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, 2013 – June 30, 2013 | ||
Item 1: Reports to Shareholders | ||
Semiannual Report | June 30, 2013
Vanguard Institutional Index Fund
> For the six months ended June 30, 2013, Vanguard Institutional Index Fund
closely tracked the 13.82% return of its benchmark, the Standard & Poor’s 500
Index.
> The fund finished with its strongest first half of any year since 1998.
> Financial, health care, and consumer discretionary stocks contributed the most
to the fund’s return.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Fund Profile. | 6 |
| Performance Summary. | 7 |
| Financial Statements. | 8 |
| About Your Fund’s Expenses. | 23 |
| Trustees Approve Advisory Arrangement. | 25 |
| Glossary. | 26 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
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
| Six Months Ended June 30, 2013 | |
| Total | |
| Returns | |
| Vanguard Institutional Index Fund | |
| Institutional Shares | 13.81% |
| Institutional Plus Shares | 13.82 |
| S&P 500 Index | 13.82 |
| Large-Cap Core Funds Average | 13.22 |
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, 2012, Through June 30, 2013 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Institutional Index Fund | ||||
| Institutional Shares | $130.52 | $147.08 | $1.452 | $0.000 |
| Institutional Plus Shares | 130.53 | 147.08 | 1.466 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
Vanguard Institutional Index Fund produced its strongest first-half result in 15 years, despite turbulence late in the six-month period ended June 30, 2013.
For most of the period, U.S. stocks rose amid signs that the housing recovery was progressing and the job market was perking up. But markets turned rocky after Federal Reserve Chairman Ben Bernanke said June 19 that the central bank might decide to begin scaling back its stimulative bond-buying later this year.
Still, U.S. stocks remained a safe haven for many investors anxious about unrest in Brazil and the Middle East, the recession in Europe, and signs of trouble in China’s economy. Outside the United States, results were muted for stocks in developed markets from Europe to Asia. Stocks in emerging markets tumbled.
The Institutional Index Fund returned nearly 14% for the half year, closely tracking its benchmark, the Standard & Poor’s 500 Index, and surpassing the average return of its peer group, which consists of large-capitalization core funds.
All ten industry sectors posted positive returns. Financial, health care, and consumer discretionary stocks contributed the most to the fund’s advance. Information technology stocks, the fund’s largest sector holding, turned in modest results.
2
As domestic stocks rallied, their bond counterparts retreated
While U.S. stocks generated robust returns for the six months, the same cannot be said for the U.S. bond market, which had its worst first-half performance since 1994.
Bond returns, which sputtered along through most of the half year, turned negative in May and retreated further in June. The broad U.S. taxable bond market returned –2.44% for the six months as concerns about the Fed’s plans roiled fixed income investors even more than equity investors. Municipal bonds fared worse than taxable issues, returning –2.69%.
The yield of the 10-year Treasury note finished the six months at 2.47%, jumping from 2.11% at the end of May and 1.67% at the end of April. (Bond yields and prices move in opposite directions.) The Fed kept its target for short-term rates between 0% and 0.25%. Returns from money market funds and savings accounts have been minuscule since the Fed imposed the historically low rates in December 2008 to combat the financial crisis.
Markets were clearly unsettled by the prospect of the Fed’s scaling back its stimulus measures, known as quantitative easing. However, Vanguard’s chief
| Market Barometer | |||
| Total Returns | |||
| Periods Ended June 30, 2013 | |||
| Six | One | Five Years | |
| Months | Year | (Annualized) | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 13.91% | 21.24% | 7.12% |
| Russell 2000 Index (Small-caps) | 15.86 | 24.21 | 8.77 |
| Russell 3000 Index (Broad U.S. market) | 14.06 | 21.46 | 7.25 |
| MSCI All Country World Index ex USA (International) | -0.04 | 13.63 | -0.80 |
| Bonds | |||
| Barclays U.S. Aggregate Bond Index (Broad taxable market) | -2.44% | -0.69% | 5.19% |
| Barclays Municipal Bond Index (Broad tax-exempt market) | -2.69 | 0.24 | 5.33 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.08 | 0.23 |
| CPI | |||
| Consumer Price Index | 1.70% | 1.75% | 1.31% |
3
economist, Joe Davis, pointed to a positive message in the Fed’s evolving stance. “The Federal Reserve is coming closer to the realization that the U.S. economy is stronger today than it was a year ago and so does not need the insurance, so to speak, of additional quantitative easing,” he said.
Financial and health care stocks were the leading performers
The S&P 500 Index achieved a succession of new highs in March, April, and May amid solid corporate earnings and encouraging U.S. economic data. As I mentioned above, the rally was briefly interrupted in June, when the index slid by more than 1 percent. But that did not significantly detract from the Institutional Index Fund’s total return for the period.
For the six months, each of the index’s industry sectors did well, with six of ten posting double-digit gains.
Financials, the second-largest sector, contributed more than a fifth of the index’s overall return with a broad-based advance. Diversified financial services companies and commercial banks profited from higher capital levels, better lending conditions, and the recovering housing market. Asset managers also thrived as the investing climate kept improving.
Health care was the next-largest contributor to returns. Pharmaceutical and biotech companies were among
the best performers for the half year as the industry continued to benefit from favorable rulings by the Food and Drug Administration and improved pipelines of new medicines. Health care providers and services also turned in impressive results.
The consumer discretionary sector performed strongly, too. U.S. consumers were more confident about the economy and employment than they have been in several years. They spent more on entertainment, shopping, and eating out. Media companies, including cable and satellite operators, notched gains. Specialty retailers, hotels, and restaurants did well.
The index did not benefit as much from its heavy weighting in information technology, which turned in the second-lowest sector return for the period. Some personal computer manufacturers did better by cutting costs. But the sector was hurt most by its holdings in the tablet and smartphone business; competition in it is fierce, and several key players fell short of earnings expectations as new products failed to deliver.
In pursuing investment goals, long-term asset mix is key
As I mentioned earlier, financial markets were rattled in June by the prospect that the Fed would begin scaling back its massive bond-buying program. Bond yields jumped (and so prices fell), and the stock market experienced some turmoil.
4
Volatility and increased uncertainty can tempt investors, including some retirement plan participants, to deviate from their investment plan. In the mutual fund industry, for example, the recent rise in bond yields has led to net redemptions from bond funds as investors try to sidestep losses that might arise from a sustained climb in interest rates.
Keep in mind, however, that although interest rates remain low, nobody is certain what their next move will be—much less how financial markets will react to the change.
In fact, it’s precisely because short-term market movements are unpredictable that trying to time the markets often fails, as Vanguard and other researchers have found. A recent Vanguard research paper notes that although many investors alter their portfolios based on emotional reactions to market movements, investment success actually is “largely determined by the long-term mixture of assets in a portfolio.” (You can find the full report, Vanguard’s Framework for Constructing Diversified Portfolios, at vanguard.com/research.)
We continue to believe that sticking to a well-diversified portfolio of stocks, bonds, and money market instruments over the long haul—rather than making impulsive changes to try to avoid potential losses or capitalize on perceived opportunities—gives investors the best chance of meeting their investment goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 18, 2013
5
Institutional Index Fund
Fund Profile
As of June 30, 2013
| Share-Class Characteristics | ||
| Institutional | Institutional | |
| Shares | Plus Shares | |
| Ticker Symbol | VINIX | VIIIX |
| Expense Ratio1 | 0.04% | 0.02% |
| 30-Day SEC | ||
| Yield | 2.21% | 2.23% |
| Portfolio Characteristics | |||
| DJ U.S. | |||
| Total | |||
| Market | |||
| S&P 500 | FA | ||
| Fund | Index | Index | |
| Number of Stocks | 501 | 500 | 3,622 |
| Median Market Cap | $61.8B | $61.8B | $38.5B |
| Price/Earnings Ratio | 17.2x | 17.2x | 18.4x |
| Price/Book Ratio | 2.4x | 2.4x | 2.3x |
| Return on Equity | 18.0% | 17.9% | 16.4% |
| Earnings Growth | |||
| Rate | 10.5% | 10.5% | 10.7% |
| Dividend Yield | 2.2% | 2.2% | 2.0% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 4% | — | — |
| Short-Term | -0.2% | — | — |
| Sector Diversification (% of equity exposure) | |||
| DJ U.S. | |||
| Total | |||
| S&P 500 | Market | ||
| Fund | Index | FA Index | |
| Consumer Discretionary | 12.2% | 12.2% | 13.0% |
| Consumer Staples | 10.5 | 10.5 | 9.2 |
| Energy | 10.5 | 10.5 | 9.7 |
| Financials | 16.7 | 16.7 | 17.9 |
| Health Care | 12.7 | 12.7 | 12.3 |
| Industrials | 10.2 | 10.2 | 11.1 |
| Information Technology | 17.8 | 17.8 | 17.2 |
| Materials | 3.3 | 3.3 | 3.7 |
| Telecommunication | |||
| Services | 2.8 | 2.8 | 2.5 |
| Utilities | 3.3 | 3.3 | 3.4 |
| Volatility Measures | ||
| DJ U.S. | ||
| S&P 500 | Total Market | |
| Index | FA Index | |
| R-Squared | 1.00 | 1.00 |
| Beta | 1.00 | 0.95 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
| Ten Largest Holdings (% of total net assets) | ||
| Exxon Mobil Corp. | Integrated Oil & Gas | 2.8% |
| Apple Inc. | Computer Hardware | 2.6 |
| Microsoft Corp. | Systems Software | 1.8 |
| Johnson & Johnson | Pharmaceuticals | 1.7 |
| General Electric Co. | Industrial | |
| Conglomerates | 1.7 | |
| Google Inc. | Internet Software & | |
| Services | 1.6 | |
| Chevron Corp. | Integrated Oil & Gas | 1.6 |
| Procter & Gamble Co. | Household Products | 1.5 |
| Berkshire Hathaway Inc. Property & Casualty | ||
| Insurance | 1.4 | |
| Wells Fargo & Co. | Diversified Banks | 1.4 |
| Top Ten | 18.1% | |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated March 28, 2013. For the six months ended June 30, 2013, the annualized expense
ratios were 0.040% for Institutional Shares and 0.020% for Institutional Plus Shares.
6
Institutional Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2002, Through June 30, 2013
| Average Annual Total Returns: Periods Ended June 30, 2013 | ||||
| Inception | One | Five | Ten | |
| Date | Year | Years | Years | |
| Institutional Shares | 7/31/1990 | 20.57% | 7.04% | 7.30% |
| Institutional Plus Shares | 7/7/1997 | 20.59 | 7.06 | 7.33 |
See Financial Highlights for dividend and capital gains information.
7
Institutional Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2013
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 (99.7%)1 | |||
| Consumer Discretionary (12.2%) | |||
| Walt Disney Co. | 17,117,341 | 1,080,960 | |
| Home Depot Inc. | 13,884,366 | 1,075,622 | |
| Comcast Corp. Class A | 24,185,171 | 1,012,875 | |
| * | Amazon.com Inc. | 3,461,544 | 961,236 |
| McDonald’s Corp. | 9,528,842 | 943,355 | |
| News Corp. Class A | 18,918,938 | 616,757 | |
| Ford Motor Co. | 37,364,479 | 578,028 | |
| Time Warner Inc. | 8,859,825 | 512,275 | |
| Starbucks Corp. | 7,115,990 | 466,026 | |
| NIKE Inc. Class B | 6,879,546 | 438,089 | |
| Target Corp. | 6,099,006 | 419,978 | |
| Lowe’s Cos. Inc. | 10,192,688 | 416,881 | |
| * | priceline.com Inc. | 490,241 | 405,493 |
| TJX Cos. Inc. | 6,840,979 | 342,459 | |
| * | DIRECTV | 5,308,629 | 327,118 |
| Time Warner Cable Inc. | 2,765,403 | 311,052 | |
| Yum! Brands Inc. | 4,275,416 | 296,457 | |
| Viacom Inc. Class B | 4,240,027 | 288,534 | |
| CBS Corp. Class B | 5,423,475 | 265,045 | |
| * | General Motors Co. | 7,316,522 | 243,713 |
| Johnson Controls Inc. | 6,510,286 | 233,003 | |
| * | Discovery | ||
| Communications Inc. | |||
| Class A | 2,325,741 | 179,570 | |
| Macy’s Inc. | 3,646,243 | 175,020 | |
| VF Corp. | 832,652 | 160,752 | |
| Omnicom Group Inc. | 2,457,562 | 154,507 | |
| Coach Inc. | 2,670,483 | 152,458 | |
| Mattel Inc. | 3,282,603 | 148,735 | |
| * | Bed Bath & Beyond Inc. | 2,077,333 | 147,283 |
| * | AutoZone Inc. | 345,277 | 146,290 |
| Carnival Corp. | 4,219,746 | 144,695 | |
| * | Dollar General Corp. | 2,862,531 | 144,357 |
| Delphi Automotive plc | 2,763,357 | 140,075 | |
| Ross Stores Inc. | 2,088,922 | 135,383 | |
| * | O’Reilly Automotive Inc. | 1,049,860 | 118,235 |
| Starwood Hotels | |||
| & Resorts Worldwide | |||
| Inc. | 1,848,989 | 116,838 | |
| Harley-Davidson Inc. | 2,130,110 | 116,773 | |
| Gap Inc. | 2,755,588 | 114,991 | |
| Genuine Parts Co. | 1,472,665 | 114,971 | |
| * | Netflix Inc. | 533,572 | 112,632 |
| L Brands Inc. | 2,282,608 | 112,418 | |
| * | Dollar Tree Inc. | 2,127,208 | 108,147 |
| * | Chipotle Mexican Grill | ||
| Inc. Class A | 293,762 | 107,032 | |
| Ralph Lauren Corp. | |||
| Class A | 578,726 | 100,548 | |
| Staples Inc. | 6,309,441 | 100,068 | |
| * | CarMax Inc. | 2,134,100 | 98,510 |
| Kohl’s Corp. | 1,936,329 | 97,804 | |
| Wynn Resorts Ltd. | 758,276 | 97,059 | |
| PVH Corp. | 770,185 | 96,312 | |
| * | BorgWarner Inc. | 1,098,137 | 94,604 |
| Marriott International Inc. | 2,276,611 | 91,907 | |
| Whirlpool Corp. | 752,322 | 86,036 | |
| Nordstrom Inc. | 1,413,116 | 84,702 | |
| Tiffany & Co. | 1,139,583 | 83,007 | |
| Wyndham Worldwide | |||
| Corp. | 1,291,116 | 73,891 | |
| Newell Rubbermaid Inc. | 2,741,512 | 71,965 | |
| H&R Block Inc. | 2,587,815 | 71,812 | |
| Best Buy Co. Inc. | 2,551,294 | 69,727 | |
| PetSmart Inc. | 981,727 | 65,766 | |
| * | TripAdvisor Inc. | 1,049,042 | 63,855 |
| Darden Restaurants Inc. | 1,235,928 | 62,390 | |
| * | PulteGroup Inc. | 3,246,849 | 61,593 |
| Interpublic Group of Cos. | |||
| Inc. | 4,077,892 | 59,333 | |
| DR Horton Inc. | 2,669,341 | 56,804 | |
| Lennar Corp. Class A | 1,575,254 | 56,772 | |
| Family Dollar Stores Inc. | 908,374 | 56,601 | |
| Scripps Networks | |||
| Interactive Inc. Class A | 809,452 | 54,039 | |
| Expedia Inc. | 888,116 | 53,420 |
8
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Gannett Co. Inc. | 2,179,190 | 53,303 | |
| * | Fossil Group Inc. | 502,878 | 51,952 |
| Hasbro Inc. | 1,096,200 | 49,143 | |
| GameStop Corp. Class A | 1,132,894 | 47,616 | |
| Leggett & Platt Inc. | 1,360,363 | 42,294 | |
| * | Urban Outfitters Inc. | 1,049,139 | 42,196 |
| International Game | |||
| Technology | 2,478,420 | 41,414 | |
| Garmin Ltd. | 1,040,617 | 37,629 | |
| * | Goodyear Tire | ||
| & Rubber Co. | 2,332,794 | 35,668 | |
| Harman International | |||
| Industries Inc. | 646,839 | 35,059 | |
| Cablevision Systems | |||
| Corp. Class A | 2,059,371 | 34,639 | |
| Abercrombie & Fitch Co. | 747,113 | 33,807 | |
| Comcast Corp. | 844,535 | 33,503 | |
| *,^ | JC Penney Co. Inc. | 1,365,700 | 23,326 |
| Washington Post Co. | |||
| Class B | 43,039 | 20,821 | |
| * | AutoNation Inc. | 368,303 | 15,981 |
| 16,592,994 | |||
| Consumer Staples (10.5%) | |||
| Procter & Gamble Co. | 26,050,272 | 2,005,611 | |
| Coca-Cola Co. | 36,405,181 | 1,460,212 | |
| Philip Morris | |||
| International Inc. | 15,545,017 | 1,346,509 | |
| PepsiCo Inc. | 14,698,146 | 1,202,161 | |
| Wal-Mart Stores Inc. | 15,571,897 | 1,159,951 | |
| Altria Group Inc. | 19,091,521 | 668,012 | |
| CVS Caremark Corp. | 11,637,306 | 665,421 | |
| Mondelez International | |||
| Inc. Class A | 16,960,337 | 483,878 | |
| Colgate-Palmolive Co. | 8,333,285 | 477,414 | |
| Costco Wholesale Corp. | 4,150,414 | 458,911 | |
| Walgreen Co. | 8,194,822 | 362,211 | |
| Kimberly-Clark Corp. | 3,655,436 | 355,089 | |
| Kraft Foods Group Inc. | 5,650,078 | 315,670 | |
| General Mills Inc. | 6,127,015 | 297,344 | |
| Archer-Daniels-Midland | |||
| Co. | 6,263,525 | 212,396 | |
| Sysco Corp. | 5,640,509 | 192,680 | |
| Kroger Co. | 4,942,610 | 170,718 | |
| Whole Foods | |||
| Market Inc. | 3,278,155 | 168,760 | |
| Lorillard Inc. | 3,590,164 | 156,818 | |
| Kellogg Co. | 2,411,672 | 154,902 | |
| Mead Johnson | |||
| Nutrition Co. | 1,924,276 | 152,460 | |
| Estee Lauder Cos. Inc. | |||
| Class A | 2,285,442 | 150,314 | |
| Reynolds American Inc. | 3,025,621 | 146,349 | |
| ConAgra Foods Inc. | 3,961,225 | 138,366 | |
| Hershey Co. | 1,424,523 | 127,181 | |
| JM Smucker Co. | 1,019,263 | 105,137 | |
| Clorox Co. | 1,251,171 | 104,022 | |
| Brown-Forman Corp. | |||
| Class B | 1,441,325 | 97,362 | |
| Beam Inc. | 1,528,935 | 96,491 | |
| Dr Pepper Snapple | |||
| Group Inc. | 1,939,123 | 89,064 | |
| McCormick & Co. Inc. | 1,253,473 | 88,194 | |
| Avon Products Inc. | 4,115,934 | 86,558 | |
| Coca-Cola | |||
| Enterprises Inc. | 2,448,008 | 86,072 | |
| * | Monster Beverage Corp. | 1,372,057 | 83,380 |
| * | Constellation Brands Inc. | ||
| Class A | 1,464,446 | 76,327 | |
| Campbell Soup Co. | 1,696,188 | 75,972 | |
| Molson Coors Brewing | |||
| Co. Class B | 1,492,275 | 71,420 | |
| Tyson Foods Inc. | |||
| Class A | 2,697,565 | 69,274 | |
| Safeway Inc. | 2,295,489 | 54,311 | |
| Hormel Foods Corp. | 1,285,891 | 49,610 | |
| 14,262,532 | |||
| Energy (10.5%) | |||
| Exxon Mobil Corp. | 42,261,774 | 3,818,351 | |
| Chevron Corp. | 18,429,466 | 2,180,943 | |
| Schlumberger Ltd. | 12,635,897 | 905,488 | |
| ConocoPhillips | 11,620,901 | 703,065 | |
| Occidental Petroleum | |||
| Corp. | 7,657,289 | 683,260 | |
| Anadarko Petroleum | |||
| Corp. | 4,766,233 | 409,562 | |
| Halliburton Co. | 8,858,453 | 369,575 | |
| Phillips 66 | 5,885,429 | 346,711 | |
| EOG Resources Inc. | 2,585,912 | 340,513 | |
| Apache Corp. | 3,724,299 | 312,208 | |
| National Oilwell | |||
| Varco Inc. | 4,061,019 | 279,804 | |
| Marathon Oil Corp. | 6,736,720 | 232,956 | |
| Kinder Morgan Inc. | 6,004,782 | 229,082 | |
| Marathon Petroleum | |||
| Corp. | 3,086,784 | 219,347 | |
| Spectra Energy Corp. | 6,360,146 | 219,171 | |
| Williams Cos. Inc. | 6,488,389 | 210,678 | |
| Noble Energy Inc. | 3,413,335 | 204,937 | |
| Baker Hughes Inc. | 4,199,154 | 193,707 | |
| Hess Corp. | 2,838,492 | 188,731 | |
| Pioneer Natural | |||
| Resources Co. | 1,298,047 | 187,892 | |
| Devon Energy Corp. | 3,588,494 | 186,171 | |
| Valero Energy Corp. | 5,183,165 | 180,219 | |
| * | Cameron International | ||
| Corp. | 2,357,322 | 144,174 | |
| Cabot Oil & Gas Corp. | 2,002,897 | 142,246 | |
| Ensco plc Class A | 2,214,069 | 128,682 | |
| * | FMC Technologies Inc. | 2,254,138 | 125,510 |
9
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Southwestern | ||
| Energy Co. | 3,340,631 | 122,033 | |
| Range Resources Corp. | 1,549,714 | 119,824 | |
| EQT Corp. | 1,429,677 | 113,473 | |
| Murphy Oil Corp. | 1,724,129 | 104,982 | |
| Chesapeake | |||
| Energy Corp. | 4,931,574 | 100,505 | |
| Noble Corp. | 2,406,939 | 90,453 | |
| Tesoro Corp. | 1,290,573 | 67,523 | |
| Helmerich & Payne Inc. | 1,013,143 | 63,271 | |
| * | Denbury Resources Inc. | 3,553,012 | 61,538 |
| CONSOL Energy Inc. | 2,176,860 | 58,993 | |
| QEP Resources Inc. | 1,706,747 | 47,413 | |
| Diamond Offshore | |||
| Drilling Inc. | 661,802 | 45,525 | |
| Nabors Industries Ltd. | 2,804,883 | 42,943 | |
| * | Rowan Cos. plc Class A | 1,182,325 | 40,282 |
| Peabody Energy Corp. | 2,566,966 | 37,580 | |
| * | WPX Energy Inc. | 1,906,123 | 36,102 |
| * | Newfield Exploration Co. | 1,291,715 | 30,859 |
| 14,326,282 | |||
| Financials (16.6%) | |||
| Wells Fargo & Co. | 46,816,859 | 1,932,132 | |
| JPMorgan Chase & Co. | 35,924,758 | 1,896,468 | |
| * | Berkshire Hathaway | ||
| Inc. Class B | 16,200,624 | 1,813,174 | |
| Citigroup Inc. | 28,921,665 | 1,387,372 | |
| Bank of America Corp. | 102,464,378 | 1,317,692 | |
| American Express Co. | 9,084,597 | 679,164 | |
| US Bancorp | 17,580,119 | 635,521 | |
| * | American International | ||
| Group Inc. | 14,031,975 | 627,229 | |
| Goldman Sachs Group | |||
| Inc. | 4,096,341 | 619,572 | |
| MetLife Inc. | 10,407,546 | 476,249 | |
| Simon Property Group | |||
| Inc. | 2,954,364 | 466,553 | |
| PNC Financial Services | |||
| Group Inc. | 5,031,841 | 366,922 | |
| Capital One Financial | |||
| Corp. | 5,552,135 | 348,730 | |
| Prudential Financial Inc. | 4,429,031 | 323,452 | |
| Morgan Stanley | 13,040,728 | 318,585 | |
| Bank of New York | |||
| Mellon Corp. | 11,031,173 | 309,424 | |
| BlackRock Inc. | 1,186,537 | 304,762 | |
| ACE Ltd. | 3,233,036 | 289,292 | |
| Travelers Cos. Inc. | 3,577,553 | 285,918 | |
| State Street Corp. | 4,334,580 | 282,658 | |
| American Tower | |||
| Corporation | 3,758,757 | 275,028 | |
| Aflac Inc. | 4,431,147 | 257,538 | |
| BB&T Corp. | 6,669,000 | 225,946 | |
| Charles Schwab Corp. | 10,462,071 | 222,110 | |
| Discover Financial | |||
| Services | 4,661,016 | 222,051 | |
| CME Group Inc. | 2,919,436 | 221,819 | |
| Allstate Corp. | 4,454,071 | 214,330 | |
| Public Storage | 1,372,018 | 210,372 | |
| Marsh & McLennan | |||
| Cos. Inc. | 5,231,449 | 208,839 | |
| Chubb Corp. | 2,463,207 | 208,510 | |
| HCP Inc. | 4,319,423 | 196,275 | |
| Ventas Inc. | 2,786,205 | 193,530 | |
| Aon plc | 2,937,880 | 189,053 | |
| Health Care REIT Inc. | 2,703,203 | 181,196 | |
| T. Rowe Price Group Inc. | 2,464,699 | 180,293 | |
| Franklin Resources Inc. | 1,313,412 | 178,650 | |
| Prologis Inc. | 4,735,127 | 178,609 | |
| Equity Residential | 3,046,421 | 176,875 | |
| SunTrust Banks Inc. | 5,122,200 | 161,708 | |
| Weyerhaeuser Co. | 5,480,891 | 156,151 | |
| AvalonBay Communities | |||
| Inc. | 1,155,845 | 155,935 | |
| Ameriprise Financial Inc. | 1,915,297 | 154,909 | |
| Boston Properties Inc. | 1,442,105 | 152,099 | |
| Fifth Third Bancorp | 8,312,500 | 150,041 | |
| McGraw Hill | |||
| Financial Inc. | 2,605,003 | 138,560 | |
| Invesco Ltd. | 4,225,796 | 134,380 | |
| Hartford Financial | |||
| Services Group Inc. | 4,332,656 | 133,966 | |
| Vornado Realty Trust | 1,616,631 | 133,938 | |
| Progressive Corp. | 5,267,019 | 133,888 | |
| M&T Bank Corp. | 1,164,744 | 130,160 | |
| Loews Corp. | 2,920,254 | 129,659 | |
| Regions Financial Corp. | 13,432,387 | 128,011 | |
| * | Berkshire Hathaway Inc. | ||
| Class A | 759 | 127,967 | |
| * | IntercontinentalExchange | ||
| Inc. | 691,588 | 122,937 | |
| Northern Trust Corp. | 2,068,954 | 119,792 | |
| Host Hotels & Resorts | |||
| Inc. | 7,077,566 | 119,399 | |
| Moody’s Corp. | 1,842,925 | 112,289 | |
| Principal Financial | |||
| Group Inc. | 2,621,184 | 98,163 | |
| KeyCorp | 8,748,018 | 96,578 | |
| SLM Corp. | 4,221,473 | 96,503 | |
| NYSE Euronext | 2,309,313 | 95,606 | |
| Lincoln National Corp. | 2,551,217 | 93,043 | |
| XL Group plc Class A | 2,753,095 | 83,474 | |
| Kimco Realty Corp. | 3,884,430 | 83,243 | |
| Macerich Co. | 1,306,606 | 79,664 | |
| Unum Group | 2,536,545 | 74,498 | |
| Leucadia National Corp. | 2,803,706 | 73,513 | |
| Plum Creek Timber | |||
| Co. Inc. | 1,547,436 | 72,219 | |
| Comerica Inc. | 1,773,654 | 70,645 |
10
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | CBRE Group Inc. Class A | 2,885,680 | 67,409 |
| Cincinnati Financial Corp. | 1,399,223 | 64,224 | |
| Huntington | |||
| Bancshares Inc. | 7,986,196 | 62,931 | |
| Torchmark Corp. | 880,541 | 57,358 | |
| * | Genworth Financial Inc. | ||
| Class A | 4,694,768 | 53,567 | |
| Zions Bancorporation | 1,754,209 | 50,662 | |
| People’s United | |||
| Financial Inc. | 3,227,829 | 48,095 | |
| Apartment Investment | |||
| & Management Co. | |||
| Class A | 1,388,668 | 41,716 | |
| Hudson City | |||
| Bancorp Inc. | 4,525,655 | 41,455 | |
| Assurant Inc. | 732,949 | 37,314 | |
| NASDAQ OMX | |||
| Group Inc. | 1,120,599 | 36,744 | |
| * | E*TRADE Financial Corp. | 2,725,195 | 34,501 |
| Legg Mason Inc. | 1,062,885 | 32,960 | |
| 22,663,767 | |||
| Health Care (12.7%) | |||
| Johnson & Johnson | 26,697,765 | 2,292,270 | |
| Pfizer Inc. | 63,436,576 | 1,776,859 | |
| Merck & Co. Inc. | 28,700,520 | 1,333,139 | |
| * | Gilead Sciences Inc. | 14,497,929 | 742,439 |
| Amgen Inc. | 7,128,167 | 703,265 | |
| Bristol-Myers | |||
| Squibb Co. | 15,611,789 | 697,691 | |
| UnitedHealth Group Inc. | 9,694,756 | 634,813 | |
| AbbVie Inc. | 15,052,722 | 622,280 | |
| Abbott Laboratories | 14,816,298 | 516,792 | |
| Medtronic Inc. | 9,612,428 | 494,752 | |
| * | Biogen Idec Inc. | 2,256,130 | 485,519 |
| * | Express Scripts | ||
| Holding Co. | 7,758,818 | 478,642 | |
| * | Celgene Corp. | 3,964,471 | 463,486 |
| Eli Lilly & Co. | 9,422,522 | 462,834 | |
| Baxter International Inc. | 5,150,871 | 356,801 | |
| Thermo Fisher | |||
| Scientific Inc. | 3,411,334 | 288,701 | |
| Covidien plc | 4,471,544 | 280,992 | |
| McKesson Corp. | 2,153,775 | 246,607 | |
| Allergan Inc. | 2,817,023 | 237,306 | |
| WellPoint Inc. | 2,854,652 | 233,625 | |
| Aetna Inc. | 3,594,918 | 228,421 | |
| Cigna Corp. | 2,711,696 | 196,571 | |
| * | Intuitive Surgical Inc. | 381,690 | 193,357 |
| Becton Dickinson | |||
| and Co. | 1,846,152 | 182,455 | |
| Stryker Corp. | 2,730,737 | 176,624 | |
| * | Alexion | ||
| Pharmaceuticals Inc. | 1,854,678 | 171,076 | |
| * | Regeneron | ||
| Pharmaceuticals Inc. | 725,937 | 163,249 | |
| Cardinal Health Inc. | 3,248,672 | 153,337 | |
| * | Actavis Inc. | 1,214,012 | 153,233 |
| Zoetis Inc. | 4,744,311 | 146,552 | |
| Agilent Technologies Inc. | 3,273,781 | 139,987 | |
| * | Cerner Corp. | 1,388,430 | 133,414 |
| Humana Inc. | 1,496,793 | 126,299 | |
| St. Jude Medical Inc. | 2,692,920 | 122,878 | |
| AmerisourceBergen | |||
| Corp. Class A | 2,194,438 | 122,515 | |
| * | Life Technologies Corp. | 1,637,485 | 121,190 |
| Zimmer Holdings Inc. | 1,600,047 | 119,908 | |
| * | Boston Scientific Corp. | 12,821,391 | 118,854 |
| * | Mylan Inc. | 3,621,694 | 112,381 |
| Perrigo Co. | 840,026 | 101,643 | |
| * | DaVita HealthCare | ||
| Partners Inc. | 804,333 | 97,163 | |
| * | Forest Laboratories Inc. | 2,230,089 | 91,434 |
| Quest Diagnostics Inc. | 1,501,727 | 91,050 | |
| * | Laboratory Corp. of | ||
| America Holdings | 883,436 | 88,432 | |
| * | Waters Corp. | 814,269 | 81,468 |
| CR Bard Inc. | 711,210 | 77,294 | |
| * | CareFusion Corp. | 2,088,773 | 76,971 |
| * | Edwards | ||
| Lifesciences Corp. | 1,073,441 | 72,135 | |
| * | Varian Medical | ||
| Systems Inc. | 1,030,321 | 69,495 | |
| * | Hospira Inc. | 1,575,683 | 60,364 |
| DENTSPLY | |||
| International Inc. | 1,364,184 | 55,877 | |
| * | Tenet Healthcare Corp. | 985,337 | 45,424 |
| PerkinElmer Inc. | 1,065,330 | 34,623 | |
| Patterson Cos. Inc. | 796,037 | 29,931 | |
| 17,304,418 | |||
| Industrials (10.1%) | |||
| General Electric Co. | 98,280,228 | 2,279,119 | |
| United Technologies | |||
| Corp. | 8,038,526 | 747,101 | |
| Union Pacific Corp. | 4,436,525 | 684,467 | |
| Boeing Co. | 6,489,852 | 664,820 | |
| 3M Co. | 6,035,146 | 659,943 | |
| Honeywell | |||
| International Inc. | 7,477,985 | 593,303 | |
| United Parcel | |||
| Service Inc. Class B | 6,753,056 | 584,004 | |
| Caterpillar Inc. | 6,249,030 | 515,483 | |
| Emerson Electric Co. | 6,832,337 | 372,636 | |
| Danaher Corp. | 5,530,304 | 350,068 | |
| Precision Castparts Corp. | 1,390,801 | 314,335 | |
| Deere & Co. | 3,688,091 | 299,657 | |
| Eaton Corp. plc | 4,496,468 | 295,913 | |
| FedEx Corp. | 2,800,723 | 276,095 | |
| Lockheed Martin Corp. | 2,527,519 | 274,135 | |
| Illinois Tool Works Inc. | 3,938,524 | 272,428 | |
| General Dynamics Corp. | 3,155,341 | 247,158 | |
11
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| CSX Corp. | 9,712,939 | 225,243 | |
| Norfolk Southern Corp. | 2,994,575 | 217,556 | |
| Raytheon Co. | 3,085,091 | 203,986 | |
| Northrop Grumman Corp. | 2,235,026 | 185,060 | |
| Cummins Inc. | 1,676,991 | 181,886 | |
| PACCAR Inc. | 3,361,690 | 180,388 | |
| Waste Management Inc. | 4,172,284 | 168,268 | |
| Ingersoll-Rand plc | 2,641,712 | 146,668 | |
| Tyco International Ltd. | 4,409,776 | 145,302 | |
| WW Grainger Inc. | 568,405 | 143,340 | |
| Parker Hannifin Corp. | 1,418,441 | 135,319 | |
| Dover Corp. | 1,626,115 | 126,284 | |
| Stanley Black | |||
| & Decker Inc. | 1,538,709 | 118,942 | |
| Fastenal Co. | 2,565,577 | 117,632 | |
| Roper Industries Inc. | 941,016 | 116,893 | |
| Pentair Ltd. | 1,941,534 | 112,007 | |
| Kansas City Southern | 1,047,088 | 110,949 | |
| Rockwell Automation Inc. | 1,327,204 | 110,344 | |
| Republic Services Inc. | |||
| Class A | 2,820,293 | 95,721 | |
| Fluor Corp. | 1,547,811 | 91,801 | |
| * | Stericycle Inc. | 819,937 | 90,546 |
| Southwest Airlines Co. | 6,864,176 | 88,479 | |
| CH Robinson | |||
| Worldwide Inc. | 1,525,820 | 85,919 | |
| ADT Corp. | 2,079,092 | 82,852 | |
| Rockwell Collins Inc. | 1,289,243 | 81,751 | |
| Expeditors International | |||
| of Washington Inc. | 1,963,410 | 74,629 | |
| Flowserve Corp. | 1,358,683 | 73,382 | |
| L-3 Communications | |||
| Holdings Inc. | 855,169 | 73,322 | |
| Pall Corp. | 1,060,253 | 70,433 | |
| Textron Inc. | 2,640,370 | 68,782 | |
| * | Jacobs Engineering | ||
| Group Inc. | 1,242,926 | 68,523 | |
| Equifax Inc. | 1,146,142 | 67,542 | |
| Masco Corp. | 3,391,242 | 66,095 | |
| * | Quanta Services Inc. | 2,023,384 | 53,539 |
| Snap-on Inc. | 554,766 | 49,585 | |
| Joy Global Inc. | 1,011,671 | 49,096 | |
| Xylem Inc. | 1,764,037 | 47,523 | |
| Cintas Corp. | 991,516 | 45,154 | |
| Robert Half | |||
| International Inc. | 1,328,493 | 44,146 | |
| Iron Mountain Inc. | 1,597,436 | 42,508 | |
| Avery Dennison Corp. | 947,977 | 40,536 | |
| Dun & Bradstreet Corp. | 379,479 | 36,980 | |
| Ryder System Inc. | 495,171 | 30,101 | |
| Pitney Bowes Inc. | 1,921,449 | 28,207 | |
| 13,823,884 | |||
| Information Technology (17.7%) | |||
| Apple Inc. | 8,921,641 | 3,533,684 | |
| Microsoft Corp. | 71,437,723 | 2,466,745 | |
| * | Google Inc. Class A | 2,554,203 | 2,248,644 |
| International Business | |||
| Machines Corp. | 9,906,435 | 1,893,219 | |
| Cisco Systems Inc. | 50,796,343 | 1,234,859 | |
| Intel Corp. | 47,247,802 | 1,144,342 | |
| Oracle Corp. | 34,923,154 | 1,072,839 | |
| QUALCOMM Inc. | 16,422,444 | 1,003,083 | |
| Visa Inc. Class A | 4,816,933 | 880,295 | |
| * | eBay Inc. | 11,101,459 | 574,167 |
| Mastercard Inc. Class A | 993,684 | 570,871 | |
| EMC Corp. | 19,967,497 | 471,632 | |
| Hewlett-Packard Co. | 18,329,931 | 454,582 | |
| Accenture plc Class A | 6,178,615 | 444,613 | |
| Texas Instruments Inc. | 10,541,908 | 367,596 | |
| Automatic Data | |||
| Processing Inc. | 4,611,693 | 317,561 | |
| * | Yahoo! Inc. | 9,054,792 | 227,366 |
| * | Adobe Systems Inc. | 4,770,425 | 217,341 |
| Corning Inc. | 14,019,429 | 199,496 | |
| * | Salesforce.com Inc. | 5,158,191 | 196,940 |
| Dell Inc. | 13,948,820 | 186,217 | |
| TE Connectivity Ltd. | 3,948,205 | 179,801 | |
| * | Cognizant Technology | ||
| Solutions Corp. | |||
| Class A | 2,866,508 | 179,472 | |
| Applied Materials Inc. | 11,420,075 | 170,273 | |
| Broadcom Corp. Class A | 4,992,569 | 168,549 | |
| Intuit Inc. | 2,652,600 | 161,888 | |
| Motorola Solutions Inc. | 2,581,816 | 149,048 | |
| Symantec Corp. | 6,620,735 | 148,768 | |
| * | SanDisk Corp. | 2,312,487 | 141,293 |
| * | Micron Technology Inc. | 9,789,958 | 140,290 |
| Seagate Technology plc | 3,032,679 | 135,955 | |
| Analog Devices Inc. | 2,928,687 | 131,967 | |
| * | NetApp Inc. | 3,425,448 | 129,413 |
| Western Digital Corp. | 2,021,845 | 125,536 | |
| Fidelity National | |||
| Information | |||
| Services Inc. | 2,785,619 | 119,336 | |
| Amphenol Corp. Class A | 1,518,897 | 118,383 | |
| Paychex Inc. | 3,077,921 | 112,406 | |
| * | Fiserv Inc. | 1,265,445 | 110,613 |
| * | Citrix Systems Inc. | 1,778,311 | 107,286 |
| Xerox Corp. | 11,669,459 | 105,842 | |
| Altera Corp. | 3,042,438 | 100,370 | |
| Xilinx Inc. | 2,507,573 | 99,325 | |
| * | Juniper Networks Inc. | 4,811,075 | 92,902 |
| Western Union Co. | 5,294,343 | 90,586 | |
| CA Inc. | 3,147,668 | 90,118 | |
| KLA-Tencor Corp. | 1,576,394 | 87,852 | |
| * | Red Hat Inc. | 1,801,794 | 86,162 |
| Linear Technology Corp. | 2,216,651 | 81,661 | |
| * | Teradata Corp. | 1,552,796 | 77,997 |
| NVIDIA Corp. | 5,491,928 | 77,052 | |
| * | Autodesk Inc. | 2,136,250 | 72,504 |
12
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Akamai | ||
| Technologies Inc. | 1,688,589 | 71,849 | |
| Microchip | |||
| Technology Inc. | 1,873,372 | 69,783 | |
| * | Lam Research Corp. | 1,546,290 | 68,563 |
| * | Electronic Arts Inc. | 2,875,795 | 66,057 |
| * | VeriSign Inc. | 1,432,411 | 63,971 |
| Computer | |||
| Sciences Corp. | 1,428,492 | 62,525 | |
| * | BMC Software Inc. | 1,261,063 | 56,924 |
| * | F5 Networks Inc. | 750,204 | 51,614 |
| Harris Corp. | 1,043,307 | 51,383 | |
| Molex Inc. | 1,319,484 | 38,714 | |
| SAIC Inc. | 2,708,799 | 37,734 | |
| Total System | |||
| Services Inc. | 1,528,021 | 37,406 | |
| * | LSI Corp. | 5,231,827 | 37,355 |
| FLIR Systems Inc. | 1,348,055 | 36,357 | |
| Jabil Circuit Inc. | 1,755,480 | 35,777 | |
| * | JDS Uniphase Corp. | 2,255,837 | 32,439 |
| * | Teradyne Inc. | 1,818,195 | 31,946 |
| * | First Solar Inc. | 633,923 | 28,355 |
| *,^ | Advanced Micro | ||
| Devices Inc. | 5,774,709 | 23,561 | |
| 24,201,053 | |||
| Materials (3.3%) | |||
| Monsanto Co. | 5,073,826 | 501,294 | |
| EI du Pont de Nemours | |||
| & Co. | 8,748,538 | 459,298 | |
| Dow Chemical Co. | 11,496,471 | 369,841 | |
| Praxair Inc. | 2,810,868 | 323,700 | |
| Freeport-McMoRan | |||
| Copper & Gold Inc. | 9,867,402 | 272,439 | |
| LyondellBasell | |||
| Industries NV Class A | 3,610,029 | 239,201 | |
| Ecolab Inc. | 2,531,944 | 215,696 | |
| PPG Industries Inc. | 1,355,710 | 198,490 | |
| International Paper Co. | 4,227,836 | 187,335 | |
| Air Products | |||
| & Chemicals Inc. | 1,979,962 | 181,305 | |
| Sherwin-Williams Co. | 813,728 | 143,704 | |
| Newmont Mining Corp. | 4,725,353 | 141,524 | |
| Mosaic Co. | 2,630,046 | 141,523 | |
| Nucor Corp. | 3,020,058 | 130,829 | |
| Eastman Chemical Co. | 1,473,173 | 103,137 | |
| CF Industries | |||
| Holdings Inc. | 563,435 | 96,629 | |
| Sigma-Aldrich Corp. | 1,143,555 | 91,896 | |
| Alcoa Inc. | 10,162,566 | 79,471 | |
| FMC Corp. | 1,293,652 | 78,990 | |
| Airgas Inc. | 627,493 | 59,901 | |
| Vulcan Materials Co. | 1,237,325 | 59,899 | |
| Ball Corp. | 1,416,420 | 58,838 | |
| International Flavors | |||
| & Fragrances Inc. | 775,918 | 58,318 | |
| MeadWestvaco Corp. | 1,684,817 | 57,469 | |
| Sealed Air Corp. | 1,864,468 | 44,654 | |
| * | Owens-Illinois Inc. | 1,566,034 | 43,520 |
| Bemis Co. Inc. | 979,763 | 38,348 | |
| Allegheny | |||
| Technologies Inc. | 1,029,845 | 27,095 | |
| ^ | United States Steel Corp. | 1,372,765 | 24,065 |
| ^ | Cliffs Natural | ||
| Resources Inc. | 1,457,204 | 23,680 | |
| 4,452,089 | |||
| Telecommunication Services (2.8%) | |||
| AT&T Inc. | 51,135,435 | 1,810,194 | |
| Verizon | |||
| Communications Inc. | 27,194,032 | 1,368,948 | |
| CenturyLink Inc. | 5,788,411 | 204,620 | |
| * | Crown Castle | ||
| International Corp. | 2,786,211 | 201,694 | |
| * | Sprint Nextel Corp. | 28,683,497 | 201,358 |
| ^ | Windstream Corp. | 5,643,411 | 43,511 |
| Frontier | |||
| Communications Corp. | 9,498,701 | 38,470 | |
| 3,868,795 | |||
| Utilities (3.3%) | |||
| Duke Energy Corp. | 6,707,683 | 452,769 | |
| Southern Co. | 8,272,588 | 365,069 | |
| NextEra Energy Inc. | 4,035,861 | 328,842 | |
| Dominion Resources Inc. | 5,490,382 | 311,964 | |
| Exelon Corp. | 8,134,202 | 251,184 | |
| American Electric | |||
| Power Co. Inc. | 4,619,454 | 206,859 | |
| PG&E Corp. | 4,202,434 | 192,177 | |
| Sempra Energy | 2,142,186 | 175,145 | |
| PPL Corp. | 5,629,543 | 170,350 | |
| Consolidated Edison Inc. | 2,783,604 | 162,312 | |
| Public Service | |||
| Enterprise Group Inc. | 4,808,677 | 157,051 | |
| Edison International | 3,096,485 | 149,127 | |
| FirstEnergy Corp. | 3,974,605 | 148,412 | |
| Xcel Energy Inc. | 4,725,641 | 133,925 | |
| Northeast Utilities | 2,990,046 | 125,642 | |
| Entergy Corp. | 1,693,338 | 117,992 | |
| DTE Energy Co. | 1,653,087 | 110,773 | |
| CenterPoint Energy Inc. | 4,072,421 | 95,661 | |
| Wisconsin Energy Corp. | 2,173,536 | 89,093 | |
| NiSource Inc. | 2,965,312 | 84,927 | |
| NRG Energy Inc. | 3,064,625 | 81,826 | |
| ONEOK Inc. | 1,958,629 | 80,911 | |
| Ameren Corp. | 2,305,754 | 79,410 | |
| AES Corp. | 5,888,240 | 70,600 | |
| CMS Energy Corp. | 2,525,184 | 68,609 | |
| SCANA Corp. | 1,328,148 | 65,212 | |
| Pinnacle West | |||
| Capital Corp. | 1,046,819 | 58,067 | |
| AGL Resources Inc. | 1,125,143 | 48,224 | |
13
Institutional Index Fund
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Pepco Holdings Inc. | 2,366,632 | 47,711 | |
| Integrys Energy | |||
| Group Inc. | 753,277 | 44,089 | |
| TECO Energy Inc. | 1,943,121 | 33,402 | |
| 4,507,335 | |||
| Total Common Stocks | |||
| (Cost $102,210,315) | 136,003,149 | ||
| Temporary Cash Investments (0.1%)1 | |||
| Money Market Fund (0.1%) | |||
| 2,3 | Vanguard Market Liquidity | ||
| Fund, 0.127% | 72,110,499 | 72,110 | |
| Face | |||
| Amount | |||
| ($000) | |||
| U.S. Government and Agency Obligations (0.0%) | |||
| 4,5 | Fannie Mae Discount Notes, | ||
| 0.085%, 8/21/13 | 10,500 | 10,498 | |
| 4,5 | Fannie Mae Discount Notes, | ||
| 0.098%, 11/6/13 | 1,700 | 1,699 | |
| 4,6 | Federal Home Loan | ||
| Bank Discount Notes, | |||
| 0.095%, 10/4/13 | 11,000 | 10,996 | |
| 23,193 | |||
| Total Temporary Cash Investments | |||
| (Cost $95,306) | 95,303 | ||
| Total Investments (99.8%) | |||
| (Cost $102,305,621) | 136,098,452 | ||
| Other Assets and Liabilities (0.2%) | |||
| Other Assets | 571,434 | ||
| Liabilities3 | (290,240) | ||
| 281,194 | |||
| Net Assets (100%) | 136,379,646 | ||
| At June 30, 2013, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 103,459,501 |
| Undistributed Net Investment Income | 40,060 |
| Accumulated Net Realized Losses | (909,738) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 33,792,831 |
| Futures Contracts | (3,008) |
| Net Assets | 136,379,646 |
| Institutional Shares—Net Assets | |
| Applicable to 527,687,751 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 77,609,953 |
| Net Asset Value Per Share— | |
| Institutional Shares | $147.08 |
| Institutional Plus Shares—Net Assets | |
| Applicable to 399,569,747 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 58,769,693 |
| Net Asset Value Per Share— | |
| Institutional Plus Shares | $147.08 |
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 $36,798,000.
