15.5%) | |||
| Wells Fargo & Co. | 44,856,712 | 1,533,202 | |
| JPMorgan Chase & Co. | 34,829,784 | 1,531,466 | |
| * | Berkshire Hathaway Inc. | ||
| Class B | 15,574,143 | 1,397,001 | |
| Bank of America Corp. | 98,752,594 | 1,145,530 | |
| Citigroup Inc. | 26,868,840 | 1,062,931 | |
| US Bancorp | 17,228,820 | 550,288 | |
| Goldman Sachs | |||
| Group Inc. | 4,047,544 | 516,305 | |
| American Express Co. | 8,920,442 | 512,747 | |
| * | American International | ||
| Group Inc. | 13,526,647 | 477,491 | |
| Simon Property | |||
| Group Inc. | 2,834,500 | 448,106 | |
| MetLife Inc. | 9,996,811 | 329,295 | |
| Capital One | |||
| Financial Corp. | 5,329,839 | 308,758 | |
| PNC Financial Services | |||
| Group Inc. | 4,845,879 | 282,563 | |
| American Tower | |||
| Corporation | 3,622,490 | 279,910 | |
| Bank of New York | |||
| Mellon Corp. | 10,707,571 | 275,185 | |
| Travelers Cos. Inc. | 3,495,160 | 251,022 | |
| ACE Ltd. | 3,113,587 | 248,464 | |
| Morgan Stanley | 12,663,089 | 242,118 | |
| BlackRock Inc. | 1,149,530 | 237,619 | |
| Aflac Inc. | 4,296,566 | 228,234 | |
| Prudential Financial Inc. | 4,251,565 | 226,736 | |
| State Street Corp. | 4,258,963 | 200,214 | |
| Public Storage | 1,321,224 | 191,525 | |
| HCP Inc. | 4,142,269 | 187,148 | |
| BB&T Corp. | 6,410,702 | 186,616 | |
| Chubb Corp. | 2,400,236 | 180,786 | |
| Discover | |||
| Financial Services | 4,625,224 | 178,302 | |
| Allstate Corp. | 4,414,555 | 177,333 | |
| Ventas Inc. | 2,708,229 | 175,277 | |
| Marsh & McLennan | |||
| Cos. Inc. | 4,988,169 | 171,942 | |
| Equity Residential | 2,948,132 | 167,071 | |
| Aon plc | 2,920,004 | 162,352 | |
| Franklin Resources Inc. | 1,264,472 | 158,944 | |
| Prologis Inc. | 4,223,309 | 154,109 | |
| T. Rowe Price Group Inc. | 2,335,322 | 152,100 | |
| Boston Properties Inc. | 1,382,384 | 146,270 | |
| Health Care REIT Inc. | 2,379,478 | 145,838 | |
| Charles Schwab Corp. | 10,048,053 | 144,290 | |
| CME Group Inc. | 2,810,512 | 142,521 | |
| AvalonBay | |||
| Communities Inc. | 1,048,130 | 142,116 | |
| SunTrust Banks Inc. | 4,937,340 | 139,974 | |
| Weyerhaeuser Co. | 4,962,096 | 138,045 | |
| Fifth Third Bancorp | 8,223,638 | 124,917 | |
| Vornado Realty Trust | 1,552,160 | 124,297 | |
| Ameriprise Financial Inc. | 1,885,990 | 118,120 | |
| Loews Corp. | 2,849,312 | 116,109 | |
| M&T Bank Corp. | 1,114,386 | 109,734 | |
| Progressive Corp. | 5,098,223 | 107,572 | |
| Invesco Ltd. | 4,068,882 | 106,157 | |
| Host Hotels & | |||
| Resorts Inc. | 6,641,186 | 104,067 | |
| * | Berkshire Hathaway Inc. | ||
| Class A | 759 | 101,752 | |
| Northern Trust Corp. | 1,999,642 | 100,302 | |
| Regions Financial Corp. | 12,948,037 | 92,190 | |
| Hartford Financial | |||
| Services Group Inc. | 3,998,115 | 89,718 | |
| Moody’s Corp. | 1,775,479 | 89,342 | |
| * | IntercontinentalExchange | ||
| Inc. | 666,404 | 82,507 | |
| SLM Corp. | 4,235,145 | 72,548 | |
| Kimco Realty Corp. | 3,735,407 | 72,168 | |
| Principal Financial | |||
| Group Inc. | 2,529,008 | 72,127 | |
| KeyCorp | 8,555,780 | 72,040 | |
| NYSE Euronext | 2,226,889 | 70,236 | |
| XL Group plc Class A | 2,754,703 | 69,033 | |
| Plum Creek Timber | |||
| Co. Inc. | 1,480,693 | 65,698 | |
| Lincoln National Corp. | 2,520,270 | 65,275 | |
| * | CBRE Group Inc. Class A | 2,762,538 | 54,974 |
| Comerica Inc. | 1,744,441 | 52,926 | |
| Cincinnati Financial Corp. | 1,341,812 | 52,545 | |
| Unum Group | 2,521,404 | 52,496 | |
| Huntington | |||
| Bancshares Inc. | 7,833,125 | 50,054 | |
| Torchmark Corp. | 870,027 | 44,954 | |
| Leucadia National Corp. | 1,812,569 | 43,121 | |
| People’s United | |||
| Financial Inc. | 3,180,405 | 38,451 | |
| Zions Bancorporation | 1,685,104 | 36,061 |
12
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Apartment Investment | |||
| & Management Co. | |||
| Class A | 1,331,672 | 36,035 | |
| Hudson City Bancorp Inc. | 4,349,335 | 35,360 | |
| * | Genworth Financial Inc. | ||
| Class A | 4,499,840 | 33,794 | |
| Legg Mason Inc. | 1,072,455 | 27,584 | |
| NASDAQ OMX | |||
| Group Inc. | 1,071,350 | 26,794 | |
| Assurant Inc. | 720,063 | 24,986 | |
| First Horizon | |||
| National Corp. | 2,268,279 | 22,479 | |
| * | E*TRADE Financial Corp. | 2,355,456 | 21,081 |
| Federated Investors Inc. | |||
| Class B | 6 | — | |
| 18,207,348 | |||
| Health Care (12.0%) | |||
| Johnson & Johnson | 25,391,264 | 1,779,928 | |
| Pfizer Inc. | 67,458,321 | 1,691,855 | |
| Merck & Co. Inc. | 27,854,287 | 1,140,355 | |
| Abbott Laboratories | 14,482,677 | 948,615 | |
| Amgen Inc. | 7,030,940 | 606,911 | |
| * | Gilead Sciences Inc. | 6,942,011 | 509,891 |
| UnitedHealth Group Inc. | 9,359,491 | 507,659 | |
| Bristol-Myers Squibb Co. | 15,124,477 | 492,907 | |
| Eli Lilly & Co. | 9,356,763 | 461,476 | |
| * | Express Scripts | ||
| Holding Co. | 7,480,342 | 403,938 | |
| Medtronic Inc. | 9,266,672 | 380,119 | |
| Baxter International Inc. | 5,033,768 | 335,551 | |
| * | Biogen Idec Inc. | 2,167,939 | 317,972 |
| * | Celgene Corp. | 3,875,677 | 305,093 |
| Allergan Inc. | 2,817,868 | 258,483 | |
| Covidien plc | 4,337,552 | 250,450 | |
| Thermo Fisher | |||
| Scientific Inc. | 3,300,661 | 210,516 | |
| McKesson Corp. | 2,162,847 | 209,710 | |
| * | Intuitive Surgical Inc. | 364,352 | 178,667 |
| WellPoint Inc. | 2,782,367 | 169,502 | |
| * | Alexion | ||
| Pharmaceuticals Inc. | 1,780,227 | 167,003 | |
| Stryker Corp. | 2,647,690 | 145,146 | |
| Aetna Inc. | 3,065,873 | 141,950 | |
| Becton Dickinson and Co. | 1,804,797 | 141,117 | |
| Cigna Corp. | 2,619,694 | 140,049 | |
| Agilent Technologies Inc. | 3,192,888 | 130,717 | |
| Cardinal Health Inc. | 3,113,486 | 128,213 | |
| Zimmer Holdings Inc. | 1,589,875 | 105,981 | |
| * | Cerner Corp. | 1,336,314 | 103,751 |
| * | Mylan Inc. | 3,734,313 | 102,619 |
| St. Jude Medical Inc. | 2,823,999 | 102,059 | |
| * | Watson | ||
| Pharmaceuticals Inc. | 1,170,727 | 100,683 | |
| Humana Inc. | 1,449,888 | 99,506 | |
| * | Edwards | ||
| Lifesciences Corp. | 1,057,560 | 95,360 | |
| AmerisourceBergen | |||
| Corp. Class A | 2,157,765 | 93,172 | |
| * | DaVita HealthCare | ||
| Partners Inc. | 768,142 | 84,903 | |
| Quest Diagnostics Inc. | 1,456,715 | 84,883 | |
| Perrigo Co. | 808,000 | 84,056 | |
| * | Life Technologies Corp. | 1,575,315 | 77,316 |
| * | Forest Laboratories Inc. | 2,145,254 | 75,770 |
| * | Laboratory Corp. of | ||
| America Holdings | 866,888 | 75,090 | |
| * | Boston Scientific Corp. | 12,581,758 | 72,093 |
| * | Varian Medical | ||
| Systems Inc. | 1,002,620 | 70,424 | |
| * | Waters Corp. | 796,926 | 69,428 |
| CR Bard Inc. | 701,561 | 68,571 | |
| * | CareFusion Corp. | 2,033,738 | 58,124 |
| Coventry Health Care Inc. | 1,232,691 | 55,262 | |
| DENTSPLY | |||
| International Inc. | 1,300,762 | 51,523 | |
| * | Hospira Inc. | 1,511,693 | 47,225 |
| PerkinElmer Inc. | 1,050,173 | 33,333 | |
| Tenet Healthcare Corp. | 974,227 | 31,633 | |
| Patterson Cos. Inc. | 765,239 | 26,194 | |
| 14,022,752 | |||
| Industrials (10.1%) | |||
| General Electric Co. | 96,078,826 | 2,016,695 | |
| United Technologies Corp. | 7,726,029 | 633,612 | |
| Union Pacific Corp. | 4,310,024 | 541,856 | |
| 3M Co. | 5,832,620 | 541,559 | |
| Caterpillar Inc. | 5,991,659 | 536,733 | |
| United Parcel Service | |||
| Inc. Class B | 6,555,858 | 483,363 | |
| Boeing Co. | 6,218,302 | 468,611 | |
| Honeywell | |||
| International Inc. | 7,177,702 | 455,569 | |
| Emerson Electric Co. | 6,635,006 | 351,390 | |
| Deere & Co. | 3,588,775 | 310,142 | |
| Danaher Corp. | 5,331,363 | 298,023 | |
| Precision Castparts Corp. | 1,333,589 | 252,608 | |
| FedEx Corp. | 2,676,518 | 245,490 | |
| Illinois Tool Works Inc. | 3,906,733 | 237,568 | |
| Eaton Corp. plc | 4,231,064 | 229,324 | |
| Lockheed Martin Corp. | 2,460,944 | 227,121 | |
| General Dynamics Corp. | 3,041,055 | 210,654 | |
| CSX Corp. | 9,450,400 | 186,456 | |
| Norfolk Southern Corp. | 2,895,931 | 179,084 | |
| Cummins Inc. | 1,619,673 | 175,492 | |
| Raytheon Co. | 3,022,568 | 173,979 | |
| Northrop Grumman Corp. | 2,249,063 | 151,992 | |
| PACCAR Inc. | 3,234,910 | 146,250 | |
| Waste Management Inc. | 3,995,714 | 134,815 | |
| Tyco International Ltd. | 4,267,455 | 124,823 | |
| Ingersoll-Rand plc | 2,565,112 | 123,023 | |
13
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Parker Hannifin Corp. | 1,367,001 | 116,277 | |
| Fastenal Co. | 2,470,935 | 115,368 | |
| Stanley Black & | |||
| Decker Inc. | 1,546,715 | 114,411 | |
| WW Grainger Inc. | 547,660 | 110,830 | |
| Dover Corp. | 1,640,328 | 107,786 | |
| Rockwell Automation Inc. | 1,276,605 | 107,222 | |
| Roper Industries Inc. | 901,625 | 100,513 | |
| ADT Corp. | 2,130,228 | 99,034 | |
| Pentair Ltd. | 1,925,411 | 94,634 | |
| CH Robinson | |||
| Worldwide Inc. | 1,475,883 | 93,305 | |
| Fluor Corp. | 1,525,880 | 89,630 | |
| Republic Services Inc. | |||
| Class A | 2,738,140 | 80,310 | |
| Expeditors International | |||
| of Washington Inc. | 1,915,046 | 75,740 | |
| Rockwell Collins Inc. | 1,284,917 | 74,744 | |
| * | Stericycle Inc. | 787,138 | 73,416 |
| Southwest Airlines Co. | 6,762,744 | 69,250 | |
| Flowserve Corp. | 457,716 | 67,193 | |
| L-3 Communications | |||
| Holdings Inc. | 862,018 | 66,048 | |
| Textron Inc. | 2,582,646 | 64,024 | |
| Joy Global Inc. | 970,354 | 61,889 | |
| Pall Corp. | 1,018,126 | 61,352 | |
| Equifax Inc. | 1,096,089 | 59,320 | |
| Masco Corp. | 3,272,606 | 54,522 | |
| * | Quanta Services Inc. | 1,953,476 | 53,310 |
| * | Jacobs Engineering | ||
| Group Inc. | 1,192,169 | 50,751 | |
| Iron Mountain Inc. | 1,526,212 | 47,389 | |
| Xylem Inc. | 1,699,864 | 46,066 | |
| Snap-on Inc. | 532,837 | 42,089 | |
| Robert Half | |||
| International Inc. | 1,287,636 | 40,973 | |
| Cintas Corp. | 971,247 | 39,724 | |
| Dun & Bradstreet Corp. | 407,631 | 32,060 | |
| Avery Dennison Corp. | 911,164 | 31,818 | |
| Ryder System Inc. | 468,217 | 23,378 | |
| ^ | Pitney Bowes Inc. | 1,838,833 | 19,565 |
| 11,820,173 | |||
| Information Technology (18.9%) | |||
| Apple Inc. | 8,618,890 | 4,594,127 | |
| International Business | |||
| Machines Corp. | 9,731,637 | 1,864,095 | |
| Microsoft Corp. | 69,402,869 | 1,855,139 | |
| * | Google Inc. Class A | 2,438,655 | 1,729,909 |
| Oracle Corp. | 34,440,112 | 1,147,545 | |
| QUALCOMM Inc. | 15,612,967 | 968,316 | |
| Cisco Systems Inc. | 48,645,361 | 955,881 | |
| Intel Corp. | 45,591,997 | 940,563 | |
| Visa Inc. Class A | 4,776,552 | 724,030 | |
| * | eBay Inc. | 10,670,521 | 544,410 |
| * | EMC Corp. | 19,302,191 | 488,345 |
| Mastercard Inc. Class A | 979,149 | 481,036 | |
| Accenture plc Class A | 5,850,574 | 389,063 | |
| Texas Instruments Inc. | 10,269,480 | 317,738 | |
| Hewlett-Packard Co. | 18,015,370 | 256,719 | |
| Automatic Data | |||
| Processing Inc. | 4,448,287 | 253,597 | |
| * | Cognizant Technology | ||
| Solutions Corp. Class A | 2,750,616 | 203,683 | |
| * | Salesforce.com Inc. | 1,197,089 | 201,231 |
| * | Yahoo! Inc. | 9,536,445 | 189,775 |
| * | Adobe Systems Inc. | 4,536,146 | 170,922 |
| Corning Inc. | 13,541,378 | 170,892 | |
| Broadcom Corp. Class A | 4,754,517 | 157,897 | |
| Intuit Inc. | 2,550,020 | 151,726 | |
| TE Connectivity Ltd. | 3,872,064 | 143,731 | |
| Motorola Solutions Inc. | 2,570,290 | 143,114 | |
| Dell Inc. | 13,371,750 | 135,456 | |
| Applied Materials Inc. | 10,974,337 | 125,546 | |
| * | Symantec Corp. | 6,358,359 | 119,601 |
| Analog Devices Inc. | 2,761,465 | 116,147 | |
| * | Citrix Systems Inc. | 1,710,928 | 112,494 |
| * | NetApp Inc. | 3,283,130 | 110,149 |
| Altera Corp. | 2,937,566 | 101,170 | |
| * | Fiserv Inc. | 1,222,983 | 96,652 |
| * | SanDisk Corp. | 2,215,681 | 96,515 |
| * | Teradata Corp. | 1,549,622 | 95,906 |
| Amphenol Corp. Class A | 1,468,096 | 94,986 | |
| Seagate Technology plc | 3,078,699 | 93,839 | |
| * | Red Hat Inc. | 1,770,053 | 93,742 |
| * | Juniper Networks Inc. | 4,724,457 | 92,930 |
| Paychex Inc. | 2,964,212 | 92,306 | |
| Xilinx Inc. | 2,388,978 | 85,764 | |
| Western Digital Corp. | 2,007,336 | 85,292 | |
| Fidelity National | |||
| Information Services Inc. | 2,281,835 | 79,431 | |
| Xerox Corp. | 11,569,561 | 78,904 | |
| Western Union Co. | 5,466,875 | 74,404 | |
| KLA-Tencor Corp. | 1,525,966 | 72,880 | |
| * | Autodesk Inc. | 2,059,156 | 72,791 |
| Linear Technology Corp. | 2,120,452 | 72,731 | |
| * | F5 Networks Inc. | 724,427 | 70,378 |
| NVIDIA Corp. | 5,726,020 | 70,373 | |
| CA Inc. | 3,072,510 | 67,534 | |
| * | Akamai Technologies Inc. | 1,626,295 | 66,532 |
| * | Micron Technology Inc. | 9,325,110 | 59,214 |
| Microchip Technology Inc. | 1,783,424 | 58,122 | |
| Computer Sciences Corp. | 1,423,919 | 57,028 | |
| * | Lam Research Corp. | 1,570,259 | 56,733 |
| * | VeriSign Inc. | 1,422,861 | 55,235 |
| * | BMC Software Inc. | 1,306,350 | 51,810 |
| Harris Corp. | 1,040,720 | 50,954 | |
| * | Electronic Arts Inc. | 2,791,709 | 40,564 |
| * | LSI Corp. | 5,063,145 | 35,847 |
| Molex Inc. | 1,264,084 | 34,547 | |
| Jabil Circuit Inc. | 1,711,434 | 33,014 |
14
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Total System Services Inc. | 1,469,990 | 31,487 | |
| FLIR Systems Inc. | 1,376,950 | 30,720 | |
| SAIC Inc. | 2,596,099 | 29,388 | |
| * | Teradyne Inc. | 1,718,775 | 29,030 |
| * | JDS Uniphase Corp. | 2,140,525 | 28,983 |
| *,^ | First Solar Inc. | 550,128 | 16,988 |
| * | Advanced Micro | ||
| Devices Inc. | 5,536,659 | 13,288 | |
| 22,230,889 | |||
| Materials (3.6%) | |||
| Monsanto Co. | 4,898,259 | 463,620 | |
| EI du Pont de Nemours | |||
| & Co. | 8,543,829 | 384,216 | |
| Dow Chemical Co. | 10,988,045 | 355,134 | |
| Praxair Inc. | 2,722,506 | 297,978 | |
| Freeport-McMoRan | |||
| Copper & Gold Inc. | 8,698,350 | 297,484 | |
| Newmont Mining Corp. | 4,548,732 | 211,243 | |
| LyondellBasell Industries | |||
| NV Class A | 3,478,427 | 198,583 | |
| PPG Industries Inc. | 1,405,129 | 190,184 | |
| Ecolab Inc. | 2,415,536 | 173,677 | |
| Air Products & | |||
| Chemicals Inc. | 1,950,401 | 163,873 | |
| International Paper Co. | 4,023,946 | 160,314 | |
| Mosaic Co. | 2,535,228 | 143,570 | |
| Nucor Corp. | 2,910,614 | 125,680 | |
| Sherwin-Williams Co. | 784,216 | 120,628 | |
| CF Industries | |||
| Holdings Inc. | 576,102 | 117,041 | |
| Eastman Chemical Co. | 1,405,363 | 95,635 | |
| Alcoa Inc. | 9,770,910 | 84,812 | |
| Sigma-Aldrich Corp. | 1,102,045 | 81,089 | |
| FMC Corp. | 1,259,129 | 73,684 | |
| Ball Corp. | 1,409,893 | 63,093 | |
| Vulcan Materials Co. | 1,187,673 | 61,818 | |
| Airgas Inc. | 644,199 | 58,809 | |
| MeadWestvaco Corp. | 1,601,945 | 51,054 | |
| Cliffs Natural | |||
| Resources Inc. | 1,303,799 | 50,275 | |
| International Flavors | |||
| & Fragrances Inc. | 747,580 | 49,744 | |
| * | Owens-Illinois Inc. | 1,504,667 | 32,004 |
| Bemis Co. Inc. | 945,929 | 31,651 | |
| United States Steel Corp. | 1,320,074 | 31,510 | |
| Sealed Air Corp. | 1,779,691 | 31,162 | |
| Allegheny | |||
| Technologies Inc. | 981,918 | 29,811 | |
| 4,229,376 | |||
| Telecommunication Services (3.0%) | |||
| AT&T Inc. | 52,042,001 | 1,754,336 | |
| Verizon | |||
| Communications Inc. | 26,148,633 | 1,131,451 | |
| CenturyLink Inc. | 5,720,001 | 223,766 | |
| * | Crown Castle | ||
| International Corp. | 2,686,167 | 193,834 | |
| * | Sprint Nextel Corp. | 27,531,175 | 156,102 |
| Windstream Corp. | 5,380,886 | 44,554 | |
| ^ | Frontier | ||
| Communications Corp. | 9,134,972 | 39,097 | |
| * | MetroPCS | ||
| Communications Inc. | 2,898,187 | 28,808 | |
| 3,571,948 | |||
| Utilities (3.4%) | |||
| Duke Energy Corp. | 6,452,734 | 411,684 | |
| Southern Co. | 8,009,116 | 342,870 | |
| Dominion Resources Inc. | 5,265,009 | 272,727 | |
| NextEra Energy Inc. | 3,877,730 | 268,300 | |
| Exelon Corp. | 7,827,588 | 232,793 | |
| American Electric | |||
| Power Co. Inc. | 4,446,259 | 189,766 | |
| FirstEnergy Corp. | 3,832,128 | 160,030 | |
| PG&E Corp. | 3,939,922 | 158,306 | |
| PPL Corp. | 5,330,214 | 152,604 | |
| Consolidated Edison Inc. | 2,683,676 | 149,051 | |
| Sempra Energy | 2,061,018 | 146,209 | |
| Public Service Enterprise | |||
| Group Inc. | 4,635,740 | 141,854 | |
| Edison International | 2,985,455 | 134,913 | |
| Xcel Energy Inc. | 4,468,161 | 119,345 | |
| Northeast Utilities | 2,876,787 | 112,425 | |
| Entergy Corp. | 1,628,639 | 103,826 | |
| DTE Energy Co. | 1,576,841 | 94,689 | |
| ONEOK Inc. | 1,873,388 | 80,087 | |
| Wisconsin Energy Corp. | 2,106,457 | 77,623 | |
| CenterPoint Energy Inc. | 3,917,005 | 75,402 | |
| NiSource Inc. | 2,838,564 | 70,652 | |
| Ameren Corp. | 2,223,474 | 68,305 | |
| NRG Energy Inc. | 2,953,414 | 67,899 | |
| AES Corp. | 5,658,738 | 60,549 | |
| CMS Energy Corp. | 2,418,504 | 58,963 | |
| SCANA Corp. | 1,207,849 | 55,126 | |
| Pinnacle West | |||
| Capital Corp. | 1,005,403 | 51,255 | |
| AGL Resources Inc. | 1,077,620 | 43,073 | |
| Pepco Holdings Inc. | 2,099,524 | 41,172 | |
| Integrys Energy | |||
| Group Inc. | 712,833 | 37,224 | |
| TECO Energy Inc. | 1,864,445 | 31,248 | |
| 4,009,970 | |||
| Total Common Stocks | |||
| (Cost $97,330,520) | 116,704,026 | ||
15
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Temporary Cash Investments (0.5%)1 | |||
| Money Market Fund (0.5%) | |||
| 2,3 | Vanguard Market | ||
| Liquidity Fund, | |||
| 0.162% | 527,432,305 | 527,432 | |
| Face | |||
| Amount | |||
| ($000) | |||
| U.S. Government and Agency Obligations (0.0%) | |||
| 4 | Fannie Mae | ||
| Discount Notes, | |||
| 0.097%, 3/27/13 | 200 | 200 | |
| 4,5 | Freddie Mac | ||
| Discount Notes, | |||
| 0.140%, 2/11/13 | 32,000 | 31,996 | |
| 32,196 | |||
| Total Temporary Cash Investments | |||
| (Cost $559,627) | 559,628 | ||
| Total Investments (99.9%) | |||
| (Cost $97,890,147) | 117,263,654 | ||
| Other Assets and Liabilities (0.1%) | |||
| Other Assets | 424,722 | ||
| Liabilities3 | (347,150) | ||
| 77,572 | |||
| Net Assets (100%) | 117,341,226 | ||
| At December 31, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 99,037,514 |
| Undistributed Net Investment Income | 17,455 |
| Accumulated Net Realized Losses | (1,085,816) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 19,373,507 |
| Futures Contracts | (1,434) |
| Net Assets | 117,341,226 |
| Institutional Shares—Net Assets | |
| Applicable to 521,400,488 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 68,055,085 |
| Net Asset Value Per Share— | |
| Institutional Shares | $130.52 |
| Institutional Plus Shares—Net Assets | |
| Applicable to 377,586,826 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 49,286,141 |
| Net Asset Value Per Share— | |
| Institutional Plus Shares | $130.53 |
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 $43,344,000.
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 -0.1%, 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 $45,595,000 of collateral received for securities on loan.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange
for senior preferred stock.
5 Securities with a value of $31,996,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Institutional Index Fund
Statement of Operations
| Year Ended | |
| December 31, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 2,527,764 |
| Interest1 | 633 |
| Security Lending | 6,378 |
| Total Income | 2,534,775 |
| Expenses | |
| The Vanguard Group—Note B | |
| Management and Administrative—Institutional Shares | 26,348 |
| Management and Administrative—Institutional Plus Shares | 8,786 |
| Total Expenses | 35,134 |
| Net Investment Income | 2,499,641 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 1,400,677 |
| Futures Contracts | 99,944 |
| Realized Net Gain (Loss) | 1,500,621 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 11,487,545 |
| Futures Contracts | (12,161) |
| Change in Unrealized Appreciation (Depreciation) | 11,475,384 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 15,475,646 |
| 1 Interest income from an affiliated company of the fund was $584,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
17
Institutional Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 2,499,641 | 1,908,940 |
| Realized Net Gain (Loss) | 1,500,621 | 1,166,611 |
| Change in Unrealized Appreciation (Depreciation) | 11,475,384 | (1,348,925) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 15,475,646 | 1,726,626 |
| Distributions | ||
| Net Investment Income | ||
| Institutional Shares | (1,475,484) | (1,173,111) |
| Institutional Plus Shares | (1,018,134) | (734,615) |
| Realized Capital Gain | ||
| Institutional Shares | — | — |
| Institutional Plus Shares | — | — |
| Total Distributions | (2,493,618) | (1,907,726) |
| Capital Share Transactions | ||
| Institutional Shares | 1,647,564 | 3,742,810 |
| Institutional Plus Shares | 9,172,090 | 1,649,326 |
| Net Increase (Decrease) from Capital Share Transactions | 10,819,654 | 5,392,136 |
| Total Increase (Decrease) | 23,801,682 | 5,211,036 |
| Net Assets | ||
| Beginning of Period | 93,539,544 | 88,328,508 |
| End of Period1 | 117,341,226 | 93,539,544 |
| 1 Net Assets—End of Period includes undistributed net investment income of $17,455,000 and $11,432,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
18
Institutional Index Fund
Financial Highlights
| Institutional Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 |
| Net Asset Value, Beginning of Period | $115.04 | $115.01 | $101.98 | $82.54 | $134.14 |
| Investment Operations | |||||
| Net Investment Income | 2.835 | 2.361 | 2.118 | 2.207 | 2.521 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 15.475 | .029 | 13.032 | 19.441 | (51.599) |
| Total from Investment Operations | 18.310 | 2.390 | 15.150 | 21.648 | (49.078) |
| Distributions | |||||
| Dividends from Net Investment Income | (2.830) | (2.360) | (2.120) | (2.208) | (2.522) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.830) | (2.360) | (2.120) | (2.208) | (2.522) |
| Net Asset Value, End of Period | $130.52 | $115.04 | $115.01 | $101.98 | $82.54 |
| Total Return | 15.98% | 2.09% | 15.05% | 26.63% | -36.95% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $68,055 | $58,399 | $54,686 | $44,401 | $31,543 |
| Ratio of Total Expenses to | |||||
| Average Net Assets | 0.040% | 0.044% | 0.050% | 0.050% | 0.050% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 2.27% | 2.05% | 2.05% | 2.56% | 2.28% |
| Portfolio Turnover Rate1 | 5% | 5% | 4% | 11% | 7% |
| 1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
19
Institutional Index Fund
Financial Highlights
| Institutional Plus Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 |
| Net Asset Value, Beginning of Period | $115.05 | $115.01 | $101.98 | $82.54 | $134.14 |
| Investment Operations | |||||
| Net Investment Income | 2.861 | 2.386 | 2.144 | 2.229 | 2.548 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 15.474 | .040 | 13.031 | 19.441 | (51.598) |
| Total from Investment Operations | 18.335 | 2.426 | 15.175 | 21.670 | (49.050) |
| Distributions | |||||
| Dividends from Net Investment Income | (2.855) | (2.386) | (2.145) | (2.230) | (2.550) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.855) | (2.386) | (2.145) | (2.230) | (2.550) |
| Net Asset Value, End of Period | $130.53 | $115.05 | $115.01 | $101.98 | $82.54 |
| Total Return | 16.00% | 2.12% | 15.07% | 26.66% | -36.94% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $49,286 | $35,141 | $33,643 | $24,767 | $17,643 |
| Ratio of Total Expenses to | |||||
| Average Net Assets | 0.020% | 0.022% | 0.025% | 0.025% | 0.025% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 2.29% | 2.07% | 2.08% | 2.59% | 2.30% |
| Portfolio Turnover Rate1 | 5% | 5% | 4% | 11% | 7% |
| 1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
20
Institutional Index Fund
Notes to Financial Statements
Vanguard Institutional Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares, Institutional Shares and Institutional Plus Shares, to investors who invest minimum amounts of $5 million and $200 million, respectively.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which 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).
During the year ended December 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.
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, 2009–2012), 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.
21
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 market value of the fund’s investments as of December 31, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 116,704,026 | — | — |
| Temporary Cash Investments | 527,432 | 32,196 | — |
| Futures Contracts—Assets1 | 16,556 | — | — |
| Futures Contracts—Liabilities1 | (316) | — | — |
| Total | 117,247,698 | 32,196 | — |
| 1 Represents variation margin on the last day of the reporting period. | |||
22
Institutional Index Fund
D. At December 31, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| S&P 500 Index | March 2013 | 1,051 | 373,131 | 1,039 |
| E-mini S&P 500 Index | March 2013 | 3,570 | 253,488 | (2,473) |
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 year ended December 31, 2012, the fund realized $369,714,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at December 31, 2012, the fund had $17,018,000 of ordinary income available for distribution. The fund had available capital losses totaling $1,085,747,000 to offset future net capital gains. Of this amount, $764,352,000 is subject to expiration dates; $53,338,000 may be used to offset future net capital gains through December 31, 2014, $54,429,000 through December 31, 2015, and $656,585,000 through December 31, 2016. Capital losses of $321,395,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.
At December 31, 2012, the cost of investment securities for tax purposes was $97,891,214,000.
Net unrealized appreciation of investment securities for tax purposes was $19,372,440,000, consisting of unrealized gains of $28,231,196,000 on securities that had risen in value since their purchase and $8,858,756,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2012, the fund purchased $16,601,442,000 of investment securities and sold $5,698,983,000 of investment securities, other than temporary cash investments. Purchases and sales include $4,278,072,000 and $706,454,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
23
Institutional Index Fund
G. Capital share transactions for each class of shares were:
| Year Ended December 31, | ||||
| 2012 | 2011 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Institutional Shares | ||||
| Issued | 15,985,832 | 126,720 | 15,524,475 | 133,151 |
| Issued in Lieu of Cash Distributions | 1,371,165 | 10,686 | 1,095,297 | 9,510 |
| Redeemed | (15,709,433) | (123,636) | (12,876,962) | (110,532) |
| Net Increase (Decrease) —Institutional Shares | 1,647,564 | 13,770 | 3,742,810 | 32,129 |
| Institutional Plus Shares | ||||
| Issued | 13,524,694 | 106,372 | 10,404,630 | 89,678 |
| Issued in Lieu of Cash Distributions | 974,640 | 7,592 | 715,050 | 6,205 |
| Redeemed | (5,327,244) | (41,827) | (9,470,354) | (82,955) |
| Net Increase (Decrease) —Institutional Plus Shares | 9,172,090 | 72,137 | 1,649,326 | 12,928 |
H. In preparing the financial statements as of December 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
24
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Institutional Index Funds and the Shareholders of Vanguard Institutional Index Fund:
In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Institutional Index Fund (constituting a separate portfolio of Vanguard Institutional Index Funds, hereafter referred to as the “Fund”) at December 31, 2012, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2012 by correspondence with the custodian and broker and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 11, 2013
This information for the fiscal year ended December 31, 2012, is included pursuant to provisions of the
Internal Revenue Code.
The fund distributed $2,493,618,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 96.4% of investment income (dividend income plus short-term gains, if
any) qualifies for the dividends-received deduction.
25
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.
26
| Six Months Ended December 31, 2012 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Institutional Index Fund | 6/30/2012 | 12/31/2012 | Period |
| Based on Actual Fund Return | |||
| Institutional Shares | $1,000.00 | $1,059.37 | $0.21 |
| Institutional Plus Shares | 1,000.00 | 1,059.55 | 0.10 |
| Based on Hypothetical 5% Yearly Return | |||
| Institutional Shares | $1,000.00 | $1,025.00 | $0.20 |
| Institutional Plus Shares | 1,000.00 | 1,025.10 | 0.10 |
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 0.040% for Institutional Shares and 0.020% 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.
27
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 (for bonds), its actual income (for asset-backed securities), 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. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
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.
