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: 811-07175
Name of Registrant: Vanguard Tax-Managed Funds
Address of Registrant: P.O. Box 2600
Valley Forge, PA 19482
Name and address of agent for service: R. Gregory Barton, 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, 2004 - June 30, 2004
Item 1: Reports to Shareholders
Vanguard Tax-Managed Funds®
June 30, 2004
Vanguard® Tax-Managed Balanced Fund
Vanguard® Tax-Managed Growth and Income Fund
Vanguard® Tax-Managed Capital Appreciation Fund
Vanguard® Tax-Managed Small-Cap Fund
Vanguard® Tax-Managed International Fund
HOW TO READ YOUR FUND REPORT
This report contains information that can help you evaluate your investment. It includes details about your fund’s return and presents data and analysis that provide insight into the fund’s performance and investment approach.
By reading the letter from Vanguard’s chairman, you’ll get an understanding of how the fund invests and how the market environment affected its performance. The statistical information that follows can help you understand how the fund’s performance and characteristics stack up against those of similar funds and market benchmarks.
It’s important to keep in mind that any opinions expressed here are just that: informed opinions. They should not be considered promises or advice. These opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in the fund are spelled out in the prospectus.
Frequent updates on the fund’s performance and information about some of its holdings are available on Vanguard.com®.
CONTENTS 1 LETTER FROM THE CHAIRMAN 7 FUND PROFILES 14 GLOSSARY OF INVESTMENT TERMS 16 PERFORMANCE SUMMARIES 19 YOUR FUND'S AFTER-TAX RETURNS 20 ABOUT YOUR FUND'S EXPENSES 22 FINANCIAL STATEMENTS 43 ADVANTAGES OF VANGUARD.COM
Summary
• During the first half of 2004, returns for the five Vanguard Tax-Managed Funds ranged from 1.3% to 10.1%.
• Stock returns were modest, with some sectors benefiting from increased consumer demand and others hurt by rising interest rates, which also held the bond market to a near-standstill.
• Four of the five funds outperformed their respective average peer funds during the half-year.
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LETTER FROM THE CHAIRMAN
Dear Shareholder,
The stock market made modest gains during the first half of 2004, with smaller stocks continuing to hold the lead position they commanded in 2003. Returns for the Vanguard Tax-Managed Funds ranged from 1.3% for the Tax-Managed Balanced Fund to 10.1% for the Tax-Managed Small-Cap Fund over the six-month period.
With one exception, the funds outperformed their average mutual fund peers. The returns of all five funds matched or slightly exceeded the returns of their benchmark indexes.
The table on page 2 shows the total returns for the funds’ various share classes, the peer-group averages, and the benchmark indexes. The funds’ total returns are based on the changes in net asset values during the half-year plus income distributions to shareholders. The table on page 6 provides details about share prices and distributions.
STOCKS GAINED AS THE ECONOMY REBOUNDED
Stock markets worldwide showed moderate gains across the board as investors took heart from a generally positive economic environment. In the United States, corporate earnings were strong, and Wall Street boosted its earnings-growth forecasts as the economic expansion accelerated. Consumer confidence solidified during the half-year as job creation increased.
Gains were tempered, however, by a two-month period in which indicators of rising inflation rattled investors. Unrest in the Middle East and growing global demand pushed the price of crude oil past a level last seen more than 20 years earlier, during the Iran-Iraq War. But good economic news was back in the headlines in May and June, prompting a snapback for stocks.