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 -0.2%, 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 $39,409,000 of collateral received for securities on loan.
4 Securities with a value of $11,997,000 have been segregated as initial margin for open futures contracts.
5 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.
6 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full
faith and credit of the U.S. government.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
14
Institutional Index Fund
Statement of Operations
| Six Months Ended | |
| June 30, 2013 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 1,381,967 |
| Interest1 | 328 |
| Securities Lending | 2,108 |
| Total Income | 1,384,403 |
| Expenses | |
| The Vanguard Group—Note B | |
| Management and Administrative—Institutional Shares | 14,911 |
| Management and Administrative—Institutional Plus Shares | 5,597 |
| Total Expenses | 20,508 |
| Net Investment Income | 1,363,895 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 516,069 |
| Futures Contracts | 83,591 |
| Realized Net Gain (Loss) | 599,660 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 14,419,324 |
| Futures Contracts | (1,574) |
| Change in Unrealized Appreciation (Depreciation) | 14,417,750 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 16,381,305 |
| 1 Interest income from an affiliated company of the fund was $303,000. | |
See accompanying Notes, which are an integral part of the Financial Statements.
15
Institutional Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| June 30, | December 31, | |
| 2013 | 2012 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 1,363,895 | 2,499,641 |
| Realized Net Gain (Loss) | 599,660 | 1,500,621 |
| Change in Unrealized Appreciation (Depreciation) | 14,417,750 | 11,475,384 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 16,381,305 | 15,475,646 |
| Distributions | ||
| Net Investment Income | ||
| Institutional Shares | (761,158) | (1,475,484) |
| Institutional Plus Shares | (580,132) | (1,018,134) |
| Realized Capital Gain | ||
| Institutional Shares | — | — |
| Institutional Plus Shares | — | — |
| Total Distributions | (1,341,290) | (2,493,618) |
| Capital Share Transactions | ||
| Institutional Shares | 887,093 | 1,647,564 |
| Institutional Plus Shares | 3,111,312 | 9,172,090 |
| Net Increase (Decrease) from Capital Share Transactions | 3,998,405 | 10,819,654 |
| Total Increase (Decrease) | 19,038,420 | 23,801,682 |
| Net Assets | ||
| Beginning of Period | 117,341,226 | 93,539,544 |
| End of Period1 | 136,379,646 | 117,341,226 |
| 1 Net Assets—End of Period includes undistributed net investment income of $40,060,000 and $17,455,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
16
Institutional Index Fund
Financial Highlights
| Institutional Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | June 30, | Year Ended December 31, | ||||
| Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
| Net Asset Value, Beginning of Period | $130.52 | $115.04 | $115.01 | $101.98 | $82.54 | $134.14 |
| Investment Operations | ||||||
| Net Investment Income | 1.476 | 2.835 | 2.361 | 2.118 | 2.207 | 2.521 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | 16.536 | 15.475 | .029 | 13.032 | 19.441 | (51.599) |
| Total from Investment Operations | 18.012 | 18.310 | 2.390 | 15.150 | 21.648 | (49.078) |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.452) | (2.830) | (2.360) | (2.120) | (2.208) | (2.522) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.452) | (2.830) | (2.360) | (2.120) | (2.208) | (2.522) |
| Net Asset Value, End of Period | $147.08 | $130.52 | $115.04 | $115.01 | $101.98 | $82.54 |
| Total Return | 13.81% | 15.98% | 2.09% | 15.05% | 26.63% | -36.95% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $77,610 | $68,055 | $58,399 | $54,686 | $44,401 | $31,543 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.040% | 0.040% | 0.044% | 0.050% | 0.050% | 0.050% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 2.10% | 2.27% | 2.05% | 2.05% | 2.56% | 2.28% |
| Portfolio Turnover Rate1 | 4% | 5% | 5% | 4% | 11% | 7% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Institutional Index Fund
Financial Highlights
| Institutional Plus Shares | |||||||
| Six Months | |||||||
| Ended | |||||||
| For a Share Outstanding | June 30, | Year Ended December 31, | |||||
| Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | |
| Net Asset Value, Beginning of Period | $130.53 | $115.05 | $115.01 | $101.98 | $82.54 | $134.14 | |
| Investment Operations | |||||||
| Net Investment Income | 1.490 | 2.861 | 2.386 | 2.144 | 2.229 | 2.548 | |
| Net Realized and Unrealized Gain (Loss) | |||||||
| on Investments | 16.526 | 15.474 | .040 | 13.031 | 19.441 | (51.598) | |
| Total from Investment Operations | 18.016 | 18.335 | 2.426 | 15.175 | 21.670 | (49.050) | |
| Distributions | |||||||
| Dividends from Net Investment Income | (1.466) | (2.855) | (2.386) | (2.145) | (2.230) | (2.550) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |
| Total Distributions | (1.466) | (2.855) | (2.386) | (2.145) | (2.230) | (2.550) | |
| Net Asset Value, End of Period | $147.08 | $130.53 | $115.05 | $115.01 | $101.98 | $82.54 | |
| Total Return | 13.82% | 16.00% | 2.12% | 15.07% | 26.66% | -36.94% | |
| Ratios/Supplemental Data | |||||||
| Net Assets, End of Period (Millions) | $58,770 | $49,286 | $35,141 | $33,643 | $24,767 | $17,643 | |
| Ratio of Total Expenses to | |||||||
| Average Net Assets | 0.020% | 0.020% | 0.022% | 0.025% | 0.025% | 0.025% | |
| Ratio of Net Investment Income to | |||||||
| Average Net Assets | 2.12% | 2.29% | 2.07% | 2.08% | 2.59% | 2.30% | |
| Portfolio Turnover Rate1 | 4% | 5% | 5% | 4% | 11% | 7% | |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | |||||||
| 1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. | |||||||
See accompanying Notes, which are an integral part of the Financial Statements.
18
Institutional Index Fund
Notes to Financial Statements
Vanguard Institutional Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares, Institutional Shares and Institutional Plus Shares, to investors who invest minimum amounts of $5 million and $200 million, respectively.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional 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). Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
During the six months ended June 30, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.
19
Institutional Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2009–2012), and for the period ended June 30, 2013, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. 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. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Class-specific shareholder servicing fees are charged to each class at the contractual rate. Income, expenses not attributable to a specific class, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group provides investment advisory, corporate management, administrative, marketing, and distribution services and pays for all other operating expenses, except for taxes, in return for a fee calculated at an annual percentage rate of the average net assets of the fund, or, for shareholder services, each class of shares. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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).
20
Institutional Index Fund
The following table summarizes the market value of the fund’s investments as of June 30, 2013, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 136,003,149 | — | — |
| Temporary Cash Investments | 72,110 | 23,193 | — |
| Futures Contracts—Liabilities1 | (1,502) | — | — |
| Total | 136,073,757 | 23,193 | — |
| 1 Represents variation margin on the last day of the reporting period. | |||
D. At June 30, 2013, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| S&P 500 Index | September 2013 | 552 | 220,703 | (2,786) |
| E-mini S&P 500 Index | September 2013 | 1,900 | 151,934 | (222) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2013, the fund realized $423,582,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
For tax purposes, at December 31, 2012, 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
21
Institutional Index Fund
Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2013, the cost of investment securities for tax purposes was $102,305,621,000. Net unrealized appreciation of investment securities for tax purposes was $33,792,831,000, consisting of unrealized gains of $39,962,010,000 on securities that had risen in value since their purchase and $6,169,179,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2013, the fund purchased $7,446,388,000 of investment securities and sold $3,061,876,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,016,321,000 and $724,773,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| June 30, 2013 | December 31, 2012 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Institutional Shares | ||||
| Issued | 8,497,159 | 59,552 | 15,985,832 | 126,720 |
| Issued in Lieu of Cash Distributions | 702,680 | 4,828 | 1,371,165 | 10,686 |
| Redeemed | (8,312,746) | (58,093) | (15,709,433) | (123,636) |
| Net Increase (Decrease)—Institutional Shares | 887,093 | 6,287 | 1,647,564 | 13,770 |
| Institutional Plus Shares | ||||
| Issued | 6,926,724 | 48,449 | 13,524,694 | 106,372 |
| Issued in Lieu of Cash Distributions | 558,846 | 3,839 | 974,640 | 7,592 |
| Redeemed | (4,374,258) | (30,305) | (5,327,244) | (41,827) |
| Net Increase (Decrease)—Institutional Plus Shares | 3,111,312 | 21,983 | 9,172,090 | 72,137 |
H. In preparing the financial statements as of June 30, 2013, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
22
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
23
| Six Months Ended June 30, 2013 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Institutional Index Fund | 12/31/2012 | 6/30/2013 | Period |
| Based on Actual Fund Return | |||
| Institutional Shares | $1,000.00 | $1,138.15 | $0.21 |
| Institutional Plus Shares | 1,000.00 | 1,138.17 | 0.11 |
| Based on Hypothetical 5% Yearly Return | |||
| Institutional Shares | $1,000.00 | $1,024.60 | $0.20 |
| Institutional Plus Shares | 1,000.00 | 1,024.70 | 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.
24
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Institutional Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard—through its Equity Investment Group—serves as the investment advisor for the fund. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Equity Investment Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance relative to a target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s low-cost arrangement with Vanguard ensures that the fund and its shareholders benefit from economies of scale.
The board will consider whether to renew the advisory arrangement again after a one-year period.
25
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (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.
26
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
27
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 182 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); Chairman of the Board of |
| (chemicals); Director of Tyco International, Ltd. | Hillenbrand, Inc. (specialized consumer services) and |
| (diversified manufacturing and services), Hewlett- | of Oxfam America; Director of SKF AB (industrial |
| Packard Co. (electronic computer manufacturing), | |
| machinery) and the Lumina Foundation for Education; | Executive Officers | |
| Member of the Advisory Council for the College of | ||
| Arts and Letters and of the Advisory Board to the | Glenn Booraem | |
| Kellogg Institute for International Studies, both at | Born 1967. Controller Since July 2010. Principal | |
| the University 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 | Chris D. McIsaac |
| Industries, Inc. (housewares/lignite) and of Hyster-Yale | Kathleen C. Gubanich | Michael S. Miller |
| Materials Handling, Inc. (forklift trucks); Director of | Paul A. Heller | James M. Norris |
| the National Association of Manufacturers; Chairman | Martha G. King | Glenn W. Reed |
| of the Board of University Hospitals of Cleveland; | John T. Marcante | |
| 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 | ||
| Occupation(s) During the Past Five Years: President | Chief Executive Officer and President, 1996–2008 | |
| and Chief Operating Officer (retired 2010) of Corning | ||
| Incorporated (communications equipment); Director | ||
| of SPX Corporation (multi-industry manufacturing); | Founder | |
| Overseer of the Amos Tuck School of Business | ||
| Administration at Dartmouth College; Advisor to the | John C. Bogle | |
| Norris Cotton Cancer Center. | ||
| Chairman and Chief Executive Officer, 1974–1996 | ||
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 |
| with the offering of shares of any Vanguard | Jones Indices LLC, Dow Jones, S&P, or their respective |
| fund only if preceded or accompanied by | affiliates, and none of S&P Dow Jones Indices LLC, |
| 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. | |
| Q942 082013 | |
Semiannual Report | June 30, 2013
Vanguard Institutional Total Stock
Market Index Fund
> Vanguard Institutional Total Stock Market Index Fund returned about 14% for
the six months ended June 30, 2013.
> The fund closely tracked its target index and outpaced the average result of peer
funds for the period.
> As planned, your fund is now seeking to track a new benchmark, the CRSP US
Total Market Index.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Fund Profile. | 6 |
| Performance Summary. | 7 |
| Financial Statements. | 8 |
| About Your Fund’s Expenses. | 55 |
| Trustees Approve Advisory Arrangement. | 57 |
| 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
| Six Months Ended June 30, 2013 | |
| Total | |
| Returns | |
| Vanguard Institutional Total Stock Market Index Fund | |
| Institutional Shares | 14.20% |
| Institutional Plus Shares | 14.18 |
| Spliced Institutional Total Stock Market Index | 14.18 |
| Multi-Cap Core Funds Average | 13.24 |
| For a benchmark description, see the Glossary. | |
| 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, 2012, Through June 30, 2013 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Institutional Total Stock Market Index | ||||
| Fund | ||||
| Institutional Shares | $32.27 | $36.52 | $0.328 | $0.000 |
| Institutional Plus Shares | 32.28 | 36.52 | 0.332 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
U.S. stocks posted strong, double-digit results for the six months ended June 30, turning in their best first-half performance since 1998. Small- and mid-capitalization stocks generally outdistanced their larger-cap peers for the period, while value-oriented stocks significantly outpaced their growth-oriented counterparts.
In this environment, Vanguard Institutional Total Stock Market Index Fund returned about 14%, closely tracking the performance of its benchmark. The fund outpaced the average return of multicap core funds for the period.
The fund posted positive results in nine out of ten market sectors, with eight sectors posting doubledigit returns. The financial, consumer services, and health care sectors contributed most to the fund’s advance, together adding almost 8 percentage points to its total return. Basic materials was the only sector to post a negative result for the period.
As we previously announced, your fund is now seeking to track a new benchmark index. In January, the Institutional Total Stock Market Index Fund began using the CRSP US Total Market Index as its target.
Global stocks notched gains despite some recent turbulence
After staging a stellar performance for most of the first half of 2013, global stocks declined in June. Investors worldwide were spooked by signs of trouble in China’s economy and by a statement from
2
Federal Reserve Chairman Ben Bernanke that the central bank could begin to reduce its stimulative bondbuying program later this year. Still, U.S. stocks returned about 14% for the sixmonth period, despite a drop of more than 1% in June.
Markets were clearly unsettled by the prospect of the Fed’s scaling back its stimulus measures, known as quantitative easing. However, Vanguard’s chief economist, Joe Davis, pointed to a positive message in the Fed’s evolving stance. “The Federal Reserve is coming closer to the realization that the U.S. economy is stronger today than it was a year ago and so does not need the insurance, so to speak, of additional quantitative easing,” he said.
Developed markets in the Pacific region generally fared better than their European and emergingmarket counterparts. Notably, Japanese stocks recovered in June from a sharp decline in May.
Bond prices fell sharply in the period’s final months
Bond returns, which sputtered along through most of the period, turned negative in May and retreated further in June. The broad U.S. taxable bond market returned –2.44% for the six months as concerns about the Fed’s plans roiled fixed income investors even more than equity investors. Municipal bonds fared worse than taxable issues, returning –2.69% for the period.
| Market Barometer | |||
| Total Returns | |||
| Periods Ended June 30, 2013 | |||
| Six | One | Five Years | |
| Months | Year | (Annualized) | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 13.91% | 21.24% | 7.12% |
| Russell 2000 Index (Small-caps) | 15.86 | 24.21 | 8.77 |
| Russell 3000 Index (Broad U.S. market) | 14.06 | 21.46 | 7.25 |
| MSCI All Country World Index ex USA (International) | -0.04 | 13.63 | -0.80 |
| Bonds | |||
| Barclays U.S. Aggregate Bond Index (Broad taxable market) | -2.44% | -0.69% | 5.19% |
| Barclays Municipal Bond Index (Broad tax-exempt market) | -2.69 | 0.24 | 5.33 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.08 | 0.23 |
| CPI | |||
| Consumer Price Index | 1.70% | 1.75% | 1.31% |
3
The yield of the 10year Treasury note finished the six months at 2.47%, jumping from 2.11% at the end of May and 1.67% at the end of April. (Bond yields and prices move in opposite directions.) The Fed kept its target for shortterm rates between 0% and 0.25%. Returns from money market funds and savings accounts have been minuscule since the Fed imposed the historically low rates in December 2008 to combat the financial crisis.
Financials, consumer services and health care drove returns
The Institutional Total Stock Market Index Fund offers broad exposure to all segments of the U.S. stock market, investing in large, mid, and smallcap stocks, as well
as both growth and value companies. As I mentioned, U.S. stocks posted strong results across the board for the most recent sixmonth period, despite the market’s decline in June.
Financial stocks were among the market’s top performers, contributing more than 3 percentage points to the index’s return. After years of dismal results following the 2008–2009 financial crisis, the industry has experienced a widespread resurgence that continued throughout the six months. Shares of banks, financial services companies, and insurance companies contributed significantly to the fund’s performance.
| Investment insight |
| What benchmark changes mean for you |
| In June, we completed the transition of 22 Vanguard index funds—including yours— |
| to new target benchmarks. The change went smoothly, as the funds closely tracked |
| their respective benchmarks throughout the transition. |
| The new index providers are the University of Chicago’s Center for Research in |
| Security Prices (CRSP) for U.S. stocks and FTSE Group for international stocks. The |
| new benchmarks incorporate topquality index construction and offer comprehensive |
| coverage of the markets they represent. There are no changes to our funds’ |
| investment goals, objectives, or policies. |
| We took this action because benchmark licensing costs were becoming a larger |
| part of the expense ratios of our index funds. With the new, longterm agreements, |
| our funds can pursue their indexing strategy at considerable savings for our clients. |
4
Consumer services stocks generally performed well, as further signs of economic improvement encouraged consumer spending. The sector’s top contributors included retailers and media companies. In health care, stocks of pharmaceutical companies added most to performance, as the industry continued to benefit from favorable rulings by the Food and Drug Administration and improved pipelines of new medicines.
The basic materials sector was the weakest performer for the six months, and the only sector to post a negative return for the fund. Stocks of gold and coal mining companies weighed significantly on the sector’s performance.
In pursuing investment goals, long-term asset mix is key
As I mentioned earlier, financial markets were rattled in June by the prospect that the Fed would begin scaling back its massive bondbuying program. Bond yields jumped (and so prices fell), and the stock market experienced some turmoil.
Volatility and increased uncertainty can tempt investors to deviate from their investment plan. In the mutual fund industry, for example, the recent rise in bond yields has led to net redemptions from bond funds as investors try to sidestep losses that might arise from a sustained climb in interest rates.
Keep in mind, however, that although interest rates remain low, nobody is certain what their next move will be—much less how financial markets will react to the change. In fact, it’s precisely
because shortterm market movements are unpredictable that trying to time the markets often fails, as Vanguard and other researchers have found. A recent Vanguard research paper notes that although many investors alter their portfolios based on emotional reactions to market movements, investment success actually is “largely determined by the longterm mixture of assets in a portfolio.” (You can find the full report, Vanguard’s Framework for Constructing Diversified Portfolios, at vanguard.com/research.)
We continue to believe that sticking to a welldiversified portfolio of stocks, bonds, and money market instruments over the long haul—rather than making impulsive changes to try to avoid potential losses or capitalize on perceived opportunities—gives investors the best chance of meeting their investment goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 18, 2013
5
Institutional Total Stock Market Index Fund
Fund Profile
As of June 30, 2013
| Share-Class Characteristics | ||
| Institutional | Institutional | |
| Shares | Plus Shares | |
| Ticker Symbol | VITNX | VITPX |
| Expense Ratio1 | 0.04% | 0.02% |
| 30-Day SEC | ||
| Yield | 1.99% | 2.01% |
| Portfolio Characteristics | ||
| CRSP US | ||
| Total Market | ||
| Fund | Index | |
| Number of Stocks | 3,323 | 3,594 |
| Median Market Cap | $38.5B | $38.5B |
| Price/Earnings Ratio | 18.4x | 18.5x |
| Price/Book Ratio | 2.4x | 2.4x |
| Return on Equity | 16.6% | 16.5% |
| Earnings Growth | ||
| Rate | 10.7% | 10.5% |
| Dividend Yield | 2.0% | 2.0% |
| Foreign Holdings | 0.0% | 0.0% |
| Turnover Rate | ||
| (Annualized) | 7% | — |
| Short-Term | -0.1% | — |
| Sector Diversification (% of equity exposure) | ||
| CRSP US | ||
| Total Market | ||
| Fund | Index | |
| Basic Materials | 2.9% | 2.9% |
| Consumer Goods | 10.5 | 10.5 |
| Consumer Services | 13.3 | 13.2 |
| Financials | 18.8 | 18.8 |
| Health Care | 11.7 | 11.8 |
| Industrials | 13.0 | 13.0 |
| Oil & Gas | 9.5 | 9.5 |
| Technology | 14.4 | 14.4 |
| Telecommunications | 2.5 | 2.5 |
| Utilities | 3.4 | 3.4 |
| Volatility Measures | |
| Spliced Inst. | |
| Total Stock | |
| Mkt. Idx | |
| R-Squared | 1.00 |
| Beta | 1.00 |
| These measures show the degree and timing of the fund’s fluctuations compared with the index over 36 months. | |
| Ten Largest Holdings (% of total net assets) | ||
| Exxon Mobil Corp. | Integrated Oil & Gas | 2.2% |
| Apple Inc. | Computer Hardware | 2.1 |
| Microsoft Corp. | Software | 1.5 |
| Johnson & Johnson | Pharmaceuticals | 1.4 |
| General Electric Co. | Diversified Industrials | 1.3 |
| Google Inc. | Internet | 1.3 |
| Chevron Corp. | Integrated Oil & Gas | 1.3 |
| Wells Fargo & Co. | Banks | 1.2 |
| International Business | ||
| Machines Corp. | Computer Services | 1.2 |
| Procter & Gamble Co. | Nondurable | |
| Household Products | 1.2 | |
| Top Ten | 14.7% | |
| The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated March 28, 2013. For the six months ended June 30, 2013, the annualized expense
ratios were 0.040% for Institutional Shares and 0.020% for Institutional Plus Shares.
6
Institutional Total Stock Market Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2002, Through June 30, 2013
Note: For 2013, performance data reflect the six months ended June 30, 2013.
| Average Annual Total Returns: Periods Ended June 30, 2013 | ||||
| Inception | One | Five | Ten | |
| Date | Year | Years | Years | |
| Institutional Shares | 8/31/2001 | 21.60% | 7.53% | 8.13% |
| Institutional Plus Shares | 5/31/2001 | 21.58 | 7.55 | 8.15 |
See Financial Highlights for dividend and capital gains information.