28
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 180 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.
| InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
| Senior Advisor at New Mountain Capital; Trustee of | |
| F. William McNabb III | The Conference Board. |
| Born 1957. Trustee Since July 2009. Chairman of the | |
| Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
| Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
| Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
| by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
| of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
| Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
| each of the investment companies served by The | appointments at the Annenberg School for |
| Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
| Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
| Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
| Sciences; Trustee of Carnegie Corporation of New | |
| York and of the National Constitution Center; Chair | |
| of the U. S. Presidential Commission for the Study | |
| IndependentTrustees | of Bioethical Issues. |
| Emerson U. Fullwood | |
| Born 1948. Trustee Since January 2008. Principal | JoAnn Heffernan Heisen |
| Occupation(s) During the Past Five Years: Executive | Born 1950. Trustee Since July 1998. Principal |
| Chief Staff and Marketing Officer for North America | Occupation(s) During the Past Five Years: Corporate |
| and Corporate Vice President (retired 2008) of Xerox | Vice President and Chief Global Diversity Officer |
| Corporation (document management products and | (retired 2008) and Member of the Executive |
| services); Executive in Residence and 2010 | Committee (1997–2008) of Johnson & Johnson |
| Distinguished Minett Professor at the Rochester | (pharmaceuticals/medical devices/consumer |
| Institute of Technology; Director of SPX Corporation | products); Director of Skytop Lodge Corporation |
| (multi-industry manufacturing), the United Way of | (hotels), the University Medical Center at Princeton, |
| Rochester, Amerigroup Corporation (managed health | the Robert Wood Johnson Foundation, and the Center |
| care), the University of Rochester Medical Center, | for Talent Innovation; Member of the Advisory Board |
| Monroe Community College Foundation, and North | of the Maxwell School of Citizenship and Public Affairs |
| Carolina A&T University. | at Syracuse University. |
| Rajiv L. Gupta | F. Joseph Loughrey |
| Born 1945. Trustee Since December 2001.2 | Born 1949. Trustee Since October 2009. Principal |
| Principal Occupation(s) During the Past Five Years: | Occupation(s) During the Past Five Years: President |
| Chairman and Chief Executive Officer (retired 2009) | and Chief Operating Officer (retired 2009) of Cummins |
| and President (2006–2008) of Rohm and Haas Co. | Inc. (industrial machinery); Director of SKF AB |
| (chemicals); Director of Tyco International, Ltd. | (industrial machinery), Hillenbrand, Inc. (specialized |
| (diversified manufacturing and services), Hewlett- | consumer services), the Lumina Foundation for |
| Packard Co. (electronic computer manufacturing), | |
| Education, and Oxfam America; Chairman of the | Executive Officers | |
| Advisory Council for the College of Arts and Letters | ||
| and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
| Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
| of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
| of The Vanguard Group, Inc.; Controller of each of | ||
| Mark Loughridge | the investment companies served by The Vanguard | |
| Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
| Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
| President and Chief Financial Officer at IBM (information | ||
| technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
| Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
| 2008. Principal Occupation(s) During the Past Five | ||
| Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
| Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
| Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
| Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
| of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
| Mendoza College of Business at Notre Dame; Member | ||
| of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
| Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
| advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
| Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
| Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
| Group; Assistant Treasurer of each of the investment | ||
| André F. Perold | companies served by The Vanguard Group (1988–2008). | |
| Born 1952. Trustee Since December 2004. Principal | ||
| Occupation(s) During the Past Five Years: George | Heidi Stam | |
| Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
| Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
| Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
| LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
| Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
| Arts Boston. | served by The Vanguard Group; Director and Senior | |
| Vice President of Vanguard Marketing Corporation. | ||
| Alfred M. Rankin, Jr. | ||
| Born 1941. Trustee Since January 1993. Principal | Vanguard Senior ManagementTeam | |
| Occupation(s) During the Past Five Years: Chairman, | ||
| President, and Chief Executive Officer of NACCO | Mortimer J. Buckley | Michael S. Miller |
| Industries, Inc. (forklift trucks/housewares/lignite); | Kathleen C. Gubanich | James M. Norris |
| Director of Goodrich Corporation (industrial products/ | Paul A. Heller | Glenn W. Reed |
| aircraft systems and services) and the National | Martha G. King | George U. Sauter |
| Association of Manufacturers; Chairman of the Board | Chris D. McIsaac | |
| of the Federal Reserve Bank of Cleveland and of | ||
| University Hospitals of Cleveland; Advisory Chairman | ||
| of the Board of The Cleveland Museum of Art. | Chairman Emeritus and Senior Advisor | |
| John J. Brennan | ||
| Peter F. Volanakis | Chairman, 1996–2009 | |
| Born 1955. Trustee Since July 2009. Principal | Chief Executive Officer and President, 1996–2008 | |
| Occupation(s) During the Past Five Years: President | ||
| and Chief Operating Officer (retired 2010) of Corning | ||
| Incorporated (communications equipment); Director | Founder | |
| of SPX Corporation (multi-industry manufacturing); | ||
| Overseer of the Amos Tuck School of Business | John C. Bogle | |
| Administration at Dartmouth College; Advisor to the | Chairman and Chief Executive Officer, 1974–1996 | |
| Norris Cotton Cancer Center. | ||
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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| This material may be used in conjunction | sponsored, endorsed, sold or promoted by S&P Dow |
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| Dow Jones, S&P nor their respective affiliates makes | |
| the fund’s current prospectus. | any representation regarding the advisability of |
| All comparative mutual fund data are from Lipper Inc. or | investing in such products. |
| 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. | |
| © 2013 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q940 022013 | |
Annual Report | December 31, 2012
Vanguard Institutional Total Stock
Market Index Fund
> The broad U.S. stock market rode out another year of high uncertainty with
strong gains, and Vanguard Institutional Total Stock Market Index Fund returned
about 16.5%.
> Banks and consumer discretionary businesses generated the highest stock
returns, utility and energy firms the lowest.
> The fund’s overall return closely tracked that of its benchmark index.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Fund Profile. | 7 |
| Performance Summary. | 8 |
| Financial Statements. | 10 |
| About Your Fund’s Expenses. | 56 |
| Glossary. | 58 |
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.
About the cover: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It
was featured in the 2003 movie Master and Commander: The Far Side of the World, which was based on Patrick O’Brian’s sea
novels, set amid the Napoleonic Wars. Vanguard was named for another ship of that era, the HMSVanguard, which was the
flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
| Fiscal Year Ended December 31, 2012 | |
| Total | |
| Returns | |
| Vanguard Institutional Total Stock Market Index Fund | |
| Institutional Shares | 16.47% |
| Institutional Plus Shares | 16.53 |
| MSCI US Broad Market Index | 16.44 |
| Multi-Cap Core Funds Average | 14.93 |
| 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, 2011, Through December 31, 2012
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Institutional Total Stock Market Index Fund | ||||
| Institutional Shares | $28.32 | $32.27 | $0.694 | $0.000 |
| Institutional Plus Shares | 28.32 | 32.28 | 0.700 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
The broad U.S. stock market rode out political, economic, and fiscal uncertainty to end the year with solid returns. Twice, the market seemed poised to tumble as concern flared in the spring and fall over all-too-familiar woes: the economy’s sluggish recovery, Europe’s debt predicament, Asia’s slowdown, and Washington’s fiscal gridlock. Yet throughout, the market managed to stay in positive territory.
Vanguard Institutional Total Stock Market Index Fund closely tracked its benchmark, the MSCI US Broad Market Index, which gained more than 16% for the year. The fund’s peers returned close to 15% on average.
With help from central banks, stocks posted strong results
Stocks around the world recorded double-digit gains for the 12 months ended December 31, with international stocks faring even better than their U.S. counterparts.
European stocks shook off investors’ concerns to deliver some of the best results, rising about 19% compared with about 16% for U.S. stocks. The rally came as European central bankers moved to address worries about the finances of governments and banks. Still, Vanguard economists expect Europe to remain a trouble spot, with occasional spikes in market volatility, as fiscal tightening persists in the face of weak economic growth.
2
In the United States, the Federal Reserve continued buying bonds and mortgage-backed securities to try to stimulate growth. The Fed’s actions seemed to buoy both stock and bond returns.
Attention to the nation’s considerable budget challenges intensified as 2012 drew to a close. The focus on the “fiscal cliff” led to nervousness in the markets before policymakers reached a limited tax-rate agreement on the cusp of the new year. The compromise legislation, which President Barack Obama signed into law on January 2, addressed some immediate concerns, but a credible
long-term deficit-reduction strategy had yet to be crafted to resolve the nation’s fiscal imbalance and open the way for growth.
Bond returns were solid, but challenges lie ahead
The broad U.S. taxable bond market returned about 4% for the 12 months.
Municipal bonds performed especially well, returning more than 6%.
As bond prices rose, the yield of the 10-year U.S. Treasury note slipped to a record low in July, closing below 1.5%. (Bond yields and prices move in opposite directions.) By the end of the period, the yield had climbed, but it remained exceptionally low by historical standards.
| Market Barometer | |||
| Average Annual Total Returns | |||
| Periods Ended December 31, 2012 | |||
| One | Three | Five | |
| Year | Years | Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 16.42% | 11.12% | 1.92% |
| Russell 2000 Index (Small-caps) | 16.35 | 12.25 | 3.56 |
| Russell 3000 Index (Broad U.S. market) | 16.42 | 11.20 | 2.04 |
| MSCI All Country World Index ex USA (International) | 16.83 | 3.87 | -2.89 |
| Bonds | |||
| Barclays U.S. Aggregate Bond Index (Broad taxable market) | 4.21% | 6.19% | 5.95% |
| Barclays Municipal Bond Index (Broad tax-exempt market) | 6.78 | 6.57 | 5.91 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.07 | 0.08 | 0.44 |
| CPI | |||
| Consumer Price Index | 1.74% | 2.06% | 1.80% |
3
Although bonds can provide critical diversification benefits to a portfolio, their prospects look much less promising than they had in recent years. As yields have tumbled, the opportunity for future bond price appreciation has greatly diminished. (You can read more about our expectations for bond and stock returns in Vanguard’s Economic and Investment Outlook, available at vanguard.com/research.)
As it has since late 2008, the Fed held its target for short-term interest rates between 0% and 0.25%, which kept a tight lid on returns from money market funds and savings accounts.
Consumer discretionary and bank stocks led strong returns in most sectors
Vanguard Institutional Total Stock Market Index Fund benefited from robust returns across much of the business landscape. While overall economic growth remained modest in 2012, the improving housing market and low interest rates were notable tonics.
Investors saw particular value in banks and in firms involved in the production and sale of discretionary consumer goods and services—two sectors heavily represented in the fund. As demand for homes picked up, investors bid up stocks related to the various nonessentials—things like new cars, TVs, cable hookups—that often go with homeownership and better times in general.
This heartier investor appetite for stocks associated with economic expansion meant a modest performance for utilities stocks, which are often considered recession-resistant. Utilities’ small weighting in the fund muted the effect of their relative weakness.
Energy stocks also underperformed. Energy companies’ earnings fell in the spring as oil prices slumped amid concern that the U.S. and global economies were about to slow sharply.
Solid long-term performance through a difficult decade
Over the past decade, Institutional Shares of Vanguard Institutional Total Stock Market Index Fund had an annual average return of 8.01%, consistent with the fund’s objective of closely tracking its benchmark index, which returned 7.97%. For the decade, the fund outperformed the 6.67% average return of its peers.
Your fund will seek to track a new benchmark index
In early October, we announced that
Vanguard Institutional Total Stock Market Index Fund would adopt a new target benchmark as part of a broader transition affecting 22 of our index funds. The transition, which was completed for this fund on January 15, 2013, is expected to produce significant long-term savings for Vanguard clients.
4
The fund’s new benchmark is the CRSP US Total Market Index, supplied by the University of Chicago’s Center for Research in Security Prices (CRSP). CRSP is one of 11 research centers at the University of Chicago Booth School of Business. In 1960, the organization pioneered the development of U.S. stock market data that are widely used in academic and investment research today.
Gus Sauter united traditional values with pioneering investment acumen
When I was interviewing for a job at Vanguard in the mid-1980s, Jack Brennan, who would go on to become our chairman and CEO and now chairman emeritus, described Vanguard as “a company with the intellectual rigor of Wall Street but with Midwestern values.”
I’m reminded of that when I think about Gus Sauter’s 25-year career at Vanguard. Gus retired as our chief investment officer at the end of December, having set the highest of standards for both intellectual achievement and devotion to doing the right thing for clients, colleagues, and community.
Gus played a pivotal role in transforming indexing from a novelty to an investing mainstay, a change that has benefited all investors. In addition, he developed our active quantitative equity strategies, oversaw the growth of our industry-leading expertise in fixed income, and ultimately helped Vanguard to become a global investment manager responsible for $2 trillion in client assets.
| Total Returns | |
| Ten Years Ended December 31, 2012 | |
| Average | |
| Annual Return | |
| Institutional Total Stock Market Index Fund Institutional Shares | 8.01% |
| Spliced Institutional Total Stock Market Index | 7.97 |
| Multi-Cap Core Funds Average | 6.67 |
| For a benchmark description, see the Glossary. | |
| Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be
lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our
website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so
an investor’s shares, when sold, could be worth more or less than their original cost.
5
As for the Midwestern values, Gus—a native of Ohio, incidentally—served our clients with a dedication to thrift, candor, and common sense that has helped make Vanguard what it is. His colleagues knew that in any situation they could count on him to keep a level-headed, long-term outlook. Just two weeks after he started at Vanguard, he helped guide us through the stock market crash of 1987. Some 20 years later, he helped us navigate the financial crisis of 2008–2009.
An important aspect of Gus’s legacy is the team of world-class investment professionals that he cultivated at Vanguard. That team is now led by Tim Buckley, who oversaw our services
for individual investors before becoming chief investment officer. I am confident that Tim will not only carry on Gus’s legacy, but also—as Gus himself put it—take Vanguard investment management to the next level.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
January 15, 2013
Institutional Total Stock Market Index Fund
Fund Profile
As of December 31, 2012
| Share-Class Characteristics | ||
| Institutional | Institutional | |
| Shares | Plus Shares | |
| Ticker Symbol | VITNX | VITPX |
| Expense Ratio1 | 0.040% | 0.020% |
| 30-Day SEC Yield | 2.10% | 2.12% |
| Portfolio Characteristics | ||
| MSCI US | ||
| Broad Market | ||
| Fund | Index | |
| Number of Stocks | 3,189 | 3,259 |
| Median Market Cap | $35.0B | $35.0B |
| Price/Earnings Ratio | 16.7x | 16.7x |
| Price/Book Ratio | 2.1x | 2.1x |
| Return on Equity | 17.2% | 17.2% |
| Earnings Growth Rate | 9.7% | 9.8% |
| Dividend Yield | 2.1% | 2.1% |
| Foreign Holdings | 0.0% | 0.0% |
| Turnover Rate | 8% | — |
| Short-Term Reserves | 0.5% | — |
| Sector Diversification (% of equity exposure) | ||
| MSCI US | ||
| Broad Market | ||
| Fund | Index | |
| Consumer Discretionary | 12.4% | 12.4% |
| Consumer Staples | 9.4 | 9.4 |
| Energy | 10.2 | 10.1 |
| Financials | 16.5 | 16.6 |
| Health Care | 11.7 | 11.8 |
| Industrials | 11.1 | 11.1 |
| Information Technology | 18.6 | 18.5 |
| Materials | 4.0 | 4.0 |
| Telecommunication Services | 2.7 | 2.7 |
| 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) | ||
| Apple Inc. | Computer Hardware | 3.2% |
| Exxon Mobil Corp. | Integrated Oil & Gas | 2.5 |
| General Electric Co. | Industrial | |
| Conglomerates | 1.4 | |
| Chevron Corp. | Integrated Oil & Gas | 1.3 |
| International Business | IT Consulting & | |
| Machines Corp. | Other Services | 1.3 |
| Microsoft Corp. | Systems Software | 1.3 |
| AT&T Inc. | Integrated | |
| Telecommunication | ||
| Services | 1.2 | |
| Johnson & Johnson | Pharmaceuticals | 1.2 |
| Pfizer Inc. | Pharmaceuticals | 1.2 |
| Procter & Gamble Co. | Household Products | 1.2 |
| Top Ten | 15.8% | |
| The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated April 27, 2012, as supplemented. For the fiscal year ended December 31, 2012, the
expense ratios were 0.040% for Institutional Shares and 0.020% for Institutional Plus Shares.
7
Institutional Total Stock Market Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2002, Through December 31, 2012
Initial Investment of $100,000,000
| Average Annual Total Returns | |||||
| Periods Ended December 31, 2012 | |||||
| Final Value | |||||
| One | Five | Ten | of a $100,000,000 | ||
| Year | Years | Years | Investment | ||
| Institutional Total Stock Market Index | |||||
| Fund Institutional Shares | 16.47% | 2.34% | 8.01% | $216,049,761 | |
| Spliced Institutional Total Stock | |||||
| •••••••• | Market Index | 16.44 | 2.27 | 7.97 | 215,204,789 |
| – – – – | Multi-Cap Core Funds Average | 14.93 | 0.66 | 6.67 | 190,766,359 |
| For a benchmark description, see the Glossary. | |||||
| Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |||||
| Final Value | ||||
| One | Five | Ten | of a $200,000,000 | |
| Year | Years | Years | Investment | |
| Institutional Total Stock Market Index Fund | ||||
| Institutional Plus Shares | 16.53% | 2.37% | 8.04% | $433,210,265 |
| Spliced Institutional Total Stock Market Index | 16.44 | 2.27 | 7.97 | 381,532,719 |
See Financial Highlights for dividend and capital gains information.
8
Institutional Total Stock Market Index Fund
Fiscal-Year Total Returns (%): December 31, 2002, Through December 31, 2012
For a benchmark description, see the Glossary.
9
Institutional Total Stock Market Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2012
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 (99.5%)1 | |||
| Consumer Discretionary (12.4%) | |||
| Comcast Corp. Class A | 3,776,114 | 141,151 | |
| Home Depot Inc. | 2,269,199 | 140,350 | |
| * | Amazon.com Inc. | 544,411 | 136,723 |
| McDonald’s Corp. | 1,518,030 | 133,905 | |
| Walt Disney Co. | 2,565,920 | 127,757 | |
| News Corp. Class A | 2,964,900 | 75,724 | |
| Ford Motor Co. | 5,352,925 | 69,320 | |
| Time Warner Inc. | 1,428,490 | 68,325 | |
| Lowe’s Cos. Inc. | 1,771,436 | 62,921 | |
| Starbucks Corp. | 1,144,054 | 61,344 | |
| NIKE Inc. Class B | 1,095,822 | 56,544 | |
| Target Corp. | 936,584 | 55,418 | |
| * | DIRECTV | 945,126 | 47,408 |
| TJXCos. Inc. | 1,108,096 | 47,039 | |
| * | priceline.com Inc. | 75,009 | 46,596 |
| Yum! Brands Inc. | 686,221 | 45,565 | |
| Time Warner Cable Inc. | 461,212 | 44,825 | |
| Viacom Inc. Class B | 697,699 | 36,797 | |
| CBSCorp. Class B | 898,417 | 34,185 | |
| * | General Motors Co. | 1,178,642 | 33,980 |
| Johnson Controls Inc. | 1,029,588 | 31,608 | |
| Las Vegas Sands Corp. | 619,435 | 28,593 | |
| Carnival Corp. | 673,180 | 24,753 | |
| Coach Inc. | 429,384 | 23,835 | |
| Macy’s Inc. | 605,927 | 23,643 | |
| McGraw-Hill Cos. Inc. | 379,676 | 20,757 | |
| VF Corp. | 132,516 | 20,006 | |
| Omnicom Group Inc. | 400,139 | 19,991 | |
| * | Bed Bath & Beyond Inc. | 350,062 | 19,572 |
| Mattel Inc. | 513,299 | 18,797 | |
| Ross Stores Inc. | 339,681 | 18,394 | |
| * | Liberty Media Corp.– | ||
| Liberty Capital Class A | 157,005 | 18,214 | |
| * | AutoZone Inc. | 50,720 | 17,977 |
| * | Delphi Automotive plc | 461,943 | 17,669 |
| * | Dollar General Corp. | 395,560 | 17,440 |
| Limited Brands Inc. | 367,969 | 17,317 | |
| Starwood Hotels & | |||
| Resorts Worldwide Inc. | 295,997 | 16,978 | |
| Harley-Davidson Inc. | 343,202 | 16,762 | |
| Sirius XM Radio Inc. | 5,770,324 | 16,676 | |
| * | O’ReillyAutomotive Inc. | 179,165 | 16,021 |
| * | Liberty Interactive Corp. | ||
| Class A | 775,684 | 15,265 | |
| Genuine Parts Co. | 233,636 | 14,855 | |
| Gap Inc. | 470,715 | 14,611 | |
| Marriott International Inc. | |||
| Class A | 388,983 | 14,497 | |
| Kohl’s Corp. | 335,568 | 14,423 | |
| * | ChipotleMexican Grill Inc. | ||
| Class A | 47,714 | 14,193 | |
| Virgin Media Inc. | 384,612 | 14,135 | |
| * | Dollar Tree Inc. | 346,834 | 14,068 |
| * | Discovery Communications | ||
| Inc. Class A | 219,901 | 13,959 | |
| Wynn Resorts Ltd. | 121,199 | 13,634 | |
| Ralph Lauren Corp. Class A | 90,870 | 13,623 | |
| * | Liberty Global Inc. Class A | 206,642 | 13,016 |
| Nordstrom Inc. | 242,345 | 12,965 | |
| * | CarMax Inc. | 343,940 | 12,912 |
| * | BorgWarner Inc. | 172,367 | 12,345 |
| Whirlpool Corp. | 116,931 | 11,898 | |
| PVH Corp. | 105,972 | 11,764 | |
| Staples Inc. | 1,028,183 | 11,721 | |
| DISH Network Corp. | |||
| Class A | 319,546 | 11,631 | |
| * | Lululemon Athletica Inc. | 151,977 | 11,585 |
| Wyndham Worldwide Corp. | 214,128 | 11,394 | |
| PetSmart Inc. | 163,002 | 11,140 | |
| Tiffany & Co. | 190,860 | 10,944 | |
| Comcast Corp. | 276,125 | 9,927 | |
| * | Liberty Global Inc. | 166,818 | 9,801 |
| Autoliv Inc. | 143,970 | 9,702 | |
| Newell Rubbermaid Inc. | 435,412 | 9,697 | |
| Family Dollar Stores Inc. | 149,754 | 9,496 | |
| Tractor Supply Co. | 106,984 | 9,453 | |
| * | PulteGroup Inc. | 520,213 | 9,447 |
10
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | LKQ Corp. | 446,554 | 9,422 |
| Expedia Inc. | 148,438 | 9,122 | |
| Ulta Salon Cosmetics & | |||
| Fragrance Inc. | 90,064 | 8,850 | |
| Darden Restaurants Inc. | 193,253 | 8,710 | |
| DRHorton Inc. | 432,700 | 8,559 | |
| * | TRWAutomotive | ||
| Holdings Corp. | 156,181 | 8,373 | |
| Lennar Corp. Class A | 216,316 | 8,365 | |
| * | Discovery | ||
| Communications Inc. | 142,608 | 8,343 | |
| Polaris Industries Inc. | 98,199 | 8,263 | |
| Advance Auto Parts Inc. | 110,422 | 7,989 | |
| * | Mohawk Industries Inc. | 88,287 | 7,987 |
| H&R Block Inc. | 408,146 | 7,579 | |
| Scripps Networks | |||
| Interactive Inc. Class A | 129,523 | 7,502 | |
| * | Toll Brothers Inc. | 228,146 | 7,376 |
| * | Netflix Inc. | 79,494 | 7,375 |
| Foot Locker Inc. | 228,276 | 7,332 | |
| * | Fossil Inc. | 77,960 | 7,258 |
| Interpublic Group of | |||
| Cos. Inc. | 658,555 | 7,257 | |
| Royal Caribbean | |||
| Cruises Ltd. | 213,218 | 7,249 | |
| ^ | Garmin Ltd. | 176,233 | 7,194 |
| * | TripAdvisor Inc. | 165,889 | 6,961 |
| Lear Corp. | 147,730 | 6,920 | |
| * | Urban Outfitters Inc. | 174,711 | 6,877 |
| * | NVR Inc. | 7,391 | 6,800 |
| * | Panera Bread Co. Class A | 42,614 | 6,768 |
| Dick’s Sporting Goods Inc. | 145,331 | 6,611 | |
| Signet Jewelers Ltd. | 121,883 | 6,509 | |
| * | MGM Resorts International | 553,650 | 6,445 |
| * | Sally Beauty Holdings Inc. | 271,463 | 6,398 |
| Hasbro Inc. | 176,610 | 6,340 | |
| Gannett Co. Inc. | 348,859 | 6,283 | |
| Abercrombie & Fitch Co. | 124,646 | 5,979 | |
| * | Jarden Corp. | 114,229 | 5,906 |
| Williams-Sonoma Inc. | 134,817 | 5,901 | |
| Leggett & Platt Inc. | 211,939 | 5,769 | |
| * | Under Armour Inc. Class A | 118,545 | 5,753 |
| International Game | |||
| Technology | 402,774 | 5,707 | |
| American Eagle | |||
| Outfitters Inc. | 267,444 | 5,485 | |
| Tupperware Brands Corp. | 83,972 | 5,383 | |
| Dunkin’ Brands Group Inc. | 159,352 | 5,287 | |
| * | Hanesbrands Inc. | 147,163 | 5,271 |
| Best Buy Co. Inc. | 436,316 | 5,170 | |
| * | Goodyear Tire & | ||
| Rubber Co. | 369,882 | 5,108 | |
| GNCHoldings Inc. Class A | 149,736 | 4,983 | |
| JC Penney Co. Inc. | 247,862 | 4,885 | |
| * | Penn National Gaming Inc. | 98,155 | 4,820 |
| GameStop Corp. Class A | 188,117 | 4,720 | |
| Chico’sFAS Inc. | 251,689 | 4,646 | |
| * | CharterCommunications | ||
| Inc. Class A | 60,765 | 4,633 | |
| Harman International | |||
| Industries Inc. | 101,545 | 4,533 | |
| Service Corp. International | 326,262 | 4,506 | |
| * | Warnaco Group Inc. | 61,576 | 4,407 |
| Cablevision Systems Corp. | |||
| Class A | 288,621 | 4,312 | |
| * | Carter’s Inc. | 75,604 | 4,207 |
| Gentex Corp. | 218,274 | 4,108 | |
| Cinemark Holdings Inc. | 156,329 | 4,061 | |
| * | Madison Square Garden | ||
| Co. Class A | 88,877 | 3,942 | |
| * | AMC Networks Inc. Class A | 79,252 | 3,923 |
| Brunswick Corp. | 134,612 | 3,916 | |
| * | Visteon Corp. | 71,412 | 3,843 |
| Six Flags | |||
| Entertainment Corp. | 60,211 | 3,685 | |
| * | Lamar Advertising Co. | ||
| Class A | 94,786 | 3,673 | |
| * | Ascena Retail Group Inc. | 197,215 | 3,647 |
| * | Liberty Ventures Class A | 52,927 | 3,586 |
| Domino’s Pizza Inc. | 81,236 | 3,538 | |
| Dillard’s Inc. Class A | 42,191 | 3,534 | |
| Dana Holding Corp. | 223,333 | 3,486 | |
| Brinker International Inc. | 111,400 | 3,452 | |
| Sotheby’s | 102,052 | 3,431 | |
| DSW Inc. Class A | 50,286 | 3,303 | |
| HSN Inc. | 58,691 | 3,233 | |
| * | Tenneco Inc. | 91,624 | 3,217 |
| * | Apollo Group Inc. Class A | 153,123 | 3,203 |
| * | Tesla Motors Inc. | 93,531 | 3,168 |
| Aaron’s Inc. | 108,809 | 3,077 | |
| Rent-A-Center Inc. | 89,500 | 3,075 | |
| * | Life Time Fitness Inc. | 62,413 | 3,071 |
| Wolverine World Wide Inc. | 73,753 | 3,022 | |