1
- --------------------------------------------------------------------------------
Total Returns Six Months Ended
June 30, 2004
- --------------------------------------------------------------------------------
Vanguard Tax-Managed Balanced Fund 1.3%
Balanced Composite Index* 1.1
Average Balanced Fund** 1.8
- --------------------------------------------------------------------------------
Vanguard Tax-Managed
Growth and Income Fund
Investor Shares 3.4%
Admiral Shares 3.4
Institutional Shares 3.4
S&P 500 Index 3.4
Average Large-Cap Core Fund** 2.0
- --------------------------------------------------------------------------------
Vanguard Tax-Managed Capital
Appreciation Fund
Investor Shares 3.9%
Admiral Shares 3.9
Institutional Shares 3.9
Russell 1000 Index 3.3
Average Multi-Cap Core Fund** 3.3
- --------------------------------------------------------------------------------
Vanguard Tax-Managed Small-Cap Fund
Investor Shares 10.1%
Institutional Shares 10.1
S&P SmallCap 600 Index 10.0
Average Small-Cap Core Fund** 7.1
- --------------------------------------------------------------------------------
Vanguard Tax-Managed International Fund
Investor Shares 4.9%
Institutional Shares 4.8
MSCI EAFE Index 4.6
Average International Fund** 3.6
- --------------------------------------------------------------------------------
*50% Russell 1000 Index, 50% Lehman 7 Year Municipal Bond Index.
**Derived from data provided by Lipper Inc. For the average balanced fund, the bond component is not tax-exempt.
For the six months, the broad U.S. stock market, as measured by the Dow Jones Wilshire 5000 Composite Index, returned 3.9%. The Russell 1000 Index of mid- to large-capitalization stocks produced a 3.3% gain, while small-cap benchmarks climbed higher; the Standard & Poor’s SmallCap 600 Index, for example, returned 10.0%. Across the market-cap spectrum, value-oriented stocks (those that generally trade at below-market valuations relative to their earnings and other fundamental measures) outdistanced growth stocks (those expected to produce above-average earnings growth).
European and Pacific markets produced local-currency returns topping those of U.S. stocks. However, international stock returns were dampened somewhat for U.S.-based investors as the rebounding domestic economy and rising interest rates caused the U.S. dollar to strengthen against many currencies. (A stronger U.S. currency means that foreign returns translate into fewer dollars.) Emerging-markets returns, in the aggregate, were negative for the six-month period.
BONDS REACTED TO THE STRONGER ECONOMY
In the fixed income markets, interest rates rose across bond maturities, depressing prices. Rates stayed at historically low levels during the first half of the period, then rose sharply in April as the economy strengthened. For the six months, the yield of the benchmark 10-year U.S. Treasury note increased 33 basis points (0.33 percentage point), from
2
- --------------------------------------------------------------------------------
Market Barometer Total Returns
Periods Ended June 30, 2004
----------------------------
Six One Five
Months Year Years*
- --------------------------------------------------------------------------------
Stocks
Russell 1000 Index (Large-caps) 3.3% 19.5% -1.6%
Russell 2000 Index (Small-caps) 6.8 33.4 6.6
Dow Jones Wilshire 5000 Index 3.9 21.2 -1.0
(Entire market)
MSCI All Country World Index
ex USA (International) 4.1 32.5 1.0
- --------------------------------------------------------------------------------
Bonds
Lehman Aggregate Bond Index 0.2% 0.3% 6.9%
(Broad taxable market)
Lehman Municipal Bond Index -0.7 0.8 5.9
Citigroup 3-Month Treasury Bill Index 0.5 1.0 3.1
================================================================================
CPI
Consumer Price Index 2.9% 3.3% 2.7%
- --------------------------------------------------------------------------------
*Annualized.
4.25% to 4.58%. At the short end of the maturity spectrum, rates climbed more sharply in anticipation of the Federal Reserve Board’s increase in its target federal funds rate. The Fed acted on June 30, lifting its target by 25 basis points, the first increase in four years. The yield of the 3-month Treasury bill, a proxy for money market rates, climbed from 0.92% at year-end 2003 to 1.26% on June 30.
As earnings growth fortified corporate balance sheets, corporate bonds became more attractive, enhancing their performance relative to Treasuries. This trend particularly benefited lesser-quality bonds; the Lehman Brothers High Yield Bond Index, a benchmark of below-investment-grade bonds, posted a six-month return of 1.4%, compared with the 0.2% return of the broad market, as measured by the Lehman Aggregate Bond Index.
OUR FUNDS’ RETURNS SPANNED A WIDE RANGE
During the past six months, the funds’ performances reflected their index-oriented character. At times, a fund’s performance can diverge from that of its benchmark because of the fund’s tax-management mandate. This objective might compel a fund to avoid stocks with unusually high dividend yields, for example.