7
Institutional Total Stock Market Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2013
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 | |||
| Basic Materials (2.9%) | |||
| EI du Pont de | |||
| Nemours & Co. | 1,559,998 | 81,900 | |
| Dow Chemical Co. | 2,050,659 | 65,970 | |
| Praxair Inc. | 501,293 | 57,729 | |
| Freeport-McMoRan | |||
| Copper & Gold Inc. | 1,759,182 | 48,571 | |
| LyondellBasell Industries | |||
| NV Class A | 682,834 | 45,245 | |
| Ecolab Inc. | 451,507 | 38,464 | |
| PPG Industries Inc. | 230,074 | 33,685 | |
| International Paper Co. | 753,977 | 33,409 | |
| Air Products & | |||
| Chemicals Inc. | 353,083 | 32,332 | |
| Mosaic Co. | 478,222 | 25,733 | |
| Newmont Mining Corp. | 834,415 | 24,991 | |
| Nucor Corp. | 538,647 | 23,334 | |
| Eastman Chemical Co. | 262,766 | 18,396 | |
| CF Industries Holdings Inc. | 100,483 | 17,233 | |
| Sigma-Aldrich Corp. | 203,973 | 16,391 | |
| Alcoa Inc. | 1,812,391 | 14,173 | |
| FMC Corp. | 231,176 | 14,116 | |
| Celanese Corp. Class A | 270,612 | 12,123 | |
| Ashland Inc. | 134,013 | 11,190 | |
| Airgas Inc. | 111,704 | 10,663 | |
| CONSOL Energy Inc. | 387,489 | 10,501 | |
| International Flavors | |||
| & Fragrances Inc. | 138,176 | 10,385 | |
| * | WR Grace & Co. | 122,311 | 10,279 |
| Albemarle Corp. | 149,196 | 9,293 | |
| Rockwood Holdings Inc. | 132,780 | 8,502 | |
| Reliance Steel & | |||
| Aluminum Co. | 123,523 | 8,098 | |
| Avery Dennison Corp. | 168,802 | 7,218 | |
| RPM International Inc. | 224,622 | 7,174 | |
| Peabody Energy Corp. | 457,036 | 6,691 | |
| Huntsman Corp. | 327,502 | 5,423 | |
| Steel Dynamics Inc. | 355,318 | 5,298 | |
| Cytec Industries Inc. | 71,107 | 5,209 | |
| Axiall Corp. | 118,357 | 5,040 | |
| Compass Minerals | |||
| International Inc. | 56,629 | 4,787 | |
| NewMarket Corp. | 18,118 | 4,757 | |
| Allegheny Technologies Inc. | 173,900 | 4,575 | |
| Royal Gold Inc. | 103,982 | 4,376 | |
| ^ | United States Steel Corp. | 245,680 | 4,307 |
| ^ | Cliffs Natural | ||
| Resources Inc. | 260,372 | 4,231 | |
| PolyOne Corp. | 160,041 | 3,966 | |
| Carpenter Technology Corp. | 85,358 | 3,847 | |
| Domtar Corp. | 57,634 | 3,833 | |
| Cabot Corp. | 101,852 | 3,811 | |
| Sensient Technologies Corp. | 85,143 | 3,446 | |
| * | Chemtura Corp. | 167,378 | 3,398 |
| Westlake Chemical Corp. | 34,158 | 3,293 | |
| Olin Corp. | 136,143 | 3,256 | |
| HB Fuller Co. | 85,816 | 3,245 | |
| *,^ | Polypore International Inc. | 79,578 | 3,207 |
| Commercial Metals Co. | 198,492 | 2,932 | |
| Worthington Industries Inc. | 90,975 | 2,885 | |
| KapStone Paper and | |||
| Packaging Corp. | 68,955 | 2,771 | |
| Minerals Technologies Inc. | 59,434 | 2,457 | |
| Buckeye Technologies Inc. | 63,123 | 2,338 | |
| * | Coeur Mining Inc. | 171,914 | 2,286 |
| Balchem Corp. | 50,390 | 2,255 | |
| Tronox Ltd. Class A | 106,982 | 2,156 | |
| * | Stillwater Mining Co. | 193,946 | 2,083 |
| * | Clearwater Paper Corp. | 43,326 | 2,039 |
| * | Alpha Natural | ||
| Resources Inc. | 385,050 | 2,018 | |
| * | Resolute Forest | ||
| Products Inc. | 146,953 | 1,935 | |
| Kaiser Aluminum Corp. | 30,778 | 1,906 | |
| AMCOL International Corp. | 60,100 | 1,905 | |
| PH Glatfelter Co. | 74,800 | 1,877 | |
| * | Calgon Carbon Corp. | 111,136 | 1,854 |
| Intrepid Potash Inc. | 87,300 | 1,663 |
8
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Innophos Holdings Inc. | 34,301 | 1,618 | |
| Innospec Inc. | 39,502 | 1,587 | |
| * | Cloud Peak Energy Inc. | 96,007 | 1,582 |
| * | OM Group Inc. | 50,810 | 1,571 |
| * | SunCoke Energy Inc. | 110,414 | 1,548 |
| * | Ferro Corp. | 213,574 | 1,484 |
| Hecla Mining Co. | 496,986 | 1,481 | |
| Arch Coal Inc. | 378,355 | 1,430 | |
| Quaker Chemical Corp. | 21,832 | 1,354 | |
| Boise Inc. | 152,988 | 1,306 | |
| * | RTI International Metals Inc. | 45,940 | 1,273 |
| Stepan Co. | 22,529 | 1,253 | |
| * | Kraton Performance | ||
| Polymers Inc. | 58,990 | 1,251 | |
| American Vanguard Corp. | 51,603 | 1,209 | |
| Aceto Corp. | 85,459 | 1,190 | |
| Neenah Paper Inc. | 35,907 | 1,141 | |
| Walter Energy Inc. | 105,791 | 1,100 | |
| Haynes International Inc. | 22,370 | 1,071 | |
| * | Century Aluminum Co. | 111,442 | 1,034 |
| Koppers Holdings Inc. | 26,353 | 1,006 | |
| * | Allied Nevada Gold Corp. | 152,654 | 989 |
| Tredegar Corp. | 37,429 | 962 | |
| *,^ | AK Steel Holding Corp. | 309,787 | 942 |
| *,^ | Molycorp Inc. | 150,987 | 936 |
| Globe Specialty Metals Inc. | 85,991 | 935 | |
| A Schulman Inc. | 32,278 | 866 | |
| * | Cambrex Corp. | 59,463 | 831 |
| Deltic Timber Corp. | 13,908 | 804 | |
| Hawkins Inc. | 19,217 | 757 | |
| * | Horsehead Holding Corp. | 57,469 | 736 |
| Ampco-Pittsburgh Corp. | 38,941 | 731 | |
| Kronos Worldwide Inc. | 40,995 | 666 | |
| US Silica Holdings Inc. | 30,984 | 644 | |
| Rentech Inc. | 292,991 | 615 | |
| * | OMNOVA Solutions Inc. | 74,425 | 596 |
| * | LSB Industries Inc. | 19,598 | 596 |
| * | General Moly Inc. | 303,125 | 567 |
| * | Zoltek Cos. Inc. | 40,777 | 526 |
| Wausau Paper Corp. | 41,426 | 472 | |
| Olympic Steel Inc. | 17,882 | 438 | |
| Gold Resource Corp. | 45,348 | 395 | |
| * | American Pacific Corp. | 13,142 | 373 |
| Zep Inc. | 22,054 | 349 | |
| Chase Corp. | 15,028 | 336 | |
| Friedman Industries Inc. | 29,963 | 295 | |
| KMG Chemicals Inc. | 11,639 | 246 | |
| * | Universal Stainless & | ||
| Alloy Products Inc. | 7,847 | 231 | |
| * | Penford Corp. | 16,795 | 225 |
| *,^ | Golden Minerals Co. | 150,216 | 204 |
| *,^ | Paramount Gold and | ||
| Silver Corp. | 154,655 | 184 | |
| FutureFuel Corp. | 10,048 | 142 | |
| Noranda Aluminum | |||
| Holding Corp. | 40,398 | 130 | |
| * | Senomyx Inc. | 59,255 | 129 |
| * | Codexis Inc. | 54,399 | 120 |
| * | Westmoreland Coal Co. | 9,078 | 102 |
| *,^ | James River Coal Co. | 55,876 | 102 |
| TMS International | |||
| Corp. Class A | 6,464 | 96 | |
| * | Verso Paper Corp. | 45,739 | 53 |
| NL Industries Inc. | 4,408 | 50 | |
| * | Solitario Exploration & | ||
| Royalty Corp. | 51,737 | 47 | |
| * | Material Sciences Corp. | 3,542 | 36 |
| * | USEC Inc. | 120,969 | 35 |
| * | Uni-Pixel Inc. | 2,400 | 35 |
| * | Mines Management Inc. | 46,322 | 25 |
| * | Ikonics Corp. | 1,469 | 24 |
| * | Metabolix Inc. | 14,335 | 20 |
| United-Guardian Inc. | 710 | 17 | |
| * | Comstock Mining Inc. | 6,800 | 11 |
| * | Handy & Harman Ltd. | 524 | 9 |
| * | Midway Gold Corp. | 8,130 | 8 |
| * | TOR Minerals | ||
| International Inc. | 682 | 7 | |
| * | Northern Technologies | ||
| International Corp. | 600 | 7 | |
| * | Uranium Resources Inc. | 1,071 | 3 |
| * | Uranerz Energy Corp. | 681 | 1 |
| 869,599 | |||
| Consumer Goods (10.4%) | |||
| Procter & Gamble Co. | 4,645,233 | 357,637 | |
| Coca-Cola Co. | 6,793,793 | 272,499 | |
| Philip Morris | |||
| International Inc. | 2,633,276 | 228,094 | |
| PepsiCo Inc. | 2,620,840 | 214,359 | |
| Altria Group Inc. | 3,404,788 | 119,134 | |
| Ford Motor Co. | 6,543,725 | 101,231 | |
| Colgate-Palmolive Co. | 1,580,840 | 90,566 | |
| Monsanto Co. | 904,806 | 89,395 | |
| Mondelez International | |||
| Inc. Class A | 3,024,215 | 86,281 | |
| NIKE Inc. Class B | 1,213,261 | 77,260 | |
| Kimberly-Clark Corp. | 651,841 | 63,320 | |
| Kraft Foods Group Inc. | 1,007,550 | 56,292 | |
| General Mills Inc. | 1,092,616 | 53,025 | |
| * | General Motors Co. | 1,397,860 | 46,563 |
| Johnson Controls Inc. | 1,160,976 | 41,551 | |
| Archer-Daniels-Midland Co. | 1,116,953 | 37,876 | |
| Kellogg Co. | 498,663 | 32,029 | |
| VF Corp. | 148,553 | 28,680 | |
| Lorillard Inc. | 640,221 | 27,965 | |
| Mead Johnson | |||
| Nutrition Co. | 343,225 | 27,194 | |
| Coach Inc. | 476,300 | 27,192 | |
| Reynolds American Inc. | 556,337 | 26,910 | |
9
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Delphi Automotive plc | 529,883 | 26,860 | |
| Estee Lauder Cos. Inc. | |||
| Class A | 404,857 | 26,627 | |
| Mattel Inc. | 585,451 | 26,527 | |
| ConAgra Foods Inc. | 706,408 | 24,675 | |
| Hershey Co. | 248,780 | 22,211 | |
| Stanley Black & Decker Inc. | 274,429 | 21,213 | |
| Harley-Davidson Inc. | 379,875 | 20,825 | |
| Genuine Parts Co. | 249,526 | 19,481 | |
| Clorox Co. | 223,175 | 18,555 | |
| Ralph Lauren Corp. Class A | 103,501 | 17,982 | |
| JM Smucker Co. | 172,712 | 17,815 | |
| Beam Inc. | 272,697 | 17,210 | |
| PVH Corp. | 137,356 | 17,176 | |
| * | BorgWarner Inc. | 195,876 | 16,875 |
| Bunge Ltd. | 236,863 | 16,763 | |
| Dr Pepper Snapple | |||
| Group Inc. | 345,831 | 15,884 | |
| Coca-Cola Enterprises Inc. | 445,361 | 15,659 | |
| Campbell Soup Co. | 344,960 | 15,451 | |
| Avon Products Inc. | 734,062 | 15,437 | |
| Whirlpool Corp. | 134,228 | 15,350 | |
| * | Green Mountain Coffee | ||
| Roasters Inc. | 202,311 | 15,185 | |
| * | Monster Beverage Corp. | 239,160 | 14,534 |
| Church & Dwight Co. Inc. | 234,226 | 14,454 | |
| * | Constellation Brands Inc. | ||
| Class A | 261,189 | 13,613 | |
| McCormick & Co. Inc. | 192,561 | 13,549 | |
| * | Tesla Motors Inc. | 119,945 | 12,886 |
| Newell Rubbermaid Inc. | 488,969 | 12,835 | |
| Tyson Foods Inc. Class A | 482,741 | 12,397 | |
| * | TRW Automotive | ||
| Holdings Corp. | 183,304 | 12,179 | |
| Brown-Forman Corp. | |||
| Class B | 175,208 | 11,835 | |
| * | LKQ Corp. | 455,518 | 11,730 |
| Molson Coors Brewing Co. | |||
| Class B | 241,443 | 11,555 | |
| * | Lululemon Athletica Inc. | 171,626 | 11,245 |
| * | PulteGroup Inc. | 591,126 | 11,214 |
| * | Electronic Arts Inc. | 487,277 | 11,193 |
| * | Mohawk Industries Inc. | 98,375 | 11,066 |
| Activision Blizzard Inc. | 757,639 | 10,804 | |
| Energizer Holdings Inc. | 105,539 | 10,608 | |
| Polaris Industries Inc. | 110,702 | 10,517 | |
| DR Horton Inc. | 491,554 | 10,460 | |
| Lear Corp. | 156,711 | 9,475 | |
| Lennar Corp. Class A | 250,774 | 9,038 | |
| Hasbro Inc. | 197,389 | 8,849 | |
| Snap-on Inc. | 98,823 | 8,833 | |
| * | Fossil Group Inc. | 84,731 | 8,754 |
| Hormel Foods Corp. | 224,428 | 8,658 | |
| Hanesbrands Inc. | 167,034 | 8,589 | |
| * | Toll Brothers Inc. | 258,025 | 8,419 |
| Ingredion Inc. | 124,761 | 8,187 | |
| * | Under Armour Inc. | ||
| Class A | 135,455 | 8,088 | |
| * | Jarden Corp. | 181,242 | 7,929 |
| * | WABCO Holdings Inc. | 105,982 | 7,916 |
| * | Smithfield Foods Inc. | 235,498 | 7,713 |
| Leggett & Platt Inc. | 242,243 | 7,531 | |
| Carter’s Inc. | 95,484 | 7,073 | |
| * | NVR Inc. | 7,602 | 7,009 |
| Hillshire Brands Co. | 208,659 | 6,902 | |
| Flowers Foods Inc. | 298,752 | 6,587 | |
| * | Goodyear Tire & | ||
| Rubber Co. | 416,343 | 6,366 | |
| Tupperware Brands Corp. | 81,783 | 6,354 | |
| Herbalife Ltd. | 139,683 | 6,305 | |
| Harman International | |||
| Industries Inc. | 115,259 | 6,247 | |
| * | Visteon Corp. | 87,317 | 5,511 |
| Nu Skin Enterprises Inc. | |||
| Class A | 89,352 | 5,461 | |
| Gentex Corp. | 231,182 | 5,329 | |
| * | Middleby Corp. | 30,443 | 5,178 |
| Brunswick Corp. | 153,401 | 4,901 | |
| Dana Holding Corp. | 249,589 | 4,807 | |
| * | Tenneco Inc. | 103,324 | 4,679 |
| * | Fifth & Pacific Cos. Inc. | 203,624 | 4,549 |
| Wolverine World Wide Inc. | 80,865 | 4,416 | |
| * | Tempur Sealy | ||
| International Inc. | 97,240 | 4,269 | |
| * | Hain Celestial Group Inc. | 64,098 | 4,164 |
| Pool Corp. | 75,375 | 3,950 | |
| * | TreeHouse Foods Inc. | 58,536 | 3,836 |
| Thor Industries Inc. | 76,855 | 3,780 | |
| * | Darling International Inc. | 200,979 | 3,750 |
| Scotts Miracle-Gro Co. | |||
| Class A | 73,498 | 3,551 | |
| * | Steven Madden Ltd. | 70,741 | 3,422 |
| Cooper Tire & Rubber Co. | 102,555 | 3,402 | |
| Ryland Group Inc. | 78,545 | 3,150 | |
| B&G Foods Inc. | 89,987 | 3,064 | |
| * | Dean Foods Co. | 302,451 | 3,031 |
| * | Deckers Outdoor Corp. | 55,804 | 2,819 |
| HNI Corp. | 77,639 | 2,800 | |
| KB Home | 141,893 | 2,785 | |
| * | Zynga Inc. Class A | 984,784 | 2,738 |
| * | Iconix Brand Group Inc. | 92,417 | 2,718 |
| Lancaster Colony Corp. | 34,761 | 2,711 | |
| Schweitzer-Mauduit | |||
| International Inc. | 53,046 | 2,646 | |
| * | American Axle & | ||
| Manufacturing | |||
| Holdings Inc. | 138,249 | 2,576 | |
| * | Boston Beer Co. Inc. | ||
| Class A | 15,079 | 2,573 | |
| Herman Miller Inc. | 94,478 | 2,558 |
10
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Snyders-Lance Inc. | 87,414 | 2,483 | |
| * | Meritage Homes Corp. | 55,248 | 2,396 |
| * | Crocs Inc. | 143,070 | 2,361 |
| * | TiVo Inc. | 212,242 | 2,345 |
| Sanderson Farms Inc. | 35,120 | 2,333 | |
| * | Post Holdings Inc. | 52,935 | 2,311 |
| Universal Corp. | 39,920 | 2,309 | |
| Interface Inc. Class A | 136,081 | 2,309 | |
| Dorman Products Inc. | 49,535 | 2,260 | |
| * | Select Comfort Corp. | 89,623 | 2,246 |
| Andersons Inc. | 41,478 | 2,206 | |
| MDC Holdings Inc. | 66,183 | 2,152 | |
| Spectrum Brands | |||
| Holdings Inc. | 35,948 | 2,044 | |
| Briggs & Stratton Corp. | 97,736 | 1,935 | |
| * | Elizabeth Arden Inc. | 42,841 | 1,931 |
| Steelcase Inc. Class A | 132,338 | 1,929 | |
| * | Standard Pacific Corp. | 227,886 | 1,898 |
| J&J Snack Foods Corp. | 24,398 | 1,898 | |
| Jones Group Inc. | 135,714 | 1,866 | |
| * | G-III Apparel Group Ltd. | 38,037 | 1,830 |
| * | Helen of Troy Ltd. | 47,437 | 1,820 |
| Fresh Del Monte | |||
| Produce Inc. | 64,211 | 1,790 | |
| Ethan Allen Interiors Inc. | 57,621 | 1,659 | |
| Cal-Maine Foods Inc. | 35,037 | 1,630 | |
| * | WhiteWave Foods Co. | ||
| Class B | 107,128 | 1,628 | |
| * | iRobot Corp. | 40,808 | 1,623 |
| Drew Industries Inc. | 40,609 | 1,597 | |
| * | Take-Two Interactive | ||
| Software Inc. | 103,356 | 1,547 | |
| La-Z-Boy Inc. | 75,233 | 1,525 | |
| Columbia Sportswear Co. | 24,334 | 1,525 | |
| Movado Group Inc. | 43,973 | 1,488 | |
| Standard Motor | |||
| Products Inc. | 41,873 | 1,438 | |
| Arctic Cat Inc. | 31,225 | 1,405 | |
| American Greetings Corp. | |||
| Class A | 76,362 | 1,391 | |
| * | Tumi Holdings Inc. | 56,696 | 1,361 |
| * | ACCO Brands Corp. | 210,926 | 1,342 |
| * | WhiteWave Foods Co. | ||
| Class A | 81,995 | 1,332 | |
| Knoll Inc. | 90,724 | 1,289 | |
| Vector Group Ltd. | 79,146 | 1,284 | |
| Inter Parfums Inc. | 44,225 | 1,261 | |
| Oxford Industries Inc. | 19,276 | 1,203 | |
| WD-40 Co. | 21,207 | 1,155 | |
| * | Chiquita Brands | ||
| International Inc. | 104,836 | 1,145 | |
| * | Skechers U.S.A. Inc. | ||
| Class A | 46,880 | 1,126 | |
| * | Unifi Inc. | 53,423 | 1,104 |
| * | Blount International Inc. | 92,812 | 1,097 |
| * | Coty Inc. Class A | 63,806 | 1,096 |
| * | Pilgrim’s Pride Corp. | 72,397 | 1,082 |
| Seaboard Corp. | 390 | 1,056 | |
| * | Boulder Brands Inc. | 87,086 | 1,049 |
| Titan International Inc. | 60,320 | 1,018 | |
| * | Gentherm Inc. | 54,515 | 1,012 |
| * | Quiksilver Inc. | 155,808 | 1,003 |
| Tootsie Roll Industries Inc. | 31,543 | 1,002 | |
| * | Winnebago Industries Inc. | 46,836 | 983 |
| * | Cavco Industries Inc. | 18,744 | 946 |
| * | Diamond Foods Inc. | 44,400 | 921 |
| * | Dole Food Co. Inc. | 71,497 | 912 |
| * | Medifast Inc. | 35,040 | 903 |
| True Religion Apparel Inc. | 28,300 | 896 | |
| * | USANA Health | ||
| Sciences Inc. | 12,287 | 889 | |
| Callaway Golf Co. | 134,778 | 887 | |
| * | Alliance One | ||
| International Inc. | 226,165 | 859 | |
| Bassett Furniture | |||
| Industries Inc. | 54,780 | 851 | |
| Pinnacle Foods Inc. | 35,068 | 847 | |
| * | Maidenform Brands Inc. | 47,061 | 816 |
| * | LeapFrog Enterprises Inc. | 82,150 | 808 |
| * | RealD Inc. | 57,227 | 795 |
| * | Taylor Morrison Home | ||
| Corp. Class A | 31,949 | 779 | |
| * | Modine Manufacturing Co. | 71,550 | 778 |
| * | Fuel Systems Solutions Inc. | 41,567 | 744 |
| Coca-Cola Bottling Co. | |||
| Consolidated | 11,708 | 716 | |
| Lennar Corp. Class B | 24,500 | 695 | |
| Perry Ellis International Inc. | 33,601 | 682 | |
| * | Nautilus Inc. | 78,451 | 682 |
| * | Hovnanian Enterprises Inc. | ||
| Class A | 120,996 | 679 | |
| Alico Inc. | 16,923 | 679 | |
| * | Vera Bradley Inc. | 31,148 | 675 |
| * | Beazer Homes USA Inc. | 37,950 | 665 |
| * | DTS Inc. | 32,293 | 665 |
| Calavo Growers Inc. | 22,543 | 613 | |
| John B Sanfilippo & Son Inc. | 29,069 | 586 | |
| * | Annie’s Inc. | 13,259 | 567 |
| * | Farmer Bros Co. | 39,860 | 560 |
| * | Central Garden and Pet Co. | ||
| Class A | 79,153 | 546 | |
| * | Federal-Mogul Corp. | 53,352 | 545 |
| JAKKS Pacific Inc. | 46,900 | 528 | |
| * | M/I Homes Inc. | 22,828 | 524 |
| * | Jamba Inc. | 34,895 | 521 |
| Flexsteel Industries Inc. | 20,852 | 508 | |
| Nutrisystem Inc. | 43,128 | 508 | |
| Cherokee Inc. | 37,406 | 478 | |
| * | Universal Electronics Inc. | 16,981 | 478 |
11
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Superior Industries | |||
| International Inc. | 27,075 | 466 | |
| Blyth Inc. | 31,044 | 433 | |
| * | Revlon Inc. Class A | 18,773 | 414 |
| * | Central Garden and Pet Co. | 56,888 | 404 |
| * | Steinway Musical | ||
| Instruments Inc. | 12,357 | 376 | |
| Lifeway Foods Inc. | 20,755 | 360 | |
| National Presto | |||
| Industries Inc. | 4,837 | 348 | |
| Marine Products Corp. | 43,254 | 347 | |
| Culp Inc. | 19,301 | 336 | |
| * | Omega Protein Corp. | 35,379 | 318 |
| * | Libbey Inc. | 12,270 | 294 |
| National Beverage Corp. | 16,262 | 284 | |
| * | Stoneridge Inc. | 23,383 | 272 |
| * | Ceres Inc. | 86,401 | 270 |
| *,^ | American Apparel Inc. | 137,114 | 263 |
| Female Health Co. | 26,237 | 259 | |
| * | Motorcar Parts of | ||
| America Inc. | 26,798 | 246 | |
| Hooker Furniture Corp. | 15,045 | 245 | |
| *,^ | Star Scientific Inc. | 172,414 | 240 |
| * | AT Cross Co. Class A | 13,903 | 236 |
| * | S&W Seed Co. | 27,184 | 228 |
| Strattec Security Corp. | 5,741 | 214 | |
| * | Overhill Farms Inc. | 42,017 | 208 |
| Weyco Group Inc. | 8,253 | 208 | |
| Shiloh Industries Inc. | 18,442 | 193 | |
| Limoneira Co. | 8,964 | 186 | |
| * | Dixie Group Inc. | 21,697 | 180 |
| *,^ | Coffee Holding Co. Inc. | 27,694 | 166 |
| *,^ | Comstock Holding Cos. | ||
| Inc. Class A | 57,181 | 158 | |
| * | Inventure Foods Inc. | 18,784 | 157 |
| Griffin Land & | |||
| Nurseries Inc. | 5,426 | 155 | |
| Oil-Dri Corp. of America | 5,107 | 140 | |
| * | Zagg Inc. | 24,801 | 133 |
| * | Furniture Brands | ||
| International Inc. | 30,379 | 122 | |
| Lifetime Brands Inc. | 8,619 | 117 | |
| LS Starrett Co. Class A | 11,175 | 114 | |
| * | Core Molding | ||
| Technologies Inc. | 11,460 | 102 | |
| * | LoJack Corp. | 30,922 | 97 |
| * | Johnson Outdoors Inc. | ||
| Class A | 3,631 | 90 | |
| Nutraceutical | |||
| International Corp. | 3,950 | 81 | |
| Escalade Inc. | 12,987 | 80 | |
| * | Black Diamond Inc. | 8,107 | 76 |
| * | Delta Apparel Inc. | 4,553 | 64 |
| *,^ | Glu Mobile Inc. | 28,402 | 62 |
| * | Lifevantage Corp. | 26,475 | 61 |
| * | Stanley Furniture Co. Inc. | 15,291 | 61 |
| * | Skullcandy Inc. | 11,200 | 61 |
| * | Primo Water Corp. | 32,717 | 60 |
| * | Majesco Entertainment Co. | 104,062 | 59 |
| MGP Ingredients Inc. | 9,902 | 59 | |
| * | Seneca Foods Corp. Class A | 1,704 | 52 |
| * | Mannatech Inc. | 4,713 | 52 |
| * | Summer Infant Inc. | 15,000 | 46 |
| Nature’s Sunshine | |||
| Products Inc. | 2,689 | 44 | |
| * | Kid Brands Inc. | 27,010 | 42 |
| * | Quantum Fuel Systems | ||
| Technologies | |||
| Worldwide Inc. | 70,249 | 39 | |
| CCA Industries Inc. | 11,733 | 38 | |
| * | Tower International Inc. | 1,826 | 36 |
| Rocky Brands Inc. | 2,299 | 35 | |
| Bridgford Foods Corp. | 4,510 | 32 | |
| * | Craft Brew Alliance Inc. | 3,865 | 32 |
| RG Barry Corp. | 1,868 | 30 | |
| * | Emerson Radio Corp. | 17,970 | 30 |
| * | Natural Alternatives | ||
| International Inc. | 5,600 | 26 | |
| Orchids Paper Products Co. | 926 | 24 | |
| *,^ | Clean Diesel | ||
| Technologies Inc. | 14,310 | 17 | |
| * | Virco Manufacturing Corp. | 7,376 | 17 |
| Reliv International Inc. | 10,512 | 13 | |
| * | Skyline Corp. | 3,395 | 13 |
| Compx International Inc. | 950 | 13 | |
| Acme United Corp. | 900 | 12 | |
| Crown Crafts Inc. | 1,800 | 11 | |
| * | US Auto Parts Network Inc. | 8,487 | 10 |
| * | Cyanotech Corp. | 597 | 4 |
| Golden Enterprises Inc. | 655 | 2 | |
| * | Joe’s Jeans Inc. | 398 | 1 |
| * | Crystal Rock Holdings Inc. | 80 | — |
| 3,150,047 | |||
| Consumer Services (13.2%) | |||
| Wal-Mart Stores Inc. | 2,776,624 | 206,831 | |
| Home Depot Inc. | 2,475,771 | 191,798 | |
| Comcast Corp. Class A | 4,170,891 | 174,677 | |
| Walt Disney Co. | 2,746,987 | 173,472 | |
| * | Amazon.com Inc. | 617,298 | 171,417 |
| McDonald’s Corp. | 1,699,090 | 168,210 | |
| CVS Caremark Corp. | 2,075,104 | 118,654 | |
| News Corp. Class A | 3,260,562 | 106,294 | |
| * | eBay Inc. | 1,979,519 | 102,381 |
| Time Warner Inc. | 1,500,837 | 86,778 | |
| Costco Wholesale Corp. | 739,635 | 81,781 | |
| Starbucks Corp. | 1,205,513 | 78,949 | |
| Target Corp. | 1,087,534 | 74,888 | |
| Lowe’s Cos. Inc. | 1,817,534 | 74,337 | |
| * | priceline.com Inc. | 87,425 | 72,312 |
| Walgreen Co. | 1,445,205 | 63,878 | |
12
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| TJX Cos. Inc. | 1,158,926 | 58,016 | |
| Time Warner Cable Inc. | 493,195 | 55,475 | |
| * | DIRECTV | 899,294 | 55,414 |
| Yum! Brands Inc. | 762,457 | 52,869 | |
| Viacom Inc. Class B | 752,517 | 51,209 | |
| CBS Corp. Class B | 985,761 | 48,174 | |
| McKesson Corp. | 384,108 | 43,980 | |
| Sysco Corp. | 1,005,889 | 34,361 | |
| Las Vegas Sands Corp. | 629,127 | 33,300 | |
| Whole Foods Market Inc. | 628,603 | 32,360 | |
| Macy’s Inc. | 650,360 | 31,217 | |
| Kroger Co. | 837,907 | 28,941 | |
| Omnicom Group Inc. | 438,517 | 27,570 | |
| Cardinal Health Inc. | 579,315 | 27,344 | |
| * | Delta Air Lines Inc. | 1,451,723 | 27,162 |
| Carnival Corp. | 752,487 | 25,803 | |
| * | Dollar General Corp. | 499,397 | 25,185 |
| * | Liberty Global plc Class A | 339,935 | 25,182 |
| * | Bed Bath & Beyond Inc. | 351,970 | 24,955 |
| * | AutoZone Inc. | 58,097 | 24,615 |
| Ross Stores Inc. | 354,625 | 22,983 | |
| AmerisourceBergen Corp. | |||
| Class A | 391,366 | 21,850 | |
| Starwood Hotels & | |||
| Resorts Worldwide Inc. | 329,803 | 20,840 | |
| L Brands Inc. | 416,882 | 20,531 | |
| * | O’Reilly Automotive Inc. | 177,867 | 20,031 |
| Gap Inc. | 473,198 | 19,747 | |
| * | Liberty Interactive Corp. | ||
| Class A | 848,784 | 19,531 | |
| * | Discovery Communications | ||
| Inc. Class A | 247,508 | 19,110 | |
| * | Chipotle Mexican Grill Inc. | ||
| Class A | 52,390 | 19,088 | |
| * | Netflix Inc. | 90,396 | 19,082 |
| * | Liberty Media Corp. | ||
| Class A | 149,976 | 19,011 | |
| * | Dollar Tree Inc. | 362,491 | 18,429 |
| Sirius XM Radio Inc. | 5,414,410 | 18,138 | |
| Staples Inc. | 1,131,392 | 17,944 | |
| * | United Continental | ||
| Holdings Inc. | 566,028 | 17,711 | |
| * | CarMax Inc. | 383,168 | 17,687 |
| Wynn Resorts Ltd. | 137,013 | 17,538 | |
| * | Liberty Global plc | 254,152 | 17,254 |
| Kohl’s Corp. | 338,203 | 17,083 | |
| * | Hertz Global Holdings Inc. | 678,494 | 16,827 |
| Southwest Airlines Co. | 1,224,553 | 15,784 | |
| Nordstrom Inc. | 248,749 | 14,910 | |
| DISH Network Corp. | |||
| Class A | 348,136 | 14,803 | |
| * | Charter Communications | ||
| Inc. Class A | 111,598 | 13,821 | |
| Marriott International Inc. | |||
| Class A | 340,547 | 13,748 | |
| Tiffany & Co. | 183,877 | 13,394 | |
| Wyndham Worldwide Corp. | 230,361 | 13,184 | |
| H&R Block Inc. | 461,591 | 12,809 | |
| Nielsen Holdings NV | 380,241 | 12,772 | |
| Best Buy Co. Inc. | 460,774 | 12,593 | |
| Tractor Supply Co. | 106,518 | 12,528 | |
| PetSmart Inc. | 175,111 | 11,731 | |
| * | TripAdvisor Inc. | 188,110 | 11,450 |
| Darden Restaurants Inc. | 220,041 | 11,108 | |
| Comcast Corp. | 276,125 | 10,954 | |
| Expedia Inc. | 176,292 | 10,604 | |
| Interpublic Group of | |||
| Cos. Inc. | 726,048 | 10,564 | |
| * | Discovery | ||
| Communications Inc. | 149,270 | 10,398 | |
| Family Dollar Stores Inc. | 165,840 | 10,333 | |
| * | Ulta Salon Cosmetics & | ||
| Fragrance Inc. | 102,531 | 10,270 | |
| Advance Auto Parts Inc. | 123,789 | 10,048 | |
| * | IHS Inc. Class A | 94,750 | 9,890 |
| Safeway Inc. | 408,695 | 9,670 | |
| Gannett Co. Inc. | 388,806 | 9,510 | |
| Signet Jewelers Ltd. | 137,468 | 9,269 | |
| * | MGM Resorts International | 622,123 | 9,195 |
| * | Sally Beauty Holdings Inc. | 295,145 | 9,179 |
| Scripps Networks | |||
| Interactive Inc. Class A | 134,514 | 8,980 | |
| Foot Locker Inc. | 254,469 | 8,939 | |
| * | Panera Bread Co. Class A | 47,736 | 8,876 |
| Dick’s Sporting Goods Inc. | 170,112 | 8,516 | |
| Omnicare Inc. | 177,857 | 8,486 | |
| GameStop Corp. Class A | 191,446 | 8,046 | |
| Williams-Sonoma Inc. | 140,754 | 7,867 | |
| Dunkin’ Brands Group Inc. | 180,704 | 7,738 | |
| * | Urban Outfitters Inc. | 186,643 | 7,507 |
| Royal Caribbean | |||
| Cruises Ltd. | 223,188 | 7,441 | |
| International Game | |||
| Technology | 444,388 | 7,426 | |
| FactSet Research | |||
| Systems Inc. | 71,000 | 7,238 | |
| Dun & Bradstreet Corp. | 68,725 | 6,697 | |
| GNC Holdings Inc. Class A | 150,662 | 6,661 | |
| * | AMC Networks Inc. | ||
| Class A | 97,620 | 6,385 | |
| * | AutoNation Inc. | 144,005 | 6,248 |
| * | Alaska Air Group Inc. | 119,225 | 6,200 |
| Service Corp. International | 340,829 | 6,145 | |
| * | Madison Square | ||
| Garden Co. Class A | 101,926 | 6,039 | |
| Abercrombie & Fitch Co. | 132,966 | 6,017 | |
| * | Copart Inc. | 191,379 | 5,894 |
| * | Lamar Advertising Co. | ||
| Class A | 135,193 | 5,867 |
13
| Institutional Total Stock Market Index Fund | ||||
| Market | ||||
| Value | ||||
| Shares | ($000) | |||
| Cablevision Systems Corp. | ||||
| Class A | 343,500 | 5,778 | ||
| Domino’s Pizza Inc. | 95,669 | 5,563 | ||
| * | Penn National Gaming Inc. | 100,075 | 5,290 | |
| * | Avis Budget Group Inc. | 182,997 | 5,261 | |
| American Eagle | ||||
| Outfitters Inc. | 282,606 | 5,160 | ||
| Washington Post Co. | ||||
| Class B | 10,537 | 5,097 | ||
| * | Cabela’s Inc. | 77,647 | 5,028 | |
| Cinemark Holdings Inc. | 176,256 | 4,921 | ||
| * | Groupon Inc. | 558,737 | 4,749 | |
| Brinker International Inc. | 119,921 | 4,728 | ||
| Chico’s FAS Inc. | 261,394 | 4,459 | ||
| Sotheby’s | 116,074 | 4,400 | ||
| * | US Airways Group Inc. | 264,696 | 4,346 | |
| * | United Natural Foods Inc. | 79,738 | 4,305 | |
| DSW Inc. Class A | 58,558 | 4,302 | ||
| * | JC Penney Co. Inc. | 242,994 | 4,150 | |
| * | Pandora Media Inc. | 222,452 | 4,093 | |
| Casey’s General Stores Inc. | 64,989 | 3,910 | ||
| Dillard’s Inc. Class A | 47,336 | 3,880 | ||
| Cracker Barrel Old Country | ||||
| Store Inc. | 40,359 | 3,820 | ||
| * | Ascena Retail Group Inc. | 216,355 | 3,775 | |
| * | Starz | 170,414 | 3,766 | |
| * | Rite Aid Corp. | 1,313,534 | 3,757 | |
| Vail Resorts Inc. | 60,905 | 3,747 | ||
| * | Bally Technologies Inc. | 66,041 | 3,726 | |
| Six Flags | ||||
| Entertainment Corp. | 105,590 | 3,713 | ||
| Sinclair Broadcast | ||||
| Group Inc. Class A | 124,716 | 3,664 | ||
| * | Live Nation | |||
| Entertainment Inc. | 231,788 | 3,593 | ||
| Harris Teeter | ||||
| Supermarkets Inc. | 75,782 | 3,551 | ||
| * | VCA Antech Inc. | 135,573 | 3,537 | |
| Rent-A-Center Inc. | 93,424 | 3,508 | ||
| Burger King Worldwide Inc. | 178,780 | 3,488 | ||
| * | Lumber Liquidators | |||
| Holdings Inc. | 44,370 | 3,455 | ||
| * | Shutterfly Inc. | 61,382 | 3,424 | |
| Cheesecake Factory Inc. | 81,557 | 3,416 | ||
| Aaron’s Inc. | 121,253 | 3,396 | ||
| * | Spirit Airlines Inc. | 105,183 | 3,342 | |
| * | Life Time Fitness Inc. | 65,665 | 3,290 | |
| * | Fresh Market Inc. | 65,821 | 3,273 | |
| * | Lions Gate | |||
| Entertainment Corp. | 116,226 | 3,193 | ||
| * | CST Brands Inc. | 103,549 | 3,190 | |
| HSN Inc. | 59,206 | 3,181 | ||
| * | Hyatt Hotels Corp. Class A | 78,770 | 3,179 | |
| * | Buffalo Wild Wings Inc. | 32,041 | 3,145 | |
| * | Beacon Roofing Supply Inc. | 82,616 | 3,129 | |
| Guess? Inc. | 100,599 | 3,122 | |
| Men’s Wearhouse Inc. | 81,603 | 3,089 | |
| John Wiley & Sons Inc. | |||
| Class A | 76,824 | 3,080 | |
| * | Big Lots Inc. | 97,667 | 3,079 |
| * | Sears Holdings Corp. | 72,556 | 3,053 |
| * | ValueClick Inc. | 123,230 | 3,041 |
| Pier 1 Imports Inc. | 127,611 | 2,998 | |
| * | Jack in the Box Inc. | 75,783 | 2,978 |
| KAR Auction Services Inc. | 128,979 | 2,950 | |
| Rollins Inc. | 112,114 | 2,904 | |
| * | Express Inc. | 138,083 | 2,896 |
| * | Apollo Group Inc. Class A | 161,577 | 2,863 |
| * | DreamWorks Animation | ||
| SKG Inc. Class A | 109,908 | 2,820 | |
| * | HomeAway Inc. | 86,943 | 2,812 |
| Meredith Corp. | 58,286 | 2,780 | |
| Weight Watchers | |||
| International Inc. | 60,410 | 2,779 | |
| Morningstar Inc. | 35,728 | 2,772 | |
| Allegiant Travel Co. | |||
| Class A | 25,996 | 2,755 | |
| Wendy’s Co. | 469,711 | 2,738 | |
| * | Acxiom Corp. | 119,656 | 2,714 |
| Arbitron Inc. | 58,381 | 2,712 | |
| PriceSmart Inc. | 30,715 | 2,692 | |
| Texas Roadhouse Inc. | |||
| Class A | 107,224 | 2,683 | |
| Dolby Laboratories Inc. | |||
| Class A | 79,566 | 2,661 | |
| DeVry Inc. | 85,697 | 2,658 | |
| * | WebMD Health Corp. | 88,554 | 2,601 |
| * | Genesco Inc. | 38,758 | 2,596 |
| * | JetBlue Airways Corp. | 409,088 | 2,577 |
| * | ANN Inc. | 77,535 | 2,574 |
| Buckle Inc. | 49,465 | 2,573 | |
| * | Francesca’s Holdings Corp. | 89,959 | 2,500 |
| * | New York Times Co. | ||
| Class A | 224,238 | 2,480 | |
| * | Hibbett Sports Inc. | 44,342 | 2,461 |
| Monro Muffler Brake Inc. | 50,356 | 2,420 | |
| Hillenbrand Inc. | 101,995 | 2,418 | |