| Pool Corp. | 71,388 | 3,021 | |
| Vail Resorts Inc. | 54,290 | 2,937 | |
| Pier 1 Imports Inc. | 145,431 | 2,909 | |
| * | Cabela’s Inc. | 68,962 | 2,879 |
| * | Tempur-Pedic | ||
| International Inc. | 89,918 | 2,832 | |
| John Wiley & Sons Inc. | |||
| Class A | 72,145 | 2,809 | |
| * | Bally Technologies Inc. | 62,415 | 2,791 |
| * | Big Lots Inc. | 95,929 | 2,730 |
| * | Hyatt Hotels Corp. Class A | 69,625 | 2,685 |
| * | Steven Madden Ltd. | 62,274 | 2,632 |
| Washington Post Co. | |||
| Class B | 7,053 | 2,576 | |
| ThorIndustries Inc. | 68,220 | 2,553 | |
| CheesecakeFactory Inc. | 77,055 | 2,521 | |
| Guess? Inc. | 102,389 | 2,513 |
11
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Coinstar Inc. | 47,484 | 2,470 |
| Ryland Group Inc. | 67,411 | 2,461 | |
| * | ANN Inc. | 71,301 | 2,413 |
| *,^ | Sears Holdings Corp. | 56,587 | 2,340 |
| * | Vitamin Shoppe Inc. | 40,660 | 2,332 |
| Morningstar Inc. | 36,658 | 2,303 | |
| * | Iconix Brand Group Inc. | 102,843 | 2,295 |
| MDC Holdings Inc. | 61,975 | 2,278 | |
| Cooper Tire & Rubber Co. | 89,830 | 2,278 | |
| Men’s Wearhouse Inc. | 72,838 | 2,270 | |
| * | Deckers Outdoor Corp. | 55,865 | 2,250 |
| ^ | Weight Watchers | ||
| International Inc. | 42,117 | 2,205 | |
| * | AutoNation Inc. | 55,165 | 2,190 |
| * | Groupon Inc. | 444,000 | 2,167 |
| Hillenbrand Inc. | 94,895 | 2,146 | |
| * | Fifth & Pacific Cos. Inc. | 171,043 | 2,129 |
| * | Select Comfort Corp. | 80,879 | 2,117 |
| * | Hibbett Sports Inc. | 39,725 | 2,094 |
| Wendy’s Co. | 442,337 | 2,079 | |
| DeVry Inc. | 87,354 | 2,073 | |
| Penske Automotive | |||
| Group Inc. | 68,416 | 2,059 | |
| * | Buffalo Wild Wings Inc. | 28,246 | 2,057 |
| Cracker Barrel Old | |||
| Country Store Inc. | 31,839 | 2,046 | |
| * | Genesco Inc. | 37,062 | 2,038 |
| Group 1 Automotive Inc. | 32,643 | 2,024 | |
| * | Live Nation | ||
| Entertainment Inc. | 216,261 | 2,013 | |
| * | Crocs Inc. | 136,642 | 1,966 |
| Buckle Inc. | 43,710 | 1,951 | |
| * | Meritage Homes Corp. | 50,840 | 1,899 |
| * | Lumber Liquidators | ||
| Holdings Inc. | 35,384 | 1,869 | |
| Meredith Corp. | 54,169 | 1,866 | |
| Arbitron Inc. | 39,834 | 1,859 | |
| Valassis | |||
| Communications Inc. | 72,082 | 1,858 | |
| * | Asbury Automotive | ||
| Group Inc. | 57,537 | 1,843 | |
| * | Jack in the Box Inc. | 63,788 | 1,824 |
| * | Jos A Bank Clothiers Inc. | 42,340 | 1,803 |
| Regal Entertainment | |||
| Group Class A | 129,206 | 1,802 | |
| * | Lions Gate | ||
| Entertainment Corp. | 109,549 | 1,797 | |
| * | DreamWorks Animation | ||
| SKG Inc. Class A | 105,171 | 1,743 | |
| Burger King Worldwide Inc. | 106,000 | 1,743 | |
| * | Orient-Express Hotels Ltd. | ||
| Class A | 147,993 | 1,730 | |
| Bob Evans Farms Inc. | 42,570 | 1,711 | |
| * | Express Inc. | 113,399 | 1,711 |
| * | New York Times Co. | ||
| Class A | 200,560 | 1,711 | |
| KBHome | 107,621 | 1,700 | |
| *,^ | Saks Inc. | 161,252 | 1,695 |
| * | OfficeDepot Inc. | 509,033 | 1,670 |
| Brown Shoe Co. Inc. | 90,285 | 1,659 | |
| * | Children’sPlace Retail | ||
| Stores Inc. | 36,594 | 1,621 | |
| Ameristar Casinos Inc. | 61,623 | 1,617 | |
| * | Aeropostale Inc. | 123,140 | 1,602 |
| Texas Roadhouse Inc. | |||
| Class A | 94,873 | 1,594 | |
| * | Marriott Vacations | ||
| Worldwide Corp. | 38,081 | 1,587 | |
| * | Papa John’s | ||
| International Inc. | 28,505 | 1,566 | |
| Scholastic Corp. | 51,791 | 1,531 | |
| Monro Muffler Brake Inc. | 43,576 | 1,524 | |
| * | ShutterflyInc. | 50,856 | 1,519 |
| Regis Corp. | 89,696 | 1,518 | |
| * | Helen of Troy Ltd. | 44,912 | 1,500 |
| * | Ascent Capital Group Inc. | ||
| Class A | 23,575 | 1,460 | |
| * | WMS Industries Inc. | 83,225 | 1,456 |
| Finish Line Inc. Class A | 76,918 | 1,456 | |
| * | AFC Enterprises Inc. | 55,515 | 1,451 |
| ChoiceHotels | |||
| International Inc. | 43,060 | 1,448 | |
| ChurchillDowns Inc. | 21,459 | 1,426 | |
| Ethan Allen Interiors Inc. | 54,373 | 1,398 | |
| News Corp. Class B | 53,109 | 1,394 | |
| Belo Corp. Class A | 180,358 | 1,383 | |
| * | DineEquity Inc. | 20,526 | 1,375 |
| Jones Group Inc. | 124,322 | 1,375 | |
| Cato Corp. Class A | 50,080 | 1,374 | |
| * | Francesca’s Holdings Corp. | 51,800 | 1,345 |
| ^ | Sturm Ruger & Co. Inc. | 28,792 | 1,307 |
| Dorman Products Inc. | 36,624 | 1,294 | |
| * | Biglari Holdings Inc. | 3,305 | 1,289 |
| Matthews International | |||
| Corp. Class A | 39,444 | 1,266 | |
| * | American Axle & | ||
| Manufacturing | |||
| Holdings Inc. | 112,420 | 1,259 | |
| * | BJ’s Restaurants Inc. | 37,249 | 1,226 |
| Drew Industries Inc. | 36,956 | 1,192 | |
| * | American Public | ||
| Education Inc. | 31,712 | 1,145 | |
| Movado Group Inc. | 37,012 | 1,136 | |
| CEC Entertainment Inc. | 34,197 | 1,135 | |
| International Speedway | |||
| Corp. Class A | 40,565 | 1,120 | |
| American Greetings Corp. | |||
| Class A | 65,591 | 1,108 | |
| ^ | Columbia Sportswear Co. | 19,945 | 1,064 |
12
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | G-III Apparel Group Ltd. | 31,074 | 1,064 |
| OfficeMaxInc. | 107,444 | 1,049 | |
| * | Krispy Kreme | ||
| Doughnuts Inc. | 111,336 | 1,044 | |
| * | Denny’s Corp. | 210,803 | 1,029 |
| * | Pinnacle Entertainment Inc. | 64,142 | 1,015 |
| * | Arctic Cat Inc. | 30,375 | 1,014 |
| Strayer Education Inc. | 17,529 | 985 | |
| * | Standard Pacific Corp. | 129,183 | 950 |
| Standard Motor | |||
| Products Inc. | 41,873 | 930 | |
| Lithia Motors Inc. Class A | 24,676 | 923 | |
| National CineMedia Inc. | 64,430 | 910 | |
| * | America’s Car-Mart Inc. | 22,443 | 909 |
| * | Conn’s Inc. | 29,173 | 895 |
| * | Grand Canyon | ||
| Education Inc. | 38,039 | 893 | |
| * | Blue Nile Inc. | 22,706 | 874 |
| * | Cavco Industries Inc. | 17,021 | 851 |
| La-Z-Boy Inc. | 59,499 | 842 | |
| * | Maidenform Brands Inc. | 42,657 | 831 |
| * | Caribou Coffee Co. Inc. | 50,640 | 820 |
| Callaway Golf Co. | 125,838 | 818 | |
| Oxford Industries Inc. | 17,634 | 818 | |
| Stewart Enterprises Inc. | |||
| Class A | 106,756 | 816 | |
| * | Skechers U.S.A. Inc. | ||
| Class A | 43,985 | 814 | |
| *,^ | Hovnanian Enterprises | ||
| Inc. Class A | 114,544 | 802 | |
| Clear Channel Outdoor | |||
| Holdings Inc. Class A | 113,696 | 798 | |
| Interval Leisure Group Inc. | 40,589 | 787 | |
| * | Barnes & Noble Inc. | 51,698 | 780 |
| * | Carmike Cinemas Inc. | 51,537 | 773 |
| Pep Boys-Manny | |||
| Moe & Jack | 78,590 | 773 | |
| * | SHFLEntertainment Inc. | 53,182 | 771 |
| Carriage Services Inc. | |||
| Class A | 63,172 | 750 | |
| Lennar Corp. Class B | 24,500 | 748 | |
| * | Capella Education Co. | 26,064 | 736 |
| * | Tumi Holdings Inc. | 35,200 | 734 |
| * | iRobotCorp. | 38,863 | 728 |
| * | Gentherm Inc. | 54,515 | 725 |
| * | Boyd Gaming Corp. | 109,151 | 725 |
| * | Winnebago Industries Inc. | 41,636 | 713 |
| * | Scientific Games Corp. | ||
| Class A | 81,522 | 707 | |
| Bassett Furniture | |||
| Industries Inc. | 56,118 | 700 | |
| * | Vera Bradley Inc. | 27,729 | 696 |
| Sonic Automotive Inc. | |||
| Class A | 32,684 | 683 | |
| * | LeapFrog Enterprises Inc. | 78,847 | 680 |
| * | Bluegreen Corp. | 72,497 | 680 |
| Stage Stores Inc. | 27,337 | 677 | |
| * | HomeAway Inc. | 30,691 | 675 |
| * | Red Robin Gourmet | ||
| Burgers Inc. | 19,072 | 673 | |
| * | Sonic Corp. | 63,976 | 666 |
| Big 5 Sporting Goods Corp. | 50,476 | 661 | |
| * | Unifi Inc. | 50,823 | 661 |
| Hot Topic Inc. | 68,445 | 661 | |
| Allison Transmission | |||
| Holdings Inc. | 32,085 | 655 | |
| * | K12 Inc. | 31,940 | 653 |
| True Religion Apparel Inc. | 25,211 | 641 | |
| * | Steiner Leisure Ltd. | 13,237 | 638 |
| Haverty Furniture Cos. Inc. | 39,055 | 637 | |
| * | Quiksilver Inc. | 145,552 | 619 |
| Fred’s Inc. Class A | 46,385 | 617 | |
| * | Fuel Systems Solutions Inc. | 40,816 | 600 |
| * | Beazer Homes USA Inc. | 35,350 | 597 |
| PetMed Express Inc. | 51,603 | 573 | |
| Core-Mark Holding Co. Inc. | 11,660 | 552 | |
| Sinclair Broadcast Group Inc. | |||
| Class A | 43,742 | 552 | |
| AH Belo Corp. Class A | 117,977 | 549 | |
| * | Overstock.com Inc. | 37,204 | 532 |
| Superior Industries | |||
| International Inc. | 25,659 | 523 | |
| * | Digital Generation Inc. | 46,217 | 502 |
| * | Citi Trends Inc. | 35,712 | 491 |
| * | Exide Technologies | 143,348 | 490 |
| bebe stores inc | 119,636 | 477 | |
| CSS Industries Inc. | 21,744 | 476 | |
| * | ITT Educational Services Inc. | 27,273 | 472 |
| * | Multimedia Games | ||
| Holding Co. Inc. | 31,612 | 465 | |
| Perry Ellis International Inc. | 23,297 | 464 | |
| * | Smith & Wesson | ||
| Holding Corp. | 54,565 | 461 | |
| * | Pandora Media Inc. | 48,500 | 445 |
| * | Career Education Corp. | 126,376 | 445 |
| * | VOXX International Corp. | ||
| Class A | 65,637 | 442 | |
| * | Modine Manufacturing Co. | 53,775 | 437 |
| * | Christopher& Banks Corp. | 78,923 | 430 |
| * | Zumiez Inc. | 22,077 | 429 |
| ^ | Blyth Inc. | 27,144 | 422 |
| Flexsteel Industries Inc. | 19,499 | 418 | |
| * | Ruby Tuesday Inc. | 52,671 | 414 |
| JAKKS Pacific Inc. | 32,926 | 412 | |
| ^ | Bon-Ton Stores Inc. | 33,900 | 411 |
| Town Sports International | |||
| Holdings Inc. | 37,480 | 399 | |
| * | Tuesday Morning Corp. | 63,078 | 394 |
| * | Isle of Capri Casinos Inc. | 69,416 | 389 |
13
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Universal Technical | |||
| Institute Inc. | 38,152 | 383 | |
| Destination Maternity Corp. | 17,543 | 378 | |
| * | rue21 inc | 13,138 | 373 |
| Nutrisystem Inc. | 43,128 | 353 | |
| * | M/IHomes Inc. | 13,048 | 346 |
| CherokeeInc. | 24,597 | 337 | |
| * | MarineMax Inc. | 37,080 | 332 |
| Harte-Hanks Inc. | 56,112 | 331 | |
| * | Cumulus Media Inc. | ||
| Class A | 123,595 | 330 | |
| * | Universal Electronics Inc. | 16,981 | 329 |
| ^ | RadioShack Corp. | 153,901 | 326 |
| * | Corinthian Colleges Inc. | 130,895 | 319 |
| * | Build-A-Bear Workshop Inc. | 83,252 | 318 |
| * | McClatchy Co. Class A | 93,301 | 305 |
| NACCO Industries Inc. | |||
| Class A | 5,018 | 305 | |
| Fisher Communications Inc. | 11,273 | 304 | |
| * | Journal Communications Inc. | ||
| Class A | 54,804 | 297 | |
| * | EWScripps Co. Class A | 26,986 | 292 |
| SpeedwayMotorsports Inc. | 16,320 | 291 | |
| * | 1-800-Flowers.com Inc. | ||
| Class A | 76,846 | 282 | |
| * | Nautilus Inc. | 78,451 | 275 |
| * | Jamba Inc. | 121,916 | 273 |
| * | Casual Male Retail | ||
| Group Inc. | 64,168 | 270 | |
| * | Entercom Communications | ||
| Corp. Class A | 37,398 | 261 | |
| * | Federal-Mogul Corp. | 32,440 | 260 |
| Marcus Corp. | 20,135 | 251 | |
| Marine Products Corp. | 43,254 | 247 | |
| * | Bridgepoint Education Inc. | 23,288 | 240 |
| * | Libbey Inc. | 12,270 | 237 |
| * | Steinway Musical | ||
| Instruments Inc. | 10,572 | 224 | |
| * | Heelys Inc. | 99,599 | 222 |
| Stein Mart Inc. | 28,828 | 217 | |
| * | Pacific Sunwear of | ||
| California Inc. | 136,558 | 217 | |
| Culp Inc. | 14,212 | 213 | |
| * | Furniture Brands | ||
| International Inc. | 199,649 | 212 | |
| * | Wet Seal Inc. Class A | 74,990 | 207 |
| SpartanMotors Inc. | 41,055 | 202 | |
| Einstein Noah Restaurant | |||
| Group Inc. | 16,432 | 201 | |
| World Wrestling | |||
| Entertainment Inc. | |||
| Class A | 25,346 | 200 | |
| * | Kirkland’s Inc. | 18,643 | 197 |
| Weyco Group Inc. | 8,138 | 190 | |
| Hooker Furniture Corp. | 12,645 | 184 |
| *,^ | Books-A-Million Inc. | 68,883 | 183 |
| ShoeCarnival Inc. | 8,742 | 179 | |
| * | K-Swiss Inc. Class A | 52,454 | 176 |
| * | hhgregg Inc. | 25,012 | 176 |
| * | Luby’s Inc. | 26,003 | 174 |
| * | Fiesta Restaurant Group Inc. | 11,255 | 172 |
| * | Morgans Hotel Group Co. | 30,577 | 169 |
| ShilohIndustries Inc. | 15,858 | 163 | |
| SystemaxInc. | 16,547 | 160 | |
| * | Body Central Corp. | 15,225 | 152 |
| * | Mattress Firm Holding Corp. | 6,100 | 150 |
| Strattec Security Corp. | 5,741 | 148 | |
| * | Bravo Brio Restaurant | ||
| Group Inc. | 10,980 | 147 | |
| * | Dex One Corp. | 85,768 | 136 |
| Lincoln Educational | |||
| Services Corp. | 23,474 | 131 | |
| * | New York & Co. Inc. | 33,806 | 129 |
| * | Rentrak Corp. | 6,565 | 128 |
| * | Stoneridge Inc. | 23,383 | 120 |
| * | West Marine Inc. | 11,079 | 119 |
| Ambassadors Group Inc. | 27,831 | 119 | |
| * | Gray Television Inc. | 53,874 | 119 |
| Entravision | |||
| Communications Corp. | |||
| Class A | 70,315 | 117 | |
| * | Zale Corp. | 27,104 | 111 |
| * | Monarch Casino & | ||
| Resort Inc. | 10,199 | 111 | |
| * | Zagg Inc. | 15,001 | 110 |
| * | Cosi Inc. | 137,793 | 107 |
| Saga Communications Inc. | |||
| Class A | 2,272 | 106 | |
| * | Harris Interactive Inc. | 84,474 | 101 |
| * | Ruth’s Hospitality | ||
| Group Inc. | 13,942 | 101 | |
| * | Motorcar Parts of | ||
| America Inc. | 15,140 | 99 | |
| * | Orbitz Worldwide Inc. | 36,370 | 99 |
| * | Gaiam Inc. Class A | 31,086 | 98 |
| * | Learning Tree | ||
| International Inc. | 17,928 | 98 | |
| * | Coldwater Creek Inc. | 19,685 | 95 |
| * | Reading International Inc. | ||
| Class A | 15,748 | 95 | |
| * | Cache Inc. | 37,957 | 92 |
| * | Martha Stewart Living | ||
| Omnimedia Class A | 36,719 | 90 | |
| * | Skullcandy Inc. | 11,200 | 87 |
| * | ReachLocal Inc. | 6,620 | 85 |
| * | Geeknet Inc. | 5,163 | 83 |
| Lifetime Brands Inc. | 7,662 | 81 | |
| * | Daily Journal Corp. | 872 | 81 |
| * | LIN TV Corp. Class A | 9,843 | 74 |
14
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Valuevision Media Inc. | ||
| Class A | 40,501 | 73 | |
| * | Johnson Outdoors Inc. | ||
| Class A | 3,631 | 72 | |
| * | dELiA*s Inc. | 60,204 | 70 |
| * | Century Casinos Inc. | 24,482 | 70 |
| * | Stanley Furniture Co. Inc. | 15,291 | 69 |
| * | Carrols Restaurant Group Inc. | 11,255 | 67 |
| Escalade Inc. | 12,587 | 67 | |
| * | Media General Inc. Class A | 15,014 | 65 |
| * | Delta Apparel Inc. | 4,553 | 64 |
| Dover Downs Gaming & | |||
| Entertainment Inc. | 28,574 | 63 | |
| * | MTR Gaming Group Inc. | 14,610 | 61 |
| * | Navarre Corp. | 33,043 | 59 |
| * | Dixie Group Inc. | 16,504 | 55 |
| * | Red Lion Hotels Corp. | 6,701 | 53 |
| Salem Communications | |||
| Corp. Class A | 9,336 | 51 | |
| * | American Apparel Inc. | 47,264 | 48 |
| * | Cambium Learning | ||
| Group Inc. | 42,784 | 48 | |
| * | Vitacost.com Inc. | 6,923 | 47 |
| * | Nexstar Broadcasting | ||
| Group Inc. Class A | 4,178 | 44 | |
| * | Sealy Corp. | 19,540 | 42 |
| * | Kid Brands Inc. | 27,010 | 42 |
| * | Perfumania Holdings Inc. | 7,777 | 38 |
| * | Gordmans Stores Inc. | 2,496 | 38 |
| Outdoor Channel | |||
| Holdings Inc. | 4,561 | 35 | |
| * | Famous Dave’s Of | ||
| America Inc. | 3,756 | 35 | |
| * | Lee Enterprises Inc. | 29,385 | 34 |
| Trans World | |||
| Entertainment Corp. | 8,958 | 31 | |
| * | Emerson Radio Corp. | 17,970 | 31 |
| Mac-Gray Corp. | 2,471 | 31 | |
| Collectors Universe | 2,737 | 27 | |
| Superior Uniform Group Inc. | 2,385 | 27 | |
| * | Entertainment Gaming | ||
| Asia Inc. | 13,714 | 26 | |
| * | TravelCenters of | ||
| America LLC | 5,100 | 24 | |
| * | UQM Technologies Inc. | 29,271 | 22 |
| * | ALCO Stores Inc. | 2,276 | 20 |
| * | Black Diamond Inc. | 2,307 | 19 |
| * | SuperMedia Inc. | 5,398 | 18 |
| * | Orchard Supply Hardware | ||
| Stores Corp. Class A | 2,448 | 18 | |
| * | Radio One Inc. | 22,730 | 17 |
| * | US Auto Parts Network Inc. | 8,487 | 16 |
| * | Skyline Corp. | 3,395 | 14 |
| * | Empire Resorts Inc. | 5,900 | 14 |
| Hastings Entertainment Inc. | 4,944 | 11 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Quantum Fuel | ||
| Systems Technologies | |||
| Worldwide Inc. | 15,407 | 11 | |
| Frisch’s Restaurants Inc. | 549 | 10 | |
| * | School Specialty Inc. | 10,487 | 10 |
| * | Hollywood Media Corp. | 7,061 | 10 |
| * | Lakes Entertainment Inc. | 2,747 | 8 |
| Dover Motorsports Inc. | 4,709 | 8 | |
| Canterbury Park Holding Corp. | 818 | 8 | |
| Bowl America Inc. Class A | 392 | 5 | |
| Educational | |||
| Development Corp. | 1,122 | 4 | |
| * | LodgeNet Interactive Corp. | 42,201 | 2 |
| Gaming Partners | |||
| International Corp. | 309 | 2 | |
| * | Radio One Inc. Class A | 1,680 | 1 |
| * | Premier Exhibitions Inc. | 319 | 1 |
| * | Rick’s Cabaret International Inc. | 64 | 1 |
| * | Joe’s Jeans Inc. | 398 | — |
| * | Universal Travel Group | 118 | — |
| * | SportChalet Inc. Class A | 37 | — |
| * | SPARGroup Inc. | 29 | — |
| National American University | |||
| Holdings Inc. | 8 | — | |
| * | SportChalet Inc. Class B | 5 | — |
| 2,938,588 | |||
| Consumer Staples (9.3%) | |||
| Procter & Gamble Co. | 4,150,698 | 281,791 | |
| Coca-Cola Co. | 6,112,731 | 221,586 | |
| Philip Morris | |||
| International Inc. | 2,537,645 | 212,249 | |
| Wal-Mart Stores Inc. | 2,801,343 | 191,136 | |
| PepsiCo Inc. | 2,342,766 | 160,315 | |
| Altria Group Inc. | 3,060,142 | 96,150 | |
| CVS Caremark Corp. | 1,915,213 | 92,601 | |
| Colgate-Palmolive Co. | 713,859 | 74,627 | |
| Mondelez International | |||
| Inc. Class A | 2,537,874 | 64,640 | |
| Costco Wholesale Corp. | 650,868 | 64,286 | |
| Kimberly-Clark Corp. | 594,444 | 50,189 | |
| Walgreen Co. | 1,346,931 | 49,850 | |
| General Mills Inc. | 975,957 | 39,438 | |
| Kraft Foods Group Inc. | 845,158 | 38,429 | |
| SyscoCorp. | 883,055 | 27,958 | |
| HJ Heinz Co. | 482,118 | 27,809 | |
| Archer-Daniels-Midland Co. | 991,478 | 27,157 | |
| Whole Foods Market Inc. | 264,148 | 24,125 | |
| Lorillard Inc. | 196,663 | 22,945 | |
| Estee Lauder Cos. Inc. | |||
| Class A | 354,505 | 21,221 | |
| Reynolds American Inc. | 510,713 | 21,159 | |
| Kellogg Co. | 377,039 | 21,058 | |
| Kroger Co. | 778,951 | 20,268 | |
| Mead Johnson | |||
| Nutrition Co. | 306,911 | 20,222 | |
15
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| ConAgra Foods Inc. | 611,413 | 18,037 | |
| Hershey Co. | 236,985 | 17,115 | |
| Bunge Ltd. | 219,866 | 15,982 | |
| JM Smucker Co. | 166,499 | 14,359 | |
| Coca-Cola Enterprises Inc. | 443,686 | 14,078 | |
| Dr Pepper Snapple | |||
| Group Inc. | 317,383 | 14,022 | |
| Clorox Co. | 185,533 | 13,585 | |
| Beam Inc. | 214,605 | 13,110 | |
| * | Monster Beverage Corp. | 225,984 | 11,950 |
| Brown-Forman Corp. | |||
| Class B | 184,086 | 11,643 | |
| McCormick & Co. Inc. | 181,011 | 11,500 | |
| Church& Dwight Co. Inc. | 209,802 | 11,239 | |
| Campbell Soup Co. | 285,960 | 9,977 | |
| Molson Coors Brewing Co. | |||
| Class B | 224,469 | 9,605 | |
| Avon Products Inc. | 651,769 | 9,359 | |
| TysonFoods Inc. Class A | 439,564 | 8,528 | |
| * | Green Mountain Coffee | ||
| Roasters Inc. | 199,478 | 8,250 | |
| * | Constellation Brands Inc. | ||
| Class A | 231,996 | 8,210 | |
| Energizer Holdings Inc. | 97,055 | 7,762 | |
| * | Ralcorp Holdings Inc. | 83,249 | 7,463 |
| Ingredion Inc. | 114,857 | 7,400 | |
| Hormel Foods Corp. | 218,539 | 6,821 | |
| Safeway Inc. | 360,644 | 6,524 | |
| Herbalife Ltd. | 168,700 | 5,557 | |
| Hillshire Brands Co. | 178,841 | 5,033 | |
| * | Smithfield Foods Inc. | 218,919 | 4,722 |
| * | Dean Foods Co. | 279,038 | 4,607 |
| Flowers Foods Inc. | 188,734 | 4,392 | |
| * | United Natural Foods Inc. | 73,906 | 3,961 |
| * | Hain Celestial Group Inc. | 57,863 | 3,137 |
| Casey’s General Stores Inc. | 57,705 | 3,064 | |
| Nu Skin Enterprises Inc. | |||
| Class A | 81,196 | 3,008 | |
| * | Darling International Inc. | 178,133 | 2,857 |
| * | TreeHouse Foods Inc. | 54,641 | 2,848 |
| * | Fresh Market Inc. | 58,230 | 2,800 |
| Harris Teeter | |||
| Supermarkets Inc. | 70,552 | 2,720 | |
| PriceSmart Inc. | 29,775 | 2,294 | |
| B&G Foods Inc. | 78,333 | 2,218 | |
| Lancaster Colony Corp. | 28,953 | 2,003 | |
| * | Boston Beer Co. Inc. Class A | 13,447 | 1,808 |
| * | Elizabeth Arden Inc. | 40,048 | 1,803 |
| Universal Corp. | 35,499 | 1,772 | |
| Snyders-Lance Inc. | 72,500 | 1,748 | |
| * | Post Holdings Inc. | 49,322 | 1,689 |
| Fresh Del Monte | |||
| Produce Inc. | 62,072 | 1,636 | |
| SpectrumBrands | |||
| Holdings Inc. | 34,746 | 1,561 |
| * | Prestige Brands | ||
| Holdings Inc. | 76,327 | 1,529 | |
| Andersons Inc. | 35,275 | 1,513 | |
| J&J Snack Foods Corp. | 20,551 | 1,314 | |
| * | Rite Aid Corp. | 944,724 | 1,285 |
| Cal-Maine Foods Inc. | 30,297 | 1,219 | |
| Sanderson Farms Inc. | 25,367 | 1,206 | |
| Vector Group Ltd. | 71,012 | 1,056 | |
| * | Smart Balance Inc. | 80,940 | 1,044 |
| WD-40 Co. | 19,961 | 940 | |
| ^ | SUPERVALUInc. | 369,063 | 912 |
| * | Medifast Inc. | 33,580 | 886 |
| * | ChiquitaBrands | ||
| International Inc. | 95,029 | 784 | |
| * | Central Garden and | ||
| Pet Co. Class A | 74,524 | 779 | |
| Coca-Cola Bottling Co. | |||
| Consolidated | 11,708 | 779 | |
| Tootsie Roll Industries Inc. | 29,573 | 767 | |
| * | Susser Holdings Corp. | 21,626 | 746 |
| Inter Parfums Inc. | 37,942 | 738 | |
| Weis Markets Inc. | 18,801 | 736 | |
| Alico Inc. | 17,123 | 627 | |
| Nash Finch Co. | 27,986 | 596 | |
| * | Central Garden and Pet Co. | 54,405 | 545 |
| John B Sanfilippo & | |||
| Son Inc. | 28,775 | 523 | |
| Ingles Markets Inc. Class A | 29,687 | 512 | |
| * | Alliance One | ||
| International Inc. | 140,765 | 512 | |
| * | Star Scientific Inc. | 172,414 | 462 |
| * | Pantry Inc. | 37,451 | 454 |
| * | Pilgrim’s Pride Corp. | 60,613 | 439 |
| ^ | Diamond Foods Inc. | 31,682 | 433 |
| * | Farmer Bros Co. | 28,487 | 411 |
| * | Dole Food Co. Inc. | 35,053 | 402 |
| * | USANA Health Sciences Inc. | 10,126 | 333 |
| * | Revlon Inc. Class A | 17,235 | 250 |
| SpartanStores Inc. | 15,125 | 232 | |
| National Beverage Corp. | 15,595 | 228 | |
| * | Omega Protein Corp. | 33,479 | 205 |
| *,^ | Central European | ||
| Distribution Corp. | 88,049 | 191 | |
| Calavo Growers Inc. | 6,680 | 168 | |
| * | OverhillFarms Inc. | 38,481 | 167 |
| * | Annie’s Inc. | 4,300 | 144 |
| Oil-Dri Corp. of America | 5,107 | 141 | |
| Lifeway Foods Inc. | 15,345 | 134 | |
| Griffin Land & Nurseries Inc. | 4,623 | 125 | |
| * | Chefs’Warehouse Inc. | 7,000 | 111 |
| Female Health Co. | 14,917 | 107 | |
| * | Inventure Foods Inc. | 16,084 | 104 |
| * | Seneca Foods Corp. Class A | 1,704 | 52 |
| Nutraceutical | |||
| International Corp. | 3,078 | 51 |
16
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Village Super Market Inc. | |||
| Class A | 1,510 | 50 | |
| Limoneira Co. | 2,460 | 48 | |
| * | Primo Water Corp. | 32,717 | 39 |
| MGP Ingredients Inc. | 9,902 | 34 | |
| Bridgford Foods Corp. | 4,510 | 31 | |
| * | Mannatech Inc. | 4,713 | 26 |
| * | Craft Brew Alliance Inc. | 3,865 | 25 |
| Nature’s Sunshine Products Inc. | 1,400 | 20 | |
| Orchids Paper Products Co. | 926 | 19 | |
| Reliv International Inc. | 10,512 | 14 | |
| * | Crystal Rock Holdings Inc. | 80 | — |
| 2,222,164 | |||
| Energy (10.1%) | |||
| Exxon Mobil Corp. | 6,948,548 | 601,397 | |
| ChevronCorp. | 2,953,685 | 319,412 | |
| Schlumberger Ltd. | 1,997,614 | 138,415 | |
| ConocoPhillips | 1,736,940 | 100,725 | |
| Occidental | |||
| Petroleum Corp. | 1,219,276 | 93,409 | |
| Anadarko Petroleum Corp. | 752,257 | 55,900 | |
| EOG Resources Inc. | 406,497 | 49,101 | |
| Halliburton Co. | 1,396,620 | 48,449 | |
| Phillips 66 | 896,533 | 47,606 | |
| Apache Corp. | 588,933 | 46,231 | |
| National Oilwell Varco Inc. | 641,954 | 43,878 | |
| Kinder Morgan Inc. | 972,432 | 34,356 | |
| Williams Cos. Inc. | 1,014,714 | 33,222 | |
| Marathon Oil Corp. | 1,061,971 | 32,560 | |
| Marathon Petroleum Corp. | 509,301 | 32,086 | |
| Devon Energy Corp. | 578,522 | 30,106 | |
| Valero Energy Corp. | 830,357 | 28,332 | |
| Noble Energy Inc. | 267,785 | 27,244 | |
| Baker Hughes Inc. | 661,717 | 27,025 | |
| SpectraEnergy Corp. | 982,789 | 26,909 | |
| Hess Corp. | 462,752 | 24,507 | |
| * | Cameron International Corp. 370,809 | 20,936 | |
| Ensco plc Class A | 348,900 | 20,683 | |
| Pioneer Natural | |||
| Resources Co. | 176,003 | 18,760 | |
| * | Southwestern Energy Co. | 525,943 | 17,572 |
| ChesapeakeEnergy Corp. | 1,001,673 | 16,648 | |
| Murphy Oil Corp. | 277,886 | 16,548 | |
| Cabot Oil & Gas Corp. | 316,209 | 15,728 | |
| * | FMC Technologies Inc. | 359,317 | 15,390 |
| Range Resources Corp. | 244,682 | 15,373 | |
| HollyFrontier Corp. | 291,524 | 13,570 | |
| EQT Corp. | 225,302 | 13,288 | |
| Noble Corp. | 380,284 | 13,241 | |
| * | Weatherford | ||
| International Ltd. | 1,142,023 | 12,779 | |
| * | Concho Resources Inc. | 149,273 | 12,025 |
| * | Kinder Morgan | ||
| Management LLC | 152,069 | 11,475 | |
| CONSOL Energy Inc. | 343,197 | 11,017 | |
| Peabody Energy Corp. | 404,202 | 10,756 | |
| * | Denbury Resources Inc. | 588,997 | 9,542 |
| Tesoro Corp. | 210,908 | 9,291 | |
| * | Plains Exploration & | ||
| Production Co. | 194,492 | 9,129 | |
| Helmerich & Payne Inc. | 159,427 | 8,930 | |
| Oceaneering | |||
| International Inc. | 162,737 | 8,754 | |
| QEP Resources Inc. | 267,944 | 8,111 | |
| Core Laboratories NV | 71,351 | 7,799 | |
| * | Whiting Petroleum Corp. | 177,328 | 7,691 |
| Cimarex Energy Co. | 129,837 | 7,495 | |
| Diamond Offshore | |||
| Drilling Inc. | 104,911 | 7,130 | |
| * | Cobalt International | ||
| Energy Inc. | 278,367 | 6,837 | |
| * | Dresser-Rand Group Inc. | 114,299 | 6,417 |
| * | Nabors Industries Ltd. | 438,380 | 6,335 |
| * | Oil States International Inc. | 82,602 | 5,909 |
| * | Rowan Cos. plc Class A | 187,344 | 5,858 |
| * | Newfield Exploration Co. | 203,503 | 5,450 |
| * | CheniereEnergy Inc. | 274,656 | 5,158 |
| SM Energy Co. | 98,374 | 5,136 | |
| * | Continental Resources Inc. | 68,364 | 5,024 |
| * | Superior Energy | ||
| Services Inc. | 237,370 | 4,918 | |
| Energen Corp. | 108,710 | 4,902 | |
| World Fuel Services Corp. | 108,799 | 4,479 | |
| * | WPX Energy Inc. | 299,932 | 4,463 |
| Patterson-UTI Energy Inc. | 228,484 | 4,257 | |
| * | Ultra Petroleum Corp. | 230,864 | 4,186 |
| * | Atwood Oceanics Inc. | 88,906 | 4,071 |
| * | McDermott | ||
| International Inc. | 356,242 | 3,926 | |
| * | Dril-Quip Inc. | 51,898 | 3,791 |
| * | Rosetta Resources Inc. | 79,618 | 3,611 |
| * | Oasis Petroleum Inc. | 113,018 | 3,594 |
| * | SandRidge Energy Inc. | 555,976 | 3,530 |
| * | Kodiak Oil & Gas Corp. | 397,718 | 3,520 |
| * | Gulfport Energy Corp. | 90,813 | 3,471 |
| Tidewater Inc. | 75,435 | 3,370 | |
| Energy XXI Bermuda Ltd. | 102,066 | 3,286 | |
| * | Alpha Natural | ||
| Resources Inc. | 332,279 | 3,236 | |
| * | Helix Energy Solutions | ||
| Group Inc. | 151,296 | 3,123 | |
| * | Unit Corp. | 66,138 | 2,980 |
| Lufkin Industries Inc. | 50,986 | 2,964 | |
| Bristow Group Inc. | 54,123 | 2,904 | |
| * | McMoRan Exploration Co. | 159,236 | 2,556 |
| SEACOR Holdings Inc. | 30,345 | 2,543 | |
| Western Refining Inc. | 89,307 | 2,518 | |
| CARBOCeramics Inc. | 31,355 | 2,456 | |
| Berry Petroleum Co. Class A | 71,275 | 2,391 | |
| Targa Resources Corp. | 45,010 | 2,378 |
17
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Arch Coal Inc. | 322,292 | 2,359 | |
| * | Gran Tierra Energy Inc. | 425,411 | 2,344 |
| * | SemGroup Corp. Class A | 57,118 | 2,232 |
| * | Exterran Holdings Inc. | 88,367 | 1,937 |
| * | CVR Energy Inc. | 36,685 | 1,790 |
| * | Cloud Peak Energy Inc. | 92,504 | 1,788 |
| * | Hornbeck Offshore | ||
| Services Inc. | 51,011 | 1,752 | |
| * | Northern Oil and Gas Inc. | 89,231 | 1,501 |
| * | Comstock Resources Inc. | 99,012 | 1,498 |
| * | Key Energy Services Inc. | 214,447 | 1,490 |
| Enbridge Energy | |||
| Management LLC | 51,589 | 1,490 | |
| * | Stone Energy Corp. | 71,770 | 1,473 |
| * | Approach Resources Inc. | 57,280 | 1,433 |
| * | Forest Oil Corp. | 209,683 | 1,403 |
| * | EPLOil & Gas Inc. | 60,802 | 1,371 |
| * | Geospace | ||
| Technologies Corp. | 15,374 | 1,366 | |
| EXCO Resources Inc. | 196,504 | 1,330 | |
| * | Bill Barrett Corp. | 72,032 | 1,281 |
| Gulfmark Offshore Inc. | 35,015 | 1,206 | |
| *,^ | Clean Energy Fuels Corp. | 96,797 | 1,205 |
| * | Vaalco Energy Inc. | 138,397 | 1,197 |
| * | Bonanza Creek Energy Inc. | 42,600 | 1,184 |
| * | Hercules Offshore Inc. | 188,122 | 1,163 |
| * | C&J Energy Services Inc. | 53,500 | 1,147 |
| * | Carrizo Oil & Gas Inc. | 53,752 | 1,125 |
| * | ION Geophysical Corp. | 170,099 | 1,107 |
| RPC Inc. | 88,221 | 1,080 | |
| * | PDC Energy Inc. | 32,165 | 1,068 |
| Alon USA Energy Inc. | 58,526 | 1,059 | |
| * | Newpark Resources Inc. | 133,278 | 1,046 |
| * | Halcon Resources Corp. | 146,372 | 1,013 |
| * | Forum Energy | ||