Admiral™ Shares
A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund.
Institutional Shares
This class of shares also carries low expenses and is available for a minimum investment of $10 million.
The most conservative portfolio, the Tax-Managed Balanced Fund, provided a modest 1.3% gain, reflecting its slightly more than 50% weighting in municipal bonds. Prices in the fixed income markets retrenched during the period as interest rates began climbing
3
on increasingly strong economic news. This portfolio was the only one to lag its peer-group average. That gap would close, however, if the average peer’s after-tax return were considered. Competing funds usually invest a larger proportion of their assets in stocks and generally hold taxable bonds rather than more tax-efficient munis—boosting the average peer’s return on a pre-tax basis.
The Tax-Managed Growth and Income Fund and the Tax-Managed Capital Appreciation Fund provided returns of 3.4% and 3.9%, respectively, in line with the return of the broad stock market. The return of the larger-cap Growth and Income Fund reflected strong performance by the consumer-oriented and energy stocks in the Standard & Poor’s 500 Index, which the fund follows, as well as weakness among the index’s technology and financial stocks. The Capital Appreciation Fund’s overweighting in consumer discretionary stocks and underweighting in financial companies (which struggled in the rising interest rate environment) enhanced the fund’s return versus that of the Russell 1000 Index. These modest sector deviations from the benchmark resulted from screening out some dividend-paying stocks that would enlarge taxable distributions for the fund’s investors.
The most conservative portfolio returned 1.3%, compared with 10.1% for the most aggressive of the five portfolios.
The Tax-Managed Small-Cap Fund was the only fund that continued to enjoy appreciation on the same scale seen in the first half of 2003, with a six-month return of 10.1%. Every major sector within the fund’s benchmark, the S&P SmallCap 600 Index, enjoyed a return well in excess of the return of the broad stock market, where the performance of larger-cap companies weighs heavily. For example, the fund’s 20.2% weighting in consumer discretionary stocks returned 10.0%, as restaurants, clothing stores, and entertainment companies benefited from increased consumer spending. That return was more than double the return of the same sector within either the S&P 500 Index or the Russell 1000 Index. Other sectors producing double-digit returns included health care, materials & processing, and “other energy,” which includes companies focused on specialized aspects of oil and natural gas exploration, production, and related products and services.
The 4.9% return of the Tax-Managed International Fund’s Investor Shares reflected the fund’s 68% weighting in Europe, where markets
4
performed in line with the large-cap U.S. market, and 24% weighting in Japan, which surged ahead of other regions, largely feeding off the rapid growth in neighboring China. Japanese stocks in the fund were up about 11% for the half-year.
TAX-MANAGED FUNDS CAN BE AN ALLY
Your job as an investor is to keep as much of your investment gains as possible. The Vanguard Tax-Managed Funds can help in two ways. Our funds’ expenses are among the lowest in our industry, reducing the amount of return lost to your investment manager. We also manage the funds to minimize taxable distributions to you, reducing the portion of returns eroded by taxes. (Since inception, none of our tax-managed funds has distributed a capital gain.) The tax-managed series of funds is broad enough to allow investors to enjoy these benefits across a range of securities—small- and large-cap stocks, international stocks, and municipal bonds. Vanguard advises every investor to combine these different asset and subasset classes in proportions suited to his or her unique goals and risk tolerance.
Thank you for investing your assets with Vanguard.