| Group 1 Automotive Inc. | 37,465 | 2,410 | |
| Regal Entertainment | |||
| Group Class A | 134,567 | 2,409 | |
| Bob Evans Farms Inc. | 51,105 | 2,401 | |
| * | Grand Canyon | ||
| Education Inc. | 73,822 | 2,379 | |
| * | Asbury Automotive | ||
| Group Inc. | 59,242 | 2,376 | |
| * | Angie’s List Inc. | 88,789 | 2,357 |
| * | SUPERVALU Inc. | 370,639 | 2,305 |
| Belo Corp. Class A | 163,108 | 2,275 | |
| * | Saks Inc. | 166,474 | 2,271 |
| * | WMS Industries Inc. | 88,830 | 2,266 |
14
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Orient-Express Hotels Ltd. | ||
| Class A | 185,486 | 2,256 | |
| Chemed Corp. | 30,748 | 2,227 | |
| * | Vitamin Shoppe Inc. | 48,946 | 2,195 |
| Churchill Downs Inc. | 27,707 | 2,185 | |
| * | Krispy Kreme | ||
| Doughnuts Inc. | 121,127 | 2,114 | |
| Penske Automotive | |||
| Group Inc. | 68,816 | 2,102 | |
| * | OpenTable Inc. | 32,790 | 2,097 |
| * | AFC Enterprises Inc. | 58,030 | 2,086 |
| Brown Shoe Co. Inc. | 96,626 | 2,080 | |
| * | Children’s Place Retail | ||
| Stores Inc. | 37,824 | 2,073 | |
| * | Ascent Capital Group Inc. | ||
| Class A | 25,523 | 1,993 | |
| * | Jos A Bank Clothiers Inc. | 46,651 | 1,928 |
| * | Papa John’s | ||
| International Inc. | 29,384 | 1,921 | |
| * | Marriott Vacations | ||
| Worldwide Corp. | 43,609 | 1,886 | |
| * | Aeropostale Inc. | 132,259 | 1,825 |
| Valassis | |||
| Communications Inc. | 74,206 | 1,825 | |
| Scholastic Corp. | 61,198 | 1,792 | |
| Ameristar Casinos Inc. | 67,991 | 1,787 | |
| Finish Line Inc. Class A | 81,403 | 1,779 | |
| Choice Hotels | |||
| International Inc. | 44,576 | 1,769 | |
| CEC Entertainment Inc. | 42,931 | 1,762 | |
| * | BJ’s Restaurants Inc. | 47,327 | 1,756 |
| News Corp. Class B | 53,109 | 1,743 | |
| * | Office Depot Inc. | 449,161 | 1,738 |
| Matthews International | |||
| Corp. Class A | 42,755 | 1,612 | |
| AMERCO | 9,927 | 1,607 | |
| * | Conn’s Inc. | 30,871 | 1,598 |
| * | Liquidity Services Inc. | 45,392 | 1,574 |
| Stewart Enterprises Inc. | |||
| Class A | 116,836 | 1,529 | |
| Regis Corp. | 92,306 | 1,516 | |
| * | Bloomin’ Brands Inc. | 60,337 | 1,501 |
| DineEquity Inc. | 21,774 | 1,500 | |
| * | Susser Holdings Corp. | 30,398 | 1,455 |
| * | Five Below Inc. | 39,356 | 1,447 |
| Interval Leisure Group Inc. | 71,934 | 1,433 | |
| * | Denny’s Corp. | 253,098 | 1,422 |
| * | Restoration Hardware | ||
| Holdings Inc. | 18,670 | 1,400 | |
| Lithia Motors Inc. Class A | 26,133 | 1,393 | |
| * | Constant Contact Inc. | 86,185 | 1,385 |
| * | Boyd Gaming Corp. | 121,103 | 1,368 |
| * | American Public | ||
| Education Inc. | 36,665 | 1,362 | |
| Cato Corp. Class A | 54,050 | 1,349 | |
| * | Pinnacle Entertainment Inc. | 68,436 | 1,346 |
| *,^ | Clean Energy Fuels Corp. | 100,620 | 1,328 |
| International Speedway | |||
| Corp. Class A | 42,085 | 1,324 | |
| * | Biglari Holdings Inc. | 3,170 | 1,301 |
| * | Barnes & Noble Inc. | 81,067 | 1,294 |
| National CineMedia Inc. | 73,852 | 1,247 | |
| * | Scientific Games Corp. | ||
| Class A | 109,515 | 1,232 | |
| * | Red Robin Gourmet | ||
| Burgers Inc. | 22,112 | 1,220 | |
| * | Pep Boys-Manny | ||
| Moe & Jack | 103,950 | 1,204 | |
| SkyWest Inc. | 87,815 | 1,189 | |
| Big 5 Sporting | |||
| Goods Corp. | 53,676 | 1,178 | |
| Nexstar Broadcasting | |||
| Group Inc. Class A | 32,698 | 1,159 | |
| OfficeMax Inc. | 112,204 | 1,148 | |
| * | SHFL Entertainment Inc. | 64,371 | 1,140 |
| * | Capella Education Co. | 27,370 | 1,140 |
| SeaWorld | |||
| Entertainment Inc. | 31,738 | 1,114 | |
| * | Yelp Inc. | 32,002 | 1,113 |
| * | Rush Enterprises Inc. | ||
| Class A | 43,969 | 1,088 | |
| * | America’s Car-Mart Inc. | 24,653 | 1,066 |
| * | Overstock.com Inc. | 37,204 | 1,049 |
| * | Carmike Cinemas Inc. | 52,737 | 1,021 |
| * | rue21 inc | 24,098 | 1,003 |
| Strayer Education Inc. | 20,121 | 983 | |
| * | Norwegian Cruise Line | ||
| Holdings Ltd. | 32,255 | 978 | |
| * | Sonic Corp. | 67,048 | 976 |
| Carriage Services Inc. | |||
| Class A | 56,912 | 965 | |
| * | Multimedia Games | ||
| Holding Co. Inc. | 36,312 | 947 | |
| * | K12 Inc. | 34,447 | 905 |
| * | Dex Media Inc. | 51,148 | 899 |
| Haverty Furniture Cos. Inc. | 39,055 | 899 | |
| * | Blue Nile Inc. | 23,420 | 885 |
| Weis Markets Inc. | 19,420 | 875 | |
| * | Clear Channel Outdoor | ||
| Holdings Inc. Class A | 116,038 | 866 | |
| * | Ruby Tuesday Inc. | 93,221 | 860 |
| Stage Stores Inc. | 36,324 | 854 | |
| * | hhgregg Inc. | 53,246 | 850 |
| Sonic Automotive Inc. | |||
| Class A | 39,988 | 845 | |
| AH Belo Corp. Class A | 123,185 | 845 | |
| Nash Finch Co. | 38,371 | 845 | |
| Ingles Markets Inc. | |||
| Class A | 33,136 | 837 | |
| Core-Mark Holding Co. Inc. | 12,620 | 801 |
15
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Gray Television Inc. | 110,713 | 797 |
| * | ITT Educational | ||
| Services Inc. | 32,288 | 788 | |
| * | XO Group Inc. | 68,774 | 770 |
| Harte-Hanks Inc. | 87,697 | 754 | |
| Fred’s Inc. Class A | 48,394 | 750 | |
| Fisher Communications Inc. | 18,229 | 749 | |
| * | comScore Inc. | 30,476 | 743 |
| * | Steiner Leisure Ltd. | 13,997 | 740 |
| * | Christopher & Banks Corp. | 109,411 | 737 |
| * | Digital Generation Inc. | 98,957 | 729 |
| bebe stores inc | 124,236 | 697 | |
| * | Bankrate Inc. | 48,338 | 694 |
| * | Republic Airways | ||
| Holdings Inc. | 60,015 | 680 | |
| * | Zumiez Inc. | 23,293 | 670 |
| * | Stamps.com Inc. | 16,846 | 664 |
| Marchex Inc. Class B | 109,558 | 660 | |
| * | Tuesday Morning Corp. | 63,078 | 654 |
| PetMed Express Inc. | 51,603 | 650 | |
| Bon-Ton Stores Inc. | 33,900 | 612 | |
| Town Sports International | |||
| Holdings Inc. | 56,129 | 605 | |
| * | Hawaiian Holdings Inc. | 98,768 | 603 |
| * | Fiesta Restaurant Group Inc. | 17,395 | 598 |
| * | Tile Shop Holdings Inc. | 20,577 | 596 |
| * | Build-A-Bear Workshop Inc. | 97,303 | 591 |
| * | Kirkland’s Inc. | 33,673 | 581 |
| * | Caesars Entertainment Corp. | 41,366 | 567 |
| CSS Industries Inc. | 22,515 | 561 | |
| * | Destination XL Group Inc. | 87,901 | 557 |
| * | LIN TV Corp. Class A | 36,243 | 555 |
| * | Demand Media Inc. | 91,589 | 550 |
| * | Avid Technology Inc. | 93,449 | 549 |
| * | Isle of Capri Casinos Inc. | 69,416 | 521 |
| * | Citi Trends Inc. | 35,712 | 519 |
| * | Bright Horizons Family | ||
| Solutions Inc. | 14,875 | 516 | |
| * | RadioShack Corp. | 159,355 | 504 |
| * | Pacific Sunwear of | ||
| California Inc. | 136,558 | 498 | |
| * | Chuy’s Holdings Inc. | 12,450 | 477 |
| * | 1-800-Flowers.com Inc. | ||
| Class A | 76,846 | 476 | |
| * | EW Scripps Co. Class A | 29,366 | 458 |
| * | Pantry Inc. | 37,451 | 456 |
| * | Titan Machinery Inc. | 23,198 | 455 |
| * | Cumulus Media Inc. | ||
| Class A | 132,024 | 448 | |
| * | Entercom Communications | ||
| Corp. Class A | 47,238 | 446 | |
| Entravision Communications | |||
| Corp. Class A | 72,175 | 444 | |
| Shoe Carnival Inc. | 18,483 | 444 | |
| Destination Maternity Corp. | 17,543 | 432 | |
| * | MarineMax Inc. | 37,080 | 420 |
| * | Career Education Corp. | 142,558 | 413 |
| * | Journal Communications | ||
| Inc. Class A | 54,804 | 410 | |
| * | Natural Grocers by Vitamin | ||
| Cottage Inc. | 12,700 | 394 | |
| Stein Mart Inc. | 28,828 | 393 | |
| * | Corinthian Colleges Inc. | 166,205 | 372 |
| * | Cache Inc. | 83,654 | 372 |
| * | Mattress Firm Holding Corp. | 9,179 | 370 |
| Einstein Noah Restaurant | |||
| Group Inc. | 25,696 | 365 | |
| * | Wet Seal Inc. Class A | 74,990 | 353 |
| * | Spark Networks Inc. | 41,682 | 352 |
| * | TheStreet Inc. | 181,048 | 337 |
| * | Famous Dave’s Of | ||
| America Inc. | 21,456 | 334 | |
| * | RealNetworks Inc. | 42,724 | 323 |
| * | Monarch Casino & | ||
| Resort Inc. | 18,646 | 314 | |
| * | Bravo Brio Restaurant | ||
| Group Inc. | 17,456 | 311 | |
| * | Body Central Corp. | 23,045 | 307 |
| * | Autobytel Inc. | 62,358 | 297 |
| * | Bridgepoint Education Inc. | 24,378 | 297 |
| Speedway Motorsports Inc. | 17,036 | 296 | |
| * | Orbitz Worldwide Inc. | 36,370 | 292 |
| Spartan Stores Inc. | 15,125 | 279 | |
| * | Luby’s Inc. | 32,924 | 278 |
| * | Morgans Hotel Group Co. | 33,977 | 274 |
| Courier Corp. | 19,111 | 273 | |
| Marcus Corp. | 21,379 | 272 | |
| Ruth’s Hospitality | |||
| Group Inc. | 22,042 | 266 | |
| World Wrestling | |||
| Entertainment Inc. | |||
| Class A | 25,346 | 261 | |
| * | Fairway Group | ||
| Holdings Corp. | 10,694 | 258 | |
| * | Zale Corp. | 27,104 | 247 |
| * | McClatchy Co. Class A | 102,101 | 233 |
| * | Carrols Restaurant | ||
| Group Inc. | 35,863 | 232 | |
| * | Lee Enterprises Inc. | 110,835 | 226 |
| * | New York & Co. Inc. | 33,806 | 215 |
| * | Valuevision Media Inc. | ||
| Class A | 40,501 | 207 | |
| * | Books-A-Million Inc. | 77,721 | 202 |
| * | Providence Service Corp. | 6,864 | 200 |
| Collectors Universe | 14,911 | 198 | |
| * | Cosi Inc. | 89,587 | 197 |
| * | Ignite Restaurant Group Inc. | 10,400 | 196 |
| * | QuinStreet Inc. | 20,806 | 180 |
| * | Media General Inc. Class A | 15,014 | 166 |
| * | ReachLocal Inc. | 11,749 | 144 |
16
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Sears Hometown and | ||
| Outlet Stores Inc. | 3,257 | 142 | |
| Saga Communications Inc. | |||
| Class A | 3,063 | 141 | |
| * | Gaiam Inc. Class A | 31,086 | 139 |
| * | Pizza Inn Holdings Inc. | 23,251 | 133 |
| MDC Partners Inc. Class A | 7,296 | 132 | |
| * | Standard Parking Corp. | 5,794 | 124 |
| * | Chefs’ Warehouse Inc. | 7,200 | 124 |
| * | PDI Inc. | 26,259 | 123 |
| * | West Marine Inc. | 11,079 | 122 |
| * | Travelzoo Inc. | 4,139 | 113 |
| * | Daily Journal Corp. | 947 | 107 |
| Frisch’s Restaurants Inc. | 5,460 | 102 | |
| * | Reading International Inc. | ||
| Class A | 15,748 | 100 | |
| Ambassadors Group Inc. | 27,831 | 99 | |
| * | Navarre Corp. | 33,043 | 91 |
| * | Martha Stewart Living | ||
| Omnimedia Class A | 36,719 | 88 | |
| * | Century Casinos Inc. | 24,482 | 85 |
| * | Education | ||
| Management Corp. | 14,691 | 83 | |
| * | Geeknet Inc. | 5,163 | 72 |
| Salem Communications | |||
| Corp. Class A | 9,336 | 70 | |
| CBS Corp. Class A | 1,425 | 70 | |
| Schawk Inc. Class A | 5,261 | 69 | |
| * | Vitacost.com Inc. | 7,891 | 67 |
| * | Learning Tree | ||
| International Inc. | 20,728 | 63 | |
| * | Cambium Learning | ||
| Group Inc. | 47,983 | 62 | |
| * | Del Frisco’s Restaurant | ||
| Group Inc. | 2,810 | 60 | |
| * | Diversified Restaurant | ||
| Holdings Inc. | 7,500 | 60 | |
| * | dELiA*s Inc. | 60,204 | 60 |
| * | Red Lion Hotels Corp. | 9,601 | 59 |
| *,^ | Coldwater Creek Inc. | 22,413 | 56 |
| * | TravelCenters of | ||
| America LLC | 5,100 | 56 | |
| * | Radio One Inc. | 22,730 | 53 |
| Ark Restaurants Corp. | 2,400 | 50 | |
| Village Super Market Inc. | |||
| Class A | 1,510 | 50 | |
| * | MTR Gaming Group Inc. | 14,610 | 49 |
| Dover Downs Gaming & | |||
| Entertainment Inc. | 28,574 | 44 | |
| * | JTH Holding Inc. Class A | 2,700 | 44 |
| Trans World | |||
| Entertainment Corp. | 8,958 | 44 | |
| * | Perfumania Holdings Inc. | 8,079 | 42 |
| * | You On Demand | ||
| Holdings Inc. | 23,900 | 38 | |
| Mac-Gray Corp. | 2,471 | 35 | |
| * | Gordmans Stores Inc. | 2,496 | 34 |
| * | Empire Resorts Inc. | 10,105 | 30 |
| * | Dover Saddlery Inc. | 7,100 | 26 |
| * | ALCO Stores Inc. | 2,276 | 25 |
| * | Rick’s Cabaret | ||
| International Inc. | 2,364 | 20 | |
| Beasley Broadcasting | |||
| Group Inc. Class A | 2,428 | 20 | |
| Hastings Entertainment Inc. | 4,944 | 20 | |
| * | Emmis Communications | ||
| Corp. Class A | 8,800 | 19 | |
| * | Insignia Systems Inc. | 7,050 | 15 |
| * | Bacterin International | ||
| Holdings Inc. | 30,081 | 14 | |
| Canterbury Park | |||
| Holding Corp. | 1,138 | 11 | |
| * | TechTarget Inc. | 2,479 | 11 |
| Arden Group Inc. | 100 | 11 | |
| Dover Motorsports Inc. | 4,709 | 10 | |
| * | Lakes Entertainment Inc. | 2,747 | 10 |
| * | DGSE Cos. Inc. | 3,214 | 10 |
| * | Hollywood Media Corp. | 7,061 | 9 |
| * | Tilly’s Inc. Class A | 480 | 8 |
| * | Rainmaker Systems Inc. | 12,911 | 5 |
| Gaming Partners | |||
| International Corp. | 609 | 5 | |
| * | Digital Cinema | ||
| Destinations Corp. | 800 | 5 | |
| * | Radio One Inc. Class A | 1,680 | 4 |
| Educational | |||
| Development Corp. | 1,122 | 3 | |
| * | PCM Inc. | 63 | 1 |
| * | Premier Exhibitions Inc. | 319 | 1 |
| * | SPAR Group Inc. | 29 | — |
| * | Sport Chalet Inc. Class A | 37 | — |
| National American | |||
| University Holdings Inc. | 8 | — | |
| * | Universal Travel Group | 118 | — |
| * | Sport Chalet Inc. Class B | 5 | — |
| 3,993,600 | |||
| Financials (18.7%) | |||
| Wells Fargo & Co. | 8,976,102 | 370,444 | |
| JPMorgan Chase & Co. | 6,405,660 | 338,155 | |
| * | Berkshire Hathaway Inc. | ||
| Class B | 2,900,850 | 324,663 | |
| Citigroup Inc. | 4,899,141 | 235,012 | |
| Bank of America Corp. | 18,271,679 | 234,974 | |
| Visa Inc. Class A | 877,905 | 160,437 | |
| American Express Co. | 1,861,975 | 139,201 | |
| US Bancorp | 3,134,743 | 113,321 | |
| * | American International | ||
| Group Inc. | 2,502,105 | 111,844 | |
| Goldman Sachs Group Inc. | 699,361 | 105,778 | |
| Mastercard Inc. Class A | 178,241 | 102,399 | |
17
| Institutional Total Stock Market Index Fund | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Simon Property Group Inc. | 525,940 | 83,056 |
| MetLife Inc. | 1,484,629 | 67,937 |
| PNC Financial Services | ||
| Group Inc. | 897,245 | 65,427 |
| Capital One Financial Corp. | 990,056 | 62,185 |
| Prudential Financial Inc. | 786,390 | 57,430 |
| Morgan Stanley | 2,325,373 | 56,809 |
| Bank of New York | ||
| Mellon Corp. | 1,967,039 | 55,175 |
| Travelers Cos. Inc. | 637,966 | 50,986 |
| American Tower | ||
| Corporation | 670,265 | 49,043 |
| State Street Corp. | 734,313 | 47,885 |
| BlackRock Inc. | 185,843 | 47,734 |
| ACE Ltd. | 518,874 | 46,429 |
| Aflac Inc. | 790,223 | 45,928 |
| CME Group Inc. | 537,621 | 40,848 |
| BB&T Corp. | 1,189,283 | 40,293 |
| Discover Financial | ||
| Services | 831,193 | 39,598 |
| Charles Schwab Corp. | 1,843,905 | 39,146 |
| Allstate Corp. | 794,734 | 38,243 |
| Public Storage | 247,626 | 37,968 |
| Marsh & McLennan | ||
| Cos. Inc. | 932,947 | 37,243 |
| Chubb Corp. | 439,275 | 37,185 |
| HCP Inc. | 770,272 | 35,001 |
| Ventas Inc. | 496,850 | 34,511 |
| Equity Residential | 579,864 | 33,667 |
| Aon plc | 497,757 | 32,031 |
| Health Care REIT Inc. | 477,211 | 31,987 |
| Franklin Resources Inc. | 234,214 | 31,858 |
| Prologis Inc. | 844,418 | 31,851 |
| T. Rowe Price Group Inc. | 417,547 | 30,544 |
| SunTrust Banks Inc. | 915,549 | 28,904 |
| AvalonBay | ||
| Communities Inc. | 208,350 | 28,108 |
| Weyerhaeuser Co. | 977,402 | 27,846 |
| Ameriprise Financial Inc. | 341,609 | 27,629 |
| Boston Properties Inc. | 257,233 | 27,130 |
| Fifth Third Bancorp | 1,482,374 | 26,757 |
| McGraw Hill Financial Inc. | 464,547 | 24,709 |
| Invesco Ltd. | 753,589 | 23,964 |
| Hartford Financial | ||
| Services Group Inc. | 772,667 | 23,891 |
| Vornado Realty Trust | 285,177 | 23,627 |
| Loews Corp. | 527,860 | 23,437 |
| Progressive Corp. | 918,905 | 23,359 |
| Moody’s Corp. | 377,776 | 23,018 |
| Regions Financial Corp. | 2,395,347 | 22,828 |
| M&T Bank Corp. | 196,803 | 21,993 |
| * IntercontinentalExchange | ||
| Inc. | 123,397 | 21,935 |
| Host Hotels & Resorts Inc. | 1,263,159 | 21,309 |
| Northern Trust Corp. | 364,948 | 21,130 |
| Annaly Capital | |||
| Management Inc. | 1,605,644 | 20,183 | |
| General Growth | |||
| Properties Inc. | 983,228 | 19,537 | |
| Principal Financial | |||
| Group Inc. | 497,281 | 18,623 | |
| KeyCorp | 1,560,069 | 17,223 | |
| SLM Corp. | 752,907 | 17,211 | |
| NYSE Euronext | 412,197 | 17,065 | |
| Lincoln National Corp. | 455,927 | 16,628 | |
| Western Union Co. | 953,858 | 16,321 | |
| * | CIT Group Inc. | 341,092 | 15,905 |
| American Capital | |||
| Agency Corp. | 671,964 | 15,448 | |
| XL Group plc Class A | 494,749 | 15,001 | |
| * | Affiliated Managers | ||
| Group Inc. | 89,385 | 14,654 | |
| Macerich Co. | 233,084 | 14,211 | |
| Kimco Realty Corp. | 658,111 | 14,103 | |
| Realty Income Corp. | 332,639 | 13,944 | |
| Leucadia National Corp. | 524,815 | 13,761 | |
| SL Green Realty Corp. | 155,329 | 13,698 | |
| Unum Group | 453,180 | 13,310 | |
| Digital Realty Trust Inc. | 217,698 | 13,280 | |
| Plum Creek Timber Co. Inc. | 275,992 | 12,881 | |
| Comerica Inc. | 316,336 | 12,600 | |
| Willis Group Holdings plc | 296,780 | 12,103 | |
| Cincinnati Financial Corp. | 262,920 | 12,068 | |
| Equifax Inc. | 204,352 | 12,042 | |
| Rayonier Inc. | 213,681 | 11,836 | |
| * | Markel Corp. | 22,186 | 11,691 |
| Federal Realty | |||
| Investment Trust | 110,626 | 11,470 | |
| Huntington | |||
| Bancshares Inc. | 1,421,544 | 11,202 | |
| * | CBRE Group Inc. Class A | 477,131 | 11,146 |
| * | Arch Capital Group Ltd. | 214,325 | 11,018 |
| UDR Inc. | 425,018 | 10,834 | |
| * | Alleghany Corp. | 27,031 | 10,361 |
| Torchmark Corp. | 157,353 | 10,250 | |
| Essex Property Trust Inc. | 64,445 | 10,242 | |
| TD Ameritrade | |||
| Holding Corp. | 419,640 | 10,193 | |
| Camden Property Trust | 143,866 | 9,947 | |
| New York Community | |||
| Bancorp Inc. | 709,846 | 9,938 | |
| * | Genworth Financial Inc. | ||
| Class A | 835,713 | 9,535 | |
| * | Realogy Holdings Corp. | 197,674 | 9,496 |
| Arthur J Gallagher & Co. | 214,887 | 9,388 | |
| Raymond James | |||
| Financial Inc. | 213,049 | 9,157 | |
| Zions Bancorporation | 312,355 | 9,021 | |
| Everest Re Group Ltd. | 68,655 | 8,806 |
18
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Fidelity National Financial | |||
| Inc. Class A | 366,459 | 8,725 | |
| Reinsurance Group of | |||
| America Inc. Class A | 124,274 | 8,589 | |
| Duke Realty Corp. | 545,226 | 8,500 | |
| People’s United | |||
| Financial Inc. | 569,557 | 8,486 | |
| Axis Capital Holdings Ltd. | 184,580 | 8,450 | |
| PartnerRe Ltd. | 93,127 | 8,434 | |
| Senior Housing | |||
| Properties Trust | 318,768 | 8,266 | |
| First Republic Bank | 210,965 | 8,118 | |
| * | Ocwen Financial Corp. | 195,473 | 8,057 |
| DDR Corp. | 480,037 | 7,993 | |
| Regency Centers Corp. | 155,273 | 7,889 | |
| Alexandria Real Estate | |||
| Equities Inc. | 119,382 | 7,846 | |
| Taubman Centers Inc. | 102,709 | 7,719 | |
| WR Berkley Corp. | 184,502 | 7,539 | |
| Liberty Property Trust | 203,834 | 7,534 | |
| Extra Space Storage Inc. | 178,706 | 7,493 | |
| SEI Investments Co. | 262,972 | 7,476 | |
| Apartment Investment & | |||
| Management Co. Class A | 247,293 | 7,429 | |
| * | Berkshire Hathaway Inc. | ||
| Class A | 44 | 7,418 | |
| Corrections Corp. of | |||
| America | 217,986 | 7,383 | |
| Hudson City Bancorp Inc. | 806,020 | 7,383 | |
| HCC Insurance | |||
| Holdings Inc. | 170,289 | 7,341 | |
| Eaton Vance Corp. | 194,892 | 7,326 | |
| American Campus | |||
| Communities Inc. | 177,633 | 7,223 | |
| Starwood Property | |||
| Trust Inc. | 281,674 | 6,971 | |
| National Retail | |||
| Properties Inc. | 201,935 | 6,947 | |
| CBOE Holdings Inc. | 147,939 | 6,900 | |
| Jones Lang LaSalle Inc. | 74,733 | 6,811 | |
| * | MSCI Inc. Class A | 204,518 | 6,804 |
| Kilroy Realty Corp. | 127,974 | 6,784 | |
| Assurant Inc. | 132,319 | 6,736 | |
| BRE Properties Inc. | 130,690 | 6,537 | |
| WP Carey Inc. | 98,222 | 6,499 | |
| Assured Guaranty Ltd. | 294,008 | 6,486 | |
| East West Bancorp Inc. | 235,551 | 6,478 | |
| NASDAQ OMX Group Inc. | 196,760 | 6,452 | |
| BioMed Realty Trust Inc. | 315,893 | 6,391 | |
| Legg Mason Inc. | 205,992 | 6,388 | |
| * | Howard Hughes Corp. | 56,951 | 6,384 |
| * | SVB Financial Group | 76,478 | 6,372 |
| Two Harbors | |||
| Investment Corp. | 619,049 | 6,345 | |
| American Financial | |||
| Group Inc. | 129,714 | 6,344 | |
| Brown & Brown Inc. | 195,312 | 6,297 | |
| Lazard Ltd. Class A | 195,640 | 6,290 | |
| Hospitality Properties Trust | 237,021 | 6,229 | |
| RenaissanceRe | |||
| Holdings Ltd. | 71,744 | 6,227 | |
| Cullen/Frost Bankers Inc. | 93,157 | 6,220 | |
| * | Signature Bank | 74,435 | 6,180 |
| * | E*TRADE Financial Corp. | 486,374 | 6,157 |
| Omega Healthcare | |||
| Investors Inc. | 197,024 | 6,112 | |
| First Niagara Financial | |||
| Group Inc. | 599,901 | 6,041 | |
| Weingarten Realty | |||
| Investors | 196,169 | 6,036 | |
| Waddell & Reed | |||
| Financial Inc. Class A | 138,355 | 6,018 | |
| Validus Holdings Ltd. | 162,397 | 5,866 | |
| Home Properties Inc. | 88,832 | 5,807 | |
| Douglas Emmett Inc. | 229,936 | 5,737 | |
| Commerce Bancshares Inc. | 130,720 | 5,694 | |
| CBL & Associates | |||
| Properties Inc. | 265,269 | 5,682 | |
| FirstMerit Corp. | 280,979 | 5,628 | |
| Old Republic | |||
| International Corp. | 418,758 | 5,389 | |
| Tanger Factory Outlet | |||
| Centers | 160,068 | 5,356 | |
| Equity Lifestyle | |||
| Properties Inc. | 67,288 | 5,288 | |
| Chimera Investment Corp. | 1,741,590 | 5,225 | |
| ProAssurance Corp. | 99,751 | 5,203 | |
| MFA Financial Inc. | 613,373 | 5,183 | |
| Protective Life Corp. | 133,239 | 5,118 | |
| Allied World Assurance | |||
| Co. Holdings AG | 55,786 | 5,105 | |
| Piedmont Office Realty | |||
| Trust Inc. Class A | 284,841 | 5,093 | |
| * | Forest City Enterprises Inc. | ||
| Class A | 282,706 | 5,063 | |
| * | Popular Inc. | 166,680 | 5,055 |
| Prosperity Bancshares Inc. | 97,335 | 5,041 | |
| Highwoods Properties Inc. | 139,697 | 4,975 | |
| City National Corp. | 78,092 | 4,949 | |
| Mid-America Apartment | |||
| Communities Inc. | 72,577 | 4,919 | |
| * | Liberty Ventures Class A | 56,919 | 4,839 |
| CNO Financial Group Inc. | 358,113 | 4,641 | |
| CommonWealth REIT | 200,737 | 4,641 | |
| First Horizon National Corp. | 409,928 | 4,591 | |
| Post Properties Inc. | 92,672 | 4,586 | |
| RLJ Lodging Trust | 198,478 | 4,464 | |
| LPL Financial Holdings Inc. | 117,507 | 4,437 |
19
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Retail Properties of | |||
| America Inc. | 310,055 | 4,428 | |
| Associated Banc-Corp | 284,446 | 4,423 | |
| * | Portfolio Recovery | ||
| Associates Inc. | 28,673 | 4,405 | |
| Federated Investors Inc. | |||
| Class B | 160,419 | 4,397 | |
| Hancock Holding Co. | 144,534 | 4,346 | |
| Aspen Insurance | |||
| Holdings Ltd. | 112,389 | 4,169 | |
| Hatteras Financial Corp. | 168,014 | 4,140 | |
| Geo Group Inc. | 121,918 | 4,139 | |
| Susquehanna | |||
| Bancshares Inc. | 317,028 | 4,074 | |
| EPR Properties | 80,053 | 4,024 | |
| LaSalle Hotel Properties | 162,490 | 4,013 | |
| American Realty Capital | |||
| Properties Inc. | 259,296 | 3,957 | |
| Webster Financial Corp. | 153,019 | 3,930 | |
| Healthcare Realty Trust Inc. | 153,683 | 3,919 | |
| First American | |||
| Financial Corp. | 174,988 | 3,857 | |
| Fulton Financial Corp. | 334,814 | 3,844 | |
| Bank of Hawaii Corp. | 76,321 | 3,840 | |
| Invesco Mortgage | |||
| Capital Inc. | 229,886 | 3,807 | |
| Financial Engines Inc. | 83,051 | 3,786 | |
| Synovus Financial Corp. | 1,284,745 | 3,751 | |
| Corporate Office | |||
| Properties Trust | 145,815 | 3,718 | |
| StanCorp Financial | |||
| Group Inc. | 75,246 | 3,718 | |
| Hanover Insurance | |||
| Group Inc. | 75,472 | 3,693 | |
| * | Stifel Financial Corp. | 102,622 | 3,661 |
| White Mountains | |||
| Insurance Group Ltd. | 6,281 | 3,611 | |
| Primerica Inc. | 96,398 | 3,609 | |
| Brandywine Realty Trust | 265,572 | 3,591 | |
| TCF Financial Corp. | 249,978 | 3,545 | |
| Endurance Specialty | |||
| Holdings Ltd. | 68,771 | 3,538 | |
| DCT Industrial Trust Inc. | 494,148 | 3,533 | |
| * | MGIC Investment Corp. | 575,323 | 3,492 |
| Erie Indemnity Co. Class A | 43,777 | 3,489 | |
| Medical Properties | |||
| Trust Inc. | 242,398 | 3,471 | |
| Sovran Self Storage Inc. | 53,553 | 3,470 | |
| UMB Financial Corp. | 62,234 | 3,465 | |
| Radian Group Inc. | 293,111 | 3,406 | |
| American National | |||
| Insurance Co. | 34,213 | 3,403 | |
| Lexington Realty Trust | 290,526 | 3,393 | |
| Washington Federal Inc. | 178,053 | 3,362 | |
| * | Sunstone Hotel | ||
| Investors Inc. | 277,008 | 3,346 | |
| Mack-Cali Realty Corp. | 134,792 | 3,301 | |
| * | MBIA Inc. | 246,395 | 3,280 |
| Colonial Properties Trust | 135,919 | 3,278 | |
| CubeSmart | 204,006 | 3,260 | |
| CapitalSource Inc. | 333,730 | 3,130 | |
| DiamondRock | |||
| Hospitality Co. | 332,669 | 3,100 | |
| NorthStar Realty | |||
| Finance Corp. | 337,721 | 3,073 | |
| ^ | Valley National Bancorp | 321,293 | 3,043 |
| Washington REIT | 112,862 | 3,037 | |
| ARMOUR Residential | |||
| REIT Inc. | 638,367 | 3,007 | |
| Platinum Underwriters | |||
| Holdings Ltd. | 52,456 | 3,002 | |
| FNB Corp. | 247,285 | 2,987 | |
| * | ING US Inc. | 109,523 | 2,964 |
| Ryman Hospitality | |||
| Properties | 75,734 | 2,954 | |
| * | Texas Capital | ||
| Bancshares Inc. | 65,749 | 2,917 | |
| * | Alexander & Baldwin Inc. | 73,341 | 2,915 |
| New Residential | |||
| Investment Corp. | 431,582 | 2,909 | |
| BankUnited Inc. | 111,279 | 2,894 | |
| Sun Communities Inc. | 58,098 | 2,891 | |
| Home Loan Servicing | |||
| Solutions Ltd. | 118,996 | 2,852 | |
| Umpqua Holdings Corp. | 189,937 | 2,851 | |
| ^ | First Financial | ||
| Bankshares Inc. | 50,886 | 2,832 | |
| MarketAxess Holdings Inc. | 60,482 | 2,828 | |
| Capitol Federal | |||
| Financial Inc. | 231,722 | 2,813 | |
| Potlatch Corp. | 68,907 | 2,787 | |
| EastGroup Properties Inc. | 49,042 | 2,760 | |
| Symetra Financial Corp. | 172,329 | 2,756 | |
| CYS Investments Inc. | 297,531 | 2,740 | |
| Pebblebrook Hotel Trust | 104,736 | 2,707 | |
| DuPont Fabros | |||
| Technology Inc. | 111,586 | 2,695 | |
| Glimcher Realty Trust | 246,279 | 2,689 | |
| Columbia Banking | |||
| System Inc. | 112,686 | 2,683 | |
| First Industrial Realty | |||
| Trust Inc. | 174,388 | 2,645 | |
| * | Altisource Portfolio | ||
| Solutions SA | 27,804 | 2,616 | |
| Community Bank | |||
| System Inc. | 84,458 | 2,606 | |
| Home BancShares Inc. | 100,071 | 2,599 | |
| Glacier Bancorp Inc. | 116,689 | 2,589 |
20
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Newcastle | |||
| Investment Corp. | 491,473 | 2,570 | |
| Iberiabank Corp. | 47,856 | 2,566 | |
| Northwest Bancshares Inc. | 189,818 | 2,564 | |
| Colony Financial Inc. | 128,218 | 2,550 | |
| * | Western Alliance Bancorp | 160,859 | 2,546 |
| Kemper Corp. | 74,079 | 2,537 | |
| Equity One Inc. | 111,761 | 2,529 | |
| Argo Group International | |||
| Holdings Ltd. | 59,527 | 2,523 | |
| * | St. Joe Co. | 118,267 | 2,490 |
| RLI Corp. | 32,474 | 2,481 | |
| * | Strategic Hotels & | ||
| Resorts Inc. | 279,294 | 2,475 | |
| BBCN Bancorp Inc. | 173,946 | 2,474 | |
| Cathay General Bancorp | 121,099 | 2,464 | |
| Westamerica | |||
| Bancorporation | 53,499 | 2,444 | |
| BancorpSouth Inc. | 138,047 | 2,443 | |
| EverBank Financial Corp. | 146,228 | 2,422 | |
| PrivateBancorp Inc. | 113,945 | 2,417 | |
| American Assets Trust Inc. | 77,476 | 2,391 | |
| Redwood Trust Inc. | 140,345 | 2,386 | |
| Old National Bancorp | 171,830 | 2,376 | |
| MB Financial Inc. | 88,486 | 2,371 | |
| Bank of the Ozarks Inc. | 54,056 | 2,342 | |
| Government Properties | |||
| Income Trust | 92,854 | 2,342 | |
| Acadia Realty Trust | 94,106 | 2,323 | |
| Capstead Mortgage Corp. | 191,909 | 2,322 | |
| Chesapeake Lodging Trust | 111,585 | 2,320 | |
| * | First Cash Financial | ||
| Services Inc. | 47,018 | 2,314 | |
| PacWest Bancorp | 74,805 | 2,293 | |
| Wintrust Financial Corp. | 59,864 | 2,292 | |
| First Midwest Bancorp Inc. | 166,627 | 2,286 | |
| Montpelier Re Holdings Ltd. | 91,295 | 2,283 | |
| LTC Properties Inc. | 58,348 | 2,278 | |
| CVB Financial Corp. | 193,552 | 2,276 | |
| BOK Financial Corp. | 35,222 | 2,256 | |
| Selective Insurance | |||
| Group Inc. | 97,854 | 2,253 | |
| Trustmark Corp. | 91,330 | 2,245 | |
| * | Virtus Investment | ||
| Partners Inc. | 12,674 | 2,234 | |
| PS Business Parks Inc. | 30,814 | 2,224 | |
| Education Realty Trust Inc. | 217,308 | 2,223 | |
| Cash America | |||
| International Inc. | 48,511 | 2,205 | |
| Janus Capital Group Inc. | 258,676 | 2,201 | |
| Evercore Partners Inc. | |||
| Class A | 55,870 | 2,195 | |
| Astoria Financial Corp. | 200,664 | 2,163 | |
| United Bankshares Inc. | 81,397 | 2,153 | |
| International | |||
| Bancshares Corp. | 94,179 | 2,127 | |
| Cousins Properties Inc. | 209,144 | 2,112 | |
| National Health | |||
| Investors Inc. | 35,139 | 2,103 | |
| Franklin Street | |||
| Properties Corp. | 158,582 | 2,093 | |
| * | Pinnacle Financial | ||
| Partners Inc. | 79,298 | 2,039 | |
| Mercury General Corp. | 46,360 | 2,038 | |
| OFG Bancorp | 112,160 | 2,031 | |
| Healthcare Trust of | |||
| America Inc. Class A | 180,577 | 2,028 | |
| Spirit Realty Capital Inc. | 114,101 | 2,022 | |
| Associated Estates | |||
| Realty Corp. | 125,374 | 2,016 | |
| Boston Private Financial | |||
| Holdings Inc. | 189,090 | 2,012 | |
| Pennsylvania REIT | 106,420 | 2,009 | |
| First Financial Bancorp | 134,383 | 2,002 | |
| American Equity | |||
| Investment | |||
| Life Holding Co. | 127,505 | 2,002 | |
| * | Walter Investment | ||
| Management Corp. | 58,849 | 1,990 | |
| Anworth Mortgage | |||
| Asset Corp. | 354,506 | 1,985 | |
| NBT Bancorp Inc. | 93,657 | 1,983 | |
| Investors Bancorp Inc. | 91,458 | 1,928 | |
| Ashford Hospitality | |||
| Trust Inc. | 167,080 | 1,913 | |
| National Penn | |||
| Bancshares Inc. | 188,187 | 1,912 | |
| ^ | Amtrust Financial | ||
| Services Inc. | 53,398 | 1,906 | |
| Greenhill & Co. Inc. | 41,602 | 1,903 | |
| PennyMac Mortgage | |||
| Investment Trust | 88,767 | 1,869 | |