| Technologies Inc. | 39,800 | 985 | |
| * | Basic Energy Services Inc. | 81,304 | 928 |
| * | Parker Drilling Co. | 197,863 | 910 |
| * | BPZ Resources Inc. | 284,239 | 895 |
| * | TETRA Technologies Inc. | 117,396 | 891 |
| Delek US Holdings Inc. | 35,039 | 887 | |
| *,^ | Heckmann Corp. | 216,471 | 872 |
| * | SwiftEnergy Co. | 56,322 | 867 |
| * | Clayton Williams | ||
| Energy Inc. | 21,060 | 842 | |
| * | Matrix Service Co. | 72,768 | 837 |
| Crosstex Energy Inc. | 55,285 | 793 | |
| Contango Oil & Gas Co. | 18,579 | 787 | |
| W&T Offshore Inc. | 46,967 | 753 | |
| * | Endeavour | ||
| International Corp. | 138,731 | 719 | |
| * | Cal Dive International Inc. | 411,044 | 711 |
| * | Magnum Hunter | ||
| Resources Corp. | 176,110 | 703 | |
| Gulf Island Fabrication Inc. | 28,963 | 696 |
| * | Callon Petroleum Co. | 144,740 | 680 |
| * | Rex Energy Corp. | 49,739 | 648 |
| * | Laredo Petroleum | ||
| Holdings Inc. | 34,638 | 629 | |
| * | Pioneer Energy | ||
| Services Corp. | 82,178 | 597 | |
| * | Goodrich Petroleum Corp. | 62,436 | 582 |
| * | Abraxas Petroleum Corp. | 260,604 | 571 |
| * | Harvest Natural | ||
| Resources Inc. | 60,441 | 548 | |
| * | Dawson Geophysical Co. | 19,421 | 512 |
| Bolt Technology Corp. | 34,671 | 495 | |
| Rentech Inc. | 178,533 | 470 | |
| * | Quicksilver Resources Inc. | 162,658 | 465 |
| * | FX Energy Inc. | 107,628 | 442 |
| * | Triangle Petroleum Corp. | 73,127 | 438 |
| Adams Resources & | |||
| Energy Inc. | 11,716 | 411 | |
| * | PHI Inc. | 10,745 | 360 |
| * | Resolute Energy Corp. | 43,204 | 351 |
| * | Mitcham Industries Inc. | 24,773 | 338 |
| Penn Virginia Corp. | 75,079 | 331 | |
| * | Natural Gas Services | ||
| Group Inc. | 17,555 | 288 | |
| * | Willbros Group Inc. | 50,828 | 272 |
| * | PetroQuest Energy Inc. | 53,547 | 265 |
| * | EvolutionPetroleum Corp. | 32,284 | 262 |
| * | Solazyme Inc. | 32,234 | 253 |
| * | Tesco Corp. | 21,985 | 250 |
| * | Amyris Inc. | 67,890 | 212 |
| * | Vantage Drilling Co. | 109,142 | 200 |
| * | CAMACEnergy Inc. | 311,089 | 184 |
| * | Global Geophysical | ||
| Services Inc. | 39,574 | 152 | |
| * | James River Coal Co. | 44,326 | 142 |
| * | US Energy Corp. Wyoming | 93,278 | 140 |
| * | Gastar Exploration Ltd. | 108,518 | 131 |
| Apco Oil and Gas | |||
| International Inc. | 10,509 | 129 | |
| * | Matador Resources Co. | 15,000 | 123 |
| * | Warren Resources Inc. | 43,588 | 122 |
| * | Double Eagle Petroleum Co. | 30,287 | 119 |
| * | Lone Pine Resources Inc. | 83,387 | 103 |
| * | Hyperdynamics Corp. | 157,899 | 94 |
| * | REX American | ||
| Resources Corp. | 4,844 | 93 | |
| TGC Industries Inc. | 11,066 | 91 | |
| * | Green Plains Renewable | ||
| Energy Inc. | 11,136 | 88 | |
| * | Westmoreland Coal Co. | 9,078 | 85 |
| Panhandle Oil and Gas Inc. | |||
| Class A | 2,516 | 71 | |
| * | KiOR Inc. | 11,000 | 71 |
| * | USEC Inc. | 120,969 | 64 |
| *,^ | GMX Resources Inc. | 126,772 | 63 |
18
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | TransAtlantic Petroleum Ltd. | 65,500 | 54 |
| * | Uranium Energy Corp. | 20,935 | 54 |
| * | Crimson Exploration Inc. | 16,392 | 45 |
| * | ZaZa Energy Corp. | 18,622 | 38 |
| * | GreenHunter Energy Inc. | 20,160 | 33 |
| * | Gasco Energy Inc. | 164,589 | 12 |
| * | SyntroleumCorp. | 28,793 | 11 |
| * | Barnwell Industries Inc. | 2,036 | 7 |
| * | Verenium Corp. | 2,972 | 6 |
| * | Sanchez Energy Corp. | 300 | 5 |
| * | Houston American | ||
| Energy Corp. | 14,695 | 3 | |
| * | Uranium Resources Inc. | 8,178 | 3 |
| * | GeoGlobal Resources Inc. | 19,882 | 1 |
| * | Uranerz Energy Corp. | 681 | 1 |
| * | Isramco Inc. | 8 | 1 |
| * | PrimeEnergy Corp. | 10 | — |
| * | Cubic Energy Inc. | 223 | — |
| 2,397,802 | |||
| Financials (16.5%) | |||
| Wells Fargo & Co. | 7,553,859 | 258,191 | |
| JPMorgan Chase & Co. | 5,718,372 | 251,437 | |
| Bank of America Corp. | 16,222,825 | 188,185 | |
| Citigroup Inc. | 4,414,401 | 174,634 | |
| * | Berkshire Hathaway Inc. | ||
| Class B | 1,325,644 | 118,910 | |
| US Bancorp | 2,853,045 | 91,126 | |
| American Express Co. | 1,535,934 | 88,286 | |
| Goldman Sachs Group Inc. | 685,642 | 87,461 | |
| * | American International | ||
| Group Inc. | 2,111,273 | 74,528 | |
| Simon Property Group Inc. | 456,676 | 72,196 | |
| Capital One Financial Corp. | 874,605 | 50,666 | |
| PNC Financial Services | |||
| Group Inc. | 797,023 | 46,474 | |
| American Tower | |||
| Corporation | 594,868 | 45,965 | |
| Bank of New York | |||
| Mellon Corp. | 1,778,308 | 45,703 | |
| Morgan Stanley | 2,230,366 | 42,645 | |
| MetLife Inc. | 1,279,232 | 42,138 | |
| Travelers Cos. Inc. | 580,098 | 41,663 | |
| BlackRock Inc. | 201,327 | 41,616 | |
| ACE Ltd. | 510,541 | 40,741 | |
| Aflac Inc. | 704,902 | 37,444 | |
| Prudential Financial Inc. | 698,532 | 37,253 | |
| State Street Corp. | 721,238 | 33,905 | |
| Public Storage | 219,539 | 31,824 | |
| HCP Inc. | 681,762 | 30,802 | |
| BB&T Corp. | 1,052,419 | 30,636 | |
| ChubbCorp. | 400,245 | 30,146 | |
| Discover Financial | |||
| Services | 775,108 | 29,880 | |
| Allstate Corp. | 730,068 | 29,327 | |
| Ventas Inc. | 444,670 | 28,779 | |
| Marsh & McLennan | |||
| Cos. Inc. | 819,272 | 28,240 | |
| Franklin Resources Inc. | 224,066 | 28,165 | |
| EquityResidential | 484,297 | 27,445 | |
| Aon plc | 461,066 | 25,635 | |
| Prologis Inc. | 693,543 | 25,307 | |
| T. Rowe Price Group Inc. | 382,189 | 24,892 | |
| CME Group Inc. | 475,515 | 24,113 | |
| Boston Properties Inc. | 227,003 | 24,019 | |
| Health Care REIT Inc. | 384,058 | 23,539 | |
| CharlesSchwab Corp. | 1,630,293 | 23,411 | |
| SunTrust Banks Inc. | 810,619 | 22,981 | |
| AvalonBay | |||
| Communities Inc. | 168,976 | 22,911 | |
| Weyerhaeuser Co. | 809,610 | 22,523 | |
| Fifth Third Bancorp | 1,383,261 | 21,012 | |
| Annaly Capital | |||
| Management Inc. | 1,467,303 | 20,601 | |
| Vornado Realty Trust | 251,766 | 20,161 | |
| Ameriprise Financial Inc. | 317,440 | 19,881 | |
| Loews Corp. | 476,405 | 19,414 | |
| Progressive Corp. | 871,207 | 18,382 | |
| Invesco Ltd. | 670,571 | 17,495 | |
| Host Hotels & | |||
| Resorts Inc. | 1,087,803 | 17,046 | |
| M&T Bank Corp. | 171,844 | 16,921 | |
| Northern Trust Corp. | 326,263 | 16,365 | |
| Moody’s Corp. | 301,444 | 15,169 | |
| Regions Financial Corp. | 2,129,398 | 15,161 | |
| American Capital | |||
| Agency Corp. | 514,287 | 14,883 | |
| Hartford Financial | |||
| Services Group Inc. | 623,730 | 13,997 | |
| * | IntercontinentalExchange | ||
| Inc. | 109,647 | 13,575 | |
| Principal Financial | |||
| Group Inc. | 445,047 | 12,693 | |
| General Growth | |||
| Properties Inc. | 635,693 | 12,619 | |
| Digital Realty Trust Inc. | 183,741 | 12,474 | |
| SLM Corp. | 707,502 | 12,120 | |
| KeyCorp | 1,421,308 | 11,967 | |
| Kimco Realty Corp. | 613,577 | 11,854 | |
| Macerich Co. | 200,576 | 11,694 | |
| NYSE Euronext | 370,598 | 11,689 | |
| XL Group plc Class A | 460,298 | 11,535 | |
| * | CIT Group Inc. | 287,627 | 11,114 |
| Lincoln National Corp. | 420,430 | 10,889 | |
| Plum Creek Timber Co. Inc. | 243,449 | 10,802 | |
| SL Green Realty Corp. | 135,826 | 10,411 | |
| * | Affiliated Managers | ||
| Group Inc. | 77,348 | 10,067 | |
| Federal Realty | |||
| Investment Trust | 96,649 | 10,053 | |
| Rayonier Inc. | 185,029 | 9,590 |
19
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | CBREGroup Inc. Class A | 469,613 | 9,345 |
| Cincinnati Financial Corp. | 232,516 | 9,105 | |
| * | Arch Capital Group Ltd. | 205,628 | 9,052 |
| UDR Inc. | 377,346 | 8,973 | |
| Comerica Inc. | 291,756 | 8,852 | |
| Unum Group | 422,450 | 8,795 | |
| Willis Group Holdings plc | 261,118 | 8,755 | |
| New York Community | |||
| Bancorp Inc. | 662,477 | 8,678 | |
| EverestRe Group Ltd. | 78,162 | 8,594 | |
| Camden Property Trust | 125,885 | 8,587 | |
| Huntington | |||
| Bancshares Inc. | 1,292,853 | 8,261 | |
| Realty Income Corp. | 201,374 | 8,097 | |
| Essex Property Trust Inc. | 54,870 | 8,047 | |
| PartnerRe Ltd. | 93,697 | 7,542 | |
| Leucadia National Corp. | 312,985 | 7,446 | |
| Torchmark Corp. | 143,669 | 7,423 | |
| Taubman Centers Inc. | 92,999 | 7,321 | |
| American Campus | |||
| Communities Inc. | 157,953 | 7,286 | |
| Fidelity National | |||
| Financial Inc. Class A | 303,964 | 7,158 | |
| Raymond James | |||
| Financial Inc. | 176,624 | 6,805 | |
| WR Berkley Corp. | 175,895 | 6,638 | |
| Alexandria Real Estate | |||
| Equities Inc. | 94,644 | 6,561 | |
| Ares Capital Corp. | 368,291 | 6,445 | |
| * | Alleghany Corp. | 19,184 | 6,435 |
| People’s United | |||
| Financial Inc. | 529,444 | 6,401 | |
| Regency Centers Corp. | 135,454 | 6,383 | |
| Liberty Property Trust | 176,950 | 6,330 | |
| Arthur J Gallagher & Co. | 182,654 | 6,329 | |
| Senior Housing | |||
| Properties Trust | 266,034 | 6,289 | |
| RenaissanceRe | |||
| Holdings Ltd. | 76,270 | 6,198 | |
| Axis Capital Holdings Ltd. | 172,824 | 5,987 | |
| * | Ocwen Financial Corp. | 172,885 | 5,980 |
| * | Markel Corp. | 13,796 | 5,979 |
| Zions Bancorporation | 277,855 | 5,946 | |
| Reinsurance Group of | |||
| America Inc. Class A | 111,059 | 5,944 | |
| Apartment Investment & | |||
| Management Co. Class A | 219,515 | 5,940 | |
| BRE Properties Inc. | 115,727 | 5,882 | |
| * | American Capital Ltd. | 489,528 | 5,874 |
| Hudson City Bancorp Inc. | 715,699 | 5,819 | |
| * | Berkshire Hathaway Inc. | ||
| Class A | 43 | 5,765 | |
| DDR Corp. | 366,931 | 5,746 | |
| Extra Space Storage Inc. | 157,109 | 5,717 | |
| * | MSCI Inc. Class A | 183,769 | 5,695 |
| Duke Realty Corp. | 406,905 | 5,644 | |
| HCC Insurance | |||
| Holdings Inc. | 151,639 | 5,643 | |
| Jones Lang LaSalle Inc. | 66,541 | 5,585 | |
| * | Genworth Financial Inc. | ||
| Class A | 741,899 | 5,572 | |
| TD Ameritrade | |||
| Holding Corp. | 329,896 | 5,546 | |
| Eaton Vance Corp. | 173,691 | 5,532 | |
| Kilroy Realty Corp. | 111,697 | 5,291 | |
| National Retail | |||
| Properties Inc. | 163,472 | 5,100 | |
| * | Signature Bank | 69,689 | 4,972 |
| SEI Investments Co. | 210,401 | 4,911 | |
| Tanger Factory | |||
| Outlet Centers | 141,921 | 4,854 | |
| CBL& Associates | |||
| Properties Inc. | 227,404 | 4,823 | |
| NASDAQ OMX Group Inc. | 188,942 | 4,725 | |
| Legg Mason Inc. | 183,536 | 4,721 | |
| Brown & Brown Inc. | 183,865 | 4,681 | |
| TwoHarbors | |||
| Investment Corp. | 421,891 | 4,675 | |
| Douglas Emmett Inc. | 200,474 | 4,671 | |
| Weingarten Realty | |||
| Investors | 174,186 | 4,663 | |
| Home Properties Inc. | 75,177 | 4,609 | |
| East West Bancorp Inc. | 214,361 | 4,607 | |
| Piedmont Office Realty | |||
| Trust Inc. Class A | 255,209 | 4,607 | |
| Starwood Property | |||
| Trust Inc. | 200,169 | 4,596 | |
| Waddell & Reed | |||
| Financial Inc. Class A | 130,026 | 4,528 | |
| Cullen/Frost Bankers Inc. | 83,400 | 4,526 | |
| First Republic Bank | 137,754 | 4,516 | |
| BioMed Realty Trust Inc. | 233,024 | 4,504 | |
| MFA Financial Inc. | 539,954 | 4,379 | |
| White Mountains | |||
| Insurance Group Ltd. | 8,485 | 4,370 | |
| Hospitality Properties Trust | 186,124 | 4,359 | |
| Allied World Assurance Co. | |||
| Holdings AG | 54,120 | 4,265 | |
| Assurant Inc. | 122,620 | 4,255 | |
| First Niagara Financial | |||
| Group Inc. | 533,101 | 4,228 | |
| American Financial | |||
| Group Inc. | 105,992 | 4,189 | |
| Validus Holdings Ltd. | 121,109 | 4,188 | |
| Commerce | |||
| Bancshares Inc. | 118,699 | 4,162 | |
| Post Properties Inc. | 81,595 | 4,076 | |
| ChimeraInvestment Corp. | 1,551,767 | 4,050 | |
| Mid-America Apartment | |||
| Communities Inc. | 62,186 | 4,027 |
20
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| EquityLifestyle | |||
| Properties Inc. | 59,319 | 3,992 | |
| Old Republic | |||
| International Corp. | 371,426 | 3,956 | |
| Omega Healthcare | |||
| Investors Inc. | 163,616 | 3,902 | |
| CBOEHoldings Inc. | 131,961 | 3,888 | |
| Hancock Holding Co. | 121,833 | 3,867 | |
| Highwoods Properties Inc. | 114,631 | 3,834 | |
| * | SVB Financial Group | 67,097 | 3,755 |
| Assured Guaranty Ltd. | 262,938 | 3,742 | |
| First Horizon | |||
| National Corp. | 374,877 | 3,715 | |
| ProAssurance Corp. | 87,740 | 3,702 | |
| Jefferies Group Inc. | 199,170 | 3,699 | |
| First American | |||
| Financial Corp. | 152,750 | 3,680 | |
| * | E*TRADE Financial Corp. | 410,687 | 3,676 |
| Hatteras Financial Corp. | 148,084 | 3,674 | |
| LaSalle Hotel Properties | 142,234 | 3,611 | |
| City National Corp. | 72,739 | 3,602 | |
| Protective Life Corp. | 121,719 | 3,479 | |
| Mack-Cali Realty Corp. | 132,229 | 3,453 | |
| Aspen Insurance | |||
| Holdings Ltd. | 107,607 | 3,452 | |
| Prospect Capital Corp. | 317,100 | 3,447 | |
| Invesco Mortgage | |||
| Capital Inc. | 174,462 | 3,439 | |
| Associated Banc-Corp | 258,672 | 3,394 | |
| Prosperity Bancshares Inc. | 80,182 | 3,368 | |
| CNOFinancial Group Inc. | 349,917 | 3,265 | |
| EPRProperties | 70,705 | 3,260 | |
| * | Popular Inc. | 155,440 | 3,232 |
| * | Howard Hughes Corp. | 42,986 | 3,139 |
| Healthcare Realty Trust Inc. | 129,609 | 3,112 | |
| Bank of Hawaii Corp. | 68,583 | 3,021 | |
| Corporate Office | |||
| Properties Trust | 120,387 | 3,007 | |
| Erie Indemnity Co. Class A | 43,033 | 2,979 | |
| CYSInvestments Inc. | 251,095 | 2,965 | |
| * | Forest City Enterprises | ||
| Inc. Class A | 182,647 | 2,950 | |
| Fulton Financial Corp. | 301,904 | 2,901 | |
| Federated Investors Inc. | |||
| Class B | 141,745 | 2,868 | |
| Alterra Capital | |||
| Holdings Ltd. | 101,464 | 2,860 | |
| TCF Financial Corp. | 234,666 | 2,851 | |
| ARMOUR Residential | |||
| REIT Inc. | 436,029 | 2,821 | |
| RLJ Lodging Trust | 145,269 | 2,814 | |
| Susquehanna | |||
| Bancshares Inc. | 268,175 | 2,810 | |
| Capitol Federal | |||
| Financial Inc. | 237,468 | 2,776 |
| SynovusFinancial Corp. | 1,130,402 | 2,769 | |
| Sovran Self Storage Inc. | 44,577 | 2,768 | |
| American Realty Capital | |||
| Trust Inc. | 237,298 | 2,741 | |
| * | Portfolio Recovery | ||
| Associates Inc. | 25,618 | 2,738 | |
| Washington Federal Inc. | 160,923 | 2,715 | |
| * | Texas Capital | ||
| Bancshares Inc. | 60,462 | 2,710 | |
| Colonial Properties Trust | 126,476 | 2,703 | |
| DiamondRock | |||
| Hospitality Co. | 294,532 | 2,651 | |
| Brandywine Realty Trust | 217,205 | 2,648 | |
| Valley National Bancorp | 284,522 | 2,646 | |
| Hanover Insurance | |||
| Group Inc. | 67,969 | 2,633 | |
| Washington REIT | 100,376 | 2,625 | |
| DCT Industrial Trust Inc. | 402,035 | 2,609 | |
| Endurance Specialty | |||
| Holdings Ltd. | 65,482 | 2,599 | |
| CubeSmart | 176,561 | 2,573 | |
| Apollo Investment Corp. | 305,861 | 2,557 | |
| Webster Financial Corp. | 122,605 | 2,520 | |
| * | Stifel Financial Corp. | 77,128 | 2,466 |
| StanCorp Financial | |||
| Group Inc. | 67,032 | 2,458 | |
| Medical Properties | |||
| Trust Inc. | 204,810 | 2,450 | |
| CapitalSource Inc. | 321,960 | 2,440 | |
| WP Carey Inc. | 46,600 | 2,430 | |
| * | St. Joe Co. | 105,082 | 2,425 |
| Lexington Realty Trust | 232,006 | 2,424 | |
| Janus Capital Group Inc. | 282,419 | 2,406 | |
| Potlatch Corp. | 61,078 | 2,394 | |
| EastGroup Properties Inc. | 44,093 | 2,373 | |
| FirstMerit Corp. | 166,319 | 2,360 | |
| Glimcher Realty Trust | 212,456 | 2,356 | |
| LPLFinancial Holdings Inc. | 83,635 | 2,355 | |
| DuPont Fabros | |||
| Technology Inc. | 96,081 | 2,321 | |
| Platinum Underwriters | |||
| Holdings Ltd. | 50,091 | 2,304 | |
| Primerica Inc. | 76,737 | 2,303 | |
| Newcastle | |||
| Investment Corp. | 260,756 | 2,263 | |
| BOK Financial Corp. | 41,395 | 2,254 | |
| Kemper Corp. | 76,217 | 2,248 | |
| FNBCorp. | 211,026 | 2,241 | |
| * | Sunstone Hotel | ||
| Investors Inc. | 207,585 | 2,223 | |
| Cathay General Bancorp | 113,516 | 2,214 | |
| Ryman Hospitality | |||
| Properties | 56,985 | 2,192 | |
| Iberiabank Corp. | 44,564 | 2,189 | |
| Greenhill & Co. Inc. | 41,781 | 2,172 |
21
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| PennyMac Mortgage | |||
| Investment Trust | 85,710 | 2,168 | |
| * | Walter Investment | ||
| Management Corp. | 50,031 | 2,152 | |
| UMB Financial Corp. | 49,071 | 2,151 | |
| * | Altisource Portfolio | ||
| Solutions SA | 24,646 | 2,136 | |
| Trustmark Corp. | 93,508 | 2,100 | |
| Pebblebrook Hotel Trust | 89,308 | 2,063 | |
| * | First Cash Financial | ||
| Services Inc. | 41,133 | 2,041 | |
| Redwood Trust Inc. | 120,146 | 2,029 | |
| National Health | |||
| Investors Inc. | 35,836 | 2,026 | |
| Community Bank | |||
| System Inc. | 73,999 | 2,025 | |
| Wintrust Financial Corp. | 55,132 | 2,023 | |
| CommonWealth REIT | 126,380 | 2,002 | |
| Umpqua Holdings Corp. | 169,568 | 1,999 | |
| MarketAxess Holdings Inc. | 56,568 | 1,997 | |
| * | First Industrial Realty | ||
| Trust Inc. | 141,343 | 1,990 | |
| Colony Financial Inc. | 101,348 | 1,976 | |
| * | PHH Corp. | 85,644 | 1,948 |
| * | Financial Engines Inc. | 69,535 | 1,930 |
| PS Business Parks Inc. | 29,348 | 1,907 | |
| American Assets Trust Inc. | 68,082 | 1,902 | |
| * | Alexander & Baldwin Inc. | 64,256 | 1,887 |
| EquityOne Inc. | 89,689 | 1,884 | |
| * | Credit Acceptance Corp. | 18,482 | 1,879 |
| Acadia Realty Trust | 74,414 | 1,866 | |
| BancorpSouth Inc. | 128,308 | 1,866 | |
| Franklin Street | |||
| Properties Corp. | 151,345 | 1,863 | |
| RLI Corp. | 28,766 | 1,860 | |
| ^ | United Bankshares Inc. | 76,370 | 1,857 |
| First Midwest Bancorp Inc. | 148,320 | 1,857 | |
| Radian Group Inc. | 302,426 | 1,848 | |
| National Penn | |||
| Bancshares Inc. | 194,580 | 1,813 | |
| Old National Bancorp | 152,683 | 1,812 | |
| Northwest Bancshares Inc. | 148,751 | 1,806 | |
| Selective Insurance | |||
| Group Inc. | 93,556 | 1,803 | |
| Westamerica Bancorporation | 42,082 | 1,792 | |
| Education Realty Trust Inc. | 167,672 | 1,784 | |
| Fifth Street Finance Corp. | 169,253 | 1,764 | |
| Montpelier Re Holdings Ltd. | 77,126 | 1,763 | |
| Argo Group International | |||
| Holdings Ltd. | 52,475 | 1,763 | |
| Cash America | |||
| International Inc. | 44,388 | 1,761 | |
| BBCN Bancorp Inc. | 151,625 | 1,754 | |
| * | MBIAInc. | 220,186 | 1,728 |
| Sun Communities Inc. | 43,007 | 1,716 |
| Capstead Mortgage Corp. | 149,428 | 1,714 | |
| NorthStar Realty | |||
| Finance Corp. | 242,872 | 1,710 | |
| Associated Estates | |||
| Realty Corp. | 105,806 | 1,706 | |
| Anworth Mortgage | |||
| Asset Corp. | 292,923 | 1,693 | |
| Government Properties | |||
| Income Trust | 70,436 | 1,688 | |
| EvercorePartners Inc. | |||
| Class A | 55,123 | 1,664 | |
| Astoria Financial Corp. | 177,172 | 1,658 | |
| Mercury General Corp. | 41,579 | 1,650 | |
| * | Western Alliance Bancorp | 155,823 | 1,641 |
| Bank of the Ozarks Inc. | 48,848 | 1,635 | |
| Cousins Properties Inc. | 194,692 | 1,626 | |
| LTC Properties Inc. | 45,777 | 1,611 | |
| BlackRock Kelso | |||
| Capital Corp. | 158,503 | 1,595 | |
| PacWest Bancorp | 64,335 | 1,594 | |
| Glacier Bancorp Inc. | 107,869 | 1,587 | |
| * | Citizens Republic | ||
| Bancorp Inc. | 83,409 | 1,582 | |
| First Financial Bancorp | 107,848 | 1,577 | |
| Columbia Banking | |||
| System Inc. | 87,718 | 1,574 | |
| Home BancShares Inc. | 47,588 | 1,571 | |
| MBFinancial Inc. | 79,078 | 1,562 | |
| First Commonwealth | |||
| Financial Corp. | 228,812 | 1,561 | |
| Ashford Hospitality | |||
| Trust Inc. | 147,635 | 1,552 | |
| * | World Acceptance Corp. | 20,513 | 1,529 |
| ChesapeakeLodging Trust | 73,098 | 1,526 | |
| Retail Properties of | |||
| America Inc. | 127,419 | 1,525 | |
| PrivateBancorp Inc. | 99,235 | 1,520 | |
| SymetraFinancial Corp. | 114,213 | 1,482 | |
| * | Encore Capital Group Inc. | 47,912 | 1,467 |
| International | |||
| Bancshares Corp. | 81,083 | 1,464 | |
| ChemicalFinancial Corp. | 61,531 | 1,462 | |
| Duff & Phelps Corp. | |||
| Class A | 93,134 | 1,455 | |
| NBT Bancorp Inc. | 71,728 | 1,454 | |
| CVB Financial Corp. | 139,785 | 1,454 | |
| Boston Private | |||
| Financial Holdings Inc. | 160,974 | 1,450 | |
| Oritani Financial Corp. | 94,196 | 1,443 | |
| Oriental Financial Group Inc. | 106,832 | 1,426 | |
| * | Strategic Hotels & | ||
| Resorts Inc. | 221,517 | 1,418 | |
| Independent Bank Corp. | 48,956 | 1,417 | |
| First Financial | |||
| Bankshares Inc. | 35,584 | 1,388 |
22
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Pinnacle Financial | ||
| Partners Inc. | 73,332 | 1,382 | |
| Banner Corp. | 44,669 | 1,373 | |
| Brookline Bancorp Inc. | 161,397 | 1,372 | |
| American Equity Investment | |||
| Life Holding Co. | 112,230 | 1,370 | |
| * | Ezcorp Inc. Class A | 68,492 | 1,360 |
| * | Enstar Group Ltd. | 12,146 | 1,360 |
| First Citizens BancShares | |||
| Inc. Class A | 8,307 | 1,358 | |
| Amtrust Financial | |||
| Services Inc. | 47,045 | 1,350 | |
| * | Hilltop Holdings Inc. | 99,020 | 1,341 |
| Berkshire Hills Bancorp Inc. | 55,126 | 1,315 | |
| Provident Financial | |||
| Services Inc. | 87,209 | 1,301 | |
| City Holding Co. | 36,580 | 1,275 | |
| Investors Bancorp Inc. | 70,959 | 1,262 | |
| Saul Centers Inc. | 29,242 | 1,251 | |
| * | DFC Global Corp. | 67,524 | 1,250 |
| * | FelCor Lodging Trust Inc. | 266,082 | 1,243 |
| Main Street Capital Corp. | 40,663 | 1,241 | |
| Employers Holdings Inc. | 58,710 | 1,208 | |
| Campus Crest | |||
| Communities Inc. | 96,519 | 1,183 | |
| Coresite Realty Corp. | 42,637 | 1,179 | |
| Apollo Residential | |||
| Mortgage Inc. | 58,364 | 1,178 | |
| Cardinal Financial Corp. | 72,147 | 1,174 | |
| * | TFS Financial Corp. | 121,726 | 1,171 |
| * | AMERISAFE Inc. | 42,512 | 1,158 |
| EpochHolding Corp. | 41,470 | 1,157 | |
| ViewPoint Financial | |||
| Group Inc. | 54,445 | 1,140 | |
| First Merchants Corp. | 76,740 | 1,139 | |
| Community Trust | |||
| Bancorp Inc. | 34,684 | 1,137 | |
| Alexander’s Inc. | 3,409 | 1,128 | |
| Home Loan Servicing | |||
| Solutions Ltd. | 59,400 | 1,123 | |
| Flushing Financial Corp. | 69,652 | 1,068 | |
| First Busey Corp. | 225,926 | 1,051 | |
| Tower Group Inc. | 58,524 | 1,040 | |
| * | Central Pacific | ||
| Financial Corp. | 66,526 | 1,037 | |
| Cohen & Steers Inc. | 33,982 | 1,035 | |
| BGC Partners Inc. Class A | 298,081 | 1,031 | |
| Dime Community | |||
| Bancshares Inc. | 73,465 | 1,020 | |
| Apollo Commercial Real | |||
| Estate Finance Inc. | 62,739 | 1,018 | |
| * | iStar Financial Inc. | 124,609 | 1,016 |
| FBLFinancial Group Inc. | |||
| Class A | 29,462 | 1,008 |
| SCBT Financial Corp. | 24,986 | 1,004 | |
| PennantPark | |||
| Investment Corp. | 90,854 | 999 | |
| Hersha Hospitality Trust | |||
| Class A | 198,361 | 992 | |
| * | Hanmi Financial Corp. | 72,434 | 984 |
| * | Beneficial Mutual | ||
| Bancorp Inc. | 103,557 | 984 | |
| Inland Real Estate Corp. | 117,190 | 982 | |
| * | MGIC Investment Corp. | 368,872 | 981 |
| * | Eagle Bancorp Inc. | 48,879 | 976 |
| * | Ameris Bancorp | 77,821 | 972 |
| Nelnet Inc. Class A | 32,606 | 971 | |
| Pennsylvania REIT | 54,081 | 954 | |
| S&T Bancorp Inc. | 52,108 | 942 | |
| CreXus Investment Corp. | 76,479 | 937 | |
| Agree Realty Corp. | 34,794 | 932 | |
| Park National Corp. | 14,353 | 928 | |
| Arrow Financial Corp. | 37,118 | 926 | |
| * | Flagstar Bancorp Inc. | 47,689 | 925 |
| Summit Hotel Properties Inc. | 94,398 | 897 | |
| Federal Agricultural | |||
| Mortgage Corp. | 27,488 | 893 | |
| Bryn Mawr Bank Corp. | 40,074 | 892 | |
| BankUnited Inc. | 36,450 | 891 | |
| CoBiz Financial Inc. | 119,177 | 890 | |
| Capital Southwest Corp. | 8,896 | 886 | |
| Interactive Brokers | |||
| Group Inc. | 64,405 | 881 | |
| Horace Mann | |||
| Educators Corp. | 43,866 | 876 | |
| Infinity Property & | |||
| Casualty Corp. | 14,996 | 873 | |
| Bancfirst Corp. | 20,615 | 873 | |
| Hercules Technology | |||
| Growth Capital Inc. | 77,539 | 863 | |
| * | ICG Group Inc. | 75,111 | 859 |
| * | Navigators Group Inc. | 16,694 | 853 |
| Solar Capital Ltd. | 35,528 | 849 | |
| * | BofI Holding Inc. | 30,419 | 848 |
| Arlington Asset | |||
| Investment Corp. Class A | 40,367 | 838 | |
| * | Citizens Inc. | 75,649 | 836 |
| Calamos Asset | |||
| Management Inc. Class A | 78,455 | 829 | |
| Northfield Bancorp Inc. | 54,135 | 826 | |
| First Potomac Realty Trust | 66,177 | 818 | |
| Camden National Corp. | 23,929 | 813 | |
| HFF Inc. Class A | 54,017 | 805 | |
| Alliance Financial Corp. | 18,043 | 785 | |
| Bank Mutual Corp. | 181,301 | 780 | |
| Cedar Realty Trust Inc. | 142,237 | 751 | |
| Lakeland Financial Corp. | 28,839 | 745 | |
| Sabra Health Care REIT Inc. | 34,177 | 742 | |
| Great Southern Bancorp Inc. | 28,997 | 738 |
23
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Provident New York Bancorp | 78,647 | 732 | |
| Investors Real Estate Trust | 83,473 | 729 | |
| American Capital Mortgage | |||
| Investment Corp. | 30,900 | 728 | |
| WesBanco Inc. | 32,693 | 726 | |
| Excel Trust Inc. | 56,988 | 722 | |
| Sterling Financial Corp. | 34,386 | 718 | |
| * | eHealthInc. | 26,012 | 715 |
| * | Forestar Group Inc. | 41,198 | 714 |
| Triangle Capital Corp. | 28,002 | 714 | |
| * | Piper Jaffray Cos. | 22,173 | 712 |
| KBWInc. | 46,014 | 704 | |
| Arbor Realty Trust Inc. | 117,471 | 704 | |
| Getty Realty Corp. | 38,689 | 699 | |
| * | Cowen Group Inc. Class A | 283,198 | 694 |
| * | Gramercy Capital Corp. | 228,898 | 673 |
| Safety Insurance Group Inc. | 14,544 | 672 | |
| * | Virtus Investment | ||
| Partners Inc. | 5,522 | 668 | |
| * | Greenlight Capital Re Ltd. | ||
| Class A | 28,310 | 653 | |
| DynexCapital Inc. | 68,383 | 646 | |
| * | Netspend Holdings Inc. | 54,225 | 641 |
| Hudson Pacific | |||
| Properties Inc. | 30,254 | 637 | |
| Hudson Valley Holding Corp. | 39,988 | 623 | |
| GAMCOInvestors Inc. | 11,690 | 620 | |
| 1st Source Corp. | 27,914 | 617 | |
| TrustCo Bank Corp. NY | 115,773 | 611 | |
| BankFinancial Corp. | 80,933 | 601 | |
| Centerstate Banks Inc. | 70,386 | 600 | |
| Renasant Corp. | 31,322 | 600 | |
| * | AV Homes Inc. | 42,049 | 598 |
| Bank of Marin Bancorp | 15,893 | 595 | |
| Sandy Spring Bancorp Inc. | 30,446 | 591 | |
| * | National Financial | ||
| Partners Corp. | 34,259 | 587 | |
| Heartland Financial USA Inc. | 22,443 | 587 | |
| Donegal Group Inc. Class A | 40,833 | 573 | |
| Southside Bancshares Inc. | 27,003 | 569 | |
| First Financial Holdings Inc. | 43,405 | 568 | |
| * | Nationstar Mortgage | ||
| Holdings Inc. | 18,100 | 561 | |
| * | MPGOffice Trust Inc. | 180,653 | 556 |
| * | Global Indemnity plc | 24,324 | 538 |
| ChathamLodging Trust | 34,612 | 532 | |
| Ames National Corp. | 24,109 | 528 | |
| First Community | |||
| Bancshares Inc. | 32,946 | 526 | |
| * | Knight Capital Group Inc. | ||
| Class A | 146,735 | 515 | |
| Marlin Business | |||
| Services Corp. | 25,665 | 515 | |
| FXCM Inc. Class A | 50,883 | 512 | |
| * | Bridge Capital Holdings | 32,914 | 512 |
| American National | |||
| Insurance Co. | 7,460 | 509 | |
| Retail Opportunity | |||
| Investments Corp. | 39,506 | 508 | |
| Diamond Hill Investment | |||
| Group Inc. | 7,376 | 501 | |
| STAG Industrial Inc. | 27,401 | 492 | |
| AG Mortgage Investment | |||
| Trust Inc. | 20,951 | 492 | |
| * | PICO Holdings Inc. | 23,902 | 485 |
| Stewart Information | |||
| Services Corp. | 18,521 | 482 | |
| Baldwin & Lyons Inc. | 20,132 | 480 | |
| * | Investment Technology | ||
| Group Inc. | 52,661 | 474 | |
| Ramco-Gershenson | |||
| Properties Trust | 35,145 | 468 | |
| Simmons First National | |||
| Corp. Class A | 18,418 | 467 | |
| United Fire Group Inc. | 21,347 | 466 | |
| * | Green Dot Corp. Class A | 37,459 | 457 |
| Kennedy-Wilson | |||
| Holdings Inc. | 32,236 | 451 | |
| GFI Group Inc. | 134,693 | 436 | |
| Universal Health | |||
| Realty Income Trust | 8,544 | 432 | |
| Enterprise Financial | |||
| Services Corp. | 32,911 | 430 | |
| * | INTL.FCStone Inc. | 24,370 | 424 |
| *,^ | Zillow Inc. Class A | 15,100 | 419 |
| Consolidated-Tomoka | |||
| Land Co. | 13,503 | 419 | |
| Republic Bancorp Inc. | |||
| Class A | 19,506 | 412 | |
| Rouse Properties Inc. | 23,845 | 403 | |
| American National | |||
| Bankshares Inc. | 19,065 | 385 | |
| * | FBR& Co. | 99,207 | 384 |
| MCG Capital Corp. | 83,010 | 382 | |
| Resource Capital Corp. | 67,068 | 376 | |
| Capital Trust Inc. Class A | 178,047 | 374 | |
| Bar Harbor Bankshares | 11,110 | 374 | |
| Gladstone Capital Corp. | 45,782 | 374 | |
| Maiden Holdings Ltd. | 40,302 | 370 | |