Sincerely,
John J. Brennan
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
JULY 21, 2004
5
- -------------------------------------------------------------------------------------
Your Fund's Performance at a Glance December 31, 2003-June 30, 2004
Distributions Per Share
-----------------------
Starting Ending Income Capital
Tax-Managed Fund Share Price Share Price Dividends Gains
- -------------------------------------------------------------------------------------
Balanced $17.72 $17.75 $0.200 $0.000
Growth and Income
Investor Shares $24.23 $24.89 $0.170 $0.000
Admiral Shares 49.80 51.14 0.363 0.000
Institutional Shares 24.24 24.89 0.180 0.000
- -------------------------------------------------------------------------------------
Capital Appreciation
Investor Shares $25.43 $26.41 $0.000 $0.000
Admiral Shares 51.20 53.18 0.000 0.000
Institutional Shares 25.44 26.43 0.000 0.000
- -------------------------------------------------------------------------------------
Small-Cap
Investor Shares $17.44 $19.20 $0.000 $0.000
Institutional Shares 17.47 19.23 0.000 0.000
- -------------------------------------------------------------------------------------
International
Investor Shares $8.76 $9.19 $0.002 $0.000
Institutional Shares 8.77 9.19 0.003 0.000
- -------------------------------------------------------------------------------------
6
As of 6/30/2004
FUND PROFILES
These Profiles provide snapshots of the funds’ characteristics, compared where indicated with both an appropriate market index and a broad market index. Key terms are defined on pages 14 and 15.
TAX-MANAGED BALANCED FUND
- --------------------------------------------------------------------------------
Total Fund Characteristics
Yield 2.1%
Turnover Rate 16%*
Expense Ratio 0.12%*
Short-Term Reserves 0%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Total Fund Volatility Measures
Composite Broad
Fund Index** Fund Index†
- --------------------------------------------------------------------------------
R-Squared 0.99 1.00 0.92 1.00
Beta 0.99 1.00 0.44 1.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Sector Diversification (% of equity portfolio)
Comparative Broad
Fund Index†† Index†
- --------------------------------------------------------------------------------
Auto & Transportation 3% 2% 3%
Consumer Discretionary 16 14 15
Consumer Staples 7 7 7
Financial Services 19 22 23
Health Care 15 14 13
Integrated Oils 4 4 4
Other Energy 3 2 3
Materials & Processing 3 4 4
Producer Durables 5 4 4
Technology 16 15 14
Utilities 5 7 6
Other 4 5 4
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Ten Largest Stocks (% of equities)
General Electric Co. 2.9%
(conglomerate)
ExxonMobil Corp. 2.6
(oil)
Pfizer Inc. 2.4
(pharmaceuticals)
Microsoft Corp. 2.2
(software)
Citigroup, Inc. 2.2
(banking)
Intel Corp. 1.6
(electronics)
American International Group, Inc. 1.6
(insurance)
Cisco Systems, Inc. 1.5
(computer hardware)
Bank of America Corp. 1.5
(banking)
Johnson & Johnson 1.5
(pharmaceuticals)
- --------------------------------------------------------------------------------
Top Ten 20.0%
- --------------------------------------------------------------------------------
Top Ten as % of Total Net Assets 9.6%
- --------------------------------------------------------------------------------
“Ten Largest Stocks” excludes any temporary cash investments and equity index products.
Fund Asset Allocation
*Annualized.
**50% Russell 1000 Index, 50% Lehman 7 Year Municipal Bond Index.
†Dow Jones Wilshire 5000 Index.
††Russell 1000 Index.
Visit our website at Vanguard.com for regularly updated fund information.
7
FUND PROFILES (CONTINUED)
- --------------------------------------------------------------------------------
Comparative Broad
Fund Index* Index**
- --------------------------------------------------------------------------------
Number of Stocks 543 999 5,064
Median Market Cap $35.7B $39.1B $27.1B
Price/Earnings Ratio 21.7x 20.8x 22.5x
Price/Book Ratio 3.0x 2.9x 2.8x
Dividend Yield 1.3% 1.7% 1.6%
Return on Equity 20.5% 20.4% 15.7%
Earnings Growth Rate 10.9% 8.7% 6.7%
Foreign Holdings 0.0% 0.0% 0.9%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Fixed Income Characteristics
Comparative Broad
Fund Index† Index††
- --------------------------------------------------------------------------------
Number of Bonds 150 5,517 48,440
Yield to Maturity 3.42%‡ -- --
Average Coupon 4.6% 5.2% 5.2%
Average Effective Maturity 5.6 years 6.9 years 13.4 years
Average Quality AA+ AA+ AA+
Average Duration 4.6 years 5.4 years 7.9 years
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Distribution by Credit Quality (% of fixed income portfolio)
Treasury/Agency 0%
AAA 76
AA 21
A 1
BAA 2
- --------------------------------------------------------------------------------
Total 100%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Distribution by Maturity (% of fixed income portfolio)
Under 1 Year 14%
1-5 Years 27
5-10 Years 51
10-20 Years 8
Total 100%
- --------------------------------------------------------------------------------
Equity Investment Focus
Fixed Income Investment Focus
- -------------------------------------------------------------------------------- Largest State Concentrations (% of fixed income portfolio) New York 11% Ohio 9 California 8 Massachusetts 7 Pennsylvania 7 Texas 7 New Jersey 5 Florida 4 Michigan 4 Arizona 4 - -------------------------------------------------------------------------------- Top Ten 66% - --------------------------------------------------------------------------------
*Russell 1000 Index.