| * | Enstar Group Ltd. | 13,985 | 1,860 |
| * | First BanCorp | 261,531 | 1,852 |
| Independent Bank Corp. | 53,307 | 1,839 | |
| * | World Acceptance Corp. | 21,046 | 1,830 |
| *,^ | Zillow Inc. Class A | 32,378 | 1,823 |
| * | Encore Capital Group Inc. | 54,696 | 1,811 |
| American Capital Mortgage | |||
| Investment Corp. | 99,066 | 1,780 | |
| BGC Partners Inc. Class A | 297,884 | 1,755 | |
| Berkshire Hills Bancorp Inc. | 61,918 | 1,719 | |
| First Commonwealth | |||
| Financial Corp. | 233,148 | 1,718 | |
| * | Hilltop Holdings Inc. | 104,147 | 1,708 |
| Banner Corp. | 49,745 | 1,681 | |
| * | FelCor Lodging Trust Inc. | 281,066 | 1,661 |
| First Citizens BancShares | |||
| Inc. Class A | 8,603 | 1,652 |
21
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Chemical Financial Corp. | 62,217 | 1,617 | |
| Coresite Realty Corp. | 50,537 | 1,608 | |
| * | Hanmi Financial Corp. | 88,034 | 1,556 |
| Brookline Bancorp Inc. | 178,826 | 1,552 | |
| Provident Financial | |||
| Services Inc. | 96,122 | 1,517 | |
| Apollo Residential | |||
| Mortgage Inc. | 91,264 | 1,504 | |
| * | Credit Acceptance Corp. | 14,121 | 1,483 |
| Employers Holdings Inc. | 60,492 | 1,479 | |
| City Holding Co. | 37,937 | 1,478 | |
| Apollo Commercial Real | |||
| Estate Finance Inc. | 92,596 | 1,470 | |
| Tower Group | |||
| International Ltd. | 71,649 | 1,470 | |
| * | BofI Holding Inc. | 31,869 | 1,460 |
| * | iStar Financial Inc. | 129,018 | 1,457 |
| First Merchants Corp. | 84,315 | 1,446 | |
| Oritani Financial Corp. | 90,817 | 1,424 | |
| Hudson Pacific | |||
| Properties Inc. | 66,803 | 1,422 | |
| AMERISAFE Inc. | 43,732 | 1,416 | |
| * | TFS Financial Corp. | 126,176 | 1,413 |
| ViewPoint Financial | |||
| Group Inc. | 67,516 | 1,405 | |
| Dime Community | |||
| Bancshares Inc. | 90,377 | 1,385 | |
| Inland Real Estate Corp. | 134,417 | 1,374 | |
| * | Eagle Bancorp Inc. | 61,249 | 1,371 |
| Sterling Financial Corp. | 57,223 | 1,361 | |
| SCBT Financial Corp. | 26,601 | 1,340 | |
| Renasant Corp. | 54,606 | 1,329 | |
| Flushing Financial Corp. | 80,387 | 1,322 | |
| * | WisdomTree | ||
| Investments Inc. | 113,097 | 1,309 | |
| Hersha Hospitality | |||
| Trust Class A | 231,059 | 1,303 | |
| Cardinal Financial Corp. | 88,287 | 1,293 | |
| FBL Financial Group Inc. | |||
| Class A | 29,646 | 1,290 | |
| * | Central Pacific | ||
| Financial Corp. | 71,490 | 1,287 | |
| Community Trust | |||
| Bancorp Inc. | 35,404 | 1,261 | |
| Saul Centers Inc. | 28,179 | 1,253 | |
| Heartland Financial USA Inc. | 45,568 | 1,253 | |
| Agree Realty Corp. | 41,857 | 1,236 | |
| * | Ameris Bancorp | 72,967 | 1,229 |
| Nelnet Inc. Class A | 33,815 | 1,220 | |
| * | Ambac Financial Group Inc. | 51,020 | 1,216 |
| * | Ezcorp Inc. Class A | 71,293 | 1,203 |
| Park National Corp. | 17,452 | 1,201 | |
| Cohen & Steers Inc. | 35,000 | 1,189 | |
| * | Forestar Group Inc. | 57,964 | 1,163 |
| Cedar Realty Trust Inc. | 221,637 | 1,148 | |
| Horace Mann | |||
| Educators Corp. | 47,051 | 1,147 | |
| Campus Crest | |||
| Communities Inc. | 98,769 | 1,140 | |
| Interactive Brokers | |||
| Group Inc. | 69,804 | 1,115 | |
| Alexander’s Inc. | 3,759 | 1,104 | |
| * | Knight Capital Group Inc. | ||
| Class A | 306,230 | 1,099 | |
| CoBiz Financial Inc. | 132,407 | 1,099 | |
| * | Flagstar Bancorp Inc. | 77,219 | 1,078 |
| First Busey Corp. | 235,906 | 1,062 | |
| Arlington Asset | |||
| Investment Corp. Class A | 39,667 | 1,061 | |
| Bancfirst Corp. | 22,753 | 1,059 | |
| Sabra Health Care REIT Inc. | 40,519 | 1,058 | |
| ^ | Ares Commercial Real | ||
| Estate Corp. | 82,559 | 1,058 | |
| S&T Bancorp Inc. | 53,734 | 1,053 | |
| * | National Financial | ||
| Partners Corp. | 41,254 | 1,044 | |
| Lakeland Financial Corp. | 37,322 | 1,036 | |
| Ramco-Gershenson | |||
| Properties Trust | 66,095 | 1,026 | |
| * | Greenlight Capital Re | ||
| Ltd. Class A | 41,576 | 1,020 | |
| National Bank Holdings | |||
| Corp. Class A | 51,690 | 1,018 | |
| Dynex Capital Inc. | 98,278 | 1,001 | |
| HFF Inc. Class A | 55,947 | 994 | |
| * | Navigators Group Inc. | 17,345 | 989 |
| Bank Mutual Corp. | 171,636 | 968 | |
| Investors Real Estate Trust | 112,053 | 964 | |
| * | DFC Global Corp. | 69,739 | 963 |
| Arrow Financial Corp. | 38,478 | 952 | |
| First Financial Holdings Inc. | 44,894 | 952 | |
| Bryn Mawr Bank Corp. | 39,774 | 952 | |
| * | Gramercy Property | ||
| Trust Inc. | 210,398 | 947 | |
| Infinity Property & | |||
| Casualty Corp. | 15,626 | 934 | |
| 1st Source Corp. | 38,646 | 918 | |
| * | Capital Bank Financial Corp. | 47,948 | 911 |
| * | Nationstar Mortgage | ||
| Holdings Inc. | 24,304 | 910 | |
| WesBanco Inc. | 34,291 | 906 | |
| * | Beneficial Mutual | ||
| Bancorp Inc. | 107,838 | 906 | |
| First Potomac Realty Trust | 69,337 | 906 | |
| * | NetSpend Holdings Inc. | 56,657 | 905 |
| Camden National Corp. | 25,429 | 902 | |
| Federal Agricultural | |||
| Mortgage Corp. | 31,096 | 898 | |
| Retail Opportunity | |||
| Investments Corp. | 64,440 | 896 |
22
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Kennedy-Wilson | |||
| Holdings Inc. | 53,824 | 896 | |
| * | AV Homes Inc. | 50,449 | 894 |
| Summit Hotel Properties Inc. | 94,398 | 892 | |
| Northfield Bancorp Inc. | 75,716 | 887 | |
| STAG Industrial Inc. | 44,283 | 883 | |
| Rouse Properties Inc. | 44,189 | 867 | |
| * | Move Inc. | 67,347 | 863 |
| FXCM Inc. Class A | 52,484 | 861 | |
| * | American Residential | ||
| Properties Inc. | 49,639 | 854 | |
| Arbor Realty Trust Inc. | 132,823 | 834 | |
| Getty Realty Corp. | 40,132 | 829 | |
| * | Cowen Group Inc. Class A | 283,198 | 821 |
| Calamos Asset | |||
| Management Inc. Class A | 77,655 | 815 | |
| * | Trulia Inc. | 25,680 | 798 |
| Great Southern Bancorp Inc. | 29,172 | 786 | |
| Sandy Spring Bancorp Inc. | 35,796 | 774 | |
| Excel Trust Inc. | 60,388 | 774 | |
| * | Green Dot Corp. Class A | 38,758 | 773 |
| * | Investment Technology | ||
| Group Inc. | 54,697 | 765 | |
| Safety Insurance Group Inc. | 15,744 | 764 | |
| Blackstone Mortgage | |||
| Trust Inc. Class A | 30,574 | 755 | |
| AmREIT Inc. | 39,002 | 754 | |
| CyrusOne Inc. | 36,340 | 754 | |
| * | eHealth Inc. | 32,671 | 742 |
| Select Income REIT | 26,248 | 736 | |
| Provident New York Bancorp | 78,647 | 735 | |
| Chatham Lodging Trust | 42,565 | 731 | |
| * | Piper Jaffray Cos. | 23,117 | 731 |
| BankFinancial Corp. | 84,097 | 715 | |
| Resource Capital Corp. | 115,435 | 710 | |
| CapLease Inc. | 81,401 | 687 | |
| WSFS Financial Corp. | 12,972 | 680 | |
| Hudson Valley Holding Corp. | 39,988 | 679 | |
| Southside Bancshares Inc. | 28,353 | 677 | |
| GAMCO Investors Inc. | 11,920 | 660 | |
| First Pactrust Bancorp Inc. | 48,592 | 660 | |
| Ames National Corp. | 28,810 | 656 | |
| Bank of Marin Bancorp | 15,893 | 636 | |
| TrustCo Bank Corp. NY | 115,773 | 630 | |
| Diamond Hill Investment | |||
| Group Inc. | 7,376 | 627 | |
| Marlin Business | |||
| Services Corp. | 27,510 | 627 | |
| * | FBR & Co. | 24,801 | 626 |
| Consolidated-Tomoka | |||
| Land Co. | 16,380 | 625 | |
| Centerstate Banks Inc. | 71,366 | 619 | |
| * | PICO Holdings Inc. | 29,546 | 619 |
| * | BBX Capital Corp. | 47,864 | 618 |
| Parkway Properties Inc. | 36,289 | 608 | |
| * | American Safety Insurance | ||
| Holdings Ltd. | 20,990 | 608 | |
| American National | |||
| Bankshares Inc. | 25,157 | 585 | |
| * | Global Indemnity plc | 24,324 | 573 |
| Donegal Group Inc. Class A | 40,833 | 570 | |
| * | MPG Office Trust Inc. | 180,653 | 567 |
| United Fire Group Inc. | 22,366 | 555 | |
| GFI Group Inc. | 138,845 | 543 | |
| * | Bridge Capital Holdings | 34,094 | 541 |
| Winthrop Realty Trust | 44,790 | 539 | |
| Simmons First National | |||
| Corp. Class A | 20,638 | 538 | |
| * | Artisan Partners Asset | ||
| Management Inc. | 10,612 | 530 | |
| Enterprise Financial | |||
| Services Corp. | 32,911 | 525 | |
| Maiden Holdings Ltd. | 46,072 | 517 | |
| First Community | |||
| Bancshares Inc. | 32,946 | 517 | |
| Stewart Information | |||
| Services Corp. | 19,721 | 516 | |
| * | Citizens Inc. Class A | 83,456 | 499 |
| Baldwin & Lyons Inc. | 20,132 | 489 | |
| Republic Bancorp Inc. | |||
| Class A | 22,206 | 487 | |
| Kite Realty Group Trust | 76,876 | 464 | |
| Silver Bay Realty Trust Corp. | 27,603 | 457 | |
| * | United Community | ||
| Banks Inc. | 35,740 | 444 | |
| * | INTL. FCStone Inc. | 24,370 | 425 |
| AG Mortgage Investment | |||
| Trust Inc. | 22,560 | 424 | |
| Universal Health Realty | |||
| Income Trust | 9,782 | 422 | |
| StellarOne Corp. | 21,057 | 414 | |
| Bar Harbor Bankshares | 11,151 | 408 | |
| First Defiance Financial Corp. | 18,074 | 408 | |
| Century Bancorp Inc. | |||
| Class A | 11,498 | 402 | |
| Meadowbrook Insurance | |||
| Group Inc. | 48,310 | 388 | |
| * | NewStar Financial Inc. | 28,770 | 383 |
| * | MoneyGram | ||
| International Inc. | 16,722 | 379 | |
| * | Phoenix Cos. Inc. | 8,798 | 378 |
| RAIT Financial Trust | 50,057 | 376 | |
| State Bank Financial Corp. | 24,801 | 373 | |
| National Western Life | |||
| Insurance Co. Class A | 1,944 | 369 | |
| Tompkins Financial Corp. | 7,696 | 348 | |
| Lakeland Bancorp Inc. | 32,970 | 344 | |
| Medallion Financial Corp. | 24,457 | 340 | |
| * | Capital City Bank Group Inc. | 29,455 | 340 |
23
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Urstadt Biddle Properties | |||
| Inc. Class A | 16,749 | 338 | |
| Sierra Bancorp | 22,731 | 336 | |
| * | CIFC Corp. | 42,079 | 318 |
| * | Ladenburg Thalmann | ||
| Financial Services Inc. | 188,647 | 311 | |
| * | Tejon Ranch Co. | 10,864 | 310 |
| * | Walker & Dunlop Inc. | 17,655 | 309 |
| * | TESARO Inc. | 8,832 | 289 |
| * | Safeguard Scientifics Inc. | 17,087 | 274 |
| * | Reis Inc. | 14,363 | 266 |
| First of Long Island Corp. | 7,987 | 265 | |
| SY Bancorp Inc. | 10,771 | 264 | |
| Charter Financial Corp. | 26,045 | 263 | |
| EMC Insurance Group Inc. | 9,816 | 258 | |
| Intersections Inc. | 29,272 | 257 | |
| TowneBank | 16,526 | 243 | |
| * | Bancorp Inc. | 16,224 | 243 |
| ESSA Bancorp Inc. | 22,091 | 242 | |
| Center Bancorp Inc. | 18,481 | 235 | |
| Resource America Inc. | |||
| Class A | 27,161 | 231 | |
| Washington Trust | |||
| Bancorp Inc. | 8,065 | 230 | |
| Trico Bancshares | 10,697 | 228 | |
| Western Asset Mortgage | |||
| Capital Corp. | 12,850 | 224 | |
| * | Consumer Portfolio | ||
| Services Inc. | 30,454 | 224 | |
| HomeStreet Inc. | 9,900 | 212 | |
| Investors Title Co. | 2,968 | 211 | |
| OneBeacon Insurance | |||
| Group Ltd. Class A | 14,538 | 211 | |
| CFS Bancorp Inc. | 19,042 | 204 | |
| Preferred Apartment | |||
| Communities Inc. Class A | 22,649 | 204 | |
| Bridge Bancorp Inc. | 8,990 | 202 | |
| * | ZipRealty Inc. | 64,495 | 202 |
| * | First NBC Bank Holding Co. | 8,080 | 197 |
| First Bancorp | 13,764 | 194 | |
| * | American | ||
| Independence Corp. | 27,516 | 191 | |
| Life Partners Holdings Inc. | 62,258 | 191 | |
| ^ | New York Mortgage | ||
| Trust Inc. | 28,200 | 191 | |
| State Auto Financial Corp. | 10,474 | 190 | |
| United Insurance | |||
| Holdings Corp. | 27,084 | 189 | |
| First Financial Corp. | 6,108 | 189 | |
| * | First Marblehead Corp. | 159,153 | 188 |
| Clifton Savings Bancorp Inc. | 15,708 | 186 | |
| Gladstone Commercial Corp. | 9,593 | 179 | |
| Gain Capital Holdings Inc. | 28,260 | 178 | |
| German American | |||
| Bancorp Inc. | 7,886 | 178 | |
| * | Market Leader Inc. | 16,528 | 177 |
| Asta Funding Inc. | 20,359 | 176 | |
| Athens Bancshares Corp. | 9,974 | 175 | |
| * | Doral Financial Corp. | 209,527 | 174 |
| National Interstate Corp. | 5,928 | 173 | |
| Westfield Financial Inc. | 24,409 | 171 | |
| Guaranty Bancorp | 14,751 | 167 | |
| Wilshire Bancorp Inc. | 24,764 | 164 | |
| OceanFirst Financial Corp. | 10,355 | 161 | |
| Rockville Financial Inc. | 11,740 | 154 | |
| Union First Market | |||
| Bankshares Corp. | 7,385 | 152 | |
| Univest Corp. of | |||
| Pennsylvania | 7,755 | 148 | |
| Financial Institutions Inc. | 7,971 | 147 | |
| * | BSB Bancorp Inc. | 10,680 | 140 |
| Thomas Properties | |||
| Group Inc. | 26,395 | 140 | |
| * | Altisource Residential Corp. | 8,215 | 137 |
| * | SWS Group Inc. | 25,127 | 137 |
| * | Gleacher & Co. Inc. | 9,838 | 137 |
| Merchants Bancshares Inc. | 4,593 | 136 | |
| One Liberty Properties Inc. | 6,134 | 135 | |
| Armada Hoffler | |||
| Properties Inc. | 11,353 | 134 | |
| UMH Properties Inc. | 12,551 | 129 | |
| ESB Financial Corp. | 10,045 | 122 | |
| * | Metro Bancorp Inc. | 6,058 | 121 |
| * | Arrowhead Research Corp. | 60,293 | 121 |
| First Financial Northwest Inc. | 11,688 | 120 | |
| Sterling Bancorp | 10,065 | 117 | |
| * | First Acceptance Corp. | 71,063 | 117 |
| US Global Investors Inc. | |||
| Class A | 54,425 | 115 | |
| Ameriana Bancorp | 11,164 | 114 | |
| MainSource Financial | |||
| Group Inc. | 8,507 | 114 | |
| Monmouth Real Estate | |||
| Investment Corp. Class A | 11,428 | 113 | |
| Citizens & Northern Corp. | 5,704 | 110 | |
| Cape Bancorp Inc. | 11,576 | 110 | |
| Institutional Financial | |||
| Markets Inc. | 39,632 | 101 | |
| Pzena Investment | |||
| Management Inc. Class A | 15,177 | 99 | |
| First Interstate | |||
| Bancsystem Inc. | 4,758 | 99 | |
| * | Atlanticus Holdings Corp. | 26,603 | 95 |
| Bank of Commerce Holdings | 18,855 | 95 | |
| * | Virginia Commerce | ||
| Bancorp Inc. | 6,417 | 90 | |
| Eastern Insurance | |||
| Holdings Inc. | 4,751 | 89 | |
| Ellington Residential | |||
| Mortgage REIT | 4,966 | 89 |
24
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| CNB Financial Corp. | 5,116 | 87 | |
| Simplicity Bancorp Inc. | 5,900 | 86 | |
| Federated National | |||
| Holding Co. | 8,630 | 84 | |
| * | Eastern Virginia | ||
| Bankshares Inc. | 16,807 | 84 | |
| * | Synergy Resources Corp. | 11,400 | 83 |
| Peoples Bancorp Inc. | 3,924 | 83 | |
| Berkshire Bancorp Inc. | 10,383 | 83 | |
| Oppenheimer | |||
| Holdings Inc. Class A | 4,171 | 79 | |
| First M&F Corp. | 5,021 | 79 | |
| Tree.com Inc. | 4,506 | 77 | |
| * | Suffolk Bancorp | 4,640 | 76 |
| * | Waterstone Financial Inc. | 7,258 | 74 |
| Mercantile Bank Corp. | 4,071 | 73 | |
| United Financial Bancorp Inc. | 4,277 | 65 | |
| Bank of Kentucky | |||
| Financial Corp. | 2,227 | 63 | |
| * | Republic First Bancorp Inc. | 22,168 | 63 |
| West Bancorporation Inc. | 5,282 | 62 | |
| Westwood Holdings | |||
| Group Inc. | 1,437 | 62 | |
| Access National Corp. | 4,641 | 60 | |
| Codorus Valley Bancorp Inc. | 3,473 | 60 | |
| * | Southwest Bancorp Inc. | 4,391 | 58 |
| Universal Insurance | |||
| Holdings Inc. | 8,131 | 58 | |
| Provident Financial | |||
| Holdings Inc. | 3,566 | 57 | |
| Kansas City Life | |||
| Insurance Co. | 1,435 | 55 | |
| National Bankshares Inc. | 1,458 | 52 | |
| Home Federal Bancorp Inc. | 4,043 | 52 | |
| * | NewBridge Bancorp | 8,541 | 51 |
| PMC Commercial Trust | 6,141 | 50 | |
| * | Hallmark Financial | ||
| Services Inc. | 5,462 | 50 | |
| * | Macatawa Bank Corp. | 9,356 | 47 |
| Heritage Financial Corp. | 2,981 | 44 | |
| Alliance Bancorp Inc. of | |||
| Pennsylvania | 2,959 | 42 | |
| Aviv REIT Inc. | 1,629 | 41 | |
| * | Shore Bancshares Inc. | 5,538 | 41 |
| Pulaski Financial Corp. | 4,255 | 41 | |
| Gyrodyne Co. of America Inc. | 549 | 39 | |
| * | Maui Land & Pineapple | ||
| Co. Inc. | 9,626 | 39 | |
| * | United Community | ||
| Financial Corp. | 8,204 | 38 | |
| * | Heritage Commerce Corp. | 5,419 | 38 |
| * | Hampton Roads | ||
| Bankshares Inc. | 29,317 | 38 | |
| * | Camco Financial Corp. | 11,339 | 37 |
| Central Valley Community | |||
| Bancorp | 3,700 | 37 | |
| JAVELIN Mortgage | |||
| Investment Corp. | 2,575 | 36 | |
| Meta Financial Group Inc. | 1,374 | 36 | |
| * | ASB Bancorp Inc. | 2,200 | 36 |
| * | Park Sterling Corp. | 6,049 | 36 |
| California First National | |||
| Bancorp | 2,112 | 35 | |
| Peapack Gladstone | |||
| Financial Corp. | 1,881 | 33 | |
| C&F Financial Corp. | 585 | 33 | |
| Territorial Bancorp Inc. | 1,222 | 28 | |
| * | Farmers Capital Bank Corp. | 1,229 | 27 |
| Federal Agricultural | |||
| Mortgage Corp. Class A | 1,021 | 26 | |
| * | Meridian Interstate | ||
| Bancorp Inc. | 1,394 | 26 | |
| HopFed Bancorp Inc. | 2,411 | 26 | |
| Northeast Bancorp | 2,506 | 24 | |
| QC Holdings Inc. | 8,515 | 24 | |
| * | Old Second Bancorp Inc. | 4,290 | 24 |
| * | Atlas Financial Holdings Inc. | 2,750 | 24 |
| Independence Holding Co. | 1,959 | 23 | |
| Monarch Financial | |||
| Holdings Inc. | 2,100 | 23 | |
| * | Health Insurance | ||
| Innovations Inc. Class A | 2,118 | 22 | |
| * | North Valley Bancorp | 1,335 | 22 |
| Wheeler REIT Inc. | 3,900 | 21 | |
| Citizens Community | |||
| Bancorp Inc. | 2,945 | 21 | |
| Washington Banking Co. | 1,457 | 21 | |
| * | Performant Financial Corp. | 1,700 | 20 |
| Pacific Continental Corp. | 1,661 | 20 | |
| * | Pacific Mercantile Bancorp | 3,311 | 19 |
| * | First Federal Bancshares | ||
| of Arkansas Inc. | 2,370 | 19 | |
| * | FNB United Corp. | 2,200 | 18 |
| MicroFinancial Inc. | 2,238 | 18 | |
| 1st United Bancorp Inc. | 2,581 | 17 | |
| * | Colonial Financial | ||
| Services Inc. | 1,300 | 17 | |
| * | Internet Patents Corp. | 4,802 | 17 |
| * | Sun Bancorp Inc. | 4,829 | 16 |
| TF Financial Corp. | 662 | 16 | |
| * | Regional Management Corp. | 650 | 16 |
| Chicopee Bancorp Inc. | 909 | 15 | |
| Penns Woods Bancorp Inc. | 363 | 15 | |
| * | ConnectOne Bancorp Inc. | 490 | 15 |
| Terreno Realty Corp. | 801 | 15 | |
| * | Xoom Corp. | 630 | 14 |
| First Bancorp Inc. | 791 | 14 | |
| * | Preferred Bank | 793 | 13 |
| Five Oaks Investment Corp. | 977 | 13 |
25
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Firstbank Corp. | 878 | 12 | |
| * | Yadkin Financial Corp. | 838 | 12 |
| JMP Group Inc. | 1,711 | 11 | |
| * | Guaranty Federal | ||
| Bancshares Inc. | 1,101 | 11 | |
| * | Seacoast Banking Corp. | ||
| of Florida | 4,924 | 11 | |
| Evans Bancorp Inc. | 606 | 11 | |
| Cheviot Financial Corp. | 912 | 10 | |
| Middleburg Financial Corp. | 539 | 10 | |
| Unity Bancorp Inc. | 1,345 | 9 | |
| * | Jefferson Bancshares Inc. | 1,639 | 9 |
| * | Kearny Financial Corp. | 767 | 8 |
| Hawthorn Bancshares Inc. | 654 | 8 | |
| * | HomeTrust Bancshares Inc. | 459 | 8 |
| MutualFirst Financial Inc. | 544 | 8 | |
| Northrim BanCorp Inc. | 303 | 7 | |
| First Clover Leaf | |||
| Financial Corp. | 900 | 7 | |
| * | Riverview Bancorp Inc. | 2,700 | 7 |
| MidSouth Bancorp Inc. | 428 | 7 | |
| * | Independent Bank Corp. | 1,015 | 6 |
| Glen Burnie Bancorp | 500 | 6 | |
| WVS Financial Corp. | 511 | 6 | |
| * | World Energy Solutions Inc. | 1,379 | 5 |
| HF Financial Corp. | 396 | 5 | |
| * | Fidelity Southern Corp. | 411 | 5 |
| * | Supertel Hospitality Inc. | 5,190 | 5 |
| * | IF Bancorp Inc. | 300 | 5 |
| Elmira Savings Bank | 200 | 4 | |
| * | American Realty | ||
| Investors Inc. | 602 | 3 | |
| Wayne Savings | |||
| Bancshares Inc. | 298 | 3 | |
| * | Prospect Global | ||
| Resources Inc. | 32,633 | 3 | |
| * | NASB Financial Inc. | 100 | 3 |
| * | Royal Bancshares of | ||
| Pennsylvania Inc. | 1,796 | 2 | |
| * | Carolina Bank Holdings Inc. | 200 | 2 |
| BCB Bancorp Inc. | 200 | 2 | |
| United Community Bancorp | 200 | 2 | |
| MetroCorp Bancshares Inc. | 159 | 2 | |
| * | Taylor Capital Group Inc. | 87 | 1 |
| Sotherly Hotels Inc. | 300 | 1 | |
| Bank of South Carolina Corp. | 100 | 1 | |
| * | SP Bancorp Inc. | 55 | 1 |
| * | Home Bancorp Inc. | 53 | 1 |
| * | Intervest Bancshares | ||
| Corp. Class A | 131 | 1 | |
| Horizon Bancorp | 40 | 1 | |
| Fox Chase Bancorp Inc. | 43 | 1 | |
| * | Orrstown Financial | ||
| Services Inc. | 53 | 1 | |
| Hingham Institution | ||||
| for Savings | 9 | 1 | ||
| Community Bank Shares | ||||
| of Indiana Inc. | 22 | — | ||
| Tower Financial Corp. | 24 | — | ||
| SI Financial Group Inc. | 31 | — | ||
| Eagle Bancorp Montana Inc. | 30 | — | ||
| Salisbury Bancorp Inc. | 11 | — | ||
| United Bancshares Inc. | 23 | — | ||
| Old Line Bancshares Inc. | 17 | — | ||
| * | Severn Bancorp Inc. | 41 | — | |
| * | Prudential Bancorp Inc. | |||
| of Pennsylvania | 18 | — | ||
| * | Vestin Realty | |||
| Mortgage II Inc. | 90 | — | ||
| Heritage Financial Group Inc. | 9 | — | ||
| * | Transcontinental Realty | |||
| Investors Inc. | 12 | — | ||
| Kingstone Cos. Inc. | 9 | — | ||
| * | Valley National Bancorp | |||
| Warrants Exp. 6/30/2015 | 240 | — | ||
| * | Porter Bancorp Inc. | 25 | — | |
| 5,665,089 | ||||
| Health Care (11.6%) | ||||
| Johnson & Johnson | 4,760,675 | 408,752 | ||
| Pfizer Inc. | 11,338,345 | 317,587 | ||
| Merck & Co. Inc. | 5,117,512 | 237,708 | ||
| * | Gilead Sciences Inc. | 2,585,148 | 132,385 | |
| Amgen Inc. | 1,271,100 | 125,407 | ||
| Bristol-Myers Squibb Co. | 2,783,781 | 124,407 | ||
| UnitedHealth Group Inc. | 1,728,678 | 113,194 | ||
| AbbVie Inc. | 2,684,119 | 110,961 | ||
| Abbott Laboratories | 2,642,482 | 92,170 | ||
| Medtronic Inc. | 1,721,906 | 88,627 | ||
| * | Biogen Idec Inc. | 402,294 | 86,574 | |
| * | Express Scripts | |||
| Holding Co. | 1,389,714 | 85,731 | ||
| Eli Lilly & Co. | 1,723,568 | 84,662 | ||
| * | Celgene Corp. | 706,948 | 82,649 | |
| Baxter International Inc. | 920,942 | 63,794 | ||
| Thermo Fisher | ||||
| Scientific Inc. | 608,360 | 51,486 | ||
| Covidien plc | 797,426 | 50,110 | ||
| Allergan Inc. | 521,325 | 43,916 | ||
| WellPoint Inc. | 509,048 | 41,660 | ||
| Aetna Inc. | 641,042 | 40,732 | ||
| Cigna Corp. | 483,618 | 35,057 | ||
| * | Intuitive Surgical Inc. | 68,070 | 34,483 | |
| Becton Dickinson and Co. | 329,244 | 32,539 | ||
| Stryker Corp. | 480,595 | 31,085 | ||
| * | Alexion | |||
| Pharmaceuticals Inc. | 330,761 | 30,509 | ||
| * | Vertex | |||
| Pharmaceuticals Inc. | 375,280 | 29,974 | ||
26
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Regeneron | ||
| Pharmaceuticals Inc. | 130,034 | 29,242 | |
| * | Actavis Inc. | 214,774 | 27,109 |
| Zoetis Inc. | 845,708 | 26,124 | |
| Humana Inc. | 267,017 | 22,531 | |
| St. Jude Medical Inc. | 480,321 | 21,917 | |
| * | Life Technologies Corp. | 292,031 | 21,613 |
| Zimmer Holdings Inc. | 285,345 | 21,384 | |
| * | Boston Scientific Corp. | 2,286,458 | 21,195 |
| * | DaVita HealthCare | ||
| Partners Inc. | 170,354 | 20,579 | |
| * | Mylan Inc. | 648,602 | 20,126 |
| Perrigo Co. | 151,475 | 18,328 | |
| * | Forest Laboratories Inc. | 406,754 | 16,677 |
| HCA Holdings Inc. | 453,667 | 16,359 | |
| Quest Diagnostics Inc. | 267,914 | 16,244 | |
| * | Onyx Pharmaceuticals Inc. | 123,287 | 16,197 |
| * | Illumina Inc. | 210,796 | 15,776 |
| * | Laboratory Corp. of | ||
| America Holdings | 157,600 | 15,776 | |
| CR Bard Inc. | 136,414 | 14,825 | |
| * | Henry Schein Inc. | 147,693 | 14,142 |
| * | Waters Corp. | 137,965 | 13,803 |
| * | CareFusion Corp. | 373,647 | 13,769 |
| * | BioMarin | ||
| Pharmaceutical Inc. | 235,641 | 13,146 | |
| * | Edwards Lifesciences Corp. | 191,649 | 12,879 |
| * | Varian Medical Systems Inc. | 183,805 | 12,398 |
| ResMed Inc. | 241,560 | 10,902 | |
| * | Hospira Inc. | 280,502 | 10,746 |
| Universal Health Services | |||
| Inc. Class B | 153,823 | 10,300 | |
| DENTSPLY | |||
| International Inc. | 242,859 | 9,948 | |
| Cooper Cos. Inc. | 82,535 | 9,826 | |
| * | Hologic Inc. | 456,488 | 8,810 |
| * | IDEXX Laboratories Inc. | 91,720 | 8,235 |
| * | Tenet Healthcare Corp. | 175,834 | 8,106 |
| * | Pharmacyclics Inc. | 98,690 | 7,843 |
| * | MEDNAX Inc. | 85,055 | 7,789 |
| Warner Chilcott plc Class A | 382,793 | 7,610 | |
| * | Covance Inc. | 94,791 | 7,217 |
| Community Health | |||
| Systems Inc. | 151,807 | 7,117 | |
| * | Endo Health Solutions Inc. | 190,282 | 7,000 |
| * | Health Management | ||
| Associates Inc. Class A | 417,589 | 6,565 | |
| * | Alkermes plc | 227,759 | 6,532 |
| * | Salix Pharmaceuticals Ltd. | 98,714 | 6,530 |
| * | Sirona Dental Systems Inc. | 95,384 | 6,284 |
| * | Medivation Inc. | 120,911 | 5,949 |
| * | Jazz Pharmaceuticals plc | 82,764 | 5,688 |
| * | Seattle Genetics Inc. | 174,770 | 5,498 |
| Teleflex Inc. | 69,855 | 5,413 | |
| * | Cubist Pharmaceuticals Inc. | 110,615 | 5,343 |
| * | Ariad Pharmaceuticals Inc. | 298,162 | 5,215 |
| Patterson Cos. Inc. | 135,020 | 5,077 | |
| * | United Therapeutics Corp. | 76,142 | 5,012 |
| * | Isis Pharmaceuticals Inc. | 182,365 | 4,900 |
| * | Team Health Holdings Inc. | 116,847 | 4,799 |
| * | Centene Corp. | 87,740 | 4,603 |
| * | Incyte Corp. Ltd. | 208,034 | 4,577 |
| * | Theravance Inc. | 117,998 | 4,546 |
| * | PAREXEL International Corp. | 96,456 | 4,431 |
| * | Brookdale Senior Living | ||
| Inc. Class A | 166,878 | 4,412 | |
| * | Health Net Inc. | 133,649 | 4,253 |
| Questcor | |||
| Pharmaceuticals Inc. | 90,952 | 4,135 | |
| * | Align Technology Inc. | 111,142 | 4,117 |
| Techne Corp. | 59,447 | 4,107 | |
| * | WellCare Health Plans Inc. | 73,896 | 4,105 |
| STERIS Corp. | 95,022 | 4,075 | |
| * | HealthSouth Corp. | 140,743 | 4,053 |
| West Pharmaceutical | |||
| Services Inc. | 55,861 | 3,925 | |
| * | Cepheid Inc. | 113,841 | 3,918 |
| * | Bio-Rad Laboratories | ||
| Inc. Class A | 33,771 | 3,789 | |
| * | LifePoint Hospitals Inc. | 76,398 | 3,731 |
| * | Myriad Genetics Inc. | 135,655 | 3,645 |
| Owens & Minor Inc. | 107,626 | 3,641 | |
| * | Haemonetics Corp. | 87,235 | 3,607 |
| * | HMS Holdings Corp. | 148,678 | 3,464 |
| Hill-Rom Holdings Inc. | 101,833 | 3,430 | |
| * | Charles River Laboratories | ||
| International Inc. | 83,346 | 3,420 | |
| * | Alere Inc. | 131,361 | 3,218 |
| * | ViroPharma Inc. | 111,151 | 3,184 |
| * | Thoratec Corp. | 97,304 | 3,047 |
| * | Medicines Co. | 95,334 | 2,932 |
| *,^ | Arena Pharmaceuticals Inc. | 370,438 | 2,852 |
| * | Alnylam | ||
| Pharmaceuticals Inc. | 90,068 | 2,793 | |
| * | Bruker Corp. | 170,955 | 2,761 |
| * | Insulet Corp. | 86,519 | 2,718 |
| Healthcare Services | |||
| Group Inc. | 110,758 | 2,716 | |
| * | Aegerion | ||
| Pharmaceuticals Inc. | 41,545 | 2,631 | |
| * | Magellan Health | ||
| Services Inc. | 46,201 | 2,591 | |
| * | DexCom Inc. | 114,563 | 2,572 |
| * | Prestige Brands | ||
| Holdings Inc. | 87,353 | 2,545 | |
| * | ACADIA | ||
| Pharmaceuticals Inc. | 138,314 | 2,510 | |
| * | ImmunoGen Inc. | 143,416 | 2,379 |
| * | HeartWare I | ||
| nternational Inc. | 25,012 | 2,379 |
27
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Impax Laboratories Inc. | 117,102 | 2,336 |
| * | NPS Pharmaceuticals Inc. | 154,323 | 2,330 |
| * | Cyberonics Inc. | 44,602 | 2,318 |
| Abaxis Inc. | 48,665 | 2,312 | |
| * | Exact Sciences Corp. | 165,116 | 2,297 |
| * | Acorda Therapeutics Inc. | 69,445 | 2,291 |
| * | Nektar Therapeutics | 195,219 | 2,255 |
| * | ArthroCare Corp. | 64,912 | 2,241 |
| * | Globus Medical Inc. | 131,946 | 2,225 |
| *,^ | Vivus Inc. | 170,910 | 2,150 |
| * | Sarepta Therapeutics Inc. | 54,571 | 2,076 |
| * | Amsurg Corp. Class A | 59,055 | 2,073 |
| Air Methods Corp. | 59,847 | 2,028 | |
| * | BioScrip Inc. | 121,385 | 2,003 |
| Analogic Corp. | 27,248 | 1,984 | |
| *,^ | Opko Health Inc. | 276,909 | 1,966 |
| PDL BioPharma Inc. | 251,840 | 1,944 | |
| * | Ironwood Pharmaceuticals | ||
| Inc. Class A | 194,196 | 1,932 | |
| * | InterMune Inc. | 200,461 | 1,928 |
| CONMED Corp. | 60,833 | 1,900 | |
| * | Neogen Corp. | 33,917 | 1,884 |
| * | Exelixis Inc. | 412,964 | 1,875 |
| * | ABIOMED Inc. | 85,040 | 1,833 |
| * | Wright Medical Group Inc. | 69,876 | 1,831 |
| *,^ | MannKind Corp. | 279,834 | 1,819 |
| Masimo Corp. | 85,132 | 1,805 | |
| * | Celldex Therapeutics Inc. | 114,586 | 1,789 |
| * | Infinity Pharmaceuticals Inc. | 108,728 | 1,767 |
| * | Achillion | ||
| Pharmaceuticals Inc. | 214,517 | 1,755 | |
| Cantel Medical Corp. | 51,595 | 1,748 | |
| * | Bio-Reference Labs Inc. | 60,365 | 1,735 |
| * | ICU Medical Inc. | 23,778 | 1,713 |
| * | Acadia Healthcare Co. Inc. | 51,634 | 1,708 |
| * | Optimer | ||
| Pharmaceuticals Inc. | 117,974 | 1,707 | |
| * | Integra LifeSciences | ||
| Holdings Corp. | 43,344 | 1,588 | |
| * | Capital Senior Living Corp. | 65,059 | 1,555 |
| * | Molina Healthcare Inc. | 41,815 | 1,555 |
| * | Synageva BioPharma Corp. | 36,753 | 1,544 |
| * | Volcano Corp. | 84,638 | 1,534 |
| * | AVANIR | ||
| Pharmaceuticals Inc. | 331,603 | 1,525 | |
| * | NuVasive Inc. | 61,275 | 1,519 |
| * | Auxilium | ||
| Pharmaceuticals Inc. | 90,996 | 1,513 | |
| *,^ | Dendreon Corp. | 362,294 | 1,493 |
| * | Momenta | ||
| Pharmaceuticals Inc. | 97,572 | 1,469 | |
| * | Array BioPharma Inc. | 320,598 | 1,456 |
| * | Halozyme Therapeutics Inc. | 182,713 | 1,451 |
| * | AMAG Pharmaceuticals Inc. | 64,975 | 1,446 |
| * | Akorn Inc. | 105,030 | 1,420 |
| * | Santarus Inc. | 66,477 | 1,399 |
| * | Emeritus Corp. | 59,999 | 1,391 |
| * | Neurocrine Biosciences Inc. | 99,684 | 1,334 |
| * | Pacira Pharmaceuticals Inc. | 45,200 | 1,311 |
| Meridian Bioscience Inc. | 60,298 | 1,296 | |
| * | Quintiles Transnational | ||
| Holdings Inc. | 30,064 | 1,280 | |
| * | Hanger Inc. | 40,325 | 1,275 |
| * | Emergent Biosolutions Inc. | 87,261 | 1,258 |
| * | Puma Biotechnology Inc. | 28,158 | 1,249 |
| * | Cadence | ||
| Pharmaceuticals Inc. | 179,652 | 1,225 | |
| * | Healthways Inc. | 70,077 | 1,218 |
| * | Genomic Health Inc. | 38,239 | 1,213 |
| * | Accretive Health Inc. | 110,631 | 1,196 |
| * | Corvel Corp. | 40,818 | 1,195 |
| * | Dyax Corp. | 321,836 | 1,114 |
| * | Astex Pharmaceuticals | 270,705 | 1,113 |
| * | Keryx | ||