| * | NewStar Financial Inc. | 26,290 | 368 |
| * | WisdomTree | ||
| Investments Inc. | 59,774 | 366 | |
| * | Asset Acceptance | ||
| Capital Corp. | 78,618 | 354 | |
| Golub Capital BDC Inc. | 21,756 | 348 | |
| * | BRT Realty Trust | 52,994 | 348 |
| First Defiance Financial Corp. | 18,074 | 347 | |
| First Pactrust Bancorp Inc. | 27,859 | 342 | |
| Crawford & Co. Class B | 42,732 | 341 | |
| * | CIFC Corp. | 42,079 | 337 |
24
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Lakeland Bancorp Inc. | 32,970 | 336 | |
| * | Capital City Bank Group Inc. | 29,455 | 335 |
| Gladstone Investment Corp. | 46,087 | 321 | |
| * | BBX Capital Corp. | 45,604 | 306 |
| StellarOne Corp. | 21,057 | 298 | |
| Parkway Properties Inc. | 20,713 | 290 | |
| Medallion Financial Corp. | 24,457 | 287 | |
| National Western Life | |||
| Insurance Co. Class A | 1,815 | 286 | |
| RAIT Financial Trust | 50,057 | 283 | |
| * | AmeriServ Financial Inc. | 91,546 | 276 |
| Crawford & Co. Class A | 48,395 | 273 | |
| State Bank Financial Corp. | 16,842 | 267 | |
| * | American Safety Insurance | ||
| Holdings Ltd. | 14,083 | 266 | |
| Tompkins Financial Corp. | 6,671 | 264 | |
| * | Ladenburg Thalmann | ||
| Financial Services Inc. | 188,647 | 264 | |
| Meadowbrook Insurance | |||
| Group Inc. | 45,580 | 263 | |
| Kite Realty Group Trust | 45,906 | 257 | |
| * | HomeStreet Inc. | 9,900 | 253 |
| * | Safeguard Scientifics Inc. | 17,087 | 252 |
| SYBancorp Inc. | 10,771 | 242 | |
| ESSA Bancorp Inc. | 22,091 | 241 | |
| Artio Global Investors Inc. | |||
| Class A | 126,467 | 240 | |
| Sierra Bancorp | 20,600 | 235 | |
| EMC Insurance Group Inc. | 9,778 | 234 | |
| * | Tejon Ranch Co. | 8,297 | 233 |
| Urstadt Biddle Properties | |||
| Inc. Class A | 11,774 | 232 | |
| First of Long Island Corp. | 7,987 | 226 | |
| US Global Investors Inc. | |||
| Class A | 54,425 | 218 | |
| * | Phoenix Cos. Inc. | 8,798 | 218 |
| Center Bancorp Inc. | 18,481 | 214 | |
| Washington Trust | |||
| Bancorp Inc. | 8,065 | 212 | |
| TowneBank | 13,488 | 209 | |
| Healthcare Trust of | |||
| America Inc. Class A | 21,100 | 209 | |
| Western Asset Mortgage | |||
| Capital Corp. | 10,400 | 206 | |
| Winthrop Realty Trust | 17,826 | 197 | |
| Asta Funding Inc. | 20,359 | 194 | |
| First Financial Corp. | 6,108 | 185 | |
| OneBeacon Insurance | |||
| Group Ltd. Class A | 13,245 | 184 | |
| TICC Capital Corp. | 18,159 | 184 | |
| Bridge Bancorp Inc. | 8,989 | 183 | |
| MVC Capital Inc. | 14,955 | 182 | |
| * | ZipRealty Inc. | 64,495 | 181 |
| Resource America Inc. | |||
| Class A | 27,022 | 180 |
| Trico Bancshares | 10,697 | 179 | |
| Investors Title Co. | 2,968 | 178 | |
| Westfield Financial Inc. | 24,409 | 176 | |
| First Bancorp | 13,764 | 176 | |
| EverBankFinancial Corp. | 11,800 | 176 | |
| West Coast Bancorp | 7,787 | 172 | |
| German American | |||
| Bancorp Inc. | 7,886 | 171 | |
| WSFS Financial Corp. | 3,949 | 167 | |
| KCAP Financial Inc. | 17,804 | 164 | |
| Select Income REIT | 6,600 | 163 | |
| * | Consumer Portfolio | ||
| Services Inc. | 30,454 | 163 | |
| Clifton Savings Bancorp Inc. | 14,208 | 160 | |
| CapLease Inc. | 28,661 | 160 | |
| * | Bancorp Inc. | 13,924 | 153 |
| * | Doral Financial Corp. | 208,027 | 151 |
| Financial Institutions Inc. | 7,971 | 149 | |
| * | Gleacher & Co. Inc. | 196,770 | 148 |
| * | United Community | ||
| Banks Inc. | 15,440 | 145 | |
| * | Wilshire Bancorp Inc. | 24,764 | 145 |
| State Auto Financial Corp. | 9,657 | 144 | |
| * | Guaranty Bancorp | 73,755 | 144 |
| Nicholas Financial Inc. | 11,558 | 143 | |
| OceanFirst Financial Corp. | 10,355 | 142 | |
| Medley Capital Corp. | 9,750 | 142 | |
| Rockville Financial Inc. | 10,851 | 140 | |
| Mission West Properties Inc. | 15,193 | 139 | |
| Century Bancorp Inc. | |||
| Class A | 4,130 | 136 | |
| SeaBright Holdings Inc. | 12,256 | 136 | |
| * | SWSGroup Inc. | 25,127 | 133 |
| Univest Corp. of | |||
| Pennsylvania | 7,755 | 133 | |
| * | Altisource Residential Corp. | 8,215 | 130 |
| National Interstate Corp. | 4,505 | 130 | |
| One Liberty Properties Inc. | 6,134 | 124 | |
| * | First Marblehead Corp. | 159,153 | 124 |
| Merchants Bancshares Inc. | 4,593 | 123 | |
| Life Partners Holdings Inc. | 45,038 | 119 | |
| CFS Bancorp Inc. | 19,042 | 119 | |
| Union First Market | |||
| Bankshares Corp. | 7,385 | 116 | |
| * | American | ||
| Independence Corp. | 24,191 | 114 | |
| MainSource Financial | |||
| Group Inc. | 8,507 | 108 | |
| ThomasProperties | |||
| Group Inc. | 18,002 | 97 | |
| UMH Properties Inc. | 9,212 | 95 | |
| Monmouth Real Estate | |||
| Investment Corp. Class A | 9,168 | 95 | |
| Sterling Bancorp | 10,065 | 92 | |
| Ameriana Bancorp | 11,164 | 89 |
25
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Atlanticus Holdings Corp. | 26,603 | 89 |
| Citizens & Northern Corp. | 4,704 | 89 | |
| Simplicity Bancorp Inc. | 5,900 | 88 | |
| * | BancTrust Financial | ||
| Group Inc. | 31,427 | 87 | |
| CNBFinancial Corp. | 5,116 | 84 | |
| Pzena Investment | |||
| Management Inc. Class A | 15,177 | 82 | |
| Tree.com Inc. | 4,506 | 81 | |
| Eastern Insurance | |||
| Holdings Inc. | 4,751 | 81 | |
| Peoples Bancorp Inc. | 3,924 | 80 | |
| * | Metro Bancorp Inc. | 6,058 | 80 |
| * | First Financial Northwest Inc. | 10,288 | 78 |
| Berkshire Bancorp Inc. | 9,373 | 77 | |
| Cape Bancorp Inc. | 8,730 | 76 | |
| ESB Financial Corp. | 5,426 | 75 | |
| OppenheimerHoldings Inc. | |||
| Class A | 4,171 | 72 | |
| Gain Capital Holdings Inc. | 17,010 | 70 | |
| United Financial Bancorp Inc. | 4,277 | 67 | |
| Mercantile Bank Corp. | 4,071 | 67 | |
| * | Firstcity Financial Corp. | 6,368 | 62 |
| * | First Acceptance Corp. | 49,050 | 61 |
| * | Suffolk Bancorp | 4,640 | 61 |
| Westwood Holdings | |||
| Group Inc. | 1,437 | 59 | |
| * | Virginia Commerce | ||
| Bancorp Inc. | 6,417 | 57 | |
| West Bancorporation Inc. | 5,282 | 57 | |
| * | Waterstone Financial Inc. | 7,258 | 57 |
| Bank of Kentucky | |||
| Financial Corp. | 2,227 | 55 | |
| * | Hallmark Financial Services | 5,462 | 51 |
| Kansas City Life Insurance Co. | 1,335 | 51 | |
| * | Walker & Dunlop Inc. | 2,966 | 49 |
| * | Southwest Bancorp Inc. | 4,391 | 49 |
| Gladstone Commercial Corp. | 2,735 | 49 | |
| * | American River Bankshares | 6,824 | 48 |
| Institutional Financial | |||
| Markets Inc. | 39,632 | 48 | |
| National Bankshares Inc. | 1,458 | 47 | |
| Heritage Financial Corp. | 2,981 | 44 | |
| Provident Financial | |||
| Holdings Inc. | 2,366 | 41 | |
| NGP Capital Resources Co. | 5,652 | 41 | |
| PMC Commercial Trust | 5,686 | 40 | |
| * | Republic First Bancorp Inc. | 19,317 | 40 |
| * | Eastern Virginia | ||
| Bankshares Inc. | 7,531 | 40 | |
| * | NewBridge Bancorp | 8,541 | 40 |
| Pulaski Financial Corp. | 4,255 | 38 | |
| * | Heritage Commerce Corp. | 5,119 | 36 |
| * | Hampton Roads | ||
| Bankshares Inc. | 29,317 | 35 |
| Federated National | |||
| Holding Co. | 6,330 | 34 | |
| First M&F Corp. | 4,721 | 33 | |
| * | Colony Bankcorp Inc. | 8,747 | 32 |
| * | Park Sterling Corp. | 6,049 | 32 |
| * | Community Bankers | ||
| Trust Corp. | 11,201 | 30 | |
| Home Federal Bancorp Inc. | 2,343 | 29 | |
| * | Maui Land & | ||
| Pineapple Co. Inc. | 6,826 | 28 | |
| QC Holdings Inc. | 8,515 | 28 | |
| Alliance Bancorp Inc. | |||
| of Pennsylvania | 2,159 | 27 | |
| * | Macatawa Bank Corp. | 9,356 | 27 |
| Peapack Gladstone | |||
| Financial Corp. | 1,881 | 26 | |
| California First | |||
| National Bancorp | 1,751 | 26 | |
| * | FNBUnited Corp. | 2,200 | 26 |
| THLCredit Inc. | 1,717 | 25 | |
| Federal Agricultural | |||
| Mortgage Corp. Class A | 1,021 | 25 | |
| Meta Financial Group Inc. | 1,065 | 24 | |
| First Interstate | |||
| Bancsystem Inc. | 1,458 | 23 | |
| Universal Insurance | |||
| Holdings Inc. | 5,131 | 22 | |
| * | United Community | ||
| Financial Corp. | 7,740 | 22 | |
| Territorial Bancorp Inc. | 952 | 22 | |
| * | Pacific Mercantile Bancorp | 3,311 | 21 |
| Washington Banking Co. | 1,457 | 20 | |
| Codorus Valley Bancorp Inc. | 1,273 | 19 | |
| * | North Valley Bancorp | 1,335 | 19 |
| Independence Holding Co. | 1,816 | 17 | |
| * | BCSB Bancorp Inc. | 1,216 | 17 |
| * | Sun Bancorp Inc. | 4,829 | 17 |
| Greene County Bancorp Inc. | 800 | 17 | |
| Pacific Continental Corp. | 1,661 | 16 | |
| 1st United Bancorp Inc. | 2,581 | 16 | |
| TF Financial Corp. | 662 | 16 | |
| * | First South Bancorp Inc. | 3,190 | 15 |
| * | Farmers Capital Bank Corp. | 1,229 | 15 |
| * | Stratus Properties Inc. | 1,643 | 14 |
| Penns Woods Bancorp Inc. | 363 | 14 | |
| * | First United Corp. | 1,861 | 13 |
| ShoreBancshares Inc. | 2,438 | 13 | |
| First Bancorp Inc. | 791 | 13 | |
| HopFed Bancorp Inc. | 1,411 | 12 | |
| Terreno Realty Corp. | 801 | 12 | |
| C&F Financial Corp. | 305 | 12 | |
| * | Preferred Bank | 793 | 11 |
| * | Regional Management Corp. | 650 | 11 |
| JMP Group Inc. | 1,711 | 10 | |
| Middleburg Financial Corp. | 539 | 10 |
26
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Firstbank Corp. | 878 | 9 | |
| * | Unity Bancorp Inc. | 1,345 | 8 |
| * | Seacoast Banking Corp. | ||
| of Florida | 4,924 | 8 | |
| Northrim BanCorp Inc. | 303 | 7 | |
| Wayne Savings | |||
| Bancshares Inc. | 693 | 6 | |
| MutualFirst Financial Inc. | 544 | 6 | |
| * | Old Second Bancorp Inc. | 4,290 | 5 |
| HF Financial Corp. | 396 | 5 | |
| * | Timberland Bancorp Inc. | 706 | 5 |
| * | Premierwest Bancorp | 2,834 | 5 |
| * | Jefferson Bancshares Inc. | 1,639 | 5 |
| * | Fidelity Southern Corp. | 404 | 4 |
| * | Independent Bank Corp. | 1,015 | 4 |
| * | Royal Bancshares of | ||
| Pennsylvania Inc. | 1,796 | 2 | |
| CharterFinancial Corp. | 200 | 2 | |
| New Hampshire Thrift | |||
| Bancshares Inc. | 141 | 2 | |
| * | MetroCorp Bancshares Inc. | 159 | 2 |
| Peoples Financial Corp. | 187 | 2 | |
| * | Taylor Capital Group Inc. | 87 | 2 |
| * | Home Bancorp Inc. | 53 | 1 |
| MidSouth Bancorp Inc. | 54 | 1 | |
| Horizon Bancorp | 40 | 1 | |
| * | Harris & Harris Group Inc. | 229 | 1 |
| Fox Chase Bancorp Inc. | 43 | 1 | |
| * | United Security Bancshares | 128 | 1 |
| Hingham Institution for Savings | 9 | 1 | |
| Citizens Holding Co. | 29 | 1 | |
| Oneida Financial Corp. | 52 | 1 | |
| Norwood Financial Corp. | 18 | 1 | |
| OhioValley Banc Corp. | 28 | 1 | |
| * | Orrstown Financial | ||
| Services Inc. | 53 | 1 | |
| * | Intervest Bancshares Corp. | ||
| Class A | 131 | 1 | |
| Union Bankshares Inc. | 25 | 1 | |
| Auburn National | |||
| Bancorporation Inc. | 18 | — | |
| SI Financial Group Inc. | 31 | — | |
| * | Yadkin Valley Financial Corp. | 114 | — |
| Landmark Bancorp Inc. | 16 | — | |
| Old Point Financial Corp. | 27 | — | |
| First Citizens Banc Corp. | 54 | — | |
| Community Bank Shares | |||
| of Indiana Inc. | 22 | — | |
| Tower Financial Corp. | 24 | — | |
| * | 1st Constitution Bancorp | 32 | — |
| LNBBancorp Inc. | 46 | — | |
| * | MBTFinancial Corp. | 114 | — |
| Salisbury Bancorp Inc. | 11 | — | |
| Mid Penn Bancorp Inc. | 24 | — | |
| * | ECB Bancorp Inc. | 16 | — |
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| Hawthorn Bancshares Inc. | 29 | — | |||
| United Bancshares Inc. | 23 | — | |||
| * | Summit Financial Group Inc. | 44 | — | ||
| * | WSB Holdings Inc. | 35 | — | ||
| CheviotFinancial Corp. | 19 | — | |||
| * | United Security Bancshares | 57 | — | ||
| * | Severn Bancorp Inc. | 41 | — | ||
| * | Prudential Bancorp Inc. | ||||
| of Pennsylvania | 19 | — | |||
| * | Vestin Realty Mortgage II Inc. | 90 | — | ||
| Heritage Financial Group Inc. | 9 | — | |||
| National Security Group Inc. | 11 | — | |||
| WVS Financial Corp. | 11 | — | |||
| * | Valley National Bancorp | ||||
| Warrants Exp. 6/30/2015 | 240 | — | |||
| * | Transcontinental Realty | ||||
| Investors Inc. | 12 | — | |||
| * | Porter Bancorp Inc. | 25 | — | ||
| 3,907,924 | |||||
| Health Care (11.7%) | |||||
| Johnson & Johnson | 4,150,305 | 290,936 | |||
| Pfizer Inc. | 11,243,984 | 281,999 | |||
| Merck & Co. Inc. | 4,584,713 | 187,698 | |||
| Abbott Laboratories | 2,362,427 | 154,739 | |||
| Amgen Inc. | 1,160,291 | 100,156 | |||
| UnitedHealth Group Inc. | 1,554,558 | 84,319 | |||
| * | Gilead Sciences Inc. | 1,138,923 | 83,654 | ||
| Bristol-Myers Squibb Co. | 2,527,511 | 82,372 | |||
| Eli Lilly & Co. | 1,572,135 | 77,538 | |||
| * | Express Scripts | ||||
| Holding Co. | 1,220,521 | 65,908 | |||
| Medtronic Inc. | 1,543,024 | 63,295 | |||
| Baxter International Inc. | 823,821 | 54,916 | |||
| * | Celgene Corp. | 649,527 | 51,131 | ||
| * | Biogen Idec Inc. | 338,018 | 49,577 | ||
| Allergan Inc. | 463,015 | 42,472 | |||
| Covidien plc | 722,699 | 41,729 | |||
| ThermoFisher | |||||
| Scientific Inc. | 550,355 | 35,102 | |||
| McKesson Corp. | 355,351 | 34,455 | |||
| WellPoint Inc. | 489,596 | 29,826 | |||
| * | Intuitive Surgical Inc. | 60,119 | 29,481 | ||
| * | Alexion | ||||
| Pharmaceuticals Inc. | 290,628 | 27,264 | |||
| Stryker Corp. | 458,224 | 25,120 | |||
| Becton Dickinson and Co. | 300,445 | 23,492 | |||
| Aetna Inc. | 503,210 | 23,299 | |||
| Cigna Corp. | 434,107 | 23,207 | |||
| Agilent Technologies Inc. | 523,163 | 21,418 | |||
| Cardinal Health Inc. | 513,514 | 21,147 | |||
| * | Regeneron | ||||
| Pharmaceuticals Inc. | 113,164 | 19,359 | |||
| Zimmer Holdings Inc. | 263,068 | 17,536 | |||
| St. Jude Medical Inc. | 472,709 | 17,084 | |||
| * | Cerner Corp. | 219,099 | 17,011 | ||
27
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | MylanInc. | 611,052 | 16,792 |
| Humana Inc. | 243,453 | 16,708 | |
| * | Watson | ||
| Pharmaceuticals Inc. | 192,174 | 16,527 | |
| * | DaVita HealthCare | ||
| Partners Inc. | 148,603 | 16,425 | |
| AmerisourceBergen | |||
| Corp. Class A | 379,059 | 16,368 | |
| * | Edwards Lifesciences Corp. | 174,228 | 15,710 |
| * | Forest Laboratories Inc. | 400,265 | 14,137 |
| Quest Diagnostics Inc. | 239,341 | 13,946 | |
| Perrigo Co. | 133,915 | 13,931 | |
| * | Vertex | ||
| Pharmaceuticals Inc. | 325,205 | 13,639 | |
| * | Life Technologies Corp. | 263,921 | 12,953 |
| * | Laboratory Corp. of | ||
| America Holdings | 144,518 | 12,518 | |
| * | Boston Scientific Corp. | 2,137,113 | 12,246 |
| CRBard Inc. | 119,886 | 11,718 | |
| * | Varian Medical | ||
| Systems Inc. | 166,746 | 11,712 | |
| * | Waters Corp. | 132,095 | 11,508 |
| * | Henry Schein Inc. | 133,379 | 10,732 |
| * | Illumina Inc. | 185,240 | 10,297 |
| HCA Holdings Inc. | 333,369 | 10,058 | |
| * | CareFusion Corp. | 334,484 | 9,560 |
| * | BioMarin | ||
| Pharmaceutical Inc. | 186,057 | 9,163 | |
| Coventry Health Care Inc. | 201,891 | 9,051 | |
| * | Mettler-Toledo | ||
| International Inc. | 46,774 | 9,041 | |
| ResMed Inc. | 215,273 | 8,949 | |
| DENTSPLY | |||
| International Inc. | 213,612 | 8,461 | |
| * | Hologic Inc. | 399,116 | 7,994 |
| * | IDEXX Laboratories Inc. | 85,721 | 7,955 |
| * | Hospira Inc. | 248,845 | 7,774 |
| * | Onyx Pharmaceuticals Inc. | 98,130 | 7,412 |
| Cooper Cos. Inc. | 72,359 | 6,692 | |
| Universal Health | |||
| Services Inc. Class B | 135,284 | 6,541 | |
| Omnicare Inc. | 168,154 | 6,070 | |
| * | MEDNAX Inc. | 75,048 | 5,968 |
| * | Medivation Inc. | 111,172 | 5,688 |
| PerkinElmer Inc. | 171,750 | 5,451 | |
| * | Sirona Dental Systems Inc. | 83,425 | 5,378 |
| Tenet Healthcare Corp. | 157,388 | 5,110 | |
| * | Pharmacyclics Inc. | 84,063 | 4,867 |
| * | Covance Inc. | 83,450 | 4,821 |
| * | Ariad Pharmaceuticals Inc. | 250,673 | 4,808 |
| * | Endo Health Solutions Inc. | 176,452 | 4,635 |
| Patterson Cos. Inc. | 131,410 | 4,498 | |
| Teleflex Inc. | 61,786 | 4,406 | |
| Community Health | |||
| Systems Inc. | 137,653 | 4,231 |
| * | Cubist Pharmaceuticals Inc. | 96,590 | 4,063 |
| * | athenahealth Inc. | 54,299 | 3,988 |
| Warner Chilcott plc | |||
| Class A | 320,836 | 3,863 | |
| * | United Therapeutics Corp. | 70,468 | 3,764 |
| * | Brookdale Senior Living Inc. | ||
| Class A | 147,646 | 3,738 | |
| Techne Corp. | 52,848 | 3,612 | |
| * | Health Management | ||
| Associates Inc. Class A | 386,146 | 3,599 | |
| * | Salix Pharmaceuticals Ltd. | 88,539 | 3,584 |
| * | Seattle Genetics Inc. | 151,281 | 3,510 |
| * | Alkermes plc | 187,235 | 3,468 |
| * | HMS Holdings Corp. | 130,309 | 3,378 |
| * | Cepheid Inc. | 99,634 | 3,369 |
| * | MyriadGenetics Inc. | 123,108 | 3,355 |
| * | ThoratecCorp. | 88,804 | 3,332 |
| * | Centene Corp. | 77,811 | 3,190 |
| * | WellCare Health Plans Inc. | 65,234 | 3,176 |
| * | Haemonetics Corp. | 77,610 | 3,170 |
| * | Bio-Rad Laboratories Inc. | ||
| Class A | 29,775 | 3,128 | |
| * | HealthSouth Corp. | 144,578 | 3,052 |
| * | Health Net Inc. | 123,480 | 3,001 |
| * | Incyte Corp. Ltd. | 177,443 | 2,947 |
| * | Arena Pharmaceuticals Inc. | 326,754 | 2,947 |
| STERIS Corp. | 83,298 | 2,893 | |
| West Pharmaceutical | |||
| Services Inc. | 51,536 | 2,822 | |
| * | LifePoint Hospitals Inc. | 73,938 | 2,791 |
| * | Jazz Pharmaceuticals plc | 52,153 | 2,775 |
| * | CharlesRiver Laboratories | ||
| International Inc. | 73,946 | 2,771 | |
| Owens& Minor Inc. | 96,321 | 2,746 | |
| * | Align Technology Inc. | 98,292 | 2,728 |
| * | PAREXEL International Corp. | 90,993 | 2,692 |
| Hill-Rom Holdings Inc. | 93,797 | 2,673 | |
| * | VCA Antech Inc. | 125,724 | 2,646 |
| * | TheravanceInc. | 117,003 | 2,606 |
| * | Team Health Holdings Inc. | 86,832 | 2,498 |
| ^ | Questcor | ||
| Pharmaceuticals Inc. | 90,783 | 2,426 | |
| * | ViroPharma Inc. | 105,220 | 2,395 |
| * | Allscripts Healthcare | ||
| Solutions Inc. | 245,669 | 2,314 | |
| * | PSS World Medical Inc. | 76,009 | 2,195 |
| * | CyberonicsInc. | 41,667 | 2,189 |
| * | Alere Inc. | 116,191 | 2,150 |
| * | Bruker Corp. | 138,477 | 2,115 |
| * | Vivus Inc. | 152,355 | 2,045 |
| * | Magellan Health | ||
| Services Inc. | 41,367 | 2,027 | |
| * | MWIVeterinary Supply Inc. | 18,404 | 2,024 |
| ChemedCorp. | 28,870 | 1,980 | |
| * | Impax Laboratories Inc. | 96,266 | 1,972 |
28
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Acorda Therapeutics Inc. | 78,759 | 1,958 |
| Air Methods Corp. | 52,737 | 1,945 | |
| * | Medicines Co. | 81,059 | 1,943 |
| * | Volcano Corp. | 81,497 | 1,924 |
| * | ArthroCare Corp. | 55,358 | 1,915 |
| * | Infinity Pharmaceuticals Inc. | 52,932 | 1,853 |
| Analogic Corp. | 24,598 | 1,828 | |
| * | Alnylam | ||
| Pharmaceuticals Inc. | 97,207 | 1,774 | |
| * | Dendreon Corp. | 327,192 | 1,728 |
| Masimo Corp. | 82,208 | 1,727 | |
| * | Amsurg Corp. Class A | 56,604 | 1,699 |
| Abaxis Inc. | 44,156 | 1,638 | |
| *,^ | Exelixis Inc. | 356,437 | 1,629 |
| * | Immunogen Inc. | 127,726 | 1,629 |
| * | Insulet Corp. | 72,626 | 1,541 |
| * | Bio-Reference Labs Inc. | 53,592 | 1,538 |
| Cantel Medical Corp. | 51,270 | 1,524 | |
| PDL BioPharma Inc. | 212,048 | 1,495 | |
| * | Isis Pharmaceuticals Inc. | 142,153 | 1,487 |
| * | HeartWare International Inc. | 17,705 | 1,486 |
| CONMED Corp. | 53,056 | 1,483 | |
| * | InterMune Inc. | 150,782 | 1,461 |
| * | Integra LifeSciences | ||
| Holdings Corp. | 36,731 | 1,431 | |
| * | Neogen Corp. | 31,214 | 1,415 |
| * | Exact Sciences Corp. | 129,220 | 1,368 |
| * | Affymax Inc. | 71,117 | 1,351 |
| * | Auxilium | ||
| Pharmaceuticals Inc. | 72,597 | 1,345 | |
| * | Nektar Therapeutics | 177,746 | 1,317 |
| * | ACADIA | ||
| Pharmaceuticals Inc. | 280,014 | 1,302 | |
| * | Capital Senior Living Corp. | 69,259 | 1,294 |
| * | DexCom Inc. | 94,895 | 1,292 |
| * | Conceptus Inc. | 60,517 | 1,271 |
| * | ICU Medical Inc. | 20,623 | 1,257 |
| * | Aegerion | ||
| Pharmaceuticals Inc. | 49,337 | 1,253 | |
| * | Akorn Inc. | 92,640 | 1,238 |
| * | NPS Pharmaceuticals Inc. | 134,323 | 1,222 |
| *,^ | OpkoHealth Inc. | 253,333 | 1,219 |
| * | Sarepta Therapeutics Inc. | 47,037 | 1,214 |
| * | BioScrip Inc. | 112,651 | 1,213 |
| Meridian Bioscience Inc. | 58,029 | 1,175 | |
| * | AMN Healthcare | ||
| Services Inc. | 100,707 | 1,163 | |
| * | ABIOMED Inc. | 85,644 | 1,153 |
| * | Ironwood Pharmaceuticals | ||
| Inc. Class A | 103,692 | 1,150 | |
| * | Wright Medical Group Inc. | 54,577 | 1,146 |
| * | Acadia Healthcare Co. Inc. | 48,900 | 1,141 |
| * | Momenta | ||
| Pharmaceuticals Inc. | 94,881 | 1,118 | |
| Quality Systems Inc. | 62,791 | 1,090 |
| * | Molina Healthcare Inc. | 40,245 | 1,089 |
| * | Emeritus Corp. | 43,200 | 1,068 |
| * | Achillion | ||
| Pharmaceuticals Inc. | 131,130 | 1,052 | |
| * | Hanger Inc. | 38,428 | 1,051 |
| * | Emergent Biosolutions Inc. | 65,374 | 1,049 |
| Computer Programs & | |||
| Systems Inc. | 20,732 | 1,044 | |
| * | Accuray Inc. | 157,116 | 1,010 |
| * | Cadence | ||
| Pharmaceuticals Inc. | 207,753 | 995 | |
| * | Medidata Solutions Inc. | 25,360 | 994 |
| * | Genomic Health Inc. | 35,853 | 977 |
| * | Greatbatch Inc. | 40,137 | 933 |
| * | MedAssets Inc. | 55,241 | 926 |
| * | NuVasive Inc. | 58,728 | 908 |
| * | Accretive Health Inc. | 78,271 | 905 |
| * | Idenix Pharmaceuticals Inc. | 186,320 | 904 |
| * | Optimer | ||
| Pharmaceuticals Inc. | 98,309 | 890 | |
| * | AVANIR | ||
| Pharmaceuticals Inc. | 334,313 | 879 | |
| * | Endologix Inc. | 61,667 | 878 |
| * | Array BioPharma Inc. | 235,058 | 874 |
| * | Halozyme Therapeutics Inc. | 129,827 | 871 |
| * | Amedisys Inc. | 76,082 | 857 |
| * | Corvel Corp. | 18,986 | 851 |
| * | Depomed Inc. | 134,077 | 830 |
| * | Natus Medical Inc. | 73,453 | 821 |
| * | SymmetryMedical Inc. | 77,861 | 819 |
| * | AMAG Pharmaceuticals Inc. | 55,414 | 815 |
| * | Sunrise Senior Living Inc. | 55,956 | 805 |
| * | Pacira Pharmaceuticals Inc. | 45,200 | 790 |
| * | Lexicon | ||
| Pharmaceuticals Inc. | 353,288 | 784 | |
| * | DynavaxTechnologies Corp. | 261,695 | 748 |
| Hi-Tech Pharmacal Co. Inc. | 21,208 | 742 | |
| Almost Family Inc. | 35,509 | 719 | |
| * | AngioDynamics Inc. | 64,993 | 714 |
| * | Luminex Corp. | 42,376 | 710 |
| Invacare Corp. | 43,329 | 706 | |
| * | Kindred Healthcare Inc. | 64,189 | 695 |
| * | Albany Molecular | ||
| Research Inc. | 130,975 | 692 | |
| * | Curis Inc. | 199,675 | 685 |
| * | AVEO Pharmaceuticals Inc. | 84,713 | 682 |
| * | NxStage Medical Inc. | 59,638 | 671 |
| * | Orthofix International NV | 17,018 | 669 |
| Landauer Inc. | 10,564 | 647 | |
| * | CynosureInc. Class A | 26,818 | 647 |
| ^ | Spectrum | ||
| Pharmaceuticals Inc. | 57,182 | 640 | |
| * | Cambrex Corp. | 55,205 | 628 |
| * | Alphatec Holdings Inc. | 365,872 | 604 |
| * | SynagevaBioPharma Corp. | 12,902 | 597 |
29
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Cerus Corp. | 185,453 | 586 |
| Ensign Group Inc. | 21,478 | 584 | |
| * | IPCThe Hospitalist Co. Inc. | 14,667 | 582 |
| * | Affymetrix Inc. | 177,629 | 563 |
| * | Healthways Inc. | 52,526 | 562 |
| * | Exactech Inc. | 32,984 | 559 |
| * | Merit Medical Systems Inc. | 39,872 | 554 |
| * | Astex Pharmaceuticals | 189,601 | 552 |
| Atrion Corp. | 2,751 | 539 | |
| * | MAPPharmaceuticals Inc. | 34,057 | 535 |
| Enzon Pharmaceuticals Inc. | 120,398 | 533 | |
| * | Gentiva Health Services Inc. | 53,064 | 533 |
| * | Rigel Pharmaceuticals Inc. | 80,881 | 526 |
| Assisted Living | |||
| Concepts Inc. Class A | 53,892 | 525 | |
| * | MAKOSurgical Corp. | 39,316 | 506 |
| * | Arqule Inc. | 179,863 | 502 |
| * | Celldex Therapeutics Inc. | 74,526 | 500 |
| * | MannKind Corp. | 215,134 | 497 |
| * | Quidel Corp. | 26,584 | 496 |
| * | OraSure Technologies Inc. | 68,013 | 488 |
| * | Anika Therapeutics Inc. | 47,801 | 475 |
| * | Cutera Inc. | 52,703 | 474 |
| * | PharMerica Corp. | 31,861 | 454 |
| Select Medical | |||
| Holdings Corp. | 46,859 | 442 | |
| * | Ligand Pharmaceuticals | ||
| Inc. Class B | 20,235 | 420 | |
| * | Cross Country | ||
| Healthcare Inc. | 87,179 | 418 | |
| * | Neurocrine Biosciences Inc. | 55,797 | 417 |
| CryoLife Inc. | 65,326 | 407 | |
| * | Agenus Inc. | 98,028 | 402 |
| * | Five Star Quality Care Inc. | 80,021 | 401 |
| * | Orexigen Therapeutics Inc. | 75,463 | 398 |
| * | Antares Pharma Inc. | 103,553 | 395 |
| *,^ | Celsion Corp. | 45,311 | 371 |
| * | Omnicell Inc. | 24,790 | 369 |
| * | BioMimetic | ||
| Therapeutics Inc. | 50,806 | 368 | |
| * | Santarus Inc. | 33,258 | 365 |
| * | Sequenom Inc. | 77,247 | 365 |
| * | Geron Corp. | 245,058 | 346 |
| * | Anacor Pharmaceuticals Inc. | 65,992 | 343 |
| Universal American Corp. | 39,761 | 342 | |
| * | Ampio Pharmaceuticals Inc. | 91,437 | 328 |
| * | DyaxCorp. | 94,090 | 327 |
| * | Triple-S Management | ||
| Corp. Class B | 17,218 | 318 | |
| * | LHCGroup Inc. | 14,844 | 316 |
| * | HealthStream Inc. | 12,872 | 313 |
| * | Merrimack | ||
| Pharmaceuticals Inc. | 51,289 | 312 | |
| * | NewLink Genetics Corp. | 24,643 | 308 |
| * | Biolase Inc. | 165,905 | 307 |
| * | Omeros Corp. | 57,299 | 297 |
| * | SurModics Inc. | 13,198 | 295 |
| * | ExamWorks Group Inc. | 21,077 | 295 |
| * | Furiex Pharmaceuticals Inc. | 15,164 | 292 |
| * | SpectraneticsCorp. | 19,088 | 282 |
| * | Biotime Inc. | 89,714 | 282 |
| * | Sciclone | ||
| Pharmaceuticals Inc. | 63,215 | 272 | |
| * | CytoriTherapeutics Inc. | 94,569 | 267 |
| * | Alliance HealthCare | ||
| Services Inc. | 40,908 | 261 | |
| US Physical Therapy Inc. | 9,334 | 257 | |
| * | Icad Inc. | 51,528 | 247 |
| * | XenoPort Inc. | 31,326 | 243 |
| National Healthcare Corp. | 5,137 | 242 | |
| * | Novavax Inc. | 127,082 | 240 |
| * | Immunomedics Inc. | 79,767 | 233 |
| *,^ | Acura Pharmaceuticals Inc. | 92,295 | 205 |
| * | Aastrom Biosciences Inc. | 158,863 | 200 |
| * | BioClinica Inc. | 34,747 | 199 |
| * | GTx Inc. | 44,872 | 188 |
| * | Endocyte Inc. | 19,600 | 176 |
| *,^ | Anthera | ||
| Pharmaceuticals Inc. | 277,403 | 172 | |
| * | Corcept Therapeutics Inc. | 114,418 | 164 |
| * | BioCryst | ||
| Pharmaceuticals Inc. | 107,475 | 153 | |
| * | Navidea | ||
| Biopharmaceuticals Inc. | 53,926 | 153 | |
| * | AtriCure Inc. | 22,002 | 152 |
| * | Enzo Biochem Inc. | 54,808 | 148 |
| * | ZIOPHARM Oncology Inc. | 34,782 | 145 |
| * | Harvard Bioscience Inc. | 32,527 | 142 |
| * | Vascular Solutions Inc. | 8,957 | 142 |
| * | Protalix BioTherapeutics Inc. | 26,905 | 140 |
| *,^ | Alexza Pharmaceuticals Inc. | 28,152 | 139 |
| * | Palomar Medical | ||
| Technologies Inc. | 14,943 | 138 | |
| * | Columbia Laboratories Inc. | 210,081 | 133 |
| Pain Therapeutics Inc. | 48,537 | 132 | |
| * | Merge Healthcare Inc. | 52,352 | 129 |
| * | Durect Corp. | 138,205 | 127 |
| * | Pozen Inc. | 25,338 | 127 |
| * | Staar Surgical Co. | 20,720 | 126 |
| * | CytokineticsInc. | 183,998 | 121 |
| * | Obagi Medical Products Inc. | 8,864 | 120 |
| * | Sangamo Biosciences Inc. | 19,311 | 116 |
| *,^ | Biosante | ||
| Pharmaceuticals Inc. | 91,691 | 114 | |
| * | PDI Inc. | 14,959 | 114 |
| * | Codexis Inc. | 49,208 | 109 |
| * | RTI Biologics Inc. | 25,082 | 107 |
| * | ChelseaTherapeutics | ||
| International Ltd. | 138,203 | 105 | |
| * | CardioNet Inc. | 45,835 | 104 |
30
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Providence Service Corp. | 5,764 | 98 |
| * | Targacept Inc. | 21,528 | 94 |
| * | Vanguard Health | ||
| Systems Inc. | 7,375 | 90 | |
| * | EpocratesInc. | 10,215 | 90 |
| * | Rochester Medical Corp. | 8,804 | 89 |
| *,^ | Apricus Biosciences Inc. | 44,009 | 88 |
| * | Insmed Inc. | 12,761 | 85 |
| *,^ | Savient Pharmaceuticals Inc. | 80,765 | 85 |
| * | Digirad Corp. | 40,423 | 83 |
| * | Vocera Communications Inc. | 3,242 | 81 |
| * | Alimera Sciences Inc. | 50,688 | 80 |
| * | SyntaPharmaceuticals Corp. | 8,778 | 79 |
| * | Hooper Holmes Inc. | 194,540 | 77 |
| *,^ | BSD Medical Corp. | 50,807 | 77 |
| * | Delcath Systems Inc. | 62,073 | 76 |
| * | Oncothyreon Inc. | 39,256 | 75 |
| * | Vical Inc. | 23,842 | 69 |
| * | Cardiovascular Systems Inc. | 5,493 | 69 |
| * | LCA-Vision Inc. | 23,998 | 68 |
| * | Hansen Medical Inc. | 32,538 | 68 |
| * | Adolor Corp. Rights | ||
| Exp. 07/01/2019 | 126,930 | 66 | |
| * | Osiris Therapeutics Inc. | 7,222 | 65 |
| * | PROLOR Biotech Inc. | 12,986 | 64 |
| * | Bovie Medical Corp. | 25,571 | 62 |
| * | MyrexisInc. | 21,693 | 61 |
| * | Authentidate Holding Corp. | 63,493 | 60 |
| * | Cell Therapeutics Inc. | 45,837 | 60 |
| * | Progenics | ||
| Pharmaceuticals Inc. | 19,226 | 57 | |
| * | Biodel Inc. | 23,858 | 56 |
| * | Arrowhead Research Corp. | 25,542 | 55 |
| Young Innovations Inc. | 1,362 | 54 | |
| * | SIGA Technologies Inc. | 20,268 | 53 |