**Dow Jones Wilshire 5000 Index.
†Lehman 7 Year Municipal Bond Index.
††Lehman Municipal Bond Index.
‡Before expenses.
8
TAX-MANAGED
GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
Portfolio Characteristics
Comparative Broad
Fund Index* Index**
- --------------------------------------------------------------------------------
Number of Stocks 505 500 5,064
Median Market Cap $51.7B $51.7B $27.1B
Price/Earnings Ratio 20.6x 20.6x 22.5x
Price/Book Ratio 3.0x 3.0x 2.8x
Yield 1.7% 1.6%
Investor Shares 1.4%
Admiral Shares 1.5%
Institutional Shares 1.5%
Return on Equity 21.0% 21.0% 15.7%
Earnings Growth Rate 8.0% 8.0% 6.7%
Foreign Holdings 0.0% 0.0% 0.9%
Turnover Rate 4%† -- --
Expense Ratio -- --
Investor Shares 0.15%†
Admiral Shares 0.10%†
Institutional Shares 0.07%†
Short-Term Reserves 0% -- --
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Volatility Measures
Comparative Broad
Fund Index* Fund Index**
- --------------------------------------------------------------------------------
R-Squared 1.00 1.00 0.99 1.00
Beta 1.00 1.00 0.99 1.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Sector Diversification (% of portfolio)
Comparative Broad
Fund Index* Index**
- --------------------------------------------------------------------------------
Auto & Transportation 3% 3% 3%
Consumer Discretionary 14 14 15
Consumer Staples 8 8 7
Financial Services 21 21 23
Health Care 13 13 13
Integrated Oils 5 5 4
Other Energy 2 2 3
Materials & Processing 3 3 4
Producer Durables 4 4 4
Technology 15 15 14
Utilities 7 7 6
Other 5 5 4
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Ten Largest Holdings (% of total net assets)
General Electric Co. 3.2%
(conglomerate)
Microsoft Corp. 2.9
(software)
ExxonMobil Corp. 2.7
(oil)
Pfizer Inc. 2.5
(pharmaceuticals)
Citigroup, Inc. 2.3
(banking)
Wal-Mart Stores, Inc. 2.1
(retail)
American International Group, Inc. 1.7
(insurance)
Intel Corp. 1.7
(electronics)
Bank of America Corp. 1.6
(banking)
Johnson & Johnson 1.6
(pharmaceuticals)
- --------------------------------------------------------------------------------
Top Ten 22.3%
- --------------------------------------------------------------------------------
“Ten Largest Holdings” excludes any temporary cash investments and equity index products.
Investment Focus
*S&P 500 Index.
**Dow Jones Wilshire 5000 Index.
†Annualized.
Visit our website at Vanguard.com for regularly updated fund information.