| Biopharmaceuticals Inc. | 144,400 | 1,079 | |
| * | Amedisys Inc. | 92,703 | 1,077 |
| * | NxStage Medical Inc. | 74,892 | 1,069 |
| * | Idenix Pharmaceuticals Inc. | 289,041 | 1,043 |
| * | Cynosure Inc. Class A | 40,120 | 1,042 |
| * | Albany Molecular | ||
| Research Inc. | 87,795 | 1,042 | |
| * | Kindred Healthcare Inc. | 78,645 | 1,033 |
| * | Quidel Corp. | 39,835 | 1,017 |
| * | Natus Medical Inc. | 74,503 | 1,017 |
| * | Accuray Inc. | 170,557 | 979 |
| * | Clovis Oncology Inc. | 14,435 | 967 |
| Ensign Group Inc. | 26,882 | 947 | |
| * | Assisted Living Concepts | ||
| Inc. Class A | 76,842 | 919 | |
| * | Luminex Corp. | 44,554 | 918 |
| * | Cerus Corp. | 207,329 | 916 |
| * | Lexicon | ||
| Pharmaceuticals Inc. | 414,870 | 900 | |
| * | AngioDynamics Inc. | 79,650 | 898 |
| * | Anika Therapeutics Inc. | 52,758 | 897 |
| * | IPC The Hospitalist Co. Inc. | 17,432 | 895 |
| * | Anacor Pharmaceuticals Inc. 159,404 | 891 | |
| * | Ligand Pharmaceuticals | ||
| Inc. Class B | 23,735 | 888 | |
| * | Affymetrix Inc. | 198,885 | 883 |
| *,^ | Ampio Pharmaceuticals Inc. | 152,317 | 879 |
| * | Endologix Inc. | 65,102 | 865 |
| * | Alphatec Holdings Inc. | 409,072 | 839 |
| Almost Family Inc. | 43,002 | 817 | |
| * | Antares Pharma Inc. | 192,745 | 802 |
| * | Agenus Inc. | 206,511 | 783 |
| * | Depomed Inc. | 134,077 | 752 |
| * | Arqule Inc. | 322,377 | 748 |
| Atrion Corp. | 3,231 | 707 | |
| Hi-Tech Pharmacal Co. Inc. | 21,208 | 704 | |
28
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Curis Inc. | 219,708 | 701 |
| *,^ | Biolase Inc. | 195,247 | 699 |
| * | Athersys Inc. | 401,610 | 667 |
| * | Exactech Inc. | 33,199 | 656 |
| * | Symmetry Medical Inc. | 77,861 | 656 |
| * | Alliance HealthCare | ||
| Services Inc. | 41,838 | 654 | |
| * | Immunomedics Inc. | 120,267 | 654 |
| * | Spectranetics Corp. | 34,918 | 652 |
| Invacare Corp. | 45,021 | 647 | |
| * | Gentiva Health Services Inc. | 64,877 | 646 |
| Spectrum | |||
| Pharmaceuticals Inc. | 86,293 | 644 | |
| * | AVEO Pharmaceuticals Inc. | 238,883 | 597 |
| * | Furiex Pharmaceuticals Inc. | 16,503 | 562 |
| * | Cutera Inc. | 63,489 | 559 |
| * | Hyperion Therapeutics Inc. | 25,303 | 557 |
| *,^ | Biotime Inc. | 139,159 | 551 |
| * | Endocyte Inc. | 40,771 | 535 |
| * | Omnicell Inc. | 24,790 | 509 |
| *,^ | BioCryst | ||
| Pharmaceuticals Inc. | 324,920 | 504 | |
| * | PharMerica Corp. | 36,328 | 504 |
| * | MAKO Surgical Corp. | 41,614 | 501 |
| * | Vanguard Health | ||
| Systems Inc. | 24,168 | 501 | |
| * | Orthofix International NV | 18,139 | 488 |
| * | NewLink Genetics Corp. | 24,643 | 486 |
| * | Five Star Quality Care Inc. | 85,481 | 480 |
| * | Dynavax | ||
| Technologies Corp. | 434,595 | 478 | |
| * | Merit Medical Systems Inc. | 42,200 | 471 |
| *,^ | AcelRx Pharmaceuticals Inc. | 48,216 | 447 |
| * | Orexigen Therapeutics Inc. | 76,153 | 445 |
| CryoLife Inc. | 69,579 | 436 | |
| Select Medical | |||
| Holdings Corp. | 50,475 | 414 | |
| * | Sciclone | ||
| Pharmaceuticals Inc. | 82,190 | 408 | |
| *,^ | Anthera Pharmaceuticals | ||
| Inc. Class A | 849,346 | 393 | |
| * | Merrimack | ||
| Pharmaceuticals Inc. | 58,443 | 393 | |
| * | Triple-S Management | ||
| Corp. Class B | 18,218 | 391 | |
| * | Chelsea Therapeutics | ||
| International Ltd. | 167,403 | 385 | |
| Universal American Corp. | 41,979 | 373 | |
| * | GTx Inc. | 56,171 | 371 |
| * | Geron Corp. | 245,058 | 368 |
| * | AtriCure Inc. | 38,436 | 365 |
| * | CardioNet Inc. | 61,759 | 364 |
| * | HealthStream Inc. | 14,022 | 355 |
| * | Cytokinetics Inc. | 30,666 | 355 |
| * | Sequenom Inc. | 83,878 | 353 |
| * | MiMedx Group Inc. | 49,819 | 352 |
| *,^ | Biodel Inc. | 82,228 | 344 |
| * | Alexza Pharmaceuticals Inc. | 79,035 | 343 |
| * | Addus HomeCare Corp. | 16,900 | 334 |
| * | ChemoCentryx Inc. | 22,852 | 323 |
| *,^ | Acura Pharmaceuticals Inc. | 168,625 | 317 |
| * | Omeros Corp. | 61,299 | 309 |
| * | LHC Group Inc. | 15,553 | 305 |
| *,^ | Alimera Sciences Inc. | 60,219 | 294 |
| * | Rigel Pharmaceuticals Inc. | 85,900 | 287 |
| National Healthcare Corp. | 5,623 | 269 | |
| * | SurModics Inc. | 13,198 | 264 |
| * | OraSure Technologies Inc. | 68,013 | 264 |
| * | Novavax Inc. | 127,082 | 261 |
| US Physical Therapy Inc. | 9,334 | 258 | |
| Enzon Pharmaceuticals Inc. | 122,539 | 245 | |
| *,^ | Apricus Biosciences Inc. | 96,622 | 227 |
| * | Cytori Therapeutics Inc. | 94,569 | 218 |
| * | Corcept Therapeutics Inc. | 125,718 | 217 |
| * | Sangamo Biosciences Inc. | 27,211 | 213 |
| * | Staar Surgical Co. | 20,720 | 210 |
| * | Biospecifics | ||
| Technologies Corp. | 13,480 | 210 | |
| *,^ | Biosante | ||
| Pharmaceuticals Inc. | 203,439 | 203 | |
| * | Durect Corp. | 186,005 | 195 |
| *,^ | NeoGenomics Inc. | 48,017 | 191 |
| * | KYTHERA | ||
| Biopharmaceuticals Inc. | 6,760 | 183 | |
| * | Synergy | ||
| Pharmaceuticals Inc. | 41,175 | 178 | |
| * | Harvard Bioscience Inc. | 37,550 | 178 |
| * | Cardiovascular Systems Inc. | 8,293 | 176 |
| * | Insmed Inc. | 14,461 | 173 |
| * | Columbia Laboratories Inc. | 260,214 | 168 |
| * | XenoPort Inc. | 31,326 | 155 |
| * | Tornier NV | 8,586 | 150 |
| *,^ | Navidea | ||
| Biopharmaceuticals Inc. | 53,926 | 144 | |
| * | Wright Medical Group Inc. | ||
| Rights Exp. 12/31/2049 | 50,806 | 138 | |
| * | Aastrom Biosciences Inc. | 340,595 | 137 |
| * | Repros Therapeutics Inc. | 7,326 | 135 |
| * | Medical Action | ||
| Industries Inc. | 17,504 | 135 | |
| * | Pozen Inc. | 26,773 | 134 |
| * | BSD Medical Corp. | 101,583 | 134 |
| * | Vascular Solutions Inc. | 8,957 | 132 |
| * | Enzo Biochem Inc. | 62,908 | 131 |
| * | Fluidigm Corp. | 7,435 | 130 |
| * | Rochester Medical Corp. | 8,804 | 130 |
| * | Coronado Biosciences Inc. | 14,900 | 128 |
| * | Cell Therapeutics Inc. | 121,537 | 128 |
| * | Bovie Medical Corp. | 43,121 | 127 |
| * | Raptor Pharmaceutical Corp. | 13,050 | 122 |
29
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Osiris Therapeutics Inc. | 11,760 | 118 |
| * | Chindex International Inc. | 6,862 | 111 |
| Pain Therapeutics Inc. | 48,537 | 107 | |
| * | Peregrine | ||
| Pharmaceuticals Inc. | 81,824 | 106 | |
| * | GenMark Diagnostics Inc. | 9,755 | 101 |
| * | Digirad Corp. | 40,423 | 99 |
| * | Accelerate Diagnostics Inc. | 12,058 | 98 |
| *,^ | Celsion Corp. | 95,591 | 98 |
| * | Hooper Holmes Inc. | 264,738 | 95 |
| * | RTI Biologics Inc. | 25,082 | 94 |
| * | AdCare Health Systems Inc. | 19,516 | 94 |
| * | Targacept Inc. | 21,528 | 92 |
| * | BG Medicine Inc. | 69,092 | 92 |
| * | Progenics | ||
| Pharmaceuticals Inc. | 19,226 | 86 | |
| * | Vical Inc. | 23,842 | 75 |
| LeMaitre Vascular Inc. | 11,345 | 74 | |
| *,^ | ZIOPHARM Oncology Inc. | 34,782 | 73 |
| * | LCA-Vision Inc. | 23,998 | 72 |
| * | Sagent Pharmaceuticals Inc. | 3,383 | 71 |
| * | Lannett Co. Inc. | 5,384 | 64 |
| * | Oncothyreon Inc. | 39,256 | 61 |
| * | Repligen Corp. | 7,281 | 60 |
| * | Synergetics USA Inc. | 15,077 | 59 |
| *,^ | Venaxis Inc. | 49,433 | 59 |
| * | SIGA Technologies Inc. | 20,268 | 58 |
| * | Catalyst Pharmaceutical | ||
| Partners Inc. | 62,842 | 56 | |
| * | Cleveland Biolabs Inc. | 35,300 | 56 |
| * | Vanda Pharmaceuticals Inc. | 6,866 | 55 |
| * | Cumberland | ||
| Pharmaceuticals Inc. | 10,775 | 55 | |
| * | CytRx Corp. | 26,804 | 54 |
| * | Hansen Medical Inc. | 37,188 | 54 |
| *,^ | Unilife Corp. | 16,001 | 51 |
| * | RadNet Inc. | 18,952 | 50 |
| Psychemedics Corp. | 4,661 | 50 | |
| * | Threshold | ||
| Pharmaceuticals Inc. | 8,900 | 47 | |
| *,^ | Savient Pharmaceuticals Inc. | 80,765 | 45 |
| * | Intercept | ||
| Pharmaceuticals Inc. | 990 | 44 | |
| * | Synta Pharmaceuticals Corp. | 8,778 | 44 |
| * | Solta Medical Inc. | 19,114 | 44 |
| * | XOMA Corp. | 11,860 | 43 |
| * | Horizon Pharma Inc. | 17,400 | 43 |
| * | Entremed Inc. | 20,962 | 42 |
| * | Theragenics Corp. | 18,481 | 38 |
| Maxygen Inc. | 14,258 | 35 | |
| *,^ | Mast Therapeutics Inc. | 81,953 | 35 |
| * | BioDelivery Sciences | ||
| International Inc. | 7,950 | 32 | |
| * | Delcath Systems Inc. | 75,773 | 28 |
| * | Discovery Laboratories Inc. | 17,399 | 26 |
| * | iBio Inc. | 57,800 | 24 | |
| MGC Diagnostics Corp. | 2,800 | 23 | ||
| * | InfuSystems Holdings Inc. | 14,645 | 22 | |
| * | Hemispherx Biopharma Inc. | 96,879 | 22 | |
| * | Skilled Healthcare Group Inc. | 3,154 | 21 | |
| * | Derma Sciences Inc. | 1,500 | 20 | |
| * | Oculus Innovative | |||
| Sciences Inc. | 7,757 | 20 | ||
| * | Zalicus Inc. | 34,526 | 19 | |
| * | Baxano Surgical Inc. | 8,105 | 19 | |
| * | ThermoGenesis Corp. | 14,114 | 19 | |
| * | IGI Laboratories Inc. | 12,889 | 18 | |
| * | EnteroMedics Inc. | 15,931 | 18 | |
| * | Transcept | |||
| Pharmaceuticals Inc. | 5,840 | 18 | ||
| * | OncoGenex | |||
| Pharmaceutical Inc. | 1,747 | 17 | ||
| * | Strategic Diagnostics Inc. | 17,056 | 15 | |
| * | Pernix Therapeutics Holdings | 4,164 | 15 | |
| * | Rockwell Medical Inc. | 3,640 | 13 | |
| * | Cel-Sci Corp. | 51,767 | 11 | |
| * | ERBA Diagnostics Inc. | 11,606 | 10 | |
| * | Receptos Inc. | 486 | 10 | |
| * | Chimerix Inc. | 394 | 10 | |
| * | MELA Sciences Inc. | 9,482 | 9 | |
| * | MEI Pharma Inc. | 1,200 | 9 | |
| * | Neuralstem Inc. | 4,645 | 7 | |
| * | Amicus Therapeutics Inc. | 2,502 | 6 | |
| * | Cardica Inc. | 4,675 | 5 | |
| Birner Dental | ||||
| Management Services Inc. | 265 | 5 | ||
| * | LipoScience Inc. | 647 | 5 | |
| * | Allied Healthcare Products | 1,610 | 4 | |
| Heska Corp. | 591 | 4 | ||
| * | Galena Biopharma Inc. | 1,714 | 4 | |
| * | Cornerstone | |||
| Therapeutics Inc. | 400 | 3 | ||
| * | StemCells Inc. | 1,892 | 3 | |
| * | CAS Medical Systems Inc. | 1,800 | 3 | |
| Diversicare Healthcare | ||||
| Services Inc. | 500 | 2 | ||
| * | Stereotaxis Inc. | 864 | 1 | |
| Utah Medical Products Inc. | 24 | 1 | ||
| Daxor Corp. | 161 | 1 | ||
| * | ProPhase Labs Inc. | 465 | 1 | |
| * | Inovio Pharmaceuticals Inc. | 648 | 1 | |
| * | Sucampo Pharmaceuticals | |||
| Inc. Class A | 58 | — | ||
| * | Nanosphere Inc. | 116 | — | |
| * | VirtualScopics Inc. | 800 | — | |
| * | Vision Sciences Inc. | 140 | — | |
| 3,524,026 | ||||
| Industrials (12.9%) | ||||
| General Electric Co. | 17,524,834 | 406,401 | ||
| United Technologies Corp. | 1,558,017 | 144,802 | ||
30
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Boeing Co. | 1,285,841 | 131,722 | |
| 3M Co. | 1,169,762 | 127,913 | |
| Union Pacific Corp. | 791,081 | 122,048 | |
| United Parcel Service Inc. | |||
| Class B | 1,228,211 | 106,216 | |
| Honeywell | |||
| International Inc. | 1,333,458 | 105,797 | |
| Caterpillar Inc. | 1,114,644 | 91,947 | |
| Accenture plc Class A | 1,101,793 | 79,285 | |
| Emerson Electric Co. | 1,218,316 | 66,447 | |
| Danaher Corp. | 997,929 | 63,169 | |
| Lockheed Martin Corp. | 545,574 | 59,173 | |
| Automatic Data | |||
| Processing Inc. | 822,412 | 56,631 | |
| Precision Castparts Corp. | 248,000 | 56,050 | |
| Deere & Co. | 657,673 | 53,436 | |
| Eaton Corp. plc | 801,867 | 52,771 | |
| FedEx Corp. | 510,247 | 50,300 | |
| Illinois Tool Works Inc. | 725,254 | 50,166 | |
| General Dynamics Corp. | 568,684 | 44,545 | |
| CSX Corp. | 1,732,050 | 40,166 | |
| Norfolk Southern Corp. | 534,069 | 38,800 | |
| Raytheon Co. | 550,157 | 36,376 | |
| Cummins Inc. | 321,651 | 34,886 | |
| Northrop Grumman Corp. | 398,637 | 33,007 | |
| PACCAR Inc. | 599,481 | 32,168 | |
| TE Connectivity Ltd. | 704,516 | 32,084 | |
| Waste Management Inc. | 752,008 | 30,328 | |
| * | LinkedIn Corp. Class A | 155,204 | 27,673 |
| Ingersoll-Rand plc | 481,282 | 26,721 | |
| Sherwin-Williams Co. | 148,693 | 26,259 | |
| Tyco International Ltd. | 786,410 | 25,912 | |
| WW Grainger Inc. | 100,188 | 25,265 | |
| Agilent Technologies Inc. | 583,811 | 24,964 | |
| Parker Hannifin Corp. | 252,990 | 24,135 | |
| Dover Corp. | 290,065 | 22,526 | |
| Amphenol Corp. Class A | 270,949 | 21,118 | |
| Roper Industries Inc. | 167,896 | 20,856 | |
| Fastenal Co. | 452,569 | 20,750 | |
| Paychex Inc. | 555,050 | 20,270 | |
| Pentair Ltd. | 346,336 | 19,980 | |
| Kansas City Southern | 186,784 | 19,792 | |
| * | Fiserv Inc. | 225,699 | 19,728 |
| Rockwell Automation Inc. | 236,705 | 19,680 | |
| Fidelity National | |||
| Information Services Inc. | 447,127 | 19,155 | |
| Xerox Corp. | 1,979,243 | 17,952 | |
| AMETEK Inc. | 412,767 | 17,460 | |
| Fluor Corp. | 276,054 | 16,373 | |
| * | Stericycle Inc. | 146,292 | 16,155 |
| Republic Services Inc. | |||
| Class A | 460,040 | 15,614 | |
| * | Verisk Analytics Inc. | ||
| Class A | 256,945 | 15,340 | |
| CH Robinson | |||
| Worldwide Inc. | 272,192 | 15,327 | |
| Rockwell Collins Inc. | 231,784 | 14,697 | |
| * | Alliance Data | ||
| Systems Corp. | 79,529 | 14,397 | |
| ADT Corp. | 352,290 | 14,039 | |
| Expeditors International | |||
| of Washington Inc. | 350,221 | 13,312 | |
| Flowserve Corp. | 242,334 | 13,088 | |
| Pall Corp. | 189,102 | 12,562 | |
| TransDigm Group Inc. | 79,945 | 12,533 | |
| L-3 Communications | |||
| Holdings Inc. | 144,910 | 12,425 | |
| Textron Inc. | 470,912 | 12,267 | |
| Rock Tenn Co. Class A | 122,019 | 12,187 | |
| Masco Corp. | 604,833 | 11,788 | |
| * | Jacobs Engineering | ||
| Group Inc. | 210,604 | 11,611 | |
| * | Trimble Navigation Ltd. | 433,572 | 11,277 |
| * | B/E Aerospace Inc. | 177,573 | 11,201 |
| Fortune Brands Home & | |||
| Security Inc. | 279,748 | 10,837 | |
| JB Hunt Transport | |||
| Services Inc. | 149,470 | 10,798 | |
| Vulcan Materials Co. | 220,333 | 10,666 | |
| Ball Corp. | 252,156 | 10,475 | |
| * | Mettler-Toledo | ||
| International Inc. | 51,163 | 10,294 | |
| MeadWestvaco Corp. | 299,995 | 10,233 | |
| * | Crown Holdings Inc. | 243,841 | 10,029 |
| * | Quanta Services Inc. | 354,964 | 9,392 |
| Towers Watson & Co. | |||
| Class A | 110,541 | 9,058 | |
| * | FleetCor Technologies Inc. | 110,389 | 8,975 |
| Donaldson Co. Inc. | 249,122 | 8,884 | |
| Valspar Corp. | 135,889 | 8,788 | |
| Hubbell Inc. Class B | 88,507 | 8,762 | |
| Joy Global Inc. | 180,145 | 8,742 | |
| Xylem Inc. | 314,115 | 8,462 | |
| Wabtec Corp. | 154,887 | 8,276 | |
| Timken Co. | 146,734 | 8,258 | |
| * | Flextronics | ||
| International Ltd. | 1,060,421 | 8,208 | |
| Waste Connections Inc. | 198,728 | 8,176 | |
| KBR Inc. | 250,506 | 8,141 | |
| Packaging Corp. of | |||
| America | 166,268 | 8,140 | |
| Lincoln Electric | |||
| Holdings Inc. | 140,800 | 8,064 | |
| Cintas Corp. | 176,703 | 8,047 | |
| * | United Rentals Inc. | 159,766 | 7,974 |
| Sealed Air Corp. | 331,994 | 7,951 | |
| MDU Resources Group Inc. | 304,052 | 7,878 | |
| AGCO Corp. | 156,759 | 7,868 | |
| * | Avnet Inc. | 232,297 | 7,805 |
31
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Owens-Illinois Inc. | 278,796 | 7,748 |
| Iron Mountain Inc. | 290,834 | 7,739 | |
| Martin Marietta | |||
| Materials Inc. | 77,932 | 7,670 | |
| * | Colfax Corp. | 145,685 | 7,592 |
| IDEX Corp. | 139,479 | 7,505 | |
| * | Owens Corning | 191,482 | 7,483 |
| Robert Half | |||
| International Inc. | 224,669 | 7,466 | |
| * | Sensata Technologies | ||
| Holding NV | 207,674 | 7,248 | |
| Manpowergroup Inc. | 130,784 | 7,167 | |
| * | Arrow Electronics Inc. | 178,282 | 7,105 |
| Total System Services Inc. | 285,299 | 6,984 | |
| Triumph Group Inc. | 87,518 | 6,927 | |
| * | Kirby Corp. | 86,630 | 6,891 |
| Bemis Co. Inc. | 174,462 | 6,828 | |
| Carlisle Cos. Inc. | 107,924 | 6,725 | |
| Graco Inc. | 103,881 | 6,566 | |
| FLIR Systems Inc. | 243,414 | 6,565 | |
| Jack Henry & | |||
| Associates Inc. | 138,678 | 6,536 | |
| Nordson Corp. | 92,532 | 6,413 | |
| MSC Industrial Direct | |||
| Co. Inc. Class A | 82,269 | 6,373 | |
| Jabil Circuit Inc. | 309,159 | 6,301 | |
| * | Genesee & Wyoming Inc. | ||
| Class A | 74,260 | 6,300 | |
| Gardner Denver Inc. | 83,480 | 6,276 | |
| PerkinElmer Inc. | 190,988 | 6,207 | |
| Global Payments Inc. | 132,241 | 6,125 | |
| URS Corp. | 129,012 | 6,092 | |
| Aptargroup Inc. | 107,504 | 5,935 | |
| * | CoStar Group Inc. | 45,977 | 5,934 |
| Sonoco Products Co. | 171,571 | 5,931 | |
| Valmont Industries Inc. | 40,877 | 5,849 | |
| * | Hexcel Corp. | 169,927 | 5,786 |
| Babcock & Wilcox Co. | 192,022 | 5,766 | |
| * | Oshkosh Corp. | 149,389 | 5,672 |
| Acuity Brands Inc. | 72,608 | 5,483 | |
| Broadridge Financial | |||
| Solutions Inc. | 206,057 | 5,477 | |
| SPX Corp. | 75,423 | 5,429 | |
| Ryder System Inc. | 88,304 | 5,368 | |
| * | AECOM Technology Corp. | 167,099 | 5,312 |
| Kennametal Inc. | 133,691 | 5,191 | |
| * | NeuStar Inc. Class A | 106,351 | 5,177 |
| Trinity Industries Inc. | 134,558 | 5,172 | |
| * | WESCO International Inc. | 75,010 | 5,098 |
| * | WEX Inc. | 65,947 | 5,058 |
| Lennox International Inc. | 76,938 | 4,966 | |
| Crane Co. | 81,885 | 4,907 | |
| AO Smith Corp. | 135,078 | 4,901 | |
| Genpact Ltd. | 250,845 | 4,826 | |
| Huntington Ingalls | |||
| Industries Inc. | 85,337 | 4,820 | |
| FEI Co. | 65,596 | 4,788 | |
| Eagle Materials Inc. | 71,582 | 4,744 | |
| Regal-Beloit Corp. | 72,780 | 4,719 | |
| * | Terex Corp. | 179,042 | 4,709 |
| National Instruments Corp. | 167,772 | 4,688 | |
| World Fuel Services Corp. | 117,123 | 4,683 | |
| * | Clean Harbors Inc. | 92,434 | 4,671 |
| * | Teledyne Technologies Inc. | 60,312 | 4,665 |
| * | Old Dominion Freight | ||
| Line Inc. | 109,894 | 4,574 | |
| Molex Inc. Class A | 183,747 | 4,568 | |
| ITT Corp. | 155,313 | 4,568 | |
| Alliant Techsystems Inc. | 55,145 | 4,540 | |
| Macquarie Infrastructure | |||
| Co. LLC | 83,748 | 4,476 | |
| Lender Processing | |||
| Services Inc. | 137,828 | 4,459 | |
| Toro Co. | 97,954 | 4,448 | |
| EnerSys Inc. | 90,362 | 4,431 | |
| CLARCOR Inc. | 84,566 | 4,415 | |
| Exelis Inc. | 319,816 | 4,410 | |
| EMCOR Group Inc. | 108,426 | 4,408 | |
| * | Spirit Aerosystems | ||
| Holdings Inc. Class A | 203,339 | 4,368 | |
| RR Donnelley & Sons Co. | 308,745 | 4,326 | |
| Woodward Inc. | 105,341 | 4,214 | |
| MAXIMUS Inc. | 55,207 | 4,112 | |
| Landstar System Inc. | 79,217 | 4,080 | |
| Manitowoc Co. Inc. | 227,319 | 4,071 | |
| * | Vantiv Inc. Class A | 142,296 | 3,927 |
| * | Foster Wheeler AG | 175,685 | 3,814 |
| Covanta Holding Corp. | 189,121 | 3,786 | |
| GATX Corp. | 79,661 | 3,778 | |
| * | Zebra Technologies Corp. | 86,553 | 3,760 |
| Belden Inc. | 74,957 | 3,743 | |
| Con-way Inc. | 95,510 | 3,721 | |
| Actuant Corp. Class A | 112,170 | 3,698 | |
| Generac Holdings Inc. | 98,806 | 3,657 | |
| * | Moog Inc. Class A | 70,623 | 3,639 |
| * | CoreLogic Inc. | 156,938 | 3,636 |
| Watsco Inc. | 43,206 | 3,628 | |
| Corporate Executive | |||
| Board Co. | 57,167 | 3,614 | |
| * | USG Corp. | 156,662 | 3,611 |
| Silgan Holdings Inc. | 75,897 | 3,564 | |
| * | Louisiana-Pacific Corp. | 237,075 | 3,506 |
| * | Anixter International Inc. | 46,233 | 3,505 |
| Air Lease Corp. Class A | 126,460 | 3,489 | |
| IPG Photonics Corp. | 57,035 | 3,464 | |
| * | Esterline | ||
| Technologies Corp. | 47,885 | 3,462 | |
| * | MasTec Inc. | 104,610 | 3,442 |
| * | DigitalGlobe Inc. | 107,770 | 3,342 |
32
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Advisory Board Co. | 60,407 | 3,301 |
| Harsco Corp. | 137,478 | 3,188 | |
| Cognex Corp. | 70,001 | 3,165 | |
| Applied Industrial | |||
| Technologies Inc. | 64,413 | 3,113 | |
| * | Vishay Intertechnology Inc. | 224,062 | 3,112 |
| Deluxe Corp. | 86,291 | 2,990 | |
| Littelfuse Inc. | 39,729 | 2,964 | |
| Convergys Corp. | 161,472 | 2,814 | |
| * | Coinstar Inc. | 47,662 | 2,796 |
| UTi Worldwide Inc. | 169,171 | 2,786 | |
| Greif Inc. Class A | 52,482 | 2,764 | |
| * | Graphic Packaging | ||
| Holding Co. | 355,286 | 2,750 | |
| * | OSI Systems Inc. | 42,429 | 2,733 |
| * | Itron Inc. | 63,654 | 2,701 |
| HEICO Corp. Class A | 71,753 | 2,648 | |
| Curtiss-Wright Corp. | 71,430 | 2,647 | |
| * | On Assignment Inc. | 98,090 | 2,621 |
| * | Navistar International Corp. | 94,387 | 2,620 |
| * | Tetra Tech Inc. | 110,772 | 2,604 |
| General Cable Corp. | 84,133 | 2,587 | |
| * | Euronet Worldwide Inc. | 80,353 | 2,560 |
| * | MWI Veterinary Supply Inc. | 20,674 | 2,548 |
| TAL International Group Inc. | 57,772 | 2,517 | |
| *,^ | VistaPrint NV | 50,754 | 2,506 |
| Mine Safety Appliances Co. | 53,504 | 2,491 | |
| * | Benchmark Electronics Inc. | 122,980 | 2,472 |
| * | Cardtronics Inc. | 89,180 | 2,461 |
| Brady Corp. Class A | 78,031 | 2,398 | |
| * | Texas Industries Inc. | 36,526 | 2,379 |
| * | Mobile Mini Inc. | 71,097 | 2,357 |
| ABM Industries Inc. | 95,770 | 2,347 | |
| * | Swift Transportation Co. | 141,894 | 2,347 |
| * | Veeco Instruments Inc. | 66,086 | 2,341 |
| Barnes Group Inc. | 78,043 | 2,341 | |
| Watts Water Technologies | |||
| Inc. Class A | 50,669 | 2,297 | |
| Mueller Industries Inc. | 45,343 | 2,287 | |
| Aircastle Ltd. | 142,584 | 2,280 | |
| Heartland Payment | |||
| Systems Inc. | 60,822 | 2,266 | |
| UniFirst Corp. | 24,628 | 2,247 | |
| United Stationers Inc. | 65,436 | 2,195 | |
| Coherent Inc. | 39,456 | 2,173 | |
| * | Hub Group Inc. Class A | 59,605 | 2,171 |
| Franklin Electric Co. Inc. | 64,325 | 2,165 | |
| * | FTI Consulting Inc. | 65,683 | 2,160 |
| * | Armstrong World | ||
| Industries Inc. | 45,164 | 2,158 | |
| Albany International Corp. | 65,177 | 2,150 | |
| * | Berry Plastics Group Inc. | 96,476 | 2,129 |
| Brink’s Co. | 81,363 | 2,076 | |
| CIRCOR International Inc. | 40,639 | 2,067 | |
| Simpson Manufacturing | |||
| Co. Inc. | 70,003 | 2,059 | |
| AZZ Inc. | 53,406 | 2,059 | |
| G&K Services Inc. Class A | 41,776 | 1,989 | |
| * | Universal Display Corp. | 69,036 | 1,941 |
| * | Atlas Air Worldwide | ||
| Holdings Inc. | 42,905 | 1,878 | |
| * | PHH Corp. | 91,932 | 1,874 |
| *,^ | GenCorp Inc. | 114,828 | 1,867 |
| * | RBC Bearings Inc. | 35,805 | 1,860 |
| Raven Industries Inc. | 61,821 | 1,853 | |
| * | Proto Labs Inc. | 28,417 | 1,846 |
| Acacia Research Corp. | 82,326 | 1,840 | |
| Granite Construction Inc. | 60,876 | 1,812 | |
| ESCO Technologies Inc. | 53,496 | 1,732 | |
| Altra Holdings Inc. | 63,151 | 1,729 | |
| * | Plexus Corp. | 57,064 | 1,706 |
| Matson Inc. | 67,798 | 1,695 | |
| Forward Air Corp. | 43,972 | 1,683 | |
| Mueller Water Products | |||
| Inc. Class A | 243,371 | 1,682 | |
| Werner Enterprises Inc. | 69,490 | 1,680 | |
| Astec Industries Inc. | 48,810 | 1,674 | |
| * | Trimas Corp. | 44,625 | 1,664 |
| AAON Inc. | 50,011 | 1,654 | |
| Knight Transportation Inc. | 97,857 | 1,646 | |
| AAR Corp. | 74,649 | 1,641 | |
| * | Orbital Sciences Corp. | 92,326 | 1,604 |
| * | Greatbatch Inc. | 48,725 | 1,598 |
| * | SunPower Corp. Class A | 75,085 | 1,554 |
| * | Greenbrier Cos. Inc. | 63,345 | 1,544 |
| * | AMN Healthcare | ||
| Services Inc. | 106,722 | 1,528 | |
| * | Checkpoint Systems Inc. | 107,230 | 1,522 |
| * | GrafTech International Ltd. | 208,161 | 1,515 |
| Badger Meter Inc. | 32,935 | 1,467 | |
| * | Sanmina Corp. | 102,072 | 1,465 |
| Sturm Ruger & Co. Inc. | 30,479 | 1,464 | |
| Standex International Corp. | 27,492 | 1,450 | |
| * | II-VI Inc. | 85,754 | 1,394 |
| * | Huron Consulting Group Inc. | 30,128 | 1,393 |
| Exponent Inc. | 23,530 | 1,391 | |
| Kaydon Corp. | 49,985 | 1,377 | |
| Molex Inc. | 46,712 | 1,371 | |
| * | Aegion Corp. Class A | 60,243 | 1,356 |
| Myers Industries Inc. | 89,813 | 1,348 | |
| Heartland Express Inc. | 95,932 | 1,331 | |
| * | FARO Technologies Inc. | 39,338 | 1,330 |
| Apogee Enterprises Inc. | 55,423 | 1,330 | |
| * | ExlService Holdings Inc. | 44,398 | 1,312 |
| Comfort Systems USA Inc. | 87,632 | 1,307 | |
| Insperity Inc. | 43,018 | 1,303 | |
| Otter Tail Corp. | 45,873 | 1,303 | |
| Cubic Corp. | 26,531 | 1,276 | |
| * | American Woodmark Corp. | 36,635 | 1,271 |
| 33 |
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | ADA-ES Inc. | 29,885 | 1,259 |
| * | Consolidated Graphics Inc. | 26,762 | 1,258 |
| CTS Corp. | 90,405 | 1,233 | |
| * | Rofin-Sinar Technologies Inc. | 49,315 | 1,230 |
| Methode Electronics Inc. | 72,199 | 1,228 | |
| Arkansas Best Corp. | 53,207 | 1,221 | |
| * | DXP Enterprises Inc. | 18,159 | 1,209 |
| * | Dice Holdings Inc. | 130,590 | 1,203 |
| * | EnPro Industries Inc. | 23,660 | 1,201 |
| Lindsay Corp. | 15,745 | 1,181 | |
| MTS Systems Corp. | 20,802 | 1,177 | |
| * | Korn/Ferry International | 62,354 | 1,169 |
| Daktronics Inc. | 112,677 | 1,156 | |
| Materion Corp. | 42,097 | 1,140 | |
| * | TeleTech Holdings Inc. | 48,531 | 1,137 |
| American Science & | |||
| Engineering Inc. | 19,968 | 1,118 | |
| Kaman Corp. | 31,918 | 1,103 | |
| Alamo Group Inc. | 26,763 | 1,092 | |
| Barrett Business | |||
| Services Inc. | 20,839 | 1,088 | |
| Black Box Corp. | 42,938 | 1,087 | |
| * | AM Castle & Co. | 68,938 | 1,086 |
| Universal Forest | |||
| Products Inc. | 27,036 | 1,079 | |
| Ennis Inc. | 61,849 | 1,069 | |
| * | Wesco Aircraft Holdings Inc. | 56,983 | 1,058 |
| Celadon Group Inc. | 56,703 | 1,035 | |
| * | Builders FirstSource Inc. | 171,380 | 1,025 |
| * | Anaren Inc. | 44,427 | 1,019 |
| * | Rogers Corp. | 21,515 | 1,018 |
| US Ecology Inc. | 37,056 | 1,017 | |
| * | CBIZ Inc. | 150,852 | 1,012 |
| * | Trex Co. Inc. | 21,299 | 1,012 |
| AVX Corp. | 85,914 | 1,010 | |
| * | Powell Industries Inc. | 19,529 | 1,009 |
| American Railcar | |||
| Industries Inc. | 29,439 | 987 | |
| McGrath RentCorp | 28,826 | 985 | |
| H&E Equipment | |||
| Services Inc. | 46,482 | 979 | |
| * | Headwaters Inc. | 110,489 | 977 |
| Textainer Group | |||
| Holdings Ltd. | 25,276 | 972 | |
| Marten Transport Ltd. | 61,987 | 971 | |
| * | Era Group Inc. | 37,095 | 970 |
| Tennant Co. | 19,711 | 951 | |
| * | Accuride Corp. | 187,736 | 950 |
| Schnitzer Steel | |||
| Industries Inc. | 40,616 | 950 | |
| Heidrick & Struggles | |||
| International Inc. | 56,753 | 949 | |
| * | Meritor Inc. | 132,583 | 935 |
| * | Federal Signal Corp. | 106,190 | 929 |
| * | Imperva Inc. | 20,588 | 927 |
| * | TrueBlue Inc. | 43,189 | 909 |
| * | Monster Worldwide Inc. | 183,651 | 902 |
| Griffon Corp. | 78,818 | 887 | |
| Quanex Building | |||
| Products Corp. | 52,352 | 882 | |
| * | Park-Ohio Holdings Corp. | 26,581 | 877 |
| ^ | Allison Transmission | ||
| Holdings Inc. | 37,524 | 866 | |
| * | Measurement | ||
| Specialties Inc. | 18,366 | 855 | |
| * | Aeroflex Holding Corp. | 106,620 | 841 |
| * | WageWorks Inc. | 24,410 | 841 |
| * | Tutor Perini Corp. | 46,449 | 840 |
| * | Global Cash Access | ||
| Holdings Inc. | 133,497 | 836 | |
| * | Ducommun Inc. | 38,473 | 818 |
| ManTech International | |||
| Corp. Class A | 30,919 | 808 | |
| * | Astronics Corp. | 19,710 | 806 |
| Gorman-Rupp Co. | 25,298 | 805 | |
| * | Sykes Enterprises Inc. | 50,537 | 796 |
| * | Power-One Inc. | 125,368 | 792 |
| * | GP Strategies Corp. | 33,106 | 789 |
| * | CRA International Inc. | 42,275 | 781 |
| * | Layne Christensen Co. | 39,882 | 778 |
| * | Franklin Covey Co. | 57,417 | 773 |
| * | Engility Holdings Inc. | 27,068 | 769 |
| * | EnerNOC Inc. | 57,302 | 760 |
| Booz Allen Hamilton | |||
| Holding Corp. | 43,307 | 753 | |
| * | Bazaarvoice Inc. | 78,090 | 736 |
| * | Team Inc. | 19,302 | 731 |
| * | Air Transport Services | ||
| Group Inc. | 108,190 | 715 | |
| Dynamic Materials Corp. | 42,236 | 697 | |
| * | Columbus McKinnon Corp. | 32,494 | 693 |
| Electro Scientific | |||
| Industries Inc. | 64,331 | 692 | |
| Primoris Services Corp. | 34,348 | 677 | |
| * | Navigant Consulting Inc. | 56,306 | 676 |
| * | Saia Inc. | 22,270 | 667 |
| * | Pacer International Inc. | 104,747 | 661 |
| CDI Corp. | 46,129 | 653 | |
| *,^ | Nuverra Environmental | ||
| Solutions Inc. | 224,459 | 651 | |
| Sun Hydraulics Corp. | 20,345 | 636 | |
| * | Landec Corp. | 48,174 | 636 |
| LB Foster Co. Class A | 14,620 | 631 | |
| Encore Wire Corp. | 18,494 | 631 | |
| * | Rexnord Corp. | 36,860 | 621 |
| Graham Corp. | 20,512 | 616 | |
| Houston Wire & Cable Co. | 44,493 | 616 | |
| * | TTM Technologies Inc. | 72,377 | 608 |
| * | ARC Document | ||
| Solutions Inc. | 151,698 | 607 |
34
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Cass Information | |||
| Systems Inc. | 13,121 | 605 | |
| * | ExamWorks Group Inc. | 28,193 | 599 |
| * | Wabash National Corp. | 58,508 | 596 |
| Michael Baker Corp. | 21,813 | 591 | |
| Electro Rent Corp. | 35,150 | 590 | |
| * | Smith & Wesson | ||
| Holding Corp. | 58,260 | 581 | |
| Resources Connection Inc. | 49,511 | 574 | |
| Great Lakes Dredge & | |||
| Dock Corp. | 71,474 | 559 | |
| * | American | ||
| Superconductor Corp. | 211,176 | 558 | |
| * | Taser International Inc. | 65,067 | 554 |
| Insteel Industries Inc. | 31,133 | 545 | |
| Park Electrochemical Corp. | 22,677 | 544 | |
| Hyster-Yale Materials | |||
| Handling Inc. | 8,617 | 541 | |
| Landauer Inc. | 11,112 | 537 | |
| * | ICF International Inc. | 16,929 | 533 |
| * | LifeLock Inc. | 45,534 | 533 |
| * | Furmanite Corp. | 79,612 | 533 |
| * | BlueLinx Holdings Inc. | 246,529 | 530 |
| * | Fabrinet | 37,853 | 530 |
| Coleman Cable Inc. | 29,269 | 529 | |
| John Bean | |||
| Technologies Corp. | 25,153 | 528 | |
| Quad/Graphics Inc. | 21,631 | 521 | |
| * | Roadrunner Transportation | ||
| Systems Inc. | 18,702 | 521 | |
| * | Echelon Corp. | 246,349 | 520 |
| * | Aerovironment Inc. | 25,425 | 513 |
| Kadant Inc. | 16,942 | 511 | |
| Kelly Services Inc. Class A | 29,157 | 509 | |
| * | Thermon Group | ||
| Holdings Inc. | 24,604 | 502 | |
| * | Nortek Inc. | 7,762 | 500 |
| * | Gibraltar Industries Inc. | 34,037 | 496 |