| * | Solta Medical Inc. | 19,114 | 51 |
| Psychemedics Corp. | 4,661 | 50 | |
| * | RadNet Inc. | 18,952 | 48 |
| * | Medical Action Industries Inc. | 17,304 | 47 |
| * | Repligen Corp. | 7,281 | 46 |
| * | Fluidigm Corp. | 3,000 | 43 |
| * | Keryx | ||
| Biopharmaceuticals Inc. | 15,988 | 42 | |
| * | Horizon Pharma Inc. | 17,400 | 41 |
| * | ChindexInternational Inc. | 3,762 | 39 |
| * | Peregrine | ||
| Pharmaceuticals Inc. | 29,384 | 39 | |
| * | Complete Genomics Inc. | 12,245 | 39 |
| * | Threshold | ||
| Pharmaceuticals Inc. | 8,900 | 37 | |
| * | Discovery Laboratories Inc. | 17,399 | 37 |
| * | Unilife Corp. | 16,001 | 36 |
| Maxygen Inc. | 14,258 | 35 | |
| * | Pernix Therapeutics Holdings | 4,164 | 32 |
| * | Tornier NV | 1,800 | 30 |
| * | TheragenicsCorp. | 18,481 | 29 |
| * | Forest Laboratories Inc. | ||
| Contingent Value | |||
| Rights Exp. 04/14/2018 | 29,879 | 28 | |
| * | Cumberland | ||
| Pharmaceuticals Inc. | 6,675 | 28 | |
| * | Raptor | ||
| Pharmaceutical Corp. | 4,470 | 26 | |
| * | Transcept | ||
| Pharmaceuticals Inc. | 5,840 | 26 | |
| * | Vanda Pharmaceuticals Inc. | 6,866 | 25 |
| * | Sagent Pharmaceuticals Inc. | 1,572 | 25 |
| * | CytRxCorp. | 13,199 | 25 |
| * | Zalicus Inc. | 34,526 | 22 |
| Biota Pharmaceuticals Inc. | 5,468 | 22 | |
| * | Hemispherx Biopharma Inc. | 85,879 | 22 |
| * | Metabolix Inc. | 14,335 | 21 |
| * | Skilled Healthcare Group Inc. | 3,154 | 20 |
| * | ADVENTRX | ||
| Pharmaceuticals Inc. | 32,620 | 19 | |
| * | EnteroMedics Inc. | 6,262 | 18 |
| * | MELA Sciences Inc. | 9,482 | 17 |
| * | Clovis Oncology Inc. | 1,000 | 16 |
| * | Cel-Sci Corp. | 51,767 | 14 |
| * | ThermoGenesisCorp. | 14,114 | 12 |
| * | GenVec Inc. | 8,765 | 12 |
| * | Lannett Co. Inc. | 2,184 | 11 |
| * | ERBADiagnostics Inc. | 11,606 | 10 |
| * | Strategic Diagnostics Inc. | 9,571 | 10 |
| * | SynergeticsUSA Inc. | 2,112 | 10 |
| * | Idera Pharmaceuticals Inc. | 10,479 | 9 |
| * | Amicus Therapeutics Inc. | 2,502 | 7 |
| * | Biospecifics | ||
| Technologies Corp. | 412 | 6 | |
| * | Cardica Inc. | 4,675 | 5 |
| * | XOMA Corp. | 2,060 | 5 |
| National Research Corp. | 82 | 4 | |
| * | StemCells Inc. | 1,892 | 3 |
| * | Entremed Inc. | 2,162 | 3 |
| * | SharpsCompliance Corp. | 1,172 | 3 |
| * | Galena Biopharma Inc. | 1,714 | 3 |
| Heska Corp. | 291 | 2 | |
| * | Stereotaxis Inc. | 864 | 2 |
| * | Cornerstone Therapeutics Inc. | 400 | 2 |
| Daxor Corp. | 161 | 1 | |
| * | Repros Therapeutics Inc. | 66 | 1 |
| Utah Medical Products Inc. | 24 | 1 | |
| * | OncoGenex | ||
| Pharmaceutical Inc. | 64 | 1 | |
| * | ProPhase Labs Inc. | 465 | 1 |
| * | Nanosphere Inc. | 116 | — |
| * | Inovio Pharmaceuticals Inc. | 648 | — |
| * | Sucampo Pharmaceuticals | ||
| Inc. Class A | 58 | — | |
| * | TranS1 Inc. | 84 | — |
31
Institutional Total Stock Market Index Fund
| Market | ||||
| Value• | ||||
| Shares | ($000) | |||
| * | Vision Sciences Inc. | 140 | — | |
| * | Retractable Technologies Inc. | 71 | — | |
| * | PURE Bioscience Inc. | 29 | — | |
| 2,773,925 | ||||
| Industrials (11.0%) | ||||
| General Electric Co. | 15,894,473 | 333,625 | ||
| United | ||||
| Technologies Corp. | 1,303,954 | 106,937 | ||
| 3M Co. | 988,656 | 91,797 | ||
| Union Pacific Corp. | 712,980 | 89,636 | ||
| Caterpillar Inc. | 983,473 | 88,100 | ||
| Boeing Co. | 1,075,165 | 81,024 | ||
| United Parcel Service | ||||
| Inc. Class B | 1,093,430 | 80,619 | ||
| Honeywell | ||||
| International Inc. | 1,116,306 | 70,852 | ||
| Emerson Electric Co. | 1,094,951 | 57,989 | ||
| Danaher Corp. | 889,817 | 49,741 | ||
| Deere & Co. | 560,135 | 48,407 | ||
| Precision Castparts Corp. | 218,889 | 41,462 | ||
| FedEx Corp. | 449,131 | 41,194 | ||
| Illinois Tool Works Inc. | 635,226 | 38,628 | ||
| Lockheed Martin Corp. | 415,183 | 38,317 | ||
| Eaton Corp. plc | 697,369 | 37,797 | ||
| General Dynamics Corp. | 451,470 | 31,273 | ||
| CSX Corp. | 1,565,531 | 30,888 | ||
| Norfolk Southern Corp. | 480,992 | 29,745 | ||
| Cummins Inc. | 272,333 | 29,507 | ||
| Raytheon Co. | 499,838 | 28,771 | ||
| Northrop Grumman Corp. | 353,564 | 23,894 | ||
| PACCAR Inc. | 505,535 | 22,855 | ||
| Waste Management Inc. | 663,010 | 22,370 | ||
| Ingersoll-Rand plc | 464,031 | 22,255 | ||
| Tyco International Ltd. | 692,321 | 20,250 | ||
| Fastenal Co. | 423,752 | 19,785 | ||
| Parker Hannifin Corp. | 224,968 | 19,136 | ||
| Dover Corp. | 275,489 | 18,102 | ||
| WW Grainger Inc. | 89,183 | 18,048 | ||
| Rockwell Automation Inc. | 212,549 | 17,852 | ||
| Stanley Black & | ||||
| Decker Inc. | 240,603 | 17,797 | ||
| Roper Industries Inc. | 147,254 | 16,416 | ||
| ADT Corp. | 348,460 | 16,200 | ||
| Pentair Ltd. | 315,532 | 15,508 | ||
| CH Robinson | ||||
| Worldwide Inc. | 243,103 | 15,369 | ||
| * | Delta Air Lines Inc. | 1,280,570 | 15,200 | |
| Fluor Corp. | 251,592 | 14,779 | ||
| Kansas City Southern | 165,657 | 13,829 | ||
| AMETEK Inc. | 365,525 | 13,733 | ||
| Republic Services Inc. | ||||
| Class A | 467,691 | 13,717 | ||
| Expeditors International | ||||
| of Washington Inc. | 317,218 | 12,546 | ||
| * | Stericycle Inc. | 129,196 | 12,050 | |
| Rockwell Collins Inc. | 203,391 | 11,831 | |
| * | United Continental | ||
| Holdings Inc. | 500,672 | 11,706 | |
| Southwest Airlines Co. | 1,118,613 | 11,455 | |
| Flowserve Corp. | 76,973 | 11,300 | |
| L-3 Communications | |||
| Holdings Inc. | 145,485 | 11,147 | |
| * | Verisk Analytics Inc. | ||
| Class A | 212,190 | 10,822 | |
| Pall Corp. | 175,019 | 10,547 | |
| Textron Inc. | 423,233 | 10,492 | |
| Joy Global Inc. | 159,518 | 10,174 | |
| TransDigm Group Inc. | 73,680 | 10,047 | |
| Equifax Inc. | 180,597 | 9,774 | |
| Masco Corp. | 542,414 | 9,037 | |
| * | Quanta Services Inc. | 315,611 | 8,613 |
| JB Hunt Transport | |||
| Services Inc. | 141,765 | 8,465 | |
| * | Jacobs Engineering | ||
| Group Inc. | 195,778 | 8,334 | |
| * | IHS Inc. Class A | 84,377 | 8,100 |
| * | Hertz Global Holdings Inc. | 476,013 | 7,745 |
| * | B/E Aerospace Inc. | 156,599 | 7,736 |
| Xylem Inc. | 279,627 | 7,578 | |
| * | AGCO Corp. | 146,551 | 7,199 |
| * | Fortune Brands Home & | ||
| Security Inc. | 242,042 | 7,072 | |
| Cintas Corp. | 171,493 | 7,014 | |
| Donaldson Co. Inc. | 213,029 | 6,996 | |
| Snap-on Inc. | 87,663 | 6,925 | |
| Hubbell Inc. Class B | 78,799 | 6,669 | |
| KBR Inc. | 222,742 | 6,664 | |
| Iron Mountain Inc. | 214,344 | 6,655 | |
| Robert Half | |||
| International Inc. | 203,851 | 6,487 | |
| Wabtec Corp. | 72,373 | 6,336 | |
| * | WABCO Holdings Inc. | 96,590 | 6,297 |
| * | Owens Corning | 169,727 | 6,278 |
| Waste Connections Inc. | 176,622 | 5,968 | |
| Timken Co. | 124,554 | 5,957 | |
| IDEX Corp. | 125,921 | 5,859 | |
| * | Nielsen Holdings NV | 190,548 | 5,829 |
| Lincoln Electric | |||
| Holdings Inc. | 119,681 | 5,826 | |
| Carlisle Cos. Inc. | 94,540 | 5,555 | |
| Nordson Corp. | 87,151 | 5,501 | |
| * | United Rentals Inc. | 119,032 | 5,418 |
| SPX Corp. | 76,560 | 5,371 | |
| Corrections Corp. | |||
| of America | 150,809 | 5,349 | |
| Avery Dennison Corp. | 153,146 | 5,348 | |
| Dun & Bradstreet Corp. | 67,784 | 5,331 | |
| MSC Industrial | |||
| Direct Co. Inc. Class A | 70,587 | 5,321 | |
| Manpower Inc. | 120,308 | 5,106 |
32
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Genesee & Wyoming Inc. | ||
| Class A | 66,669 | 5,072 | |
| Gardner Denver Inc. | 73,918 | 5,063 | |
| Towers Watson & Co. | |||
| Class A | 88,701 | 4,986 | |
| Valmont Industries Inc. | 36,151 | 4,936 | |
| Triumph Group Inc. | 75,278 | 4,916 | |
| Kennametal Inc. | 121,028 | 4,841 | |
| * | Sensata Technologies | ||
| Holding NV | 149,041 | 4,841 | |
| * | Copart Inc. | 163,261 | 4,816 |
| * | Kirby Corp. | 75,965 | 4,701 |
| Graco Inc. | 91,146 | 4,693 | |
| * | Terex Corp. | 166,809 | 4,689 |
| * | Clean Harbors Inc. | 84,489 | 4,648 |
| * | ShawGroup Inc. | 99,698 | 4,647 |
| * | Alaska Air Group Inc. | 106,546 | 4,591 |
| URS Corp. | 115,708 | 4,543 | |
| Regal-Beloit Corp. | 63,718 | 4,490 | |
| * | WESCO International Inc. | 65,917 | 4,445 |
| Acuity Brands Inc. | 64,054 | 4,338 | |
| Trinity Industries Inc. | 119,506 | 4,281 | |
| Babcock & Wilcox Co. | 161,058 | 4,220 | |
| * | Hexcel Corp. | 150,254 | 4,051 |
| * | Foster Wheeler AG | 163,105 | 3,967 |
| Ryder System Inc. | 77,203 | 3,855 | |
| Toro Co. | 88,447 | 3,801 | |
| AO Smith Corp. | 59,672 | 3,764 | |
| Landstar System Inc. | 70,492 | 3,698 | |
| * | Oshkosh Corp. | 124,489 | 3,691 |
| * | AECOM Technology Corp. | 153,334 | 3,649 |
| * | Middleby Corp. | 28,317 | 3,631 |
| CLARCOR Inc. | 75,825 | 3,623 | |
| Woodward Inc. | 93,509 | 3,565 | |
| EMCOR Group Inc. | 100,585 | 3,481 | |
| * | Teledyne Technologies Inc. | 52,924 | 3,444 |
| Lennox International Inc. | 65,383 | 3,434 | |
| * | Colfax Corp. | 84,908 | 3,426 |
| Robbins & Myers Inc. | 57,140 | 3,397 | |
| * | Old Dominion | ||
| Freight Line Inc. | 97,858 | 3,355 | |
| Covanta Holding Corp. | 180,356 | 3,322 | |
| * | US Airways Group Inc. | 245,862 | 3,319 |
| *,^ | Polypore International Inc. | 70,176 | 3,263 |
| Huntington Ingalls | |||
| Industries Inc. | 74,969 | 3,249 | |
| Pitney Bowes Inc. | 303,915 | 3,234 | |
| Crane Co. | 69,500 | 3,216 | |
| * | Avis Budget Group Inc. | 160,919 | 3,189 |
| * | USG Corp. | 113,362 | 3,182 |
| Exelis Inc. | 282,158 | 3,180 | |
| ITT Corp. | 132,525 | 3,109 | |
| Belden Inc. | 68,390 | 3,077 | |
| * | SpiritAerosystems | ||
| Holdings Inc. Class A | 180,192 | 3,058 |
| Alliant Techsystems Inc. | 49,351 | 3,058 | |
| Watsco Inc. | 40,560 | 3,038 | |
| Geo Group Inc. | 107,149 | 3,022 | |
| * | ChartIndustries Inc. | 45,072 | 3,005 |
| Manitowoc Co. Inc. | 190,172 | 2,982 | |
| * | Esterline | ||
| Technologies Corp. | 46,746 | 2,974 | |
| Actuant Corp. Class A | 104,340 | 2,912 | |
| GATXCorp. | 67,150 | 2,908 | |
| Harsco Corp. | 121,901 | 2,865 | |
| Macquarie | |||
| Infrastructure Co. LLC | 60,154 | 2,741 | |
| * | EnerSys Inc. | 72,676 | 2,735 |
| * | Tetra Tech Inc. | 96,550 | 2,554 |
| Brady Corp. Class A | 74,042 | 2,473 | |
| Deluxe Corp. | 76,432 | 2,464 | |
| RR Donnelley & Sons Co. | 272,373 | 2,451 | |
| * | Advisory Board Co. | 52,389 | 2,451 |
| * | Moog Inc. Class A | 59,499 | 2,441 |
| * | Air Lease Corp. | 112,984 | 2,429 |
| Corporate Executive | |||
| Board Co. | 50,936 | 2,417 | |
| Applied Industrial | |||
| Technologies Inc. | 57,274 | 2,406 | |
| Con-way Inc. | 84,973 | 2,364 | |
| * | Beacon Roofing Supply Inc. | 70,897 | 2,359 |
| * | General Cable Corp. | 75,294 | 2,290 |
| Healthcare Services | |||
| Group Inc. | 96,895 | 2,251 | |
| Rollins Inc. | 99,629 | 2,196 | |
| Mueller Industries Inc. | 43,365 | 2,170 | |
| * | MasTec Inc. | 86,072 | 2,146 |
| Curtiss-Wright Corp. | 64,144 | 2,106 | |
| UTi Worldwide Inc. | 156,962 | 2,103 | |
| * | FTI Consulting Inc. | 63,588 | 2,098 |
| * | JetBlue Airways Corp. | 366,688 | 2,094 |
| HEICO Corp. Class A | 64,667 | 2,068 | |
| HNI Corp. | 68,713 | 2,066 | |
| Brink’s Co. | 71,931 | 2,052 | |
| Armstrong World | |||
| Industries Inc. | 40,321 | 2,045 | |
| Mine Safety | |||
| Appliances Co. | 47,503 | 2,029 | |
| Interface Inc. Class A | 125,900 | 2,024 | |
| Briggs & Stratton Corp. | 94,462 | 1,991 | |
| * | Acacia Research Corp. | 75,359 | 1,933 |
| AZZ Inc. | 50,262 | 1,932 | |
| Simpson | |||
| Manufacturing Co. Inc. | 58,606 | 1,922 | |
| * | MRCGlobal Inc. | 68,391 | 1,900 |
| Herman Miller Inc. | 88,360 | 1,893 | |
| * | Hub Group Inc. Class A | 56,179 | 1,888 |
| Granite Construction Inc. | 55,654 | 1,871 | |
| Franklin Electric Co. Inc. | 29,950 | 1,862 | |
| * | Navistar International Corp. | 84,001 | 1,829 |
33
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| United Stationers Inc. | 58,487 | 1,813 | |
| * | On Assignment Inc. | 89,112 | 1,807 |
| Barnes Group Inc. | 79,072 | 1,776 | |
| * | Atlas Air Worldwide | ||
| Holdings Inc. | 39,977 | 1,771 | |
| TALInternational Group Inc. | 48,013 | 1,747 | |
| * | GrafTech International Ltd. | 184,659 | 1,734 |
| Allegiant Travel Co. Class A | 23,421 | 1,719 | |
| Watts Water | |||
| Technologies Inc. Class A | 39,912 | 1,716 | |
| * | RBC Bearings Inc. | 33,831 | 1,694 |
| ABM Industries Inc. | 84,701 | 1,690 | |
| UniFirst Corp. | 22,788 | 1,671 | |
| KARAuction Services Inc. | 82,356 | 1,667 | |
| * | SpiritAirlines Inc. | 92,776 | 1,644 |
| Matson Inc. | 62,640 | 1,548 | |
| ESCO Technologies Inc. | 40,470 | 1,514 | |
| * | II-VI Inc. | 81,619 | 1,491 |
| Forward Air Corp. | 42,234 | 1,479 | |
| Generac Holdings Inc. | 42,439 | 1,456 | |
| Altra Holdings Inc. | 65,873 | 1,453 | |
| Werner Enterprises Inc. | 66,058 | 1,431 | |
| Raven Industries Inc. | 53,789 | 1,418 | |
| Albany International Corp. | 62,344 | 1,414 | |
| Astec Industries Inc. | 41,868 | 1,395 | |
| Steelcase Inc. Class A | 108,480 | 1,382 | |
| Standex International Corp. | 26,761 | 1,373 | |
| Aircastle Ltd. | 109,079 | 1,368 | |
| G&K Services Inc. Class A | 39,706 | 1,356 | |
| Knoll Inc. | 88,088 | 1,353 | |
| Knight Transportation Inc. | 91,325 | 1,336 | |
| CIRCOR International Inc. | 33,463 | 1,325 | |
| * | DycomIndustries Inc. | 66,176 | 1,310 |
| Mueller Water Products Inc. | |||
| Class A | 227,099 | 1,274 | |
| * | ACCO Brands Corp. | 172,608 | 1,267 |
| Apogee Enterprises Inc. | 51,971 | 1,246 | |
| * | Blount International Inc. | 78,077 | 1,235 |
| Cascade Corp. | 19,206 | 1,235 | |
| * | Exponent Inc. | 22,009 | 1,229 |
| American Science & | |||
| Engineering Inc. | 18,770 | 1,224 | |
| Amerco Inc. | 9,645 | 1,223 | |
| * | DigitalGlobe Inc. | 49,760 | 1,216 |
| Insperity Inc. | 36,974 | 1,204 | |
| * | Aegion Corp. Class A | 54,140 | 1,201 |
| * | SwiftTransportation Co. | 128,515 | 1,172 |
| ^ | Titan International Inc. | 53,392 | 1,160 |
| Cubic Corp. | 24,103 | 1,156 | |
| Kaydon Corp. | 48,131 | 1,152 | |
| * | Orbital Sciences Corp. | 80,631 | 1,110 |
| AAR Corp. | 59,375 | 1,109 | |
| * | Mobile Mini Inc. | 52,913 | 1,102 |
| Kaman Corp. | 29,911 | 1,101 | |
| Heartland Express Inc. | 83,372 | 1,090 |
| AAON Inc. | 51,183 | 1,068 | |
| Lindsay Corp. | 13,317 | 1,067 | |
| SkyWest Inc. | 84,977 | 1,059 | |
| * | GenCorp Inc. | 114,078 | 1,044 |
| * | GeoEye Inc. | 33,539 | 1,031 |
| * | Trimas Corp. | 36,679 | 1,026 |
| Celadon Group Inc. | 55,638 | 1,005 | |
| Comfort Systems USA Inc. | 80,795 | 982 | |
| * | Consolidated Graphics Inc. | 27,515 | 961 |
| American Railcar | |||
| Industries Inc. | 30,186 | 958 | |
| Barrett Business | |||
| Services Inc. | 25,139 | 958 | |
| * | Korn/Ferry International | 59,551 | 944 |
| Seaboard Corp. | 373 | 944 | |
| Sauer-Danfoss Inc. | 17,574 | 938 | |
| Universal Forest | |||
| Products Inc. | 24,409 | 929 | |
| * | Builders FirstSource Inc. | 165,099 | 921 |
| Ennis Inc. | 59,236 | 916 | |
| Aceto Corp. | 85,339 | 857 | |
| US Ecology Inc. | 36,256 | 853 | |
| * | CBIZInc. | 143,257 | 847 |
| Alamo Group Inc. | 25,866 | 844 | |
| * | Rush Enterprises Inc. | ||
| Class A | 40,789 | 843 | |
| Quanex Building | |||
| Products Corp. | 41,118 | 839 | |
| * | Greenbrier Cos. Inc. | 51,314 | 830 |
| * | EnPro Industries Inc. | 20,183 | 825 |
| * | Huron Consulting Group Inc. | 23,930 | 806 |
| CDI Corp. | 46,129 | 790 | |
| * | DXP Enterprises Inc. | 15,819 | 776 |
| Griffon Corp. | 67,506 | 774 | |
| * | Layne Christensen Co. | 31,497 | 764 |
| Marten Transport Ltd. | 41,325 | 760 | |
| McGrath RentCorp | 26,008 | 755 | |
| * | Franklin Covey Co. | 57,817 | 746 |
| * | Trex Co. Inc. | 19,859 | 739 |
| * | SykesEnterprises Inc. | 48,243 | 734 |
| Gorman-Rupp Co. | 24,452 | 729 | |
| * | Powell Industries Inc. | 17,349 | 721 |
| H&E Equipment | |||
| Services Inc. | 43,761 | 659 | |
| * | Hawaiian Holdings Inc. | 98,768 | 649 |
| Tennant Co. | 14,751 | 648 | |
| * | CRAInternational Inc. | 31,582 | 624 |
| Great Lakes Dredge & | |||
| Dock Corp. | 69,724 | 623 | |
| * | Team Inc. | 16,136 | 614 |
| * | GPStrategies Corp. | 29,236 | 604 |
| * | Federal Signal Corp. | 79,160 | 602 |
| * | Meritor Inc. | 126,971 | 601 |
| * | American Woodmark Corp. | 21,571 | 600 |
| * | Accuride Corp. | 186,550 | 599 |
34
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Navigant Consulting Inc. | 53,402 | 596 |
| Ampco-Pittsburgh Corp. | 29,558 | 591 | |
| * | Ducommun Inc. | 36,073 | 583 |
| * | Tutor Perini Corp. | 42,218 | 578 |
| Resources Connection Inc. | 47,279 | 565 | |
| * | Park-Ohio Holdings Corp. | 26,341 | 561 |
| * | TrueBlue Inc. | 35,086 | 553 |
| Encore Wire Corp. | 17,423 | 528 | |
| DynamicMaterials Corp. | 37,755 | 525 | |
| * | Engility Holdings Inc. | 27,068 | 521 |
| Heidrick & Struggles | |||
| International Inc. | 34,063 | 520 | |
| * | ThermonGroup | ||
| Holdings Inc. | 22,900 | 516 | |
| Michael Baker Corp. | 20,580 | 513 | |
| ^ | Acorn Energy Inc. | 63,673 | 497 |
| * | Wabash National Corp. | 54,565 | 489 |
| Kimball International Inc. | |||
| Class B | 39,929 | 464 | |
| Houston Wire & Cable Co. | 37,516 | 460 | |
| * | Commercial Vehicle | ||
| Group Inc. | 55,706 | 457 | |
| * | Columbus McKinnon Corp. | 27,494 | 454 |
| * | Astronics Corp. | 19,710 | 451 |
| * | Taser International Inc. | 49,467 | 442 |
| Arkansas Best Corp. | 46,250 | 442 | |
| * | Rexnord Corp. | 20,600 | 439 |
| * | Wesco Aircraft Holdings Inc. | 33,000 | 436 |
| Kelly Services Inc. Class A | 27,603 | 434 | |
| * | American Superconductor | ||
| Corp. | 164,462 | 431 | |
| * | InnerWorkings Inc. | 30,842 | 425 |
| * | Air Transport Services | ||
| Group Inc. | 105,215 | 422 | |
| KforceInc. | 29,162 | 418 | |
| * | Aerovironment Inc. | 18,593 | 404 |
| Sun Hydraulics Corp. | 15,431 | 402 | |
| Hyster-Yale Materials | |||
| Handling Inc. | 8,217 | 401 | |
| * | ICF International Inc. | 16,929 | 397 |
| * | Dolan Co. | 101,793 | 396 |
| * | LydallInc. | 27,446 | 394 |
| * | EnergySolutions Inc. | 125,126 | 390 |
| Argan Inc. | 21,522 | 387 | |
| LBFoster Co. Class A | 8,893 | 386 | |
| * | Northwest Pipe Co. | 16,177 | 386 |
| * | Gibraltar Industries Inc. | 24,208 | 385 |
| * | Proto Labs Inc. | 9,600 | 378 |
| * | EnerNOC Inc. | 31,802 | 374 |
| Miller Industries Inc. | 24,232 | 370 | |
| John Bean | |||
| Technologies Corp. | 20,571 | 366 | |
| * | BlueLinx Holdings Inc. | 128,169 | 360 |
| * | Furmanite Corp. | 66,305 | 356 |
| * | Pacer International Inc. | 91,152 | 355 |
| * | American | ||
| Reprographics Co. | 138,698 | 355 | |
| Viad Corp. | 12,886 | 350 | |
| Quad/Graphics Inc. | 17,126 | 349 | |
| * | NN Inc. | 38,108 | 349 |
| Graham Corp. | 17,539 | 342 | |
| * | Republic Airways | ||
| Holdings Inc. | 60,015 | 341 | |
| * | Capstone Turbine Corp. | 379,084 | 337 |
| * | Flow International Corp. | 94,439 | 331 |
| * | Covenant Transportation | ||
| Group Inc. Class A | 59,175 | 327 | |
| * | Cenveo Inc. | 121,157 | 327 |
| Primoris Services Corp. | 21,270 | 320 | |
| SeaCube Container | |||
| Leasing Ltd. | 16,970 | 320 | |
| * | Kadant Inc. | 11,769 | 312 |
| National Presto | |||
| Industries Inc. | 4,329 | 299 | |
| * | MYRGroup Inc. | 13,105 | 292 |
| * | Titan Machinery Inc. | 11,588 | 286 |
| Intersections Inc. | 29,272 | 277 | |
| * | Saia Inc. | 11,857 | 274 |
| Multi-Color Corp. | 11,120 | 267 | |
| Hardinge Inc. | 26,370 | 262 | |
| * | Casella Waste Systems | ||
| Inc. Class A | 58,695 | 257 | |
| * | Ameresco Inc. Class A | 25,922 | 254 |
| Global Power Equipment | |||
| Group Inc. | 14,540 | 249 | |
| * | Kratos Defense & | ||
| Security Solutions Inc. | 48,611 | 245 | |
| * | Pendrell Corp. | 192,234 | 244 |
| * | Orion Marine Group Inc. | 32,973 | 241 |
| * | Active Power Inc. | 71,470 | 239 |
| * | PowerSecure | ||
| International Inc. | 29,534 | 231 | |
| International | |||
| Shipholding Corp. | 13,746 | 227 | |
| LSI Industries Inc. | 31,638 | 222 | |
| * | Mistras Group Inc. | 8,900 | 220 |
| * | Echo Global Logistics Inc. | 12,150 | 218 |
| * | Quality Distribution Inc. | 36,370 | 218 |
| Courier Corp. | 19,111 | 210 | |
| PAM Transportation | |||
| Services Inc. | 20,294 | 208 | |
| Pike Electric Corp. | 21,216 | 203 | |
| Insteel Industries Inc. | 15,789 | 197 | |
| Ceco Environmental Corp. | 19,322 | 192 | |
| Lawson Products Inc. | 19,089 | 189 | |
| * | KEYW Holding Corp. | 14,469 | 184 |
| * | Sterling Construction | ||
| Co. Inc. | 18,164 | 181 | |
| Coleman Cable Inc. | 18,579 | 172 | |
| * | Heritage-Crystal Clean Inc. | 11,371 | 171 |
35
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Hudson Global Inc. | 35,653 | 160 |
| * | Genco Shipping & | ||
| Trading Ltd. | 45,614 | 159 | |
| * | CAIInternational Inc. | 7,152 | 157 |
| * | LMI Aerospace Inc. | 7,814 | 151 |
| * | AT Cross Co. Class A | 13,903 | 150 |
| * | Energy Recovery Inc. | 43,534 | 148 |
| HEICO Corp. | 3,168 | 142 | |
| * | NCI Building Systems Inc. | 10,126 | 141 |
| * | FuelCell Energy Inc. | 152,123 | 139 |
| * | Odyssey Marine | ||
| Exploration Inc. | 46,783 | 139 | |
| * | Hurco Cos. Inc. | 5,580 | 128 |
| * | Standard Parking Corp. | 5,794 | 127 |
| * | SwisherHygiene Inc. | 71,136 | 124 |
| Met-Pro Corp. | 12,563 | 122 | |
| Preformed Line | |||
| Products Co. | 2,048 | 122 | |
| * | Roadrunner Transportation | ||
| Systems Inc. | 6,447 | 117 | |
| LS Starrett Co. Class A | 11,175 | 108 | |
| FreightCar America Inc. | 4,776 | 107 | |
| * | Fuel Tech Inc. | 24,849 | 104 |
| Eastern Co. | 6,510 | 103 | |
| * | Integrated Electrical | ||
| Services Inc. | 20,098 | 94 | |
| * | Astronics Corp. Class B | 3,892 | 89 |
| * | Hill International Inc. | 24,339 | 89 |
| * | Willis Lease Finance Corp. | 6,194 | 89 |
| * | Innotrac Corp. | 28,467 | 87 |
| * | Vicor Corp. | 14,805 | 80 |
| *,^ | Ascent Solar | ||
| Technologies Inc. | 129,091 | 80 | |
| * | TRCCos. Inc. | 12,634 | 74 |
| Schawk Inc. Class A | 5,261 | 69 | |
| * | API Technologies Corp. | 23,379 | 69 |
| Innovative Solutions & | |||
| Support Inc. | 18,558 | 64 | |
| SyprisSolutions Inc. | 15,958 | 63 | |
| * | XPOLogistics Inc. | 3,600 | 63 |
| * | Metalico Inc. | 30,954 | 61 |
| * | TMS International Corp. | ||
| Class A | 4,800 | 60 | |
| TwinDisc Inc. | 3,407 | 59 | |
| * | Magnetek Inc. | 5,279 | 54 |
| * | Patriot Transportation | ||
| Holding Inc. | 1,834 | 52 | |
| * | Perma-Fix | ||
| Environmental Services | 74,657 | 51 | |
| * | Broadwind Energy Inc. | 22,013 | 48 |
| Douglas Dynamics Inc. | 3,125 | 45 | |
| Baltic Trading Ltd. | 14,024 | 42 | |
| * | Key Technology Inc. | 3,973 | 41 |
| * | Tecumseh Products Co. | ||
| Class A | 8,631 | 40 |
| * | PMFG Inc. | 4,339 | 39 | |
| * | RPX Corp. | 3,600 | 33 | |
| * | Ultralife Corp. | 9,678 | 31 | |
| * | Altair Nanotechnologies Inc. | 13,613 | 30 | |
| Standard Register Co. | 42,047 | 26 | ||
| * | Frozen Food Express | |||
| Industries | 27,702 | 25 | ||
| * | Arotech Corp. | 23,576 | 24 | |
| * | Eagle Bulk Shipping Inc. | 16,139 | 24 | |
| * | Supreme Industries Inc. | |||
| Class A | 6,535 | 22 | ||
| * | Zipcar Inc. | 2,667 | 22 | |
| * | Orion Energy Systems Inc. | 13,116 | 22 | |
| VSE Corp. | 817 | 20 | ||
| * | USA Truck Inc. | 5,558 | 19 | |
| * | Ocean Power | |||
| Technologies Inc. | 7,673 | 17 | ||
| * | Virco Manufacturing Corp. | 5,576 | 14 | |
| * | PGT Inc. | 2,968 | 13 | |
| * | SpartonCorp. | 700 | 10 | |
| Omega Flex Inc. | 626 | 8 | ||
| * | Plug Power Inc. | 12,727 | 6 | |
| * | Xerium Technologies Inc. | 89 | — | |
| * | Lime Energy Co. | 96 | — | |
| 2,623,095 | ||||
| Information Technology (18.4%) | ||||
| Apple Inc. | 1,411,099 | 752,158 | ||
| International Business | ||||
| Machines Corp. | 1,634,312 | 313,052 | ||
| Microsoft Corp. | 11,357,774 | 303,593 | ||
| * | Google Inc. Class A | 394,352 | 279,741 | |
| Oracle Corp. | 5,879,850 | 195,917 | ||
| QUALCOMMInc. | 2,564,132 | 159,027 | ||
| Cisco Systems Inc. | 8,063,881 | 158,455 | ||
| Intel Corp. | 7,531,147 | 155,368 | ||
| Visa Inc. Class A | 794,040 | 120,361 | ||
| * | eBayInc. | 1,745,900 | 89,076 | |
| * | EMC Corp. | 3,159,310 | 79,931 | |
| Mastercard Inc. Class A | 162,154 | 79,663 | ||
| Accenture plc Class A | 955,613 | 63,548 | ||
| Texas Instruments Inc. | 1,712,700 | 52,991 | ||
| Hewlett-Packard Co. | 2,968,260 | 42,298 | ||
| Automatic Data | ||||
| Processing Inc. | 729,386 | 41,582 | ||
| * | Facebook Inc. Class A | 1,489,574 | 39,667 | |
| * | Yahoo! Inc. | 1,694,128 | 33,713 | |
| * | Salesforce.com Inc. | 198,781 | 33,415 | |
| * | Cognizant Technology | |||
| Solutions Corp. Class A | 449,507 | 33,286 | ||
| Corning Inc. | 2,241,473 | 28,287 | ||
| * | Adobe Systems Inc. | 740,290 | 27,894 | |
| Broadcom Corp. Class A | 763,251 | 25,348 | ||
| Intuit Inc. | 419,969 | 24,988 | ||
| TE Connectivity Ltd. | 644,027 | 23,906 | ||
| Dell Inc. | 2,219,531 | 22,484 | ||
36
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Motorola Solutions Inc. | 387,945 | 21,601 | |
| Applied Materials Inc. | 1,862,853 | 21,311 | |
| * | Symantec Corp. | 1,056,671 | 19,876 |
| Analog Devices Inc. | 449,991 | 18,927 | |
| * | Citrix Systems Inc. | 281,601 | 18,515 |
| * | NetApp Inc. | 546,991 | 18,352 |
| Altera Corp. | 481,643 | 16,588 | |
| Seagate Technology plc | 538,234 | 16,405 | |
| * | Fiserv Inc. | 204,439 | 16,157 |
| * | SanDisk Corp. | 363,665 | 15,841 |
| * | Teradata Corp. | 253,947 | 15,717 |
| Amphenol Corp. Class A | 242,689 | 15,702 | |
| * | Juniper Networks Inc. | 793,467 | 15,607 |
| * | Red Hat Inc. | 290,762 | 15,399 |
| Paychex Inc. | 491,745 | 15,313 | |
| * | Equinix Inc. | 72,540 | 14,958 |
| Western Digital Corp. | 335,377 | 14,250 | |
| Xilinx Inc. | 395,131 | 14,185 | |
| * | LinkedIn Corp. Class A | 120,192 | 13,800 |
| Xerox Corp. | 1,968,929 | 13,428 | |
| Maxim Integrated | |||
| Products Inc. | 439,841 | 12,931 | |
| Fidelity National | |||
| Information Services Inc. | 355,216 | 12,365 | |
| Western Union Co. | 908,052 | 12,359 | |
| * | Rackspace Hosting Inc. | 163,389 | 12,135 |
| * | Autodesk Inc. | 341,842 | 12,084 |
| KLA-Tencor Corp. | 251,024 | 11,989 | |
| Linear Technology Corp. | 346,750 | 11,894 | |
| Avago Technologies Ltd. | |||
| Class A | 369,815 | 11,708 | |
| * | VMware Inc. Class A | 123,746 | 11,649 |
| * | F5 Networks Inc. | 119,031 | 11,564 |
| NVIDIA Corp. | 933,455 | 11,472 | |
| * | Trimble Navigation Ltd. | 189,472 | 11,327 |
| * | Akamai Technologies Inc. | 267,207 | 10,931 |
| * | Alliance Data | ||
| Systems Corp. | 75,290 | 10,899 | |
| CA Inc. | 494,971 | 10,879 | |
| * | Lam Research Corp. | 274,756 | 9,927 |
| * | Micron Technology Inc. | 1,533,532 | 9,738 |
| * | BMC Software Inc. | 240,621 | 9,543 |
| Microchip Technology Inc. | 292,179 | 9,522 | |
| Computer Sciences Corp. | 234,340 | 9,385 | |
| * | ANSYS Inc. | 139,163 | 9,371 |
| * | VeriSign Inc. | 235,424 | 9,139 |
| Harris Corp. | 170,663 | 8,356 | |
| * | Nuance | ||
| Communications Inc. | 371,352 | 8,289 | |
| * | Synopsys Inc. | 224,766 | 7,157 |
| Activision Blizzard Inc. | 670,803 | 7,124 | |
| * | Electronic Arts Inc. | 480,148 | 6,977 |
| * | Avnet Inc. | 212,995 | 6,520 |
| * | Gartner Inc. | 140,895 | 6,484 |
| * | Arrow Electronics Inc. | 164,040 | 6,247 |
| * | Flextronics | ||
| International Ltd. | 1,003,269 | 6,230 | |
| * | NCR Corp. | 240,022 | 6,116 |
| * | LSI Corp. | 841,140 | 5,955 |
| * | Skyworks Solutions Inc. | 287,782 | 5,842 |
| IAC/InterActiveCorp | 123,405 | 5,837 | |
| * | Cree Inc. | 166,295 | 5,651 |
| Solera Holdings Inc. | 105,656 | 5,649 | |
| FactSet Research | |||
| Systems Inc. | 63,616 | 5,602 | |
| * | Cadence Design | ||
| Systems Inc. | 414,453 | 5,599 | |
| * | TIBCO Software Inc. | 244,573 | 5,383 |
| Jabil Circuit Inc. | 279,000 | 5,382 | |
| Global Payments Inc. | 118,786 | 5,381 | |
| Marvell Technology | |||
| Group Ltd. | 722,868 | 5,248 | |
| Total System Services Inc. | 241,548 | 5,174 | |
| * | MICROS Systems Inc. | 120,952 | 5,133 |
| FLIR Systems Inc. | 228,086 | 5,089 | |
| * | Informatica Corp. | 163,433 | 4,955 |
| Jack Henry & | |||
| Associates Inc. | 123,795 | 4,860 | |
| * | ON Semiconductor Corp. | 687,108 | 4,844 |
| * | VeriFone Systems Inc. | 162,957 | 4,837 |
| * | Teradyne Inc. | 282,824 | 4,777 |
| * | Concur Technologies Inc. | 70,556 | 4,764 |
| * | JDS Uniphase Corp. | 350,171 | 4,741 |
| * | SolarWinds Inc. | 89,628 | 4,701 |
| SAIC Inc. | 412,344 | 4,668 | |