9
FUND PROFILES (CONTINUED)
TAX-MANAGED
CAPITAL APPRECIATION FUND
- --------------------------------------------------------------------------------
Portfolio Characteristics
Comparative Broad
Fund Index* Index**
- --------------------------------------------------------------------------------
Number of Stocks 544 999 5,064
Median Market Cap $33.0B $39.1B $27.1B
Price/Earnings Ratio 22.0x 20.8x 22.5x
Price/Book Ratio 3.0x 2.9x 2.8x
Yield 1.7% 1.6%
Investor Shares 1.1%
Admiral Shares 1.1%
Institutional Shares 1.2%
Return on Equity 20.3% 20.4% 15.7%
Earnings Growth Rate 10.9% 8.7% 6.7%
Foreign Holdings 0.0% 0.0% 0.9%
Turnover Rate 5%† -- --
Expense Ratio -- --
Investor Shares 0.15%†
Admiral Shares 0.10%†
Institutional Shares 0.07%†
Short-Term Reserves 0% -- --
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Volatility Measures
Comparative Broad
Fund Index* Fund Index**
- --------------------------------------------------------------------------------
R-Squared 0.99 1.00 0.99 1.00
Beta 1.08 1.00 1.08 1.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Sector Diversification (% of portfolio)
Comparative Broad
Fund Index* Index**
Auto & Transportation 2% 2% 3%
Consumer Discretionary 17 14 15
Consumer Staples 6 7 7
Financial Services 19 22 23
Health Care 15 14 13
Integrated Oils 4 4 4
Other Energy 3 2 3
Materials & Processing 3 4 4
Producer Durables 5 4 4
Technology 17 15 14
Utilities 5 7 6
Other 4 5 4
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Ten Largest Holdings (% of total net assets)
General Electric Co. 2.8%
(conglomerate)
ExxonMobil Corp. 2.5
(oil)
Pfizer Inc. 2.4
(pharmaceuticals)
Microsoft Corp. 2.1
(software)
Citigroup, Inc. 2.1
(banking)
Intel Corp. 1.6
(electronics)
American International Group, Inc. 1.5
(insurance)
Cisco Systems, Inc. 1.5
(computer hardware)
Johnson & Johnson 1.5
(pharmaceuticals)
Bank of America Corp. 1.4
(banking)
- --------------------------------------------------------------------------------
Top Ten 19.4%
- --------------------------------------------------------------------------------
“Ten Largest Holdings” excludes any temporary cash investments and equity index products.
Investment Focus
*Russell 1000 Index.
**Dow Jones Wilshire 5000 Index.
†Annualized.
10
TAX-MANAGED SMALL-CAP FUND
- --------------------------------------------------------------------------------
Portfolio Characteristics
Comparative Broad
Fund Index* Index**
- --------------------------------------------------------------------------------
Number of Stocks 604 600 5,064
Median Market Cap $1.0B $1.0B $27.1B
Price/Earnings Ratio 25.2x 25.3x 22.5x
Price/Book Ratio 2.3x 2.3x 2.8x
Yield 0.8% 1.6%
Investor Shares 0.7%
Institutional Shares 0.8%
Return on Equity 13.3% 13.2% 15.7%
Earnings Growth Rate 10.8% 10.7% 6.7%
Foreign Holdings 0.0% 0.0% 0.9%
Turnover Rate 24%† -- --
Expense Ratio -- --
Investor Shares 0.15%†
Institutional Shares 0.10%†
Short-Term Reserves 0% -- --
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Volatility Measures
Comparative Broad
Fund Index* Fund Index**
- --------------------------------------------------------------------------------
R-Squared 1.00 1.00 0.73 1.00
Beta 0.99 1.00 0.98 1.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Sector Diversification (% of portfolio)
Comparative Broad
Fund Index* Index**
Auto & Transportation 5% 5% 3%
Consumer Discretionary 20 20 15
Consumer Staples 3 3 7
Financial Services 16 16 23
Health Care 12 13 13
Integrated Oils 0 0 4
Other Energy 6 5 3
Materials & Processing 12 12 4
Producer Durables 12 12 4
Technology 10 10 14
Utilities 4 4 6
Other 0 0 4
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Ten Largest Holdings (% of total net assets)
NVR, Inc. 0.7%
(real estate)
Urban Outfitters, Inc. 0.5
(retail)
The Timken Co. 0.5
(industrial manufacturing)
Medicis Pharmaceutical Corp. 0.5
(pharmaceuticals)
IDEXX Laboratories Corp. 0.5
(pharmaceuticals)
Massey Energy Co. 0.5
(metals & mining)
Patina Oil & Gas Corp. 0.4
(energy and utilities)
Cooper Cos., Inc. 0.4
(health care)
Roper Industries Inc. 0.4
(industrial manufacturing)
MDC Holdings, Inc. 0.4
(construction)
- --------------------------------------------------------------------------------
Top Ten 4.8%
- --------------------------------------------------------------------------------
“Ten Largest Holdings” excludes any temporary cash investments and equity index products.