| Kforce Inc. | 33,943 | 496 | |
| * | ModusLink Global | ||
| Solutions Inc. | 153,065 | 487 | |
| * | Capstone Turbine Corp. | 396,684 | 464 |
| Hardinge Inc. | 31,170 | 461 | |
| * | Cross Country | ||
| Healthcare Inc. | 89,179 | 460 | |
| Multi-Color Corp. | 14,986 | 455 | |
| Argan Inc. | 29,098 | 454 | |
| * | Northwest Pipe Co. | 16,177 | 451 |
| * | PowerSecure | ||
| International Inc. | 29,789 | 448 | |
| NN Inc. | 38,108 | 435 | |
| * | Dolan Co. | 266,412 | 434 |
| * | Quality Distribution Inc. | 48,616 | 430 |
| * | AEP Industries Inc. | 5,657 | 421 |
| * | Newport Corp. | 30,154 | 420 |
| * | Commercial Vehicle | ||
| Group Inc. | 55,706 | 416 | |
| * | Higher One Holdings Inc. | 35,376 | 412 |
| * | Lydall Inc. | 27,446 | 401 |
| * | Orion Marine Group Inc. | 32,973 | 399 |
| Universal Technical | |||
| Institute Inc. | 38,152 | 394 | |
| * | Lionbridge | ||
| Technologies Inc. | 134,717 | 391 | |
| Kimball International Inc. | |||
| Class B | 39,929 | 388 | |
| * | Kratos Defense & Security | ||
| Solutions Inc. | 59,551 | 386 | |
| * | Kemet Corp. | 93,534 | 384 |
| * | United States Lime & | ||
| Minerals Inc. | 7,213 | 377 | |
| * | Covenant Transportation | ||
| Group Inc. Class A | 59,775 | 373 | |
| Miller Industries Inc. | 24,232 | 373 | |
| * | Flow International Corp. | 98,499 | 363 |
| * | InnerWorkings Inc. | 33,177 | 360 |
| * | Cenveo Inc. | 167,073 | 356 |
| * | Active Power Inc. | 83,765 | 350 |
| * | Multi-Fineline Electronix Inc. | 23,039 | 341 |
| Ceco Environmental Corp. | 27,527 | 339 | |
| International | |||
| Shipholding Corp. | 14,446 | 337 | |
| * | Maxwell Technologies Inc. | 45,563 | 326 |
| Spartan Motors Inc. | 52,497 | 321 | |
| * | Echo Global Logistics Inc. | 16,350 | 319 |
| Viad Corp. | 12,886 | 316 | |
| * | NVE Corp. | 6,628 | 310 |
| * | ServiceSource | ||
| International Inc. | 32,408 | 302 | |
| Crawford & Co. Class B | 52,687 | 296 | |
| *,^ | ClearSign Combustion Corp. | 33,267 | 290 |
| * | CAI International Inc. | 12,289 | 290 |
| Crawford & Co. Class A | 56,840 | 288 | |
| NACCO Industries Inc. | |||
| Class A | 5,018 | 287 | |
| * | EVERTEC Inc. | 13,046 | 287 |
| LSI Industries Inc. | 35,132 | 284 | |
| * | Ameresco Inc. Class A | 31,142 | 281 |
| Bel Fuse Inc. Class B | 19,994 | 269 | |
| * | Vishay Precision Group Inc. | 17,363 | 263 |
| Pike Electric Corp. | 21,216 | 261 | |
| Eastern Co. | 16,095 | 258 | |
| * | MYR Group Inc. | 13,105 | 255 |
| * | Casella Waste Systems | ||
| Inc. Class A | 58,695 | 253 | |
| * | Information Services | ||
| Group Inc. | 128,428 | 248 | |
| * | Lawson Products Inc. | 19,089 | 245 |
| Global Power Equipment | |||
| Group Inc. | 14,540 | 234 |
35
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Heritage-Crystal Clean Inc. | 15,980 | 233 |
| * | Fuel Tech Inc. | 60,481 | 232 |
| * | XPO Logistics Inc. | 12,300 | 223 |
| * | Odyssey Marine | ||
| Exploration Inc. | 73,788 | 218 | |
| * | Eagle Bulk Shipping Inc. | 59,619 | 218 |
| PAM Transportation | |||
| Services Inc. | 20,394 | 207 | |
| HEICO Corp. | 4,094 | 206 | |
| * | NCI Building Systems Inc. | 12,586 | 192 |
| * | Zygo Corp. | 11,953 | 189 |
| * | Sterling Construction | ||
| Co. Inc. | 20,492 | 186 | |
| Innovative Solutions & | |||
| Support Inc. | 28,575 | 183 | |
| * | Energy Recovery Inc. | 43,534 | 180 |
| * | CUI Global Inc. | 31,938 | 177 |
| * | Intevac Inc. | 30,977 | 175 |
| * | PRGX Global Inc. | 31,799 | 175 |
| * | Mistras Group Inc. | 9,793 | 172 |
| * | LMI Aerospace Inc. | 9,064 | 170 |
| * | Harris Interactive Inc. | 93,477 | 169 |
| * | CTPartners Executive | ||
| Search Inc. | 38,600 | 169 | |
| Met-Pro Corp. | 12,563 | 169 | |
| Hurco Cos. Inc. | 5,580 | 161 | |
| * | Astronics Corp. Class B | 3,892 | 158 |
| Mesa Laboratories Inc. | 2,872 | 155 | |
| * | US Concrete Inc. | 9,133 | 150 |
| * | Rentrak Corp. | 7,311 | 147 |
| * | Ballantyne Strong Inc. | 34,205 | 144 |
| * | Metalico Inc. | 119,793 | 144 |
| * | Patrick Industries Inc. | 6,723 | 140 |
| * | Vicor Corp. | 18,987 | 130 |
| * | API Technologies Corp. | 44,655 | 125 |
| Lincoln Educational | |||
| Services Corp. | 23,474 | 124 | |
| *,^ | Document Security | ||
| Systems Inc. | 53,450 | 123 | |
| * | RPX Corp. | 7,285 | 122 |
| *,^ | Genco Shipping & | ||
| Trading Ltd. | 71,514 | 117 | |
| * | Innotrac Corp. | 28,467 | 111 |
| * | UFP Technologies Inc. | 5,675 | 111 |
| * | Broadwind Energy Inc. | 22,013 | 105 |
| *,^ | Rubicon Technology Inc. | 11,949 | 96 |
| * | CyberOptics Corp. | 16,435 | 95 |
| * | Magnetek Inc. | 5,279 | 95 |
| * | Tecumseh Products Co. | ||
| Class A | 8,631 | 94 | |
| * | TRC Cos. Inc. | 13,334 | 93 |
| *,^ | Erickson Air-Crane Inc. | 4,860 | 91 |
| Richardson Electronics Ltd. | 7,713 | 91 | |
| * | Xerium Technologies Inc. | 8,824 | 90 |
| * | Frozen Food Express | ||
| Industries | 55,202 | 89 | |
| * | Hudson Global Inc. | 35,653 | 88 |
| * | Willis Lease Finance Corp. | 6,194 | 84 |
| * | Goldfield Corp. | 37,495 | 81 |
| FreightCar America Inc. | 4,776 | 81 | |
| Twin Disc Inc. | 3,407 | 81 | |
| * | GSI Group Inc. | 9,581 | 77 |
| * | American Electric | ||
| Technologies Inc. | 10,361 | 74 | |
| Frequency Electronics Inc. | 6,878 | 73 | |
| * | StarTek Inc. | 15,375 | 73 |
| National Research Corp. | |||
| Class B | 2,019 | 71 | |
| * | Swisher Hygiene Inc. | 77,693 | 67 |
| * | Hill International Inc. | 24,339 | 67 |
| * | Patriot Transportation | ||
| Holding Inc. | 2,134 | 64 | |
| *,^ | Revolution Lighting | ||
| Technologies Inc. | 16,008 | 64 | |
| * | Adept Technology Inc. | 14,652 | 57 |
| * | Key Technology Inc. | 3,973 | 57 |
| * | M/A-COM Technology | ||
| Solutions Holdings Inc. | 3,655 | 53 | |
| Sypris Solutions Inc. | 15,958 | 51 | |
| * | Arotech Corp. | 32,733 | 49 |
| * | USA Truck Inc. | 7,058 | 45 |
| * | UQM Technologies Inc. | 37,245 | 45 |
| * | GSE Holding Inc. | 7,705 | 45 |
| * | Taminco Corp. | 2,100 | 43 |
| Allied Motion | |||
| Technologies Inc. | 6,239 | 43 | |
| * | AeroCentury Corp. | 2,175 | 42 |
| * | Microvision Inc. | 16,405 | 41 |
| Douglas Dynamics Inc. | 3,125 | 41 | |
| * | Altair Nanotechnologies Inc. | 17,121 | 38 |
| * | Ultralife Corp. | 9,678 | 34 |
| * | Supreme Industries Inc. | ||
| Class A | 6,861 | 34 | |
| * | SL Industries Inc. | 1,350 | 34 |
| VSE Corp. | 823 | 34 | |
| * | Synthesis Energy | ||
| Systems Inc. | 43,351 | 34 | |
| * | Orion Energy Systems Inc. | 13,116 | 33 |
| * | Asure Software Inc. | 5,463 | 31 |
| * | PMFG Inc. | 4,339 | 30 |
| * | Essex Rental Corp. | 6,739 | 29 |
| * | Radiant Logistics Inc. | 14,500 | 28 |
| * | Perma-Fix Environmental | ||
| Services | 74,657 | 27 | |
| * | Planar Systems Inc. | 16,117 | 26 |
| * | BTU International Inc. | 10,744 | 26 |
| * | PGT Inc. | 2,968 | 26 |
| * | Standard Register Co. | 8,409 | 24 |
36
| Institutional Total Stock Market Index Fund | ||||
| Market | ||||
| Value | ||||
| Shares | ($000) | |||
| * | Management Network | |||
| Group Inc. | 7,826 | 24 | ||
| * | IEC Electronics Corp. | 5,961 | 21 | |
| Bel Fuse Inc. Class A | 1,477 | 20 | ||
| * | Official Payments | |||
| Holdings Inc. Class B | 2,723 | 19 | ||
| * | Mattersight Corp. | 6,659 | 19 | |
| * | YRC Worldwide Inc. | 630 | 18 | |
| Greif Inc. Class B | 318 | 18 | ||
| Art’s-Way Manufacturing | ||||
| Co. Inc. | 2,300 | 17 | ||
| * | Research Frontiers Inc. | 4,224 | 17 | |
| Amcon Distributing Co. | 200 | 16 | ||
| * | Viasystems Group Inc. | 1,342 | 15 | |
| * | Hudson Technologies Inc. | 3,927 | 13 | |
| * | Sparton Corp. | 700 | 12 | |
| * | Industrial Services of | |||
| America Inc. | 4,680 | 12 | ||
| * | American DG Energy Inc. | 8,832 | 12 | |
| * | Onvia Inc. | 2,310 | 10 | |
| * | Gencor Industries Inc. | 1,450 | 10 | |
| * | Elecsys Corp. | 1,380 | 9 | |
| Omega Flex Inc. | 626 | 9 | ||
| * | Pulse Electronics Corp. | 2,759 | 7 | |
| * | Universal Truckload | |||
| Services Inc. | 288 | 7 | ||
| * | Mod-Pac Corp. | 750 | 6 | |
| * | Parametric Sound Corp. | 300 | 5 | |
| Ecology and Environment Inc. | 450 | 5 | ||
| * | National Research Corp. | |||
| Class A | 246 | 4 | ||
| * | Rand Logistics Inc. | 696 | 4 | |
| * | Breeze-Eastern Corp. | 401 | 4 | |
| * | Sharps Compliance Corp. | 1,172 | 3 | |
| * | Wells-Gardner | |||
| Electronics Corp. | 1,180 | 2 | ||
| Air T Inc. | 200 | 2 | ||
| * | Wireless Telecom Group Inc. | 1,403 | 2 | |
| * | Lightbridge Corp. | 400 | 1 | |
| * | Newtek Business | |||
| Services Inc. | 204 | — | ||
| * | Video Display Corp. | 19 | — | |
| * | Lime Energy Co. | 96 | — | |
| 3,895,613 | ||||
| Oil & Gas (9.4%) | ||||
| Exxon Mobil Corp. | 7,535,826 | 680,862 | ||
| Chevron Corp. | 3,285,333 | 388,786 | ||
| Schlumberger Ltd. | 2,253,152 | 161,461 | ||
| ConocoPhillips | 2,072,507 | 125,387 | ||
| Occidental | ||||
| Petroleum Corp. | 1,365,399 | 121,834 | ||
| Anadarko Petroleum Corp. | 849,967 | 73,038 | ||
| Halliburton Co. | 1,500,673 | 62,608 | ||
| Phillips 66 | 1,049,477 | 61,825 | ||
| EOG Resources Inc. | 461,120 | 60,720 | ||
| Apache Corp. | 664,168 | 55,677 | |
| National Oilwell Varco Inc. | 724,187 | 49,896 | |
| Kinder Morgan Inc. | 1,140,993 | 43,529 | |
| Marathon Oil Corp. | 1,201,338 | 41,542 | |
| Marathon Petroleum Corp. | 550,732 | 39,135 | |
| Williams Cos. Inc. | 1,157,003 | 37,568 | |
| Noble Energy Inc. | 607,877 | 36,497 | |
| Baker Hughes Inc. | 748,834 | 34,544 | |
| Devon Energy Corp. | 653,716 | 33,915 | |
| Pioneer Natural | |||
| Resources Co. | 231,490 | 33,508 | |
| Hess Corp. | 494,571 | 32,884 | |
| Valero Energy Corp. | 924,304 | 32,138 | |
| * | Cameron | ||
| International Corp. | 420,410 | 25,712 | |
| Cabot Oil & Gas Corp. | 357,227 | 25,370 | |
| Ensco plc Class A | 394,808 | 22,946 | |
| * | FMC Technologies Inc. | 401,990 | 22,383 |
| * | Southwestern Energy Co. | 595,748 | 21,763 |
| Chesapeake Energy Corp. | 1,016,574 | 20,718 | |
| Range Resources Corp. | 262,628 | 20,306 | |
| Murphy Oil Corp. | 307,499 | 18,724 | |
| EQT Corp. | 229,503 | 18,216 | |
| Noble Corp. | 429,275 | 16,132 | |
| * | Weatherford | ||
| International Ltd. | 1,168,064 | 16,002 | |
| * | Concho Resources Inc. | 177,559 | 14,865 |
| HollyFrontier Corp. | 344,307 | 14,729 | |
| * | Kinder Morgan | ||
| Management LLC | 168,487 | 14,084 | |
| Oceaneering | |||
| International Inc. | 183,377 | 13,240 | |
| Tesoro Corp. | 230,786 | 12,075 | |
| * | Cobalt International | ||
| Energy Inc. | 448,069 | 11,905 | |
| Core Laboratories NV | 77,874 | 11,810 | |
| OGE Energy Corp. | 167,989 | 11,457 | |
| * | Denbury Resources Inc. | 632,520 | 10,955 |
| Helmerich & Payne Inc. | 171,388 | 10,703 | |
| * | Cheniere Energy Inc. | 368,159 | 10,220 |
| * | Whiting Petroleum Corp. | 202,404 | 9,329 |
| Cimarex Energy Co. | 139,243 | 9,049 | |
| * | Oil States International Inc. | 93,166 | 8,631 |
| QEP Resources Inc. | 303,818 | 8,440 | |
| Diamond Offshore | |||
| Drilling Inc. | 117,891 | 8,110 | |
| * | Dresser-Rand Group Inc. | 129,148 | 7,746 |
| Nabors Industries Ltd. | 474,348 | 7,262 | |
| * | Rowan Cos. plc Class A | 210,504 | 7,172 |
| * | Superior Energy | ||
| Services Inc. | 270,462 | 7,016 | |
| * | Continental Resources Inc. | 78,746 | 6,777 |
| SM Energy Co. | 112,332 | 6,738 | |
| * | WPX Energy Inc. | 339,432 | 6,429 |
| Energen Corp. | 122,445 | 6,399 |
37
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Gulfport Energy Corp. | 131,161 | 6,174 |
| * | Dril-Quip Inc. | 61,929 | 5,592 |
| * | Newfield Exploration Co. | 229,577 | 5,485 |
| * | Oasis Petroleum Inc. | 134,838 | 5,241 |
| * | Atwood Oceanics Inc. | 100,419 | 5,227 |
| * | First Solar Inc. | 114,273 | 5,111 |
| * | Ultra Petroleum Corp. | 246,302 | 4,882 |
| Lufkin Industries Inc. | 54,745 | 4,843 | |
| * | Chart Industries Inc. | 51,473 | 4,843 |
| Tidewater Inc. | 84,212 | 4,798 | |
| Patterson-UTI Energy Inc. | 244,883 | 4,740 | |
| * | MRC Global Inc. | 170,010 | 4,696 |
| * | Rosetta Resources Inc. | 103,576 | 4,404 |
| Targa Resources Corp. | 64,778 | 4,167 | |
| Bristow Group Inc. | 61,645 | 4,027 | |
| * | Kodiak Oil & Gas Corp. | 452,188 | 4,020 |
| * | Helix Energy Solutions | ||
| Group Inc. | 170,945 | 3,939 | |
| SemGroup Corp. Class A | 71,526 | 3,852 | |
| *,^ | SandRidge Energy Inc. | 757,913 | 3,608 |
| * | Unit Corp. | 83,508 | 3,556 |
| Berry Petroleum Co. | |||
| Class A | 80,767 | 3,418 | |
| * | McDermott | ||
| International Inc. | 401,929 | 3,288 | |
| * | Hornbeck Offshore | ||
| Services Inc. | 54,697 | 2,926 | |
| Energy XXI Bermuda Ltd. | 127,812 | 2,835 | |
| * | Exterran Holdings Inc. | 100,721 | 2,832 |
| SEACOR Holdings Inc. | 32,650 | 2,712 | |
| Western Refining Inc. | 95,911 | 2,692 | |
| * | PDC Energy Inc. | 51,521 | 2,652 |
| * | Forum Energy | ||
| Technologies Inc. | 78,598 | 2,392 | |
| CARBO Ceramics Inc. | 33,683 | 2,271 | |
| * | Approach Resources Inc. | 82,528 | 2,028 |
| * | Flotek Industries Inc. | 110,136 | 1,976 |
| * | Bonanza Creek Energy Inc. | 52,923 | 1,877 |
| * | Northern Oil and Gas Inc. | 138,339 | 1,845 |
| * | EPL Oil & Gas Inc. | 62,724 | 1,842 |
| Gulfmark Offshore Inc. | 39,099 | 1,763 | |
| Delek US Holdings Inc. | 60,598 | 1,744 | |
| *,^ | Halcon Resources Corp. | 307,028 | 1,741 |
| Comstock Resources Inc. | 109,335 | 1,720 | |
| * | Newpark Resources Inc. | 155,350 | 1,707 |
| * | Bill Barrett Corp. | 82,499 | 1,668 |
| * | Stone Energy Corp. | 74,503 | 1,641 |
| * | Carrizo Oil & Gas Inc. | 55,845 | 1,582 |
| EXCO Resources Inc. | 204,294 | 1,561 | |
| * | Geospace | ||
| Technologies Corp. | 21,362 | 1,476 | |
| CVR Energy Inc. | 30,386 | 1,440 | |
| * | Forest Oil Corp. | 338,663 | 1,385 |
| * | Hercules Offshore Inc. | 195,469 | 1,376 |
| * | Key Energy Services Inc. | 224,303 | 1,335 |
| RPC Inc. | 92,032 | 1,271 | |
| * | TETRA Technologies Inc. | 121,678 | 1,248 |
| * | Goodrich Petroleum Corp. | 96,218 | 1,232 |
| * | C&J Energy Services Inc. | 63,393 | 1,228 |
| PBF Energy Inc. Class A | 46,239 | 1,198 | |
| * | Basic Energy Services Inc. | 95,814 | 1,158 |
| * | Matrix Service Co. | 74,268 | 1,157 |
| * | Vaalco Energy Inc. | 200,837 | 1,149 |
| Crosstex Energy Inc. | 57,615 | 1,138 | |
| * | ION Geophysical Corp. | 176,874 | 1,065 |
| * | Parker Drilling Co. | 204,380 | 1,018 |
| * | Rex Energy Corp. | 57,144 | 1,005 |
| * | Clayton Williams Energy Inc. | 21,846 | 950 |
| Alon USA Energy Inc. | 64,767 | 936 | |
| Contango Oil & Gas Co. | 27,556 | 930 | |
| Adams Resources & | |||
| Energy Inc. | 13,420 | 924 | |
| * | Laredo Petroleum | ||
| Holdings Inc. | 44,573 | 916 | |
| * | Magnum Hunter | ||
| Resources Corp. | 230,802 | 842 | |
| * | Dawson Geophysical Co. | 22,539 | 831 |
| * | GT Advanced | ||
| Technologies Inc. | 197,456 | 819 | |
| *,^ | Cal Dive International Inc. | 407,564 | 766 |
| * | Swift Energy Co. | 58,694 | 704 |
| * | Diamondback Energy Inc. | 21,076 | 702 |
| W&T Offshore Inc. | 48,917 | 699 | |
| *,^ | Endeavour | ||
| International Corp. | 177,880 | 683 | |
| Bolt Technology Corp. | 36,151 | 617 | |
| * | Callon Petroleum Co. | 180,822 | 609 |
| * | Abraxas Petroleum Corp. | 288,104 | 605 |
| * | BPZ Resources Inc. | 326,387 | 584 |
| * | Pioneer Energy | ||
| Services Corp. | 85,579 | 566 | |
| Gulf Island Fabrication Inc. | 28,963 | 555 | |
| * | Sanchez Energy Corp. | 23,615 | 542 |
| * | Global Geophysical | ||
| Services Inc. | 113,271 | 535 | |
| * | FuelCell Energy Inc. | 409,528 | 520 |
| * | Matador Resources Co. | 42,898 | 514 |
| * | Triangle Petroleum Corp. | 73,127 | 513 |
| *,^ | Solazyme Inc. | 39,214 | 460 |
| * | Mitcham Industries Inc. | 26,613 | 447 |
| * | Natural Gas Services | ||
| Group Inc. | 17,555 | 412 | |
| * | Green Plains Renewable | ||
| Energy Inc. | 28,736 | 383 | |
| * | Resolute Energy Corp. | 47,189 | 377 |
| * | PHI Inc. | 10,745 | 369 |
| * | Penn Virginia Corp. | 78,271 | 368 |
| * | FX Energy Inc. | 113,328 | 364 |
| * | Evolution Petroleum Corp. | 32,284 | 352 |
| * | Willbros Group Inc. | 53,114 | 326 |
38
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | Amyris Inc. | 110,992 | 321 |
| * | Tesco Corp. | 23,779 | 315 |
| * | Quicksilver Resources Inc. | 179,574 | 302 |
| * | Gastar Exploration Ltd. | 108,518 | 290 |
| * | Vantage Drilling Co. | 119,579 | 244 |
| * | PetroQuest Energy Inc. | 56,702 | 224 |
| * | Midstates Petroleum | ||
| Co. Inc. | 41,369 | 224 | |
| * | Edgen Group Inc. | 32,824 | 209 |
| * | Forbes Energy Services Ltd. | 49,354 | 198 |
| * | Harvest Natural | ||
| Resources Inc. | 62,599 | 194 | |
| * | US Energy Corp. Wyoming | 93,278 | 193 |
| * | CAMAC Energy Inc. | 337,864 | 193 |
| *,^ | KiOR Inc. | 30,650 | 175 |
| * | Double Eagle | ||
| Petroleum Co. | 41,726 | 164 | |
| *,^ | Ascent Solar | ||
| Technologies Inc. | 201,107 | 157 | |
| * | Warren Resources Inc. | 56,948 | 145 |
| * | REX American | ||
| Resources Corp. | 4,844 | 139 | |
| * | Crimson Exploration Inc. | 48,296 | 136 |
| *,^ | Gevo Inc. | 63,460 | 129 |
| TGC Industries Inc. | 14,460 | 119 | |
| * | Emerald Oil Inc. | 14,743 | 101 |
| * | Arabian American | ||
| Development Co. | 11,573 | 101 | |
| * | Enphase Energy Inc. | 12,136 | 94 |
| * | Hyperdynamics Corp. | 157,899 | 75 |
| Panhandle Oil and | |||
| Gas Inc. Class A | 2,516 | 72 | |
| * | Lucas Energy Inc. | 55,087 | 71 |
| *,^ | BioFuel Energy Corp. | 19,867 | 66 |
| * | STR Holdings Inc. | 27,740 | 63 |
| * | GreenHunter | ||
| Resources Inc. | 33,926 | 27 | |
| * | ZaZa Energy Corp. | 18,622 | 22 |
| * | Syntroleum Corp. | 2,879 | 20 |
| * | FieldPoint Petroleum Corp. | 4,556 | 17 |
| * | Ocean Power | ||
| Technologies Inc. | 7,673 | 12 | |
| * | Verenium Corp. | 2,972 | 7 |
| * | Barnwell Industries Inc. | 2,036 | 6 |
| * | Houston American | ||
| Energy Corp. | 14,695 | 4 | |
| * | MagneGas Corp. | 1,300 | 1 |
| * | Isramco Inc. | 8 | 1 |
| * | Recovery Energy Inc. | 385 | 1 |
| * | PrimeEnergy Corp. | 10 | — |
| * | Cubic Energy Inc. | 223 | — |
| 2,863,116 | |||
| Other (0.0%) | |||
| * | Adolor Corp. Rights | ||
| Exp. 07/01/2019 | 126,930 | 66 | |
| * | Forest Laboratories Inc. | ||
| Contingent Value Rights | |||
| Exp. 04/14/2018 | 29,879 | 28 | |
| * | Federal-Mogul Corp. | ||
| Rights Exp. 07/09/2013 | 52,213 | 12 | |
| * | Mission West | ||
| Properties Inc. | 15,193 | — | |
| 106 | |||
| Technology (14.4%) | |||
| Apple Inc. | 1,590,831 | 630,096 | |
| Microsoft Corp. | 12,738,328 | 439,854 | |
| * | Google Inc. Class A | 459,517 | 404,545 |
| International Business | |||
| Machines Corp. | 1,879,138 | 359,122 | |
| Cisco Systems Inc. | 9,058,198 | 220,205 | |
| Intel Corp. | 8,425,508 | 204,066 | |
| Oracle Corp. | 5,987,615 | 183,940 | |
| QUALCOMM Inc. | 2,928,320 | 178,862 | |
| EMC Corp. | 3,560,436 | 84,097 | |
| Hewlett-Packard Co. | 3,268,480 | 81,058 | |
| * | Facebook Inc. Class A | 2,816,941 | 70,029 |
| Texas Instruments Inc. | 1,879,803 | 65,549 | |
| * | Yahoo! Inc. | 1,467,940 | 36,860 |
| * | Adobe Systems Inc. | 808,179 | 36,821 |
| Corning Inc. | 2,501,415 | 35,595 | |
| * | Salesforce.com Inc. | 900,413 | 34,378 |
| Dell Inc. | 2,529,549 | 33,769 | |
| * | Cognizant Technology | ||
| Solutions Corp. Class A | 511,225 | 32,008 | |
| Applied Materials Inc. | 2,036,447 | 30,363 | |
| Broadcom Corp. Class A | 883,026 | 29,811 | |
| Intuit Inc. | 478,085 | 29,178 | |
| Symantec Corp. | 1,180,642 | 26,529 | |
| * | SanDisk Corp. | 412,411 | 25,198 |
| * | Cerner Corp. | 262,165 | 25,191 |
| * | Micron Technology Inc. | 1,745,833 | 25,018 |
| Motorola Solutions Inc. | 414,418 | 23,924 | |
| Analog Devices Inc. | 522,344 | 23,537 | |
| Seagate Technology plc | 516,538 | 23,156 | |
| * | NetApp Inc. | 610,858 | 23,078 |
| Western Digital Corp. | 360,552 | 22,387 | |
| * | Citrix Systems Inc. | 317,165 | 19,135 |
| Altera Corp. | 542,616 | 17,901 | |
| Xilinx Inc. | 447,193 | 17,713 | |
| * | Catamaran Corp. | 348,970 | 17,002 |
| * | Juniper Networks Inc. | 815,156 | 15,741 |
| KLA-Tencor Corp. | 281,151 | 15,669 | |
| Avago Technologies Ltd. | |||
| Class A | 418,521 | 15,644 | |
| * | Red Hat Inc. | 324,055 | 15,496 |
| * | Equinix Inc. | 83,740 | 15,468 |
| CA Inc. | 538,355 | 15,413 | |
| Linear Technology Corp. | 395,392 | 14,566 | |
| * | Teradata Corp. | 278,390 | 13,984 |
39
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Maxim Integrated | |||
| Products Inc. | 493,389 | 13,706 | |
| NVIDIA Corp. | 930,503 | 13,055 | |
| * | Autodesk Inc. | 381,036 | 12,932 |
| * | Cree Inc. | 199,867 | 12,764 |
| * | Lam Research Corp. | 275,803 | 12,229 |
| * | Akamai Technologies Inc. | 286,170 | 12,177 |
| Microchip Technology Inc. | 317,471 | 11,826 | |
| * | ANSYS Inc. | 158,027 | 11,552 |
| * | VeriSign Inc. | 256,236 | 11,444 |
| Computer Sciences Corp. | 257,715 | 11,280 | |
| * | BMC Software Inc. | 241,833 | 10,916 |
| * | VMware Inc. Class A | 141,204 | 9,459 |
| Harris Corp. | 189,451 | 9,330 | |
| * | Synopsys Inc. | 260,350 | 9,308 |
| * | F5 Networks Inc. | 133,636 | 9,194 |
| * | NCR Corp. | 278,628 | 9,192 |
| * | Nuance | ||
| Communications Inc. | 484,705 | 8,909 | |
| * | Gartner Inc. | 150,950 | 8,603 |
| SAIC Inc. | 580,577 | 8,087 | |
| Marvell Technology | |||
| Group Ltd. | 667,250 | 7,813 | |
| Garmin Ltd. | 198,893 | 7,192 | |
| * | Rackspace Hosting Inc. | 187,318 | 7,097 |
| * | Skyworks Solutions Inc. | 324,047 | 7,093 |
| *,^ | 3D Systems Corp. | 160,554 | 7,048 |
| IAC/InterActiveCorp | 140,097 | 6,663 | |
| * | LSI Corp. | 931,434 | 6,650 |
| * | Cadence Design | ||
| Systems Inc. | 455,638 | 6,598 | |
| Solera Holdings Inc. | 116,799 | 6,500 | |
| * | Informatica Corp. | 183,171 | 6,407 |
| * | ON Semiconductor Corp. | 764,016 | 6,173 |
| * | Concur Technologies Inc. | 75,788 | 6,168 |
| * | ServiceNow Inc. | 148,020 | 5,979 |
| * | JDS Uniphase Corp. | 401,521 | 5,774 |
| * | MICROS Systems Inc. | 133,757 | 5,772 |
| * | CommVault Systems Inc. | 74,887 | 5,683 |
| * | Teradyne Inc. | 323,169 | 5,678 |
| * | TIBCO Software Inc. | 264,534 | 5,661 |
| * | Splunk Inc. | 117,198 | 5,433 |
| * | Ultimate Software | ||
| Group Inc. | 44,650 | 5,237 | |
| * | Atmel Corp. | 700,968 | 5,152 |
| Pitney Bowes Inc. | 342,407 | 5,027 | |
| * | athenahealth Inc. | 59,188 | 5,014 |
| * | PTC Inc. | 202,927 | 4,978 |
| * | Ingram Micro Inc. | 258,878 | 4,916 |
| * | ViaSat Inc. | 68,685 | 4,908 |
| * | NetSuite Inc. | 50,198 | 4,605 |
| * | Aspen Technology Inc. | 159,400 | 4,589 |
| AOL Inc. | 125,085 | 4,563 | |
| * | Brocade Communications | ||
| Systems Inc. | 759,243 | 4,373 | |
| * | SolarWinds Inc. | 108,809 | 4,223 | |
| * | Advanced Micro | |||
| Devices Inc. | 1,030,187 | 4,203 | ||
| * | Riverbed Technology Inc. | 264,367 | 4,114 | |
| * | Rovi Corp. | 175,834 | 4,016 | |
| * | Semtech Corp. | 114,408 | 4,008 | |
| * | Fortinet Inc. | 220,343 | 3,856 | |
| * | Clearwire Corp. Class A | 758,228 | 3,776 | |
| Mentor Graphics Corp. | 191,978 | 3,753 | ||
| * | Allscripts Healthcare | |||
| Solutions Inc. | 286,372 | 3,706 | ||
| * | Workday Inc. Class A | 57,624 | 3,693 | |
| Diebold Inc. | 107,986 | 3,638 | ||
| * | Microsemi Corp. | 158,060 | 3,596 | |
| Compuware Corp. | 345,241 | 3,573 | ||
| * | QLIK Technologies Inc. | 125,887 | 3,559 | |
| * | Guidewire Software Inc. | 82,977 | 3,489 | |
| * | Tyler Technologies Inc. | 50,829 | 3,484 | |
| DST Systems Inc. | 52,297 | 3,417 | ||
| * | SS&C Technologies | |||
| Holdings Inc. | 103,058 | 3,391 | ||
| * | Medidata Solutions Inc. | 42,957 | 3,327 | |
| * | Verint Systems Inc. | 92,593 | 3,284 | |
| Lexmark International Inc. | ||||
| Class A | 107,322 | 3,281 | ||
| Plantronics Inc. | 73,607 | 3,233 | ||
| * | Ciena Corp. | 164,904 | 3,202 | |
| j2 Global Inc. | 74,239 | 3,156 | ||
| * | Polycom Inc. | 299,329 | 3,155 | |
| * | ACI Worldwide Inc. | 67,848 | 3,154 | |
| InterDigital Inc. | 70,139 | 3,132 | ||
| * | VeriFone Systems Inc. | 183,969 | 3,093 | |
| * | Tech Data Corp. | 64,124 | 3,020 | |
| * | Fairchild Semiconductor | |||
| International Inc. Class A | 216,798 | 2,992 | ||
| * | Cavium Inc. | 83,214 | 2,943 | |
| * | Finisar Corp. | 172,980 | 2,932 | |
| * | SunEdison Inc. | 355,624 | 2,905 | |
| * | Aruba Networks Inc. | 185,017 | 2,842 | |
| * | Advent Software Inc. | 80,711 | 2,830 | |
| * | Cornerstone OnDemand Inc. | 65,175 | 2,821 | |
| * | Sourcefire Inc. | 50,499 | 2,805 | |
| Fair Isaac Corp. | 60,912 | 2,792 | ||
| * | EchoStar Corp. Class A | 69,944 | 2,736 | |
| * | ARRIS Group Inc. | 188,004 | 2,698 | |
| * | Silicon Laboratories Inc. | 64,877 | 2,687 | |
| * | Hittite Microwave Corp. | 45,507 | 2,639 | |
| * | Dealertrack Technologies Inc. | 74,078 | 2,625 | |
| * | ExactTarget Inc. | 77,207 | 2,603 | |
| * | Progress Software Corp. | 112,832 | 2,596 | |
| * | Manhattan Associates Inc. | 33,274 | 2,567 | |
| Blackbaud Inc. | 77,531 | 2,525 | ||
| * | Sapient Corp. | 190,932 | 2,494 | |
| * | CACI International Inc. | |||
| Class A | 39,222 | 2,490 | ||
40
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | International Rectifier Corp. | 118,637 | 2,484 |
| ADTRAN Inc. | 99,116 | 2,439 | |
| * | RF Micro Devices Inc. | 453,579 | 2,427 |
| Cypress | |||
| Semiconductor Corp. | 224,325 | 2,407 | |
| MKS Instruments Inc. | 90,461 | 2,401 | |
| * | PMC - Sierra Inc. | 369,021 | 2,343 |
| * | Palo Alto Networks Inc. | 54,754 | 2,308 |
| Cogent Communications | |||
| Group Inc. | 80,054 | 2,254 | |
| * | Entegris Inc. | 237,784 | 2,233 |
| Tessera Technologies Inc. | 107,245 | 2,231 | |
| * | Electronics for Imaging Inc. | 78,718 | 2,227 |
| NIC Inc. | 133,588 | 2,208 | |
| * | Synaptics Inc. | 55,610 | 2,144 |
| * | Diodes Inc. | 82,138 | 2,133 |
| * | NETGEAR Inc. | 67,575 | 2,064 |
| Power Integrations Inc. | 49,818 | 2,021 | |
| Syntel Inc. | 32,006 | 2,012 | |
| * | Integrated Device | ||
| Technology Inc. | 247,550 | 1,966 | |
| * | ATMI Inc. | 76,770 | 1,816 |
| * | Ixia | 97,704 | 1,798 |
| * | OmniVision | ||
| Technologies Inc. | 96,018 | 1,791 | |
| * | Cirrus Logic Inc. | 102,228 | 1,775 |
| *,^ | Fusion-io Inc. | 123,871 | 1,764 |
| * | BroadSoft Inc. | 63,601 | 1,755 |
| * | TriQuint | ||
| Semiconductor Inc. | 252,607 | 1,751 | |
| * | Bottomline | ||
| Technologies de Inc. | 69,025 | 1,746 | |
| * | CSG Systems | ||
| International Inc. | 79,478 | 1,725 | |
| * | PROS Holdings Inc. | 57,306 | 1,716 |
| * | Dycom Industries Inc. | 73,645 | 1,704 |
| * | Interactive Intelligence | ||
| Group Inc. | 32,383 | 1,671 | |
| * | Blucora Inc. | 89,692 | 1,663 |
| * | Infinera Corp. | 154,441 | 1,648 |
| * | Cray Inc. | 83,666 | 1,643 |
| * | Insight Enterprises Inc. | 92,313 | 1,638 |
| * | Digital River Inc. | 84,200 | 1,580 |
| * | SYNNEX Corp. | 36,919 | 1,561 |
| * | Advanced Energy | ||
| Industries Inc. | 89,409 | 1,557 | |
| Intersil Corp. Class A | 198,084 | 1,549 | |
| * | Comverse Inc. | 51,700 | 1,539 |
| * | MicroStrategy Inc. Class A | 17,557 | 1,527 |
| * | QLogic Corp. | 156,653 | 1,498 |
| * | Applied Micro Circuits Corp. | 164,853 | 1,451 |
| * | CalAmp Corp. | 97,904 | 1,429 |
| *,^ | VirnetX Holding Corp. | 68,428 | 1,368 |
| * | Unisys Corp. | 60,969 | 1,346 |
| * | Kulicke & Soffa | ||
| Industries Inc. | 121,232 | 1,341 | |
| * | Envestnet Inc. | 54,003 | 1,328 |
| Computer Programs & | |||
| Systems Inc. | 27,021 | 1,328 | |
| * | Cabot | ||
| Microelectronics Corp. | 40,066 | 1,323 | |
| Brooks Automation Inc. | 133,576 | 1,300 | |
| Quality Systems Inc. | 69,443 | 1,299 | |
| * | Web.com Group Inc. | 50,568 | 1,295 |
| * | Accelrys Inc. | 153,564 | 1,290 |
| * | Lattice | ||
| Semiconductor Corp. | 245,510 | 1,245 | |
| * | Netscout Systems Inc. | 52,472 | 1,225 |
| * | ScanSource Inc. | 38,111 | 1,220 |
| * | FormFactor Inc. | 180,025 | 1,215 |
| EPIQ Systems Inc. | 90,026 | 1,213 | |
| * | MedAssets Inc. | 67,954 | 1,206 |
| * | Emulex Corp. | 183,635 | 1,197 |
| * | Ceva Inc. | 61,747 | 1,195 |
| * | Active Network Inc. | 156,157 | 1,182 |
| * | Rambus Inc. | 135,238 | 1,162 |
| * | Ellie Mae Inc. | 49,910 | 1,152 |
| Computer Task Group Inc. | 50,086 | 1,150 | |
| * | Infoblox Inc. | 38,925 | 1,139 |
| * | Synchronoss | ||
| Technologies Inc. | 36,781 | 1,135 | |
| Tellabs Inc. | 555,161 | 1,099 | |
| * | Internap Network | ||
| Services Corp. | 130,975 | 1,083 | |
| * | Ultratech Inc. | 29,243 | 1,074 |
| * | Actuate Corp. | 161,529 | 1,073 |
| * | Amkor Technology Inc. | 251,152 | 1,057 |
| * | Harmonic Inc. | 165,462 | 1,051 |
| * | iGATE Corp. | 62,193 | 1,021 |
| Loral Space & | |||
| Communications Inc. | 16,989 | 1,019 | |
| * | Spansion Inc. Class A | 80,774 | 1,011 |
| Pegasystems Inc. | 30,503 | 1,010 | |
| * | Calix Inc. | 98,716 | 997 |
| Forrester Research Inc. | 26,939 | 988 | |
| * | Axcelis Technologies Inc. | 542,202 | 987 |
| * | Callidus Software Inc. | 149,346 | 984 |
| Keynote Systems Inc. | 49,791 | 984 | |
| Monotype Imaging | |||
| Holdings Inc. | 37,576 | 955 | |
| Comtech | |||
| Telecommunications Corp. | 34,362 | 924 | |
| * | Sonus Networks Inc. | 302,676 | 911 |
| * | SPS Commerce Inc. | 16,274 | 895 |
| * | ICG Group Inc. | 77,190 | 880 |
| * | VOXX International Corp. | ||
| Class A | 71,421 | 876 | |
| * | Intermec Inc. | 87,840 | 863 |
| * | RealPage Inc. | 46,593 | 855 |
41
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Premiere Global | ||
| Services Inc. | 68,998 | 833 | |
| * | Exar Corp. | 76,698 | 826 |