| * | FleetCor Technologies Inc. | 85,000 | 4,560 |
| * | Riverbed Technology Inc. | 229,614 | 4,528 |
| * | CommVault Systems Inc. | 64,390 | 4,489 |
| * | Atmel Corp. | 668,570 | 4,379 |
| Broadridge Financial | |||
| Solutions Inc. | 188,650 | 4,316 | |
| AOL Inc. | 142,103 | 4,208 | |
| * | NeuStar Inc. Class A | 100,266 | 4,204 |
| * | WEX Inc. | 55,448 | 4,179 |
| * | Parametric | ||
| Technology Corp. | 179,884 | 4,049 | |
| * | Cymer Inc. | 44,451 | 4,020 |
| *,^ | 3D Systems Corp. | 75,256 | 4,015 |
| * | Fortinet Inc. | 190,548 | 4,015 |
| MercadoLibre Inc. | 50,013 | 3,930 | |
| * | Aspen Technology Inc. | 141,038 | 3,898 |
| * | Ingram Micro Inc. | 228,334 | 3,863 |
| National Instruments Corp. | 147,342 | 3,803 | |
| Molex Inc. Class A | 167,356 | 3,735 | |
| * | Ultimate Software | ||
| Group Inc. | 38,368 | 3,622 | |
| * | CoStar Group Inc. | 40,493 | 3,619 |
| * | Compuware Corp. | 326,610 | 3,550 |
| * | Aruba Networks Inc. | 168,964 | 3,506 |
37
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Brocade Communications | ||
| Systems Inc. | 656,183 | 3,497 | |
| * | CoreLogic Inc. | 127,047 | 3,420 |
| IPGPhotonics Corp. | 50,363 | 3,357 | |
| MAXIMUSInc. | 51,264 | 3,241 | |
| Lender Processing | |||
| Services Inc. | 128,243 | 3,157 | |
| DST Systems Inc. | 51,151 | 3,100 | |
| * | Zebra Technologies Corp. | 78,397 | 3,079 |
| FEI Co. | 54,564 | 3,026 | |
| * | NetSuite Inc. | 42,907 | 2,888 |
| * | Semtech Corp. | 98,960 | 2,865 |
| *,^ | First Solar Inc. | 92,039 | 2,842 |
| * | Cirrus Logic Inc. | 97,486 | 2,824 |
| * | Microsemi Corp. | 133,991 | 2,819 |
| * | Polycom Inc. | 268,529 | 2,809 |
| Convergys Corp. | 169,426 | 2,780 | |
| Diebold Inc. | 90,718 | 2,777 | |
| * | Fairchild Semiconductor | ||
| International Inc. Class A | 191,769 | 2,761 | |
| Anixter International Inc. | 42,783 | 2,737 | |
| * | Itron Inc. | 60,145 | 2,679 |
| * | Hittite Microwave Corp. | 42,824 | 2,659 |
| InterDigital Inc. | 64,269 | 2,641 | |
| * | ACI Worldwide Inc. | 59,923 | 2,618 |
| * | Tech Data Corp. | 56,996 | 2,595 |
| * | Rovi Corp. | 167,248 | 2,581 |
| * | Arris Group Inc. | 171,407 | 2,561 |
| * | QLIK Technologies Inc. | 115,986 | 2,519 |
| * | Silicon Laboratories Inc. | 59,909 | 2,505 |
| Lexmark International Inc. | |||
| Class A | 107,052 | 2,483 | |
| * | ViaSat Inc. | 62,798 | 2,443 |
| * | Mentor Graphics Corp. | 140,457 | 2,391 |
| * | Ciena Corp. | 150,912 | 2,369 |
| Plantronics Inc. | 64,030 | 2,361 | |
| * | Cavium Inc. | 75,220 | 2,348 |
| * | TiVo Inc. | 188,771 | 2,326 |
| Cypress | |||
| Semiconductor Corp. | 213,239 | 2,312 | |
| * | Finisar Corp. | 139,535 | 2,274 |
| * | NETGEAR Inc. | 57,481 | 2,266 |
| Cognex Corp. | 61,518 | 2,265 | |
| * | Advanced Micro | ||
| Devices Inc. | 909,605 | 2,183 | |
| * | Vantiv Inc. Class A | 106,700 | 2,179 |
| Fair Isaac Corp. | 51,732 | 2,174 | |
| * | Sourcefire Inc. | 45,369 | 2,142 |
| * | Vishay Intertechnology Inc. | 198,426 | 2,109 |
| Dolby Laboratories Inc. | |||
| Class A | 71,788 | 2,106 | |
| * | ValueClick Inc. | 107,874 | 2,094 |
| MKS Instruments Inc. | 80,008 | 2,063 | |
| Littelfuse Inc. | 32,983 | 2,035 | |
| j2 Global Inc. | 66,362 | 2,029 |
| * | Progress Software Corp. | 96,318 | 2,022 |
| * | Acxiom Corp. | 115,546 | 2,017 |
| * | TylerTechnologies Inc. | 41,189 | 1,995 |
| NIC Inc. | 121,848 | 1,991 | |
| * | Acme Packet Inc. | 88,162 | 1,950 |
| * | EchoStar Corp. Class A | 56,830 | 1,945 |
| * | SplunkInc. | 65,900 | 1,912 |
| * | Entegris Inc. | 207,581 | 1,906 |
| * | RF Micro Devices Inc. | 418,516 | 1,875 |
| * | Dealertrack | ||
| Technologies Inc. | 64,814 | 1,861 | |
| * | Manhattan Associates Inc. | 30,758 | 1,856 |
| * | International Rectifier Corp. | 104,407 | 1,851 |
| * | OSI Systems Inc. | 28,778 | 1,843 |
| * | Benchmark Electronics Inc. | 109,519 | 1,820 |
| Coherent Inc. | 35,778 | 1,811 | |
| *,^ | VirnetX Holding Corp. | 61,672 | 1,806 |
| * | Fusion-io Inc. | 78,639 | 1,803 |
| * | Sapient Corp. | 169,893 | 1,794 |
| * | CACIInternational Inc. | ||
| Class A | 32,594 | 1,794 | |
| * | Euronet Worldwide Inc. | 75,636 | 1,785 |
| ADTRAN Inc. | 90,678 | 1,772 | |
| * | Veeco Instruments Inc. | 59,602 | 1,759 |
| * | Bottomline | ||
| Technologies Inc. | 66,046 | 1,743 | |
| Heartland Payment | |||
| Systems Inc. | 58,835 | 1,736 | |
| * | ServiceNow Inc. | 56,800 | 1,706 |
| * | Integrated Device | ||
| Technology Inc. | 233,433 | 1,704 | |
| * | Guidewire Software Inc. | 56,926 | 1,692 |
| * | PMC - Sierra Inc. | 315,741 | 1,645 |
| * | BroadSoft Inc. | 45,029 | 1,636 |
| * | Universal Display Corp. | 63,360 | 1,623 |
| * | Cardtronics Inc. | 67,564 | 1,604 |
| * | ZyngaInc. Class A | 668,322 | 1,584 |
| Intersil Corp. Class A | 190,760 | 1,581 | |
| * | Liquidity Services Inc. | 38,335 | 1,566 |
| Tessera Technologies Inc. | 94,306 | 1,549 | |
| Blackbaud Inc. | 67,458 | 1,540 | |
| *,^ | VistaPrint NV | 46,762 | 1,537 |
| * | ATMI Inc. | 71,723 | 1,498 |
| SyntelInc. | 27,740 | 1,487 | |
| * | SS&C Technologies | ||
| Holdings Inc. | 64,055 | 1,481 | |
| Badger Meter Inc. | 30,649 | 1,453 | |
| Power Integrations Inc. | 42,674 | 1,434 | |
| * | QLogic Corp. | 147,025 | 1,431 |
| * | Insight Enterprises Inc. | 82,144 | 1,427 |
| Blucora Inc. | 89,473 | 1,406 | |
| * | Kulicke & Soffa | ||
| Industries Inc. | 116,901 | 1,402 | |
| * | Applied Micro | ||
| Circuits Corp. | 165,316 | 1,389 |
38
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | CSG Systems | ||
| International Inc. | 76,324 | 1,388 | |
| EarthLink Inc. | 213,666 | 1,380 | |
| * | Diodes Inc. | 78,450 | 1,361 |
| * | SynapticsInc. | 45,250 | 1,356 |
| * | Plexus Corp. | 51,900 | 1,339 |
| * | Ellie Mae Inc. | 47,000 | 1,304 |
| * | Comverse Technology Inc. | 332,256 | 1,276 |
| * | Advanced Energy | ||
| Industries Inc. | 91,121 | 1,258 | |
| * | OmniVision | ||
| Technologies Inc. | 89,159 | 1,255 | |
| * | Electronics for Imaging Inc. | 65,984 | 1,253 |
| * | Cray Inc. | 78,396 | 1,250 |
| * | Websense Inc. | 81,897 | 1,232 |
| * | Accelrys Inc. | 135,629 | 1,227 |
| Cabot | |||
| Microelectronics Corp. | 33,960 | 1,206 | |
| * | Netscout Systems Inc. | 46,246 | 1,202 |
| Tellabs Inc. | 526,731 | 1,201 | |
| * | CheckpointSystems Inc. | 111,189 | 1,194 |
| * | SYNNEXCorp. | 34,715 | 1,193 |
| * | MicroStrategy Inc. Class A | 12,733 | 1,189 |
| Molex Inc. | 43,135 | 1,179 | |
| * | TriQuint | ||
| Semiconductor Inc. | 243,205 | 1,177 | |
| * | Advent Software Inc. | 55,011 | 1,176 |
| * | Dice Holdings Inc. | 126,787 | 1,164 |
| * | ScanSource Inc. | 36,506 | 1,160 |
| * | OpenTableInc. | 23,675 | 1,155 |
| * | Constant Contact Inc. | 79,795 | 1,134 |
| * | WebMD Health Corp. | 78,392 | 1,124 |
| * | FAROTechnologies Inc. | 31,135 | 1,111 |
| * | Sanmina Corp. | 97,543 | 1,080 |
| * | Take-Two Interactive | ||
| Software Inc. | 97,723 | 1,076 | |
| * | Comverse Inc. | 37,015 | 1,056 |
| * | Digital River Inc. | 73,271 | 1,054 |
| * | PROS Holdings Inc. | 57,466 | 1,051 |
| * | Amkor Technology Inc. | 245,299 | 1,043 |
| Black Box Corp. | 41,809 | 1,018 | |
| Ebix Inc. | 62,988 | 1,012 | |
| MTS Systems Corp. | 19,791 | 1,008 | |
| * | MEMC Electronic | ||
| Materials Inc. | 312,076 | 1,002 | |
| * | Interactive Intelligence | ||
| Group Inc. | 29,867 | 1,002 | |
| * | SpansionInc. Class A | 71,508 | 995 |
| Brooks Automation Inc. | 122,103 | 983 | |
| * | Ultratech Inc. | 26,184 | 977 |
| * | Monster Worldwide Inc. | 173,275 | 974 |
| EPIQSystems Inc. | 74,651 | 954 | |
| * | Harmonic Inc. | 186,986 | 948 |
| * | Ceva Inc. | 60,056 | 946 |
| * | Rogers Corp. | 18,532 | 920 |
| * | Unisys Corp. | 52,757 | 913 |
| * | Rofin-Sinar | ||
| Technologies Inc. | 42,087 | 912 | |
| * | Emulex Corp. | 124,024 | 905 |
| CTS Corp. | 84,356 | 897 | |
| * | Actuate Corp. | 158,104 | 885 |
| * | Lattice | ||
| Semiconductor Corp. | 221,655 | 884 | |
| * | Internap Network | ||
| Services Corp. | 126,075 | 875 | |
| * | Computer Task Group Inc. | 47,231 | 861 |
| * | RealPage Inc. | 39,646 | 855 |
| Comtech | |||
| Telecommunications Corp. | 33,464 | 849 | |
| * | TeleTech Holdings Inc. | 47,329 | 842 |
| Daktronics Inc. | 75,934 | 841 | |
| * | Angie’s List Inc. | 68,550 | 822 |
| * | Axcelis Technologies Inc. | 590,842 | 821 |
| Forrester Research Inc. | 29,258 | 784 | |
| * | Aviat Networks Inc. | 236,110 | 777 |
| * | MIPS Technologies Inc. | ||
| Class A | 99,036 | 774 | |
| * | CalAmp Corp. | 91,904 | 765 |
| * | TNSInc. | 36,359 | 754 |
| * | Anaren Inc. | 37,800 | 735 |
| Loral Space & | |||
| Communications Inc. | 13,411 | 733 | |
| * | Intermec Inc. | 73,857 | 728 |
| AVX Corp. | 67,202 | 724 | |
| * | FormFactor Inc. | 158,042 | 721 |
| Methode Electronics Inc. | 70,899 | 711 | |
| Keynote Systems Inc. | 49,791 | 702 | |
| * | Infinera Corp. | 118,981 | 691 |
| Monolithic Power | |||
| Systems Inc. | 30,822 | 687 | |
| * | ExlService Holdings Inc. | 25,837 | 685 |
| * | Ixia | 40,237 | 683 |
| * | Callidus Software Inc. | 150,046 | 681 |
| Mantech International | |||
| Corp. Class A | 26,241 | 681 | |
| Pegasystems Inc. | 29,520 | 670 | |
| * | Cornerstone | ||
| OnDemand Inc. | 22,221 | 656 | |
| Cohu Inc. | 60,498 | 656 | |
| * | CIBER Inc. | 195,969 | 655 |
| * | iGATE Corp. | 41,342 | 652 |
| * | Entropic | ||
| Communications Inc. | 122,781 | 650 | |
| * | ExactTarget Inc. | 32,400 | 648 |
| * | Palo Alto Networks Inc. | 12,100 | 648 |
| * | XO Group Inc. | 68,774 | 640 |
| * | Calix Inc. | 83,075 | 639 |
| * | TTM Technologies Inc. | 69,285 | 637 |
| * | Rambus Inc. | 129,130 | 630 |
| * | LivePerson Inc. | 47,673 | 626 |
39
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Agilysys Inc. | 74,761 | 626 |
| Electro Scientific | |||
| Industries Inc. | 62,883 | 626 | |
| * | Integrated Silicon | ||
| Solution Inc. | 69,416 | 625 | |
| * | RealD Inc. | 54,807 | 614 |
| * | Freescale | ||
| Semiconductor Ltd. | 54,685 | 602 | |
| * | Exar Corp. | 66,713 | 594 |
| * | Avid Technology Inc. | 78,308 | 594 |
| * | Bazaarvoice Inc. | 62,965 | 589 |
| * | Synchronoss | ||
| Technologies Inc. | 27,099 | 572 | |
| * | Verint Systems Inc. | 19,143 | 562 |
| * | Active Network Inc. | 114,080 | 560 |
| * | Extreme Networks | 153,497 | 559 |
| Park Electrochemical Corp. | 21,537 | 554 | |
| * | Aeroflex Holding Corp. | 78,671 | 551 |
| * | Bankrate Inc. | 43,933 | 547 |
| * | GT Advanced | ||
| Technologies Inc. | 179,793 | 543 | |
| * | Global Cash Access | ||
| Holdings Inc. | 67,697 | 531 | |
| * | Web.com Group Inc. | 34,250 | 507 |
| * | IntraLinks Holdings Inc. | 81,822 | 505 |
| IXYS Corp. | 55,052 | 503 | |
| * | Move Inc. | 64,967 | 493 |
| * | Envestnet Inc. | 34,345 | 479 |
| * | LTX-Credence Corp. | 72,810 | 478 |
| * | Power-One Inc. | 116,170 | 477 |
| * | Digi International Inc. | 50,319 | 477 |
| * | ANADIGICS Inc. | 186,501 | 470 |
| * | OplinkCommunications Inc. | 29,804 | 464 |
| * | DTS Inc. | 27,739 | 463 |
| United Online Inc. | 81,653 | 456 | |
| Monotype Imaging | |||
| Holdings Inc. | 28,385 | 454 | |
| * | Measurement | ||
| Specialties Inc. | 13,131 | 451 | |
| Electro Rent Corp. | 29,330 | 451 | |
| Cass Information | |||
| Systems Inc. | 10,680 | 451 | |
| * | KVH Industries Inc. | 32,125 | 449 |
| * | Silicon Graphics | ||
| International Corp. | 43,262 | 443 | |
| Micrel Inc. | 46,569 | 442 | |
| * | Multi-Fineline Electronix Inc. | 21,291 | 430 |
| American Software Inc. | |||
| Class A | 54,908 | 426 | |
| * | Kemet Corp. | 84,684 | 426 |
| * | Stamps.com Inc. | 16,846 | 425 |
| * | Fabrinet | 32,085 | 422 |
| * | Limelight Networks Inc. | 186,544 | 414 |
| * | Sonus Networks Inc. | 242,672 | 413 |
| * | Imation Corp. | 87,308 | 408 |
| * | Saba Software Inc. | 44,797 | 392 |
| * | SunPower Corp. Class A | 68,850 | 387 |
| * | LogMeIn Inc. | 17,217 | 386 |
| * | Immersion Corp. | 55,249 | 380 |
| * | Carbonite Inc. | 40,905 | 378 |
| * | Newport Corp. | 28,032 | 377 |
| * | NVE Corp. | 6,628 | 368 |
| * | comScore Inc. | 26,436 | 364 |
| * | Volterra | ||
| Semiconductor Corp. | 21,049 | 361 | |
| * | Globecomm Systems Inc. | 31,230 | 353 |
| * | IpassInc. | 192,305 | 352 |
| * | Lionbridge | ||
| Technologies Inc. | 87,265 | 351 | |
| * | ModusLink Global | ||
| Solutions Inc. | 120,849 | 350 | |
| * | FalconStor Software Inc. | 150,119 | 350 |
| Bel Fuse Inc. Class B | 17,616 | 344 | |
| Hackett Group Inc. | 78,778 | 337 | |
| * | SPSCommerce Inc. | 9,024 | 336 |
| * | Kopin Corp. | 98,250 | 327 |
| Unwired Planet Inc. | 268,854 | 323 | |
| Booz Allen Hamilton | |||
| Holding Corp. | 23,051 | 321 | |
| * | RealNetworks Inc. | 41,499 | 314 |
| * | Demand Media Inc. | 33,553 | 312 |
| *,^ | Higher One Holdings Inc. | 27,738 | 292 |
| * | Tangoe Inc. | 24,500 | 291 |
| Marchex Inc. Class B | 70,034 | 288 | |
| * | Infoblox Inc. | 16,007 | 288 |
| * | Silicon Image Inc. | 56,547 | 280 |
| * | Mercury Systems Inc. | 30,156 | 277 |
| * | Quantum Corp. | 223,325 | 277 |
| * | DSP Group Inc. | 47,184 | 272 |
| * | Perficient Inc. | 23,019 | 271 |
| * | Maxwell Technologies Inc. | 32,373 | 268 |
| * | Echelon Corp. | 108,653 | 266 |
| Aware Inc. | 48,420 | 265 | |
| * | Virtusa Corp. | 15,114 | 248 |
| * | Emcore Corp. | 57,368 | 247 |
| * | DynamicsResearch Corp. | 41,914 | 245 |
| * | Vocus Inc. | 13,005 | 226 |
| * | Datalink Corp. | 25,455 | 218 |
| * | Jive Software Inc. | 14,922 | 217 |
| * | Vishay Precision Group Inc. | 15,985 | 211 |
| * | Mindspeed Technologies Inc. | 44,954 | 210 |
| * | MoneyGram | ||
| International Inc. | 15,555 | 207 | |
| * | VASCOData Security | ||
| International Inc. | 25,148 | 205 | |
| * | Net 1 UEPS | ||
| Technologies Inc. | 40,139 | 205 | |
| TheStreetInc. | 122,386 | 204 | |
| * | STEC Inc. | 40,298 | 199 |
40
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Alpha & Omega | ||
| Semiconductor Ltd. | 23,616 | 198 | |
| * | Procera Networks Inc. | 10,524 | 195 |
| * | Nanometrics Inc. | 13,307 | 192 |
| * | ServiceSource | ||
| International Inc. | 32,408 | 190 | |
| * | Guidance Software Inc. | 15,923 | 189 |
| * | ZygoCorp. | 11,953 | 188 |
| * | Reis Inc. | 13,713 | 179 |
| * | Autobytel Inc. | 44,814 | 178 |
| * | Edgewater Technology Inc. | 46,266 | 176 |
| * | Super Micro Computer Inc. | 16,702 | 170 |
| PC-Tel Inc. | 23,554 | 170 | |
| Concurrent Computer Corp. | 29,783 | 169 | |
| * | Sigma Designs Inc. | 32,175 | 166 |
| * | Photronics Inc. | 27,458 | 164 |
| * | Seachange International Inc. | 16,536 | 160 |
| * | Rudolph Technologies Inc. | 11,852 | 159 |
| * | AXT Inc. | 54,038 | 152 |
| * | Information Services | ||
| Group Inc. | 128,428 | 148 | |
| * | SparkNetworks Inc. | 18,287 | 143 |
| * | InvenSense Inc. | 12,800 | 142 |
| * | Imperva Inc. | 4,400 | 139 |
| * | support.com Inc. | 32,752 | 137 |
| Supertex Inc. | 7,784 | 137 | |
| * | Dot Hill Systems Corp. | 145,296 | 136 |
| * | QuinStreet Inc. | 19,202 | 129 |
| * | CyberOpticsCorp. | 16,435 | 122 |
| PC Connection Inc. | 10,505 | 121 | |
| SycamoreNetworks Inc. | 53,687 | 120 | |
| * | ShoreTelInc. | 28,187 | 120 |
| * | Identive Group Inc. | 75,453 | 113 |
| * | Amtech Systems Inc. | 34,538 | 111 |
| * | GSI Technology Inc. | 17,723 | 111 |
| * | Oclaro Inc. | 70,562 | 111 |
| * | PDF Solutions Inc. | 8,005 | 110 |
| * | Cinedigm Digital Cinema | ||
| Corp. Class A | 77,989 | 109 | |
| * | Novatel Wireless Inc. | 78,198 | 105 |
| * | Pericom | ||
| Semiconductor Corp. | 12,912 | 104 | |
| * | Intevac Inc. | 22,587 | 103 |
| * | Inphi Corp. | 10,284 | 99 |
| * | SymmetricomInc. | 16,944 | 98 |
| * | Market Leader Inc. | 14,628 | 96 |
| * | Millennial Media Inc. | 7,500 | 94 |
| * | LRADCorp. | 82,645 | 91 |
| * | LoJack Corp. | 30,922 | 86 |
| * | Zix Corp. | 29,453 | 82 |
| Richardson Electronics Ltd. | 7,239 | 82 | |
| * | Rosetta Stone Inc. | 6,584 | 81 |
| EvolvingSystems Inc. | 13,528 | 81 | |
| * | MaxLinear Inc. | 15,986 | 80 |
| *,^ | OCZ Technology Group Inc. | 41,752 | 80 |
| * | Telenav Inc. | 9,993 | 80 |
| * | GSI Group Inc. | 8,661 | 75 |
| * | Proofpoint Inc. | 6,000 | 74 |
| * | Document Security | ||
| Systems Inc. | 33,661 | 73 | |
| * | Rubicon Technology Inc. | 11,949 | 73 |
| * | Hutchinson Technology Inc. | 36,408 | 73 |
| Crexendo Inc. | 25,382 | 72 | |
| * | Ikanos Communications Inc. | 43,344 | 70 |
| * | Travelzoo Inc. | 3,696 | 70 |
| * | STR Holdings Inc. | 27,740 | 70 |
| Telular Corp. | 7,116 | 67 | |
| * | TeleCommunication | ||
| Systems Inc. Class A | 27,184 | 67 | |
| * | MoSys Inc. | 19,222 | 67 |
| * | PRGX Global Inc. | 10,336 | 67 |
| Digimarc Corp. | 3,004 | 62 | |
| * | StarTek Inc. | 15,375 | 62 |
| * | QuickLogic Corp. | 27,004 | 59 |
| * | Responsys Inc. | 9,767 | 58 |
| * | Innodata Inc. | 15,170 | 57 |
| *,^ | Glu Mobile Inc. | 24,752 | 57 |
| Frequency Electronics Inc. | 6,498 | 53 | |
| QADInc. Class A | 3,629 | 52 | |
| * | PLX Technology Inc. | 13,702 | 50 |
| * | Looksmart Ltd. | 54,701 | 49 |
| * | Cascade Microtech Inc. | 8,600 | 48 |
| * | Smith Micro Software Inc. | 31,088 | 47 |
| * | SciQuest Inc. | 2,900 | 46 |
| * | Radisys Corp. | 15,433 | 46 |
| * | Bsquare Corp. | 15,441 | 46 |
| * | Wave Systems Corp. | ||
| Class A | 62,907 | 45 | |
| Rimage Corp. | 6,050 | 40 | |
| * | ID Systems Inc. | 6,809 | 40 |
| * | Mattson Technology Inc. | 45,776 | 38 |
| * | PAR Technology Corp. | 7,772 | 38 |
| * | Pixelworks Inc. | 15,645 | 35 |
| *,^ | Motricity Inc. | 83,249 | 34 |
| * | Westell Technologies Inc. | ||
| Class A | 17,678 | 33 | |
| * | Numerex Corp. Class A | 2,362 | 31 |
| * | GSE Systems Inc. | 13,415 | 29 |
| * | Online Resources Corp. | 12,713 | 29 |
| * | MEMSIC Inc. | 8,040 | 27 |
| Bel Fuse Inc. Class A | 1,477 | 25 | |
| * | Planar Systems Inc. | 13,735 | 20 |
| * | Meru Networks Inc. | 7,340 | 19 |
| * | BTU International Inc. | 9,344 | 19 |
| * | NCI Inc. Class A | 3,856 | 18 |
| * | Demandware Inc. | 600 | 16 |
| * | Mitek Systems Inc. | 4,800 | 15 |
| * | Parkervision Inc. | 7,548 | 15 |
| * | Mitel Networks Corp. | 4,575 | 14 |
| * | Rainmaker Systems Inc. | 19,115 | 14 |
41
Institutional Total Stock Market Index Fund
| Market | ||||
| Value | ||||
| Shares | ($000) | |||
| * | Lantronix Inc. | 6,995 | 14 | |
| * | Microvision Inc. | 7,111 | 14 | |
| * | Viasystems Group Inc. | 1,104 | 13 | |
| * | TechTarget Inc. | 2,379 | 13 | |
| Transact Technologies Inc. | 1,540 | 11 | ||
| * | Mattersight Corp. | 2,159 | 11 | |
| * | Ultra Clean Holdings | 2,159 | 11 | |
| * | Intellicheck Mobilisa Inc. | 16,110 | 10 | |
| * | WebMediaBrands Inc. | 5,176 | 10 | |
| * | Transwitch Corp. | 16,462 | 10 | |
| *,^ | Powerwave | |||
| Technologies Inc. | 32,363 | 10 | ||
| * | Research Frontiers Inc. | 2,555 | 10 | |
| * | Pervasive Software Inc. | 1,008 | 9 | |
| * | Pulse Electronics Corp. | 26,190 | 8 | |
| QADInc. Class B | 573 | 8 | ||
| * | Selectica Inc. | 829 | 5 | |
| * | ZhoneTechnologies Inc. | 10,572 | 5 | |
| ePlusInc. | 100 | 4 | ||
| * | Superconductor | |||
| Technologies Inc. | 7,872 | 2 | ||
| * | Wireless Telecom | |||
| Group Inc. | 1,403 | 2 | ||
| * | Magnachip | |||
| Semiconductor Corp. | 100 | 2 | ||
| * | Management Network | |||
| Group Inc. | 626 | 1 | ||
| * | OfficialPayments | |||
| Holdings Inc. Class B | 121 | 1 | ||
| * | PC Mall Inc. | 63 | — | |
| * | Newtek Business Services Inc. | 204 | — | |
| * | Video Display Corp. | 19 | — | |
| * | Performance Technologies Inc. | 70 | — | |
| 4,365,241 | ||||
| Materials (4.0%) | ||||
| Monsanto Co. | 802,287 | 75,936 | ||
| EI du Pont | ||||
| de Nemours & Co. | 1,400,596 | 62,985 | ||
| Dow Chemical Co. | 1,803,631 | 58,293 | ||
| Praxair Inc. | 448,896 | 49,132 | ||
| Freeport-McMoRan | ||||
| Copper & Gold Inc. | 1,428,939 | 48,870 | ||
| Newmont Mining Corp. | 746,884 | 34,685 | ||
| Ecolab Inc. | 440,340 | 31,660 | ||
| PPG Industries Inc. | 229,844 | 31,109 | ||
| LyondellBasellIndustries | ||||
| NV Class A | 476,049 | 27,178 | ||
| Air Products & | ||||
| Chemicals Inc. | 318,746 | 26,781 | ||
| Mosaic Co. | 465,018 | 26,334 | ||
| International Paper Co. | 625,461 | 24,918 | ||
| Nucor Corp. | 477,930 | 20,637 | ||
| Sherwin-WilliamsCo. | 131,441 | 20,218 | ||
| CF Industries Holdings Inc. | 94,386 | 19,175 | ||
| Eastman Chemical Co. | 230,397 | 15,679 | ||
| Alcoa Inc. | 1,607,481 | 13,953 | ||
| Sigma-Aldrich Corp. | 182,034 | 13,394 | ||
| FMC Corp. | 206,887 | 12,107 | ||
| Celanese Corp. Class A | 239,952 | 10,685 | ||
| Vulcan Materials Co. | 195,079 | 10,154 | ||
| Ball Corp. | 221,763 | 9,924 | ||
| Ashland Inc. | 118,323 | 9,514 | ||
| Airgas Inc. | 98,666 | 9,007 | ||
| Albemarle Corp. | 135,019 | 8,387 | ||
| MeadWestvaco Corp. | 261,412 | 8,331 | ||
| Cliffs Natural | ||||
| Resources Inc. | 214,676 | 8,278 | ||
| * | Crown Holdings Inc. | 224,435 | 8,261 | |
| International Flavors & | ||||
| Fragrances Inc. | 122,732 | 8,167 | ||
| Valspar Corp. | 130,532 | 8,145 | ||
| Royal Gold Inc. | 96,868 | 7,876 | ||
| Rock-Tenn Co. Class A | 106,710 | 7,460 | ||
| * | WR Grace & Co. | 107,306 | 7,214 | |
| Reliance Steel & | ||||
| Aluminum Co. | 113,372 | 7,040 | ||
| Martin Marietta | ||||
| Materials Inc. | 69,114 | 6,516 | ||
| RPM International Inc. | 199,339 | 5,853 | ||
| Packaging Corp. of America | 148,033 | 5,695 | ||
| Rockwood Holdings Inc. | 112,082 | 5,544 | ||
| Bemis Co. Inc. | 155,633 | 5,207 | ||
| United States Steel Corp. | 217,291 | 5,187 | ||
| * | Owens-IllinoisInc. | 237,003 | 5,041 | |
| Huntsman Corp. | 312,450 | 4,968 | ||
| Sealed Air Corp. | 278,319 | 4,873 | ||
| Aptargroup Inc. | 100,404 | 4,791 | ||
| Allegheny Technologies Inc. | 153,396 | 4,657 | ||
| CytecIndustries Inc. | 66,025 | 4,544 | ||
| Sonoco Products Co. | 151,636 | 4,508 | ||
| Domtar Corp. | 53,070 | 4,432 | ||
| Steel Dynamics Inc. | 314,881 | 4,323 | ||
| NewMarket Corp. | 16,185 | 4,244 | ||
| Eagle Materials Inc. | 69,241 | 4,051 | ||
| * | Louisiana-Pacific Corp. | 208,282 | 4,024 | |
| * | Allied Nevada Gold Corp. | 128,549 | 3,873 | |
| Cabot Corp. | 95,747 | 3,810 | ||
| Compass Minerals | ||||
| International Inc. | 50,052 | 3,739 | ||
| Carpenter Technology Corp. | 67,316 | 3,476 | ||
| Walter Energy Inc. | 94,277 | 3,383 | ||
| * | Coeur d’Alene Mines Corp. | 135,990 | 3,345 | |
| Silgan Holdings Inc. | 78,878 | 3,281 | ||
| * | ChemturaCorp. | 148,636 | 3,160 | |
| Scotts Miracle-Gro Co. | ||||
| Class A | 64,517 | 2,842 | ||
| Sensient | ||||
| Technologies Corp. | 75,419 | 2,682 | ||
| HB Fuller Co. | 75,532 | 2,630 | ||
| Olin Corp. | 121,285 | 2,619 | ||
42
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| PolyOne Corp. | 128,208 | 2,618 | |
| Hecla Mining Co. | 432,537 | 2,522 | |
| Westlake Chemical Corp. | 30,275 | 2,401 | |
| Commercial Metals Co. | 158,513 | 2,355 | |
| * | Stillwater Mining Co. | 174,855 | 2,235 |
| Georgia Gulf Corp. | 51,996 | 2,146 | |
| Minerals Technologies Inc. | 53,702 | 2,144 | |
| Tronox Ltd. Class A | 116,900 | 2,133 | |
| Worthington Industries Inc. | 79,529 | 2,067 | |
| * | Resolute Forest Products | 150,833 | 1,997 |
| Schweitzer-Mauduit | |||
| International Inc. | 47,340 | 1,848 | |
| Intrepid Potash Inc. | 85,846 | 1,828 | |
| Buckeye Technologies Inc. | 60,675 | 1,742 | |
| Greif Inc. Class A | 38,014 | 1,692 | |
| * | SunCoke Energy Inc. | 106,586 | 1,662 |
| Balchem Corp. | 45,506 | 1,656 | |
| * | Clearwater Paper Corp. | 42,112 | 1,649 |
| Kaiser Aluminum Corp. | 26,334 | 1,625 | |
| Innophos Holdings Inc. | 32,837 | 1,527 | |
| AMCOL International Corp. | 49,167 | 1,508 | |
| * | Texas Industries Inc. | 28,637 | 1,461 |
| American Vanguard Corp. | 47,002 | 1,460 | |
| * | Flotek Industries Inc. | 110,853 | 1,352 |
| * | Calgon Carbon Corp. | 95,341 | 1,352 |
| Innospec Inc. | 37,317 | 1,287 | |
| PH Glatfelter Co. | 72,093 | 1,260 | |
| * | RTI International | ||
| Metals Inc. | 42,426 | 1,169 | |
| Schnitzer Steel | |||
| Industries Inc. | 38,371 | 1,164 | |
| * | McEwen Mining Inc. | 301,094 | 1,153 |
| * | Kraton Performance | ||
| Polymers Inc. | 47,521 | 1,142 | |
| Quaker Chemical Corp. | 21,113 | 1,137 | |
| Globe Specialty Metals Inc. | 82,305 | 1,132 | |
| Haynes International Inc. | 21,660 | 1,124 | |
| Stepan Co. | 20,088 | 1,116 | |
| * | Graphic Packaging | ||
| Holding Co. | 172,000 | 1,111 | |
| MyersIndustries Inc. | 69,274 | 1,049 | |
| Neenah Paper Inc. | 34,589 | 985 | |
| * | OM Group Inc. | 43,719 | 971 |
| AK Steel Holding Corp. | 204,684 | 942 | |
| Koppers Holdings Inc. | 24,620 | 939 | |
| * | Molycorp Inc. | 98,643 | 931 |
| * | AM Castle & Co. | 62,258 | 920 |
| KapStone Paper and | |||
| Packaging Corp. | 41,168 | 914 | |
| Materion Corp. | 34,794 | 897 | |
| Deltic Timber Corp. | 12,649 | 893 | |
| * | Headwaters Inc. | 102,319 | 876 |
| A Schulman Inc. | 29,868 | 864 | |
| * | Century Aluminum Co. | 97,116 | 851 |
| Boise Inc. | 106,879 | 850 |
| * | General Moly Inc. | 191,499 | 768 |
| Tredegar Corp. | 35,943 | 734 | |
| * | Ferro Corp. | 173,989 | 727 |
| * | LSB Industries Inc. | 18,500 | 655 |
| Hawkins Inc. | 16,787 | 649 | |
| * | Mercer International Inc. | 87,963 | 630 |
| * | OMNOVA Solutions Inc. | 74,425 | 522 |
| * | Horsehead Holding Corp. | 47,129 | 481 |
| ^ | Gold Resource Corp. | 30,607 | 472 |
| * | Landec Corp. | 47,124 | 447 |
| * | ADA-ES Inc. | 25,800 | 436 |
| Olympic Steel Inc. | 17,882 | 396 | |
| ^ | Kronos Worldwide Inc. | 20,160 | 393 |
| Wausau Paper Corp. | 41,426 | 359 | |
| * | Paramount Gold and | ||
| Silver Corp. | 147,489 | 342 | |
| Metals USA Holdings Corp. | 18,576 | 325 | |
| Zep Inc. | 22,054 | 318 | |
| * | AEP Industries Inc. | 5,357 | 317 |
| * | SpartechCorp. | 34,455 | 313 |
| ChaseCorp. | 14,600 | 272 | |
| * | Zoltek Cos. Inc. | 32,566 | 252 |
| * | Universal Stainless & Alloy | 6,559 | 241 |
| Noranda Aluminum | |||
| Holding Corp. | 34,663 | 212 | |
| * | Golden Minerals Co. | 43,495 | 200 |
| KMG Chemicals Inc. | 10,994 | 193 | |
| * | American Pacific Corp. | 11,774 | 182 |
| * | Arabian American | ||
| Development Co. | 10,600 | 88 | |
| * | Penford Corp. | 10,687 | 79 |
| * | Solitario Exploration & | ||
| Royalty Corp. | 40,487 | 68 | |
| * | Senomyx Inc. | 30,755 | 52 |
| * | Verso Paper Corp. | 45,239 | 48 |
| * | United States Lime & | ||
| Minerals Inc. | 813 | 38 | |
| *,^ | Clean Diesel | ||
| Technologies Inc. | 14,310 | 31 | |
| * | Midway Gold Corp. | 3,700 | 5 |
| * | Continental Materials Corp. | 5 | — |
| 950,687 | |||
| Telecommunication Services (2.7%) | |||
| AT&T Inc. | 8,684,190 | 292,744 | |
| Verizon | |||
| Communications Inc. | 4,288,469 | 185,562 | |
| CenturyLink Inc. | 937,333 | 36,669 | |
| * | Crown Castle | ||
| International Corp. | 441,123 | 31,831 | |
| * | SprintNextel Corp. | 4,516,620 | 25,609 |
| * | SBACommunications | ||
| Corp. Class A | 183,293 | 13,018 | |
| Windstream Corp. | 887,247 | 7,346 | |
| Frontier | |||
| Communications Corp. | 1,504,571 | 6,440 | |
43
Institutional Total Stock Market Index Fund
| Market | ||||
| Value | ||||
| Shares | ($000) | |||
| * | twtelecom inc Class A | 228,008 | 5,807 | |
| * | Level 3 | |||
| Communications Inc. | 228,921 | 5,290 | ||
| * | MetroPCS | |||
| Communications Inc. | 465,854 | 4,631 | ||
| Telephone & Data | ||||
| Systems Inc. | 137,666 | 3,048 | ||
| * | Clearwire Corp. Class A | 766,831 | 2,216 | |
| * | Cincinnati Bell Inc. | 369,984 | 2,028 | |
| * | NII Holdings Inc. | 260,395 | 1,857 | |
| Cogent Communications | ||||
| Group Inc. | 68,807 | 1,558 | ||
| * | 8x8 Inc. | 153,141 | 1,132 | |
| Atlantic Tele-Network Inc. | 25,144 | 923 | ||
| * | Leap Wireless | |||
| International Inc. | 123,806 | 823 | ||
| * | United States Cellular Corp. | 20,519 | 723 | |
| * | Premiere Global | |||
| Services Inc. | 67,298 | 658 | ||
| * | Cbeyond Inc. | 71,339 | 645 | |
| * | General Communication | |||
| Inc. Class A | 61,670 | 591 | ||
| Consolidated | ||||
| Communications | ||||
| Holdings Inc. | 34,661 | 552 | ||
| NTELOS Holdings Corp. | 35,128 | 461 | ||
| Shenandoah | ||||
| Telecommunications Co. | 25,862 | 396 | ||
| HickoryTech Corp. | 38,868 | 378 | ||
| * | Vonage Holdings Corp. | 158,412 | 375 | |
| USA Mobility Inc. | 32,143 | 375 | ||
| Alaska Communications | ||||
| Systems Group Inc. | 172,525 | 335 | ||
| * | Iridium Communications Inc. | 40,339 | 272 | |
| Lumos Networks Corp. | 24,967 | 250 | ||
| IDT Corp. Class B | 23,847 | 228 | ||
| Primus Telecommunications | ||||
| Group Inc. | 7,400 | 80 | ||
| Neutral Tandem Inc. | 26,952 | 69 | ||
| * | Towerstream Corp. | 19,301 | 63 | |
| * | ORBCOMMInc. | 9,769 | 38 | |
| * | inContact Inc. | 4,400 | 23 | |
| * | Elephant Talk | |||
| Communications Corp. | 19,600 | 20 | ||
| Warwick Valley Telephone Co. | 38 | — | ||
| 635,064 | ||||
| Utilities (3.4%) | ||||
| Duke Energy Corp. | 1,059,997 | 67,628 | ||
| Southern Co. | 1,316,945 | 56,378 | ||
| Dominion Resources Inc. | 863,107 | 44,709 | ||
| NextEra Energy Inc. | 604,568 | 41,830 | ||
| Exelon Corp. | 1,284,991 | 38,216 | ||
| American Electric | ||||
| Power Co. Inc. | 730,026 | 31,158 | ||
| FirstEnergy Corp. | 629,634 | 26,294 | ||
| PG&E Corp. | 641,975 | 25,795 | |
| PPL Corp. | 874,199 | 25,028 | |
| Sempra Energy | 345,732 | 24,526 | |
| Consolidated Edison Inc. | 440,942 | 24,490 | |
| Public Service | |||
| Enterprise Group Inc. | 761,563 | 23,304 | |
| Edison International | 465,976 | 21,057 | |
| Xcel Energy Inc. | 733,981 | 19,605 | |
| Northeast Utilities | 472,419 | 18,462 | |
| Entergy Corp. | 267,071 | 17,026 | |
| DTE Energy Co. | 258,782 | 15,540 | |
| Wisconsin Energy Corp. | 347,348 | 12,800 | |
| ONEOKInc. | 293,633 | 12,553 | |
| CenterPoint Energy Inc. | 611,725 | 11,776 | |
| Ameren Corp. | 365,411 | 11,225 | |
| NRG Energy Inc. | 485,189 | 11,154 | |
| NiSource Inc. | 428,905 | 10,675 | |
| AES Corp. | 957,577 | 10,246 | |
| American Water | |||
| Works Co. Inc. | 265,611 | 9,862 | |
| CMS Energy Corp. | 399,525 | 9,740 | |
| SCANA Corp. | 188,084 | 8,584 | |
| Pinnacle West | |||
| Capital Corp. | 165,143 | 8,419 | |
| OGE Energy Corp. | 148,813 | 8,380 | |
| * | Calpine Corp. | 457,711 | 8,298 |
| Alliant Energy Corp. | 167,299 | 7,346 | |
| AGL Resources Inc. | 176,938 | 7,072 | |
| Pepco Holdings Inc. | 344,985 | 6,765 | |
| NV Energy Inc. | 355,469 | 6,448 | |
| Integrys Energy Group Inc. | 117,849 | 6,154 | |
| ITC Holdings Corp. | 77,783 | 5,982 | |
| MDU Resources | |||
| Group Inc. | 270,177 | 5,739 | |
| UGI Corp. | 169,510 | 5,545 | |
| Westar Energy Inc. | 190,181 | 5,443 | |
| National Fuel Gas Co. | 106,686 | 5,408 | |
| Aqua America Inc. | 211,003 | 5,364 | |
| Questar Corp. | 265,087 | 5,238 | |
| TECO Energy Inc. | 310,352 | 5,201 | |
| Atmos Energy Corp. | 135,977 | 4,776 | |
| Great Plains Energy Inc. | 231,756 | 4,707 | |
| Hawaiian Electric | |||
| Industries Inc. | 146,722 | 3,689 | |
| Cleco Corp. | 91,895 | 3,677 | |
| Vectren Corp. | 123,924 | 3,643 | |
| Piedmont Natural | |||
| Gas Co. Inc. | 108,576 | 3,400 | |
| IDACORP Inc. | 75,897 | 3,290 | |
| Portland General | |||
| Electric Co. | 114,144 | 3,123 | |
| WGL Holdings Inc. | 77,989 | 3,056 | |
| Southwest Gas Corp. | 69,607 | 2,952 | |
| UIL Holdings Corp. | 76,442 | 2,737 |
44
Institutional Total Stock Market Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| New Jersey | |||
| Resources Corp. | 62,755 | 2,486 | |
| PNM Resources Inc. | 120,457 | 2,471 | |
| South Jersey | |||
| Industries Inc. | 46,715 | 2,351 | |
| Black Hills Corp. | 63,240 | 2,298 | |
| Avista Corp. | 89,355 | 2,154 | |
| ALLETE Inc. | 52,024 | 2,132 | |
| NorthWestern Corp. | 56,349 | 1,957 | |
| El Paso Electric Co. | 57,839 | 1,846 | |
| Northwest Natural Gas Co. | 40,845 | 1,805 | |
| MGE Energy Inc. | 35,175 | 1,792 | |
| American States Water Co. | 29,774 | 1,429 | |
| CHEnergy Group Inc. | 21,435 | 1,398 | |
| Empire District Electric Co. | 65,899 | 1,343 | |
| Laclede Group Inc. | 34,330 | 1,325 | |
| Otter Tail Corp. | 43,785 | 1,095 | |
| California Water | |||
| Service Group | 59,074 | 1,084 | |
| SJWCorp. | 27,475 | 731 | |
| Connecticut Water | |||
| Service Inc. | 23,110 | 688 | |
| ChesapeakeUtilities Corp. | 13,891 | 631 | |
| Ormat Technologies Inc. | 26,286 | 507 | |
| Unitil Corp. | 14,371 | 372 | |
| Middlesex Water Co. | 15,893 | 311 | |
| Genie Energy Ltd. Class B | 29,059 | 206 | |
| Artesian Resources Corp. | |||
| Class A | 8,245 | 185 | |
| * | Cadiz Inc. | 23,073 | 183 |
| York Water Co. | 7,319 | 129 | |
| Delta Natural Gas Co. Inc. | 6,214 | 121 | |
| Consolidated Water Co. Ltd. | 15,207 | 113 | |
| * | Pure Cycle Corp. | 15,629 | 44 |
| * | SynthesisEnergy | ||
| Systems Inc. | 30,151 | 32 | |
| RGC Resources Inc. | 32 | 1 | |
| 807,376 | |||
| Total Common Stocks | |||
| (Cost $19,528,460) | 23,621,866 | ||
| Market | ||||
| Value | ||||
| Shares | ($000) | |||
| Temporary Cash Investments (1.0%)1 | ||||
| Money Market Fund (0.9%) | ||||
| 2,3 | Vanguard Market Liquidity | |||
| Fund, 0.162% | 220,073,553 | 220,074 | ||
| Face | ||||
| Amount | ||||
| ($000) | ||||
| U.S. Government and Agency Obligations (0.1%) | ||||
| 4,5 | Fannie Mae Discount | |||
| Notes, 0.097%, 3/27/13 | 1,000 | 1,000 | ||
| 4,5 | Freddie Mac Discount | |||
| Notes, 0.118%, 3/11/13 | 6,000 | 5,998 | ||
| 6,998 | ||||
| Total Temporary Cash Investments | ||||
| (Cost $227,072) | 227,072 | |||
| Total Investments (100.5%) | ||||
| (Cost $19,755,532) | 23,848,938 | |||
| Other Assets and Liabilities (-0.5%) | ||||
| Other Assets5 | 89,960 | |||
| Liabilities3 | (206,765) | |||
| (116,805) | ||||
| Net Assets (100%) | 23,732,133 | |||
45
Institutional Total Stock Market Index Fund
| At December 31, 2012, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 20,086,726 |
| Undistributed Net Investment Income | 3,026 |
| Accumulated Net Realized Losses | (452,224) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 4,093,406 |
| Futures Contracts | 1,199 |
| Net Assets | 23,732,133 |
| Institutional Shares—Net Assets | |
| Applicable to 92,982,652 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 3,000,921 |
| Net Asset Value Per Share— | |
| Institutional Shares | $32.27 |
| Institutional Plus Shares—Net Assets | |
| Applicable to 642,262,862 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 20,731,212 |
| Net Asset Value Per Share— | |
| Institutional Plus Shares | $32.28 |
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 $16,015,000.
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 0.5%, 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 $16,650,000 of collateral received for securities on loan.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for
senior preferred stock.
5 Securities with a value of $6,998,000 and cash of $1,000,000 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.
46
Institutional Total Stock Market Index Fund
Statement of Operations
| Year Ended | |
| December 31, 2012 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 487,521 |
| Interest1 | 104 |
| Security Lending | 4,097 |
| Total Income | 491,722 |
| Expenses | |
| The Vanguard Group—Note B | |
| Management and Administrative—Institutional Shares | 1,208 |
| Management and Administrative—Institutional Plus Shares | 3,694 |
| Total Expenses | 4,902 |
| Net Investment Income | 486,820 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 416,033 |
| Futures Contracts | 13,111 |
| Realized Net Gain (Loss) | 429,144 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 2,322,129 |
| Futures Contracts | (147) |
| Change in Unrealized Appreciation (Depreciation) | 2,321,982 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 3,237,946 |
| 1 Interest income from an affiliated company of the fund was $97,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
47
Institutional Total Stock Market Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2012 | 2011 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 486,820 | 320,924 |
| Realized Net Gain (Loss) | 429,144 | (195,466) |
| Change in Unrealized Appreciation (Depreciation) | 2,321,982 | 145,627 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 3,237,946 | 271,085 |
| Distributions | ||
| Net Investment Income | ||
| Institutional Shares | (65,877) | (50,403) |
| Institutional Plus Shares | (420,252) | (269,359) |
| Realized Capital Gain | ||
| Institutional Shares | — | — |
| Institutional Plus Shares | — | — |
| Total Distributions | (486,129) | (319,762) |
| Capital Share Transactions | ||
| Institutional Shares | (278,956) | 661,395 |
| Institutional Plus Shares | 2,298,734 | 3,123,665 |
| Net Increase (Decrease) from Capital Share Transactions | 2,019,778 | 3,785,060 |
| Total Increase (Decrease) | 4,771,595 | 3,736,383 |
| Net Assets | ||
| Beginning of Period | 18,960,538 | 15,224,155 |
| End of Period1 | 23,732,133 | 18,960,538 |
| 1 Net Assets—End of Period includes undistributed net investment income of $3,026,000 and $2,335,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
48
Institutional Total Stock Market Index Fund
Financial Highlights
| Institutional Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 |
| Net Asset Value, Beginning of Period | $28.32 | $28.54 | $24.80 | $19.68 | $31.89 |
| Investment Operations | |||||
| Net Investment Income | .694 | .532 | .495 | .483 | .550 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.950 | (.222) | 3.741 | 5.120 | (12.208) |
| Total from Investment Operations | 4.644 | .310 | 4.236 | 5.603 | (11.658) |
| Distributions | |||||
| Dividends from Net Investment Income | (.694) | (.530) | (.496) | (.483) | (.552) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.694) | (.530) | (.496) | (.483) | (.552) |
| Net Asset Value, End of Period | $32.27 | $28.32 | $28.54 | $24.80 | $19.68 |
| Total Return | 16.47% | 1.09% | 17.28% | 28.84% | -36.90% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $3,001 | $2,874 | $2,248 | $1,700 | $1,106 |
| Ratio of Total Expenses to | |||||
| Average Net Assets | 0.040% | 0.042% | 0.045% | 0.045% | 0.045% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 2.25% | 1.93% | 1.95% | 2.36% | 2.12% |
| Portfolio Turnover Rate1 | 8% | 12% | 14% | 13% | 13% |
| 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.
49
Institutional Total Stock Market Index Fund
Financial Highlights
Institutional Plus Shares
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 |
| Net Asset Value, Beginning of Period | $28.32 | $28.54 | $24.81 | $19.68 | $31.89 |
| Investment Operations | |||||
| Net Investment Income | .701 | .537 | .499 | .487 | .556 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.959 | (.221) | 3.732 | 5.130 | (12.209) |
| Total from Investment Operations | 4.660 | .316 | 4.231 | 5.617 | (11.653) |
| Distributions | |||||
| Dividends from Net Investment Income | (.700) | (.536) | (.501) | (.487) | (.557) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.700) | (.536) | (.501) | (.487) | (.557) |
| Net Asset Value, End of Period | $32.28 | $28.32 | $28.54 | $24.81 | $19.68 |
| Total Return | 16.53% | 1.11% | 17.25% | 28.92% | -36.89% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $20,731 | $16,087 | $12,976 | $10,520 | $6,631 |
| Ratio of Total Expenses to | |||||
| Average Net Assets | 0.020% | 0.022% | 0.025% | 0.025% | 0.025% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 2.27% | 1.95% | 1.97% | 2.38% | 2.14% |
| Portfolio Turnover Rate1 | 8% | 12% | 14% | 13% | 13% |
| 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.
50
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).
During the year ended December 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.
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, 2009–2012), 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.
51
Institutional Total Stock Market 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. The fund’s trustees and officers are also directors and officers of Vanguard. 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 market value of the fund’s investments as of December 31, 2012, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 23,621,772 | — | 94 |
| Temporary Cash Investments | 220,074 | 6,998 | — |
| Futures Contracts—Assets1 | 5,377 | — | — |
| Futures Contracts—Liabilities1 | (1,444) | — | — |
| Total | 23,845,779 | 6,998 | 94 |
| 1 Represents variation margin on the last day of the reporting period. | |||
52
Institutional Total Stock Market Index Fund
D. At December 31, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| S&P 500 Index | March 2013 | 126 | 44,733 | 18 |
| E-mini S&P 500 Index | March 2013 | 612 | 43,455 | 1,104 |
| E-min Russell 2000 Index | March 2013 | 128 | 10,836 | 77 |
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 year ended December 31, 2012, the fund realized $282,169,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in-capital.
For tax purposes, at December 31, 2012, the fund had $3,403,000 of ordinary income available for distribution. At December 31, 2012, the fund had available capital losses totaling $450,957,000 to offset future net capital gains. Of this amount, $115,540,000 is subject to expiration on December 31, 2017. Capital losses of $335,417,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.
At December 31, 2012, the cost of investment securities for tax purposes was $19,755,977,000. Net unrealized appreciation of investment securities for tax purposes was $4,092,961,000, consisting of unrealized gains of $5,238,860,000 on securities that had risen in value since their purchase and $1,145,899,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2012, the fund purchased $4,328,794,000 of investment securities and sold $2,301,110,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,268,819,000 and $509,618,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
53
Institutional Total Stock Market Index Fund
G. Capital share transactions for each class of shares were:
| Year Ended December 31, | ||||
| 2012 | 2011 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Institutional Shares | ||||
| Issued | 372,441 | 12,116 | 889,661 | 30,675 |
| Issued in Lieu of Cash Distributions | 57,941 | 1,833 | 44,048 | 1,551 |
| Redeemed | (709,338) | (22,452) | (272,314) | (9,515) |
| Net Increase (Decrease)—Institutional Shares | (278,956) | (8,503) | 661,395 | 22,711 |
| Institutional Plus Shares | ||||
| Issued | 4,801,320 | 154,229 | 5,795,813 | 207,689 |
| Issued in Lieu of Cash Distributions | 391,269 | 12,357 | 246,311 | 8,660 |
| Redeemed | (2,893,855) | (92,343) | (2,918,459) | (102,938) |
| Net Increase (Decrease)—Institutional Plus Shares | 2,298,734 | 74,243 | 3,123,665 | 113,411 |
H. In preparing the financial statements as of December 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
On October 2, 2012, Vanguard announced an upcoming change in the fund’s benchmark index from the MSCI US Broad Market Index to the CRSP US Total Market Index. The benchmark change was effective on January 15, 2013. The fund’s investment objective has not changed.
54
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Institutional Index Funds and the Shareholders of Vanguard Institutional Total Stock Market Index Fund:
In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Institutional Total Stock Market Index Fund (constituting a separate portfolio of Vanguard Institutional Index Funds, hereafter referred to as the “Fund”) at December 31, 2012, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States).
Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2012 by correspondence with the custodian and broker and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 11, 2013
This information for the fiscal year ended December 31, 2012, is included pursuant to provisions of
the Internal Revenue Code.
The fund distributed $455,357,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 91.4% of investment income (dividend income plus short-term gains,
if any) qualifies for the dividends-received deduction.
55
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.
56
| Six Months Ended December 31, 2012 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Institutional Total Stock Market Index Fund | 6/30/2012 | 12/31/2012 | Period |
| Based on Actual Fund Return | |||
| Institutional Shares | $1,000.00 | $1,064.77 | $0.21 |
| Institutional Plus Shares | 1,000.00 | 1,064.84 | 0.10 |
| Based on Hypothetical 5% Yearly Return | |||
| Institutional Shares | $1,000.00 | $1,025.00 | $0.20 |
| Institutional Plus Shares | 1,000.00 | 1,025.10 | 0.10 |
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 0.040% for Institutional Shares and 0.020% 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.
57
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 (for bonds), its actual income (for asset-backed securities), 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. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
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.
58
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.
Benchmark Information
Spliced Institutional Total Stock Market Index: Dow Jones U.S. Total Stock Market Index (formerly known as the Dow Jones Wilshire 5000 Index) through April 8, 2005; the MSCI US Broad Market Index thereafter.
59
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 180 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.
| InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
| Senior Advisor at New Mountain Capital; Trustee of | |
| F. William McNabb III | The Conference Board. |
| Born 1957. Trustee Since July 2009. Chairman of the | |
| Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
| Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
| Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
| by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
| of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
| Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
| each of the investment companies served by The | appointments at the Annenberg School for |
| Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
| Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
| Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
| Sciences; Trustee of Carnegie Corporation of New | |
| York and of the National Constitution Center; Chair | |
| IndependentTrustees | of the U.S. Presidential Commission for the Study |
| of Bioethical Issues. | |
| Emerson U. Fullwood | |
| Born 1948. Trustee Since January 2008. Principal | |
| Occupation(s) During the Past Five Years: Executive | JoAnn Heffernan Heisen |
| Chief Staff and Marketing Officer for North America | Born 1950. Trustee Since July 1998. Principal |
| and Corporate Vice President (retired 2008) of Xerox | Occupation(s) During the Past Five Years: Corporate |
| Corporation (document management products and | Vice President and Chief Global Diversity Officer |
| services); Executive in Residence and 2010 | (retired 2008) and Member of the Executive |
| Distinguished Minett Professor at the Rochester | Committee (1997–2008) of Johnson & Johnson |
| Institute of Technology; Director of SPX Corporation | (pharmaceuticals/medical devices/consumer |
| (multi-industry manufacturing), the United Way of | products); Director of Skytop Lodge Corporation |
| Rochester, Amerigroup Corporation (managed health | (hotels), the University Medical Center at Princeton, |
| care), the University of Rochester Medical Center, | the Robert Wood Johnson Foundation, and the Center |
| Monroe Community College Foundation, and North | for Talent Innovation; Member of the Advisory Board |
| Carolina A&T University. | of the Maxwell School of Citizenship and Public Affairs |
| at Syracuse University. | |
| Rajiv L. Gupta | F. Joseph Loughrey |
| Born 1945. Trustee Since December 2001. 2 | Born 1949. Trustee Since October 2009. Principal |
| Principal Occupation(s) During the Past Five Years: | Occupation(s) During the Past Five Years: President |
| Chairman and Chief Executive Officer (retired 2009) | and Chief Operating Officer (retired 2009) of Cummins |
| and President (2006–2008) of Rohm and Haas Co. | Inc. (industrial machinery); Director of SKF AB |
| (chemicals); Director of Tyco International, Ltd. | (industrial machinery), Hillenbrand, Inc. (specialized |
| (diversified manufacturing and services), Hewlett- | consumer services), the Lumina Foundation for |
| Packard Co. (electronic computer manufacturing), |
| Education, and Oxfam America; Chairman of the | Executive Officers | |
| Advisory Council for the College of Arts and Letters | ||
| and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
| Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
| of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
| of The Vanguard Group, Inc.; Controller of each of | ||
| Mark Loughridge | the investment companies served by The Vanguard | |
| Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
| Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
| President and Chief Financial Officer at IBM (information | ||
| technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
| Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
| 2008. Principal Occupation(s) During the Past Five | ||
| Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
| Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
| Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
| Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
| of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
| Mendoza College of Business at Notre Dame; Member | ||
| of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
| Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
| advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
| Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
| Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
| Group; Assistant Treasurer of each of the investment | ||
| André F. Perold | companies served by The Vanguard Group (1988–2008). | |
| Born 1952. Trustee Since December 2004. Principal | ||
| Occupation(s) During the Past Five Years: George | Heidi Stam | |
| Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
| Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
| Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
| LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
| Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
| Arts Boston. | served by The Vanguard Group; Director and Senior | |
| Vice President of Vanguard Marketing Corporation. | ||
| Alfred M. Rankin, Jr. | ||
| Born 1941. Trustee Since January 1993. Principal | Vanguard Senior ManagementTeam | |
| Occupation(s) During the Past Five Years: Chairman, | ||
| President, and Chief Executive Officer of NACCO | Mortimer J. Buckley | Michael S. Miller |
| Industries, Inc. (forklift trucks/housewares/lignite); | Kathleen C. Gubanich | James M. Norris |
| Director of Goodrich Corporation (industrial products/ | Paul A. Heller | Glenn W. Reed |
| aircraft systems and services) and the National | Martha G. King | George U. Sauter |
| Association of Manufacturers; Chairman of the Board | Chris D. McIsaac | |
| of the Federal Reserve Bank of Cleveland and of | ||
| University Hospitals of Cleveland; Advisory Chairman | ||
| of the Board of The Cleveland Museum of Art. | Chairman Emeritus and Senior Advisor | |
| John J. Brennan | ||
| Chairman, 1996–2009 | ||
| Peter F. Volanakis | Chief Executive Officer and President, 1996–2008 | |
| Born 1955. Trustee Since July 2009. Principal | ||
| Occupation(s) During the Past Five Years: President | ||
| and Chief Operating Officer (retired 2010) of Corning | ||
| Incorporated (communications equipment); Director | Founder | |
| of SPX Corporation (multi-industry manufacturing); | ||
| Overseer of the Amos Tuck School of Business | John C. Bogle | |
| Administration at Dartmouth College; Advisor to the | Chairman and Chief Executive Officer, 1974–1996 | |
| Norris Cotton Cancer Center. | ||
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 |
| bears no liability with respect to any such funds or | |
| Institutional Investor Services > 800-523-1036 | securities. The prospectus or the Statement of |
| Text Telephone for People | Additional Information contains a more detailed |
| With Hearing Impairment > 800-749-7273 | description of the limited relationship MSCI has with |
| Vanguard and any related funds. | |
| This material may be used in conjunction | |
| with the offering of shares of any Vanguard | |
| fund only if preceded or accompanied by | |
| the fund’s current prospectus. | |
| All comparative mutual fund data are from Lipper Inc. or | |
| Morningstar, Inc., unless otherwise noted. | |
| You can obtain a free copy of Vanguard’s proxy voting | |
| guidelines by visiting vanguard.com/proxyreporting or by | |
| calling Vanguard at 800-662-2739. The guidelines are | |
| also available from the SEC’s website, sec.gov. In | |
| addition, you may obtain a free report on how your fund | |
| voted the proxies for securities it owned during the 12 | |
| months ended June 30. To get the report, visit either | |
| vanguard.com/proxyreporting or sec.gov. | |
| You can review and copy information about your fund at | |
| the SEC’s Public Reference Room in Washington, D.C. To | |
| find out more about this public service, call the SEC at | |
| 202-551-8090. Information about your fund is also | |
| available on the SEC’s website, and you can receive | |
| copies of this information, for a fee, by sending a | |
| request in either of two ways: via e-mail addressed to | |
| publicinfo@sec.gov or via regular mail addressed to the | |
| Public Reference Section, Securities and Exchange | |
| Commission, Washington, DC 20549-1520. | |
| © 2013 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q8710 022013 | |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. The following members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts serving on its Audit Committee, and to be independent: Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, André F. Perold, and Alfred M. Rankin, Jr.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended December 31, 2012: $47,000
Fiscal Year Ended December 31, 2011: $45,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended December 31, 2012: $4,809,780
Fiscal Year Ended December 31, 2011: $3,978,540
(b) Audit-Related Fees.
Fiscal Year Ended December 31, 2012: $1,812,565
Fiscal Year Ended December 31, 2011: $1,341,750
Includes fees billed in connection with assurance and related services provided to the
Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other
registered investment companies in the Vanguard Group.
(c) Tax Fees.
Fiscal Year Ended December 31, 2012: $490,518
Fiscal Year Ended December 31, 2011: $373,830
Includes fees billed in connection with tax compliance, planning and advice services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group and related to income and excise taxes.
(d) All Other Fees.
Fiscal Year Ended December 31, 2012: $16,000
Fiscal Year Ended December 31, 2011: $16,000
Includes fees billed for services related to risk management and privacy matters. Services were provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; and (4) other registered investment companies in the Vanguard Group. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; or (4) other registered investment companies in the Vanguard Group.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended December 31, 2012: $506,518
Fiscal Year Ended December 31, 2011: $389,830
Includes fees billed for non-audit services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Not Applicable.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) Code of Ethics.
(b) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| VANGUARD INSTITUTIONAL INDEX FUNDS | |
| BY: | /s/ F. WILLIAM MCNABB III* |
| F. WILLIAM MCNABB III | |
| CHIEF EXECUTIVE OFFICER | |
| Date: February 14, 2013 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| VANGUARD INSTITUTIONAL INDEX FUNDS | |
BY: | /s/ F. WILLIAM MCNABB III* |
| F. WILLIAM MCNABB III | |
| CHIEF EXECUTIVE OFFICER | |
Date: February 14, 2013 | |
| VANGUARD INSTITUTIONAL INDEX FUNDS |
BY: | /s/ THOMAS J. HIGGINS* |
| THOMAS J. HIGGINS | |
| CHIEF FINANCIAL OFFICER | |
Date: February 14, 2013 | |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on March 27, 2012 see file Number 2-11444, Incorporated by Reference.