Investment Focus
*S&P SmallCap 600 Index.
**Dow Jones Wilshire 5000 Index.
†Annualized.
Visit our website at Vanguard.com for regularly updated fund information.
11
FUND PROFILES (CONTINUED)
TAX-MANAGED INTERNATIONAL FUND
- --------------------------------------------------------------------------------
Portfolio Characteristics
Comparative Broad
Fund Index* Index**
- --------------------------------------------------------------------------------
Number of Stocks 1,067 1,072 1,885
Turnover Rate 5%† -- --
Expense Ratio -- --
Investor Shares 0.23%†
Institutional Shares 0.15%†
Short-Term Reserves 0% -- --
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Volatility Measures
Comparative Broad
Fund Index* Fund Index**
- --------------------------------------------------------------------------------
R-Squared 1.00 1.00 0.99 1.00
Beta 1.01 1.00 1.00 1.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Sector Diversification (% of portfolio)
Comparative Broad
Fund Index* Index**
- --------------------------------------------------------------------------------
Consumer Discretionary 14% 14% 13%
Consumer Staples 9 9 8
Energy 8 8 9
Financials 26 26 26
Health Care 8 8 8
Industrials 9 9 9
Information Technology 7 7 8
Materials 7 7 8
Telecommunication Services 7 7 7
Utilities 5 5 4
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Ten Largest Holdings (% of total net assets)
BP PLC 2.4%
(oil)
HSBC Holdings PLC 2.1
(banking)
Vodafone Group PLC 1.9
(celluar communications)
GlaxoSmithKline PLC 1.5
(pharmaceuticals)
Toyota Motor Corp. 1.5
(automobiles)
Total SA 1.4
(integrated oils)
Nestle SA (Registered) 1.4
(food, beverage, and tobacco)
Royal Dutch Petroleum Co. 1.4
(energy)
Novartis AG (Registered) 1.3
(pharmaceuticals)
Royal Bank of Scotland Group PLC 1.1
(banking)
- --------------------------------------------------------------------------------
Top Ten 16.0%
- --------------------------------------------------------------------------------
“Ten Largest Holdings” excludes any temporary cash investments and equity index products.
Fund Allocation by Region
*MSCI EAFE Index.
**MSCI All Country World Index ex USA.
†Annualized.
12
- --------------------------------------------------------------------------------
Country Diversification (% of portfolio)
Comparative Broad
Fund Index* Index**
- --------------------------------------------------------------------------------
EUROPE
United Kingdom 25% 25% 21%
France 9 9 8
Switzerland 7 7 6
Germany 7 7 6
Netherlands 5 5 4
Italy 4 4 3
Spain 4 4 3
Sweden 2 2 2
Finland 1 1 1
Belgium 1 1 1
Denmark 1 1 1
Ireland 1 1 1
Norway 1 1 1
- --------------------------------------------------------------------------------
Subtotal 68% 68% 58%
- --------------------------------------------------------------------------------
PACIFIC
Japan 24% 24% 20%
Australia 5 5 4
Hong Kong 2 2 1
Singapore 1 1 1
- --------------------------------------------------------------------------------
Subtotal 32% 32% 26%
- --------------------------------------------------------------------------------
EMERGING MARKETS
Combined 0% -- 11%
- --------------------------------------------------------------------------------
NORTH AMERICA
Canada 0% 0% 5%
- --------------------------------------------------------------------------------
Total 100% 100% 100%
- --------------------------------------------------------------------------------
*MSCI EAFE Index.
**MSCI All Country World Index ex USA.
Visit our website at Vanguard.com for regularly updated fund information.
13
GLOSSARY OF INVESTMENT TERMS
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Average Quality. An indicator of credit risk, this figure is the average of the ratings assigned to a fund’s fixed income holdings by credit-rating agencies. The agencies make their judgment after appraising an issuer’s ability to meet its obligations. Quality is graded on a scale, with Aaa or AAA indicating the most creditworthy bond issuers. U.S. Treasury securities are considered to have the highest credit quality.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. A fund’s beta should be reviewed in conjunction with its R-squared (see definition below). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. The current, annualized rate of dividends paid on a share of stock, divided by its current share price. For a fund, the weighted average yield for stocks it holds. The index yield is based on the current annualized rate of dividends paid on stocks in the index.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Expense Ratio. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
Foreign Holdings. The percentage of a fund’s equity assets represented by stocks or depositary receipts of companies based outside the United States.
Largest State Concentrations. An indicator of diversification. The less concentrated a fund’s holdings of bonds, the less the fund will be hurt by any financial problems in a single state or region.
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.
14
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0.
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).
Yield. A snapshot of a fund’s income from interest and dividends. The yield, expressed as a percentage of the fund’s net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of income provided by securities in the index.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
15
As of 6/30/2004
PERFORMANCE SUMMARIES
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the funds. (For the performance data current to the most recent month-end, which may be higher or lower than that cited, visit our website at www.vanguard.com.) 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.
TAX-MANAGED BALANCED FUND
*50% Russell 1000 Index, 50% Lehman 7 Year Municipal Bond Index.
**Six months ended June 30, 2004.
Note: See Financial Highlights table on page 27 for dividend and capital gains information.
- --------------------------------------------------------------------------------------
Average Annual Total Returns for periods ended June 30, 2004
Since Inception
One Five ---------------------------
Inception Date Year Years Capital Income Total
- --------------------------------------------------------------------------------------
Tax-Managed Balanced Fund 9/6/1994 9.38% 2.78% 6.00% 2.82% 8.82%
Fee-Adjusted Returns* 8.32 2.78 6.00 2.82 8.82
- --------------------------------------------------------------------------------------
*Reflective of the 2% fee assessed on redemptions of shares held in the fund for less than one year and the 1% fee assessed on redemptions of shares held in the fund for at least one year but less than five years.
16
TAX-MANAGED GROWTH AND INCOME FUND
*Six months ended June 30, 2004.
Note: See Financial Highlights table on pages 28–30 for dividend and capital gains information.
TAX-MANAGED CAPITAL APPRECIATION FUND
*Six months ended June 30, 2004.
Note: See Financial Highlights table on pages 31–33 for dividend and capital gains information.
- ----------------------------------------------------------------------------------------------
Average Annual Total Returns for periods ended June 30, 2004
Since Inception
One Five --------------------------
Inception Date Year Years Capital Income Total
Tax-Managed Growth and Income Fund
Investor Shares 9/6/1994 19.04% -2.16% 9.70% 1.65% 11.35%
Fee-Adjusted Returns* 17.86 -2.16 9.70 1.65 11.35
Admiral Shares 11/12/2001 19.07 2.56** -- -- --
Fee-Adjusted Returns* 17.90 2.18** -- -- --
Institutional Shares 3/4/1999 19.14 -2.07 -1.51 1.42 -0.09
Fee-Adjusted Returns* 17.96 -2.07 -1.51 1.42 -0.09
Tax-Managed Capital Appreciation Fund
Investor Shares 9/6/1994 20.69% -1.65% 10.36% 0.70% 11.06%
Fee-Adjusted Returns* 19.50 -1.65 10.36 0.70 11.06
Admiral Shares 11/12/2001 20.79 3.46** -- -- --
Fee-Adjusted Returns* 19.60 3.08** -- -- --
Institutional Shares 2/24/1999 20.82 -1.56 0.08 0.72 0.80
Fee-Adjusted Returns* 19.62 -1.56 0.08 0.72 0.80
- -----------------------------------------------------------------------------------------------
*Reflective of the 2% fee assessed on redemptions of shares held in the fund for less than one year and the 1% fee assessed on redemptions of shares held in the fund for at least one year but less than five years.
**Return since inception.
17
PERFORMANCE SUMMARIES (CONTINUED)
TAX-MANAGED SMALL-CAP FUND
*Six months ended June 30, 2