| * | Jive Software Inc. | 45,349 | 824 |
| Monolithic Power | |||
| Systems Inc. | 32,728 | 789 | |
| * | Freescale | ||
| Semiconductor Ltd. | 57,612 | 781 | |
| Cohu Inc. | 61,348 | 767 | |
| Acorn Energy Inc. | 90,330 | 762 | |
| * | Integrated Silicon | ||
| Solution Inc. | 69,416 | 761 | |
| * | Immersion Corp. | 57,349 | 760 |
| * | Aviat Networks Inc. | 288,553 | 756 |
| * | Agilysys Inc. | 64,983 | 734 |
| * | Silicon Graphics | ||
| International Corp. | 54,285 | 726 | |
| * | Tangoe Inc. | 46,662 | 720 |
| * | CIBER Inc. | 211,197 | 705 |
| * | IntraLinks Holdings Inc. | 96,335 | 699 |
| Ebix Inc. | 74,748 | 692 | |
| * | Demandware Inc. | 16,002 | 679 |
| United Online Inc. | 86,714 | 657 | |
| American Software Inc. | |||
| Class A | 72,402 | 629 | |
| * | LogMeIn Inc. | 25,207 | 617 |
| * | InvenSense Inc. | 39,892 | 614 |
| IXYS Corp. | 55,052 | 609 | |
| * | Proofpoint Inc. | 24,100 | 584 |
| * | LivePerson Inc. | 62,488 | 560 |
| * | Entropic | ||
| Communications Inc. | 131,042 | 560 | |
| * | Oplink Communications Inc. | 30,644 | 532 |
| * | Extreme Networks | 153,497 | 530 |
| * | Digi International Inc. | 56,403 | 528 |
| * | Pendrell Corp. | 200,772 | 526 |
| * | Unwired Planet Inc. | 268,854 | 524 |
| Hackett Group Inc. | 100,459 | 521 | |
| * | Carbonite Inc. | 41,751 | 517 |
| * | AXT Inc. | 189,730 | 512 |
| * | Brightcove Inc. | 57,208 | 501 |
| Micrel Inc. | 48,755 | 482 | |
| * | Ipass Inc. | 253,672 | 479 |
| * | Responsys Inc. | 33,430 | 478 |
| * | ANADIGICS Inc. | 211,374 | 465 |
| Neutral Tandem Inc. | 78,477 | 451 | |
| * | KVH Industries Inc. | 32,892 | 438 |
| * | LTX-Credence Corp. | 72,810 | 436 |
| * | Limelight Networks Inc. | 189,312 | 426 |
| * | Imation Corp. | 97,478 | 412 |
| * | Merge Healthcare Inc. | 113,103 | 407 |
| * | Globecomm Systems Inc. | 31,230 | 395 |
| * | DSP Group Inc. | 47,184 | 392 |
| * | Icad Inc. | 64,632 | 388 |
| * | Perficient Inc. | 28,934 | 386 |
| * | FleetMatics Group plc | 11,607 | 386 |
| * | Kopin Corp. | 98,250 | 365 |
| * | Mercury Systems Inc. | 38,864 | 358 |
| * | Virtusa Corp. | 16,114 | 357 |
| * | Silicon Image Inc. | 60,992 | 357 |
| * | Amtech Systems Inc. | 54,691 | 348 |
| * | Dot Hill Systems Corp. | 154,267 | 338 |
| * | Quantum Corp. | 245,454 | 336 |
| * | Alpha & Omega | ||
| Semiconductor Ltd. | 44,000 | 336 | |
| Aware Inc. | 63,495 | 330 | |
| * | Volterra | ||
| Semiconductor Corp. | 22,490 | 318 | |
| * | Ruckus Wireless Inc. | 24,370 | 312 |
| * | Novatel Wireless Inc. | 78,198 | 309 |
| * | Datalink Corp. | 28,855 | 307 |
| * | STEC Inc. | 45,454 | 305 |
| * | KEYW Holding Corp. | 22,599 | 299 |
| Concurrent | |||
| Computer Corp. | 37,814 | 289 | |
| * | VASCO Data Security | ||
| International Inc. | 33,550 | 279 | |
| * | Photronics Inc. | 32,658 | 263 |
| * | Dynamics Research Corp. | 46,114 | 257 |
| * | Guidance Software Inc. | 26,754 | 234 |
| * | Datawatch Corp. | 12,498 | 225 |
| * | Rosetta Stone Inc. | 15,292 | 225 |
| * | Emcore Corp. | 60,428 | 218 |
| * | FalconStor Software Inc. | 157,919 | 216 |
| West Corp. | 9,563 | 212 | |
| PC-Tel Inc. | 24,904 | 211 | |
| Alliance Fiber Optic | |||
| Products Inc. | 10,051 | 201 | |
| * | Edgewater Technology Inc. | 46,566 | 198 |
| * | Super Micro Computer Inc. | 18,526 | 197 |
| * | Nanometrics Inc. | 13,307 | 195 |
| * | Seachange International Inc. | 16,536 | 194 |
| *,^ | Mitek Systems Inc. | 33,100 | 191 |
| Supertex Inc. | 7,784 | 186 | |
| * | Hutchinson Technology Inc. | 38,928 | 184 |
| * | EPAM Systems Inc. | 6,714 | 182 |
| PC Connection Inc. | 11,805 | 182 | |
| * | Procera Networks Inc. | 13,024 | 179 |
| * | GSI Technology Inc. | 25,873 | 164 |
| * | Sigma Designs Inc. | 32,175 | 162 |
| Preformed Line | |||
| Products Co. | 2,448 | 162 | |
| Systemax Inc. | 17,181 | 162 | |
| * | support.com Inc. | 32,752 | 150 |
| * | SciQuest Inc. | 5,970 | 150 |
| * | UniTek Global Services Inc. | 105,753 | 148 |
| * | Vocera | ||
| Communications Inc. | 10,071 | 148 | |
| * | PDF Solutions Inc. | 8,005 | 148 |
42
| Institutional Total Stock Market Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Mindspeed | ||
| Technologies Inc. | 44,954 | 146 | |
| * | Vocus Inc. | 13,005 | 137 |
| * | LRAD Corp. | 118,475 | 134 |
| * | Rudolph Technologies Inc. | 11,852 | 133 |
| * | Zix Corp. | 29,453 | 125 |
| * | Inphi Corp. | 11,293 | 124 |
| Evolving Systems Inc. | 17,722 | 117 | |
| * | Telenav Inc. | 22,313 | 117 |
| * | Intermolecular Inc. | 15,970 | 116 |
| * | Millennial Media Inc. | 13,232 | 115 |
| * | ShoreTel Inc. | 28,187 | 114 |
| * | Innodata Inc. | 35,130 | 112 |
| * | MaxLinear Inc. | 15,986 | 112 |
| Digimarc Corp. | 5,107 | 106 | |
| * | Mattson Technology Inc. | 45,776 | 100 |
| * | eGain Corp. | 9,806 | 94 |
| * | Pericom | ||
| Semiconductor Corp. | 12,912 | 92 | |
| * | Authentidate Holding Corp. | 103,756 | 90 |
| *,^ | Oclaro Inc. | 70,562 | 83 |
| QAD Inc. Class A | 7,229 | 83 | |
| * | Ikanos Communications Inc. | 53,944 | 80 |
| * | Clearfield Inc. | 8,217 | 77 |
| * | MoSys Inc. | 19,222 | 77 |
| * | Symmetricom Inc. | 16,944 | 76 |
| * | Identive Group Inc. | 103,793 | 75 |
| * | Radisys Corp. | 15,433 | 74 |
| Crexendo Inc. | 27,483 | 74 | |
| * | NetSol Technologies Inc. | 7,153 | 72 |
| * | CVD Equipment Corp. | 8,553 | 71 |
| *,^ | MeetMe Inc. | 40,780 | 66 |
| * | PLX Technology Inc. | 13,702 | 65 |
| * | TeleCommunication | ||
| Systems Inc. Class A | 27,184 | 63 | |
| Simulations Plus Inc. | 15,000 | 63 | |
| *,^ | OCZ Technology Group Inc. | 41,752 | 61 |
| *,^ | QuickLogic Corp. | 27,004 | 60 |
| * | Synacor Inc. | 18,940 | 59 |
| * | Ambient Corp. | 24,436 | 58 |
| * | Cascade Microtech Inc. | 8,602 | 57 |
| * | Pixelworks Inc. | 15,645 | 54 |
| * | Crossroads Systems Inc. | 28,750 | 53 |
| Rimage Corp. | 6,050 | 51 | |
| CSP Inc. | 5,391 | 48 | |
| * | Bsquare Corp. | 16,441 | 45 |
| * | Westell Technologies Inc. | ||
| Class A | 17,678 | 42 | |
| * | Multiband Corp. | 12,800 | 41 |
| * | Smith Micro Software Inc. | 36,488 | 39 |
| Mastech Holdings Inc. | 4,745 | 36 | |
| * | Parkervision Inc. | 7,548 | 34 |
| * | ID Systems Inc. | 6,809 | 34 |
| * | MEMSIC Inc. | 8,040 | 33 |
| * | Meru Networks Inc. | 7,840 | 32 |
| * | PAR Technology Corp. | 7,772 | 31 |
| * | ADDvantage | ||
| Technologies Group Inc. | 13,500 | 31 | |
| *,^ | Voltari Corp. | 8,324 | 30 |
| * | Numerex Corp. Class A | 2,362 | 26 |
| * | GigOptix Inc. | 20,182 | 26 |
| * | Cyan Inc. | 2,200 | 23 |
| * | Shutterstock Inc. | 386 | 22 |
| * | GSE Systems Inc. | 13,415 | 20 |
| * | Zhone Technologies Inc. | 23,672 | 19 |
| * | Wave Systems Corp. | ||
| Class A | 62,907 | 19 | |
| * | Mitel Networks Corp. | 4,575 | 18 |
| * | ClearOne Inc. | 1,894 | 16 |
| * | NCI Inc. Class A | 3,856 | 16 |
| * | Greenway Medical | ||
| Technologies | 1,260 | 16 | |
| * | Audience Inc. | 1,120 | 15 |
| Ubiquiti Networks Inc. | 753 | 13 | |
| * | Ultra Clean Holdings | 2,159 | 13 |
| * | Lantronix Inc. | 8,262 | 13 |
| Transact Technologies Inc. | 1,540 | 13 | |
| * | Cobra Electronics Corp. | 3,967 | 12 |
| * | Transwitch Corp. | 29,666 | 11 |
| * | Overland Storage Inc. | 9,096 | 10 |
| * | ChyronHego Corp. | 5,649 | 8 |
| Communications | |||
| Systems Inc. | 800 | 8 | |
| * | Selectica Inc. | 829 | 7 |
| ePlus Inc. | 100 | 6 | |
| QAD Inc. Class B | 573 | 6 | |
| * | Relm Wireless Corp. | 1,800 | 5 |
| * | Intellicheck Mobilisa Inc. | 16,110 | 5 |
| Optical Cable Corp. | 959 | 4 | |
| * | Key Tronic Corp. | 400 | 4 |
| * | inTEST Corp. | 900 | 3 |
| * | Bridgeline Digital Inc. | 1,800 | 2 |
| * | Superconductor | ||
| Technologies Inc. | 656 | 2 | |
| * | Netlist Inc. | 100 | — |
| 4,348,101 | |||
| Telecommunications (2.5%) | |||
| AT&T Inc. | 9,118,367 | 322,790 | |
| Verizon | |||
| Communications Inc. | 4,848,749 | 244,086 | |
| CenturyLink Inc. | 1,032,249 | 36,490 | |
| * | Crown Castle | ||
| International Corp. | 497,918 | 36,044 | |
| * | Sprint Nextel Corp. | 5,114,830 | 35,906 |
| * | SBA Communications | ||
| Corp. Class A | 216,340 | 16,035 | |
| Windstream Corp. | 1,007,182 | 7,765 | |
| T-Mobile US Inc. | 307,219 | 7,622 | |
| * | tw telecom inc Class A | 255,815 | 7,199 |
43
| Institutional Total Stock Market Index Fund | ||||
| Market | ||||
| Value | ||||
| Shares | ($000) | |||
| Frontier | ||||
| Communications Corp. | 1,690,978 | 6,849 | ||
| * | Level 3 | |||
| Communications Inc. | 253,819 | 5,351 | ||
| Telephone & Data | ||||
| Systems Inc. | 153,961 | 3,795 | ||
| *,^ | NII Holdings Inc. | 274,707 | 1,832 | |
| * | 8x8 Inc. | 180,621 | 1,488 | |
| EarthLink Inc. | 224,361 | 1,393 | ||
| * | Cincinnati Bell Inc. | 438,449 | 1,342 | |
| Atlantic Tele-Network Inc. | 26,701 | 1,326 | ||
| * | Leap Wireless | |||
| International Inc. | 130,393 | 878 | ||
| United States Cellular Corp. | 21,249 | 780 | ||
| * | Cbeyond Inc. | 84,517 | 663 | |
| Consolidated | ||||
| Communications | ||||
| Holdings Inc. | 36,855 | 642 | ||
| * | Vonage Holdings Corp. | 211,561 | 599 | |
| NTELOS Holdings Corp. | 35,128 | 578 | ||
| IDT Corp. Class B | 30,271 | 566 | ||
| * | General Communication | |||
| Inc. Class A | 67,390 | 528 | ||
| Lumos Networks Corp. | 28,434 | 486 | ||
| Alaska Communications | ||||
| Systems Group Inc. | 270,441 | 454 | ||
| Shenandoah | ||||
| Telecommunications Co. | 27,062 | 451 | ||
| USA Mobility Inc. | 32,143 | 436 | ||
| * | Iridium Communications Inc. | 55,207 | 428 | |
| HickoryTech Corp. | 39,868 | 424 | ||
| * | inContact Inc. | 13,200 | 109 | |
| * | Elephant Talk | |||
| Communications Corp. | 184,369 | 108 | ||
| Primus Telecommunications | ||||
| Group Inc. | 7,400 | 88 | ||
| * | ORBCOMM Inc. | 17,569 | 79 | |
| * | Fairpoint | |||
| Communications Inc. | 7,411 | 62 | ||
| * | Hawaiian Telcom Holdco Inc. | 2,109 | 53 | |
| * | Towerstream Corp. | 19,301 | 49 | |
| Alteva | 1,938 | 19 | ||
| 745,793 | ||||
| Utilities (3.4%) | ||||
| Duke Energy Corp. | 1,196,084 | 80,736 | ||
| Southern Co. | 1,475,160 | 65,099 | ||
| NextEra Energy Inc. | 719,723 | 58,643 | ||
| Dominion Resources Inc. | 979,109 | 55,633 | ||
| Exelon Corp. | 1,450,480 | 44,791 | ||
| Spectra Energy Corp. | 1,134,129 | 39,082 | ||
| American Electric | ||||
| Power Co. Inc. | 823,778 | 36,889 | ||
| PG&E Corp. | 749,458 | 34,273 | ||
| Sempra Energy | 392,211 | 32,067 | ||
| PPL Corp. | 1,003,956 | 30,380 | ||
| Consolidated Edison Inc. | 496,439 | 28,947 | |
| Public Service Enterprise | |||
| Group Inc. | 857,512 | 28,006 | |
| Edison International | 552,203 | 26,594 | |
| FirstEnergy Corp. | 708,867 | 26,469 | |
| Xcel Energy Inc. | 842,747 | 23,883 | |
| Northeast Utilities | 533,219 | 22,406 | |
| Entergy Corp. | 302,008 | 21,044 | |
| DTE Energy Co. | 294,900 | 19,761 | |
| CenterPoint Energy Inc. | 726,329 | 17,061 | |
| Wisconsin Energy Corp. | 387,677 | 15,891 | |
| NiSource Inc. | 528,892 | 15,147 | |
| * | Calpine Corp. | 694,478 | 14,744 |
| NRG Energy Inc. | 546,607 | 14,594 | |
| ONEOK Inc. | 349,353 | 14,432 | |
| Ameren Corp. | 411,240 | 14,163 | |
| AES Corp. | 1,075,433 | 12,894 | |
| American Water | |||
| Works Co. Inc. | 301,241 | 12,420 | |
| CMS Energy Corp. | 452,266 | 12,288 | |
| SCANA Corp. | 212,817 | 10,449 | |
| Pinnacle West | |||
| Capital Corp. | 186,380 | 10,339 | |
| Alliant Energy Corp. | 188,013 | 9,480 | |
| NV Energy Inc. | 399,075 | 9,362 | |
| AGL Resources Inc. | 200,369 | 8,588 | |
| Pepco Holdings Inc. | 421,323 | 8,494 | |
| ITC Holdings Corp. | 88,727 | 8,101 | |
| Integrys Energy Group Inc. | 134,130 | 7,851 | |
| National Fuel Gas Co. | 134,521 | 7,796 | |
| UGI Corp. | 192,969 | 7,547 | |
| Aqua America Inc. | 238,583 | 7,465 | |
| Questar Corp. | 296,771 | 7,078 | |
| Westar Energy Inc. | 215,068 | 6,874 | |
| Atmos Energy Corp. | 153,547 | 6,305 | |
| TECO Energy Inc. | 350,334 | 6,022 | |
| Great Plains Energy Inc. | 260,633 | 5,875 | |
| Cleco Corp. | 102,564 | 4,762 | |
| Vectren Corp. | 139,661 | 4,725 | |
| Hawaiian Electric | |||
| Industries Inc. | 175,806 | 4,450 | |
| Piedmont Natural | |||
| Gas Co. Inc. | 128,817 | 4,346 | |
| IDACORP Inc. | 85,548 | 4,086 | |
| Portland General | |||
| Electric Co. | 128,754 | 3,939 | |
| WGL Holdings Inc. | 88,051 | 3,806 | |
| Southwest Gas Corp. | 78,855 | 3,690 | |
| Black Hills Corp. | 75,610 | 3,686 | |
| * | Dynegy Inc. | 161,387 | 3,639 |
| ALLETE Inc. | 67,705 | 3,375 | |
| UIL Holdings Corp. | 86,388 | 3,304 | |
| South Jersey Industries Inc. | 54,394 | 3,123 | |
| PNM Resources Inc. | 135,989 | 3,018 | |
| UNS Energy Corp. | 67,094 | 3,001 |
44
| Institutional Total Stock Market Index Fund | ||||
| Market | ||||
| Value | ||||
| Shares | ($000) | |||
| New Jersey | ||||
| Resources Corp. | 71,282 | 2,960 | ||
| Avista Corp. | 101,702 | 2,748 | ||
| NorthWestern Corp. | 63,329 | 2,527 | ||
| El Paso Electric Co. | 68,230 | 2,409 | ||
| Laclede Group Inc. | 50,597 | 2,310 | ||
| MGE Energy Inc. | 39,206 | 2,147 | ||
| Empire District Electric Co. | 91,995 | 2,052 | ||
| Northwest Natural Gas Co. | 45,447 | 1,931 | ||
| American States Water Co. | 35,004 | 1,879 | ||
| California Water | ||||
| Service Group | 70,705 | 1,379 | ||
| SJW Corp. | 35,759 | 937 | ||
| Chesapeake Utilities Corp. | 15,971 | 822 | ||
| Atlantic Power Corp. | 200,382 | 790 | ||
| Connecticut Water | ||||
| Service Inc. | 24,644 | 707 | ||
| Ormat Technologies Inc. | 29,713 | 699 | ||
| Unitil Corp. | 15,071 | 435 | ||
| Middlesex Water Co. | 15,893 | 317 | ||
| Genie Energy Ltd. Class B | 33,159 | 303 | ||
| Artesian Resources Corp. | ||||
| Class A | 10,830 | 241 | ||
| York Water Co. | 10,166 | 193 | ||
| * | Cadiz Inc. | 39,826 | 183 | |
| Delta Natural Gas Co. Inc. | 7,668 | 163 | ||
| * | Pure Cycle Corp. | 18,685 | 104 | |
| * | US Geothermal Inc. | 209,938 | 74 | |
| Gas Natural Inc. | 2,453 | 25 | ||
| 1,031,248 | ||||
| Total Common Stocks | ||||
| (Cost $22,918,797) | 30,086,338 | |||
| Temporary Cash Investments (0.6%)1 | ||||
| Money Market Fund (0.5%) | ||||
| 2,3 | Vanguard Market | |||
| Liquidity Fund, | ||||
| 0.127% | 160,130,940 | 160,131 | ||
| Face | Market | ||
| Amount | Value | ||
| ($000) | ($000) | ||
| U.S. Government and Agency Obligations (0.1%) | |||
| 4,5 | Fannie Mae Discount | ||
| Notes, 0.110%, 8/21/13 | 1,550 | 1,550 | |
| 5,6 | Federal Home Loan Bank | ||
| Discount Notes, | |||
| 0.115%, 7/26/13 | 1,000 | 1,000 | |
| 5,6 | Federal Home Loan Bank | ||
| Discount Notes, | |||
| 0.110%, 9/20/13 | 5,500 | 5,498 | |
| 4,5 | Freddie Mac Discount | ||
| Notes, 0.130%, 9/16/13 | 1,000 | 1,000 | |
| 4,5 | Freddie Mac Discount | ||
| Notes, 0.110%, 10/16/13 | 1,000 | 999 | |
| 4,5 | Freddie Mac Discount | ||
| Notes, 0.095%, 11/18/13 | 400 | 400 | |
| 10,447 | |||
| Total Temporary Cash Investments | |||
| (Cost $170,579) | 170,578 | ||
| Total Investments (100.0%) | |||
| (Cost $23,089,376) | 30,256,916 | ||
| Other Assets and Liabilities (0.0%) | |||
| Other Assets | 54,487 | ||
| Liabilities3 | (51,535) | ||
| 2,952 | |||
| Net Assets (100%) | 30,259,868 | ||
45
Institutional Total Stock Market Index Fund
| At June 30, 2013, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 23,433,850 |
| Undistributed Net Investment Income | 11,481 |
| Accumulated Net Realized Losses | (351,012) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 7,167,540 |
| Futures Contracts | (1,991) |
| Net Assets | 30,259,868 |
| Institutional Shares—Net Assets | |
| Applicable to 89,462,237 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 3,266,887 |
| Net Asset Value Per Share— | |
| Institutional Shares | $36.52 |
| Institutional Plus Shares—Net Assets | |
| Applicable to 739,097,167 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 26,992,981 |
| Net Asset Value Per Share— | |
| Institutional Plus Shares | $36.52 |
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 $21,346,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of
net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Includes $23,703,000 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 $7,948,000 have been segregated as initial margin for open futures contracts.
6 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full
faith and credit of the U.S. government.
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
| Six Months Ended | |
| June 30, 2013 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 268,416 |
| Interest1 | 110 |
| Securities Lending | 2,058 |
| Total Income | 270,584 |
| Expenses | |
| The Vanguard Group—Note B | |
| Management and Administrative—Institutional Shares | 613 |
| Management and Administrative—Institutional Plus Shares | 2,382 |
| Total Expenses | 2,995 |
| Net Investment Income | 267,589 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 77,488 |
| Futures Contracts | 23,845 |
| Realized Net Gain (Loss) | 101,333 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 3,074,134 |
| Futures Contracts | (3,190) |
| Change in Unrealized Appreciation (Depreciation) | 3,070,944 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 3,439,866 |
| 1 Interest income from an affiliated company of the fund was $104,000. | |
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
| Six Months Ended | Year Ended | |
| June 30, | December 31, | |
| 2013 | 2012 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 267,589 | 486,820 |
| Realized Net Gain (Loss) | 101,333 | 429,144 |
| Change in Unrealized Appreciation (Depreciation) | 3,070,944 | 2,321,982 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 3,439,866 | 3,237,946 |
| Distributions | ||
| Net Investment Income | ||
| Institutional Shares | (28,862) | (65,877) |
| Institutional Plus Shares | (230,373) | (420,252) |
| Realized Capital Gain | ||
| Institutional Shares | — | — |
| Institutional Plus Shares | — | — |
| Total Distributions | (259,235) | (486,129) |
| Capital Share Transactions | ||
| Institutional Shares | (112,397) | (278,956) |
| Institutional Plus Shares | 3,459,501 | 2,298,734 |
| Net Increase (Decrease) from Capital Share Transactions | 3,347,104 | 2,019,778 |
| Total Increase (Decrease) | 6,527,735 | 4,771,595 |
| Net Assets | ||
| Beginning of Period | 23,732,133 | 18,960,538 |
| End of Period1 | 30,259,868 | 23,732,133 |
| 1 Net Assets—End of Period includes undistributed net investment income of $11,481,000 and $3,026,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
48
Institutional Total Stock Market Index Fund
Financial Highlights
| Institutional Shares | |||||||
| Six Months | |||||||
| Ended | |||||||
| For a Share Outstanding | June 30, | Year Ended December 31, | |||||
| Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | |
| Net Asset Value, Beginning of Period | $32.27 | $28.32 | $28.54 | $24.80 | $19.68 | $31.89 | |
| Investment Operations | |||||||
| Net Investment Income | .338 | .694 | .532 | .495 | .483 | .550 | |
| Net Realized and Unrealized Gain (Loss) | |||||||
| on Investments | 4.240 | 3.950 | (.222) | 3.741 | 5.120 | (12.208) | |
| Total from Investment Operations | 4.578 | 4.644 | .310 | 4.236 | 5.603 | (11.658) | |
| Distributions | |||||||
| Dividends from Net Investment Income | (.328) | (.694) | (.530) | (.496) | (.483) | (.552) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |
| Total Distributions | (.328) | (.694) | (.530) | (.496) | (.483) | (.552) | |
| Net Asset Value, End of Period | $36.52 | $32.27 | $28.32 | $28.54 | $24.80 | $19.68 | |
| Total Return | 14.20% | 16.47% | 1.09% | 17.28% | 28.84% | -36.90% | |
| Ratios/Supplemental Data | |||||||
| Net Assets, End of Period (Millions) | $3,267 | $3,001 | $2,874 | $2,248 | $1,700 | $1,106 | |
| Ratio of Total Expenses to | |||||||
| Average Net Assets | 0.040% | 0.040% | 0.042% | 0.045% | 0.045% | 0.045% | |
| Ratio of Net Investment Income to | |||||||
| Average Net Assets | 2.01% | 2.25% | 1.93% | 1.95% | 2.36% | 2.12% | |
| Portfolio Turnover Rate1 | 7% | 8% | 12% | 14% | 13% | 13% | |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | |||||||
| 1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. | |||||||
See accompanying Notes, which are an integral part of the Financial Statements.
49
Institutional Total Stock Market Index Fund
Financial Highlights
| Institutional Plus Shares | |||||||
| Six Months | |||||||
| Ended | |||||||
| For a Share Outstanding | June 30, | Year Ended December 31, | |||||
| Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | |
| Net Asset Value, Beginning of Period | $32.28 | $28.32 | $28.54 | $24.81 | $19.68 | $31.89 | |
| Investment Operations | |||||||
| Net Investment Income | .342 | .701 | .537 | .499 | .487 | .556 | |
| Net Realized and Unrealized Gain (Loss) | |||||||
| on Investments | 4.230 | 3.959 | (.221) | 3.732 | 5.130 | (12.209) | |
| Total from Investment Operations | 4.572 | 4.660 | .316 | 4.231 | 5.617 | (11.653) | |
| Distributions | |||||||
| Dividends from Net Investment Income | (.332) | (.700) | (.536) | (.501) | (.487) | (.557) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |
| Total Distributions | (.332) | (.700) | (.536) | (.501) | (.487) | (.557) | |
| Net Asset Value, End of Period | $36.52 | $32.28 | $28.32 | $28.54 | $24.81 | $19.68 | |
| Total Return | 14.18% | 16.53% | 1.11% | 17.25% | 28.92% | -36.89% | |
| Ratios/Supplemental Data | |||||||
| Net Assets, End of Period (Millions) | $26,993 | $20,731 | $16,087 | $12,976 | $10,520 | $6,631 | |
| Ratio of Total Expenses to | |||||||
| Average Net Assets | 0.020% | 0.020% | 0.022% | 0.025% | 0.025% | 0.025% | |
| Ratio of Net Investment Income to | |||||||
| Average Net Assets | 2.03% | 2.27% | 1.95% | 1.97% | 2.38% | 2.14% | |
| Portfolio Turnover Rate1 | 7% | 8% | 12% | 14% | 13% | 13% | |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | |||||||
| 1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. | |||||||
See accompanying Notes, which are an integral part of the Financial Statements.
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.
On October 2, 2012, Vanguard announced a 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.
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 notional 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). Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange; monitors the financial strength
51
Institutional Total Stock Market Index Fund
of its clearing brokers and clearinghouse; and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
During the six months ended June 30, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, 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 for the period ended June 30, 2013, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund may lend its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of pre-qualified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. 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. Securities lending income represents fees charged to borrowers plus income earned on invested 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.
52
Institutional Total Stock Market Index Fund
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 June 30, 2013, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 30,070,035 | 16,209 | 94 |
| Temporary Cash Investments | 160,131 | 10,447 | — |
| Futures Contracts—Assets1 | 18 | — | — |
| Futures Contracts—Liabilities1 | (762) | — | — |
| Total | 30,229,422 | 26,656 | 94 |
| 1 Represents variation margin on the last day of the reporting period. | |||
D. At June 30, 2013, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| S&P 500 Index | September 2013 | 384 | 153,533 | (1,828) |
| E-mini Russell 2000 Index | September 2013 | 149 | 14,523 | (163) |
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.
53
Institutional Total Stock Market Index Fund
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2013, the cost of investment securities for tax purposes was $23,089,722,000. Net unrealized appreciation of investment securities for tax purposes was $7,167,194,000, consisting of unrealized gains of $7,934,232,000 on securities that had risen in value since their purchase and $767,038,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2013, the fund purchased $4,518,491,000 of investment securities and sold $1,204,606,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,208,627,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| June 30, 2013 | December 31, 2012 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Institutional Shares | ||||
| Issued | 257,293 | 7,148 | 372,441 | 12,116 |
| Issued in Lieu of Cash Distributions | 25,135 | 696 | 57,941 | 1,833 |
| Redeemed | (394,825) | (11,364) | (709,338) | (22,452) |
| Net Increase (Decrease)—Institutional Shares | (112,397) | (3,520) | (278,956) | (8,503) |
| Institutional Plus Shares | ||||
| Issued | 4,768,899 | 133,596 | 4,801,320 | 154,229 |
| Issued in Lieu of Cash Distributions | 218,984 | 6,055 | 391,269 | 12,357 |
| Redeemed | (1,528,382) | (42,817) | (2,893,855) | (92,343) |
| Net Increase (Decrease)—Institutional Plus Shares | 3,459,501 | 96,834 | 2,298,734 | 74,243 |
H. In preparing the financial statements as of June 30, 2013, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
54
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.
55
| Six Months Ended June 30, 2013 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Institutional Total Stock Market Index Fund | 12/31/2012 | 6/30/2013 | Period |
| Based on Actual Fund Return | |||
| Institutional Shares | $1,000.00 | $1,142.00 | $0.21 |
| Institutional Plus Shares | 1,000.00 | 1,141.77 | 0.11 |
| Based on Hypothetical 5% Yearly Return | |||
| Institutional Shares | $1,000.00 | $1,024.60 | $0.20 |
| Institutional Plus Shares | 1,000.00 | 1,024.70 | 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.
56
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Institutional Total Stock Market Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard—through its Equity Investment Group—serves as the investment advisor for the fund. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Equity Investment Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance relative to a target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s low-cost arrangement with Vanguard ensures that the fund and its shareholders benefit from economies of scale.
The board will consider whether to renew the advisory arrangement again after a one-year period.
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 through January 14, 2013; CRSP US Total 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 182 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 | 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); Chairman of the Board of |
| (chemicals); Director of Tyco International, Ltd. | Hillenbrand, Inc. (specialized consumer services) and |
| (diversified manufacturing and services), Hewlett- | of Oxfam America; Director of SKF AB (industrial |
| Packard Co. (electronic computer manufacturing), | |
| machinery) and the Lumina Foundation for Education; | Executive Officers | |
| Member of the Advisory Council for the College of | ||
| Arts and Letters and of the Advisory Board to the | Glenn Booraem | |
| Kellogg Institute for International Studies, both at | Born 1967. Controller Since July 2010. Principal | |
| the University 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 | Chris D. McIsaac |
| Industries, Inc. (housewares/lignite) and of Hyster-Yale | Kathleen C. Gubanich | Michael S. Miller |
| Materials Handling, Inc. (forklift trucks); Director of | Paul A. Heller | James M. Norris |
| the National Association of Manufacturers; Chairman | Martha G. King | Glenn W. Reed |
| of the Board of University Hospitals of Cleveland; | John T. Marcante | |
| Advisory Chairman of the Board of The Cleveland | ||
| Museum of Art. | ||
| Chairman Emeritus and Senior Advisor | ||
| Peter F. Volanakis | John J. Brennan | |
| Born 1955. Trustee Since July 2009. Principal | Chairman, 1996–2009 | |
| Occupation(s) During the Past Five Years: President | ||
| and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
| Incorporated (communications equipment); Director | ||
| of SPX Corporation (multi-industry manufacturing); | ||
| Overseer of the Amos Tuck School of Business | ||
| Administration at Dartmouth College; Advisor to the | Founder | |
| Norris Cotton Cancer Center. | John C. Bogle | |
| Chairman and Chief Executive Officer, 1974–1996 | ||
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. | |
| Q8712 082013 | |
Item 2: Code of Ethics.
Not Applicable.
Item 3: Audit Committee Financial Expert.
Not Applicable.
Item 4: Principal Accountant Fees and Services.
Not Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Not Applicable.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management
Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and
Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| VANGUARD INSTITUTIONAL INDEX FUNDS | |
| BY: | /s/ F. WILLIAM MCNABB III* |
| F. WILLIAM MCNABB III | |
| CHIEF EXECUTIVE OFFICER | |
| Date: August 20, 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: August 20, 2013 | |
| VANGUARD INSTITUTIONAL INDEX FUNDS |
BY: | /s/ THOMAS J. HIGGINS* |
| THOMAS J. HIGGINS | |
| CHIEF FINANCIAL OFFICER | |
Date: August 20, 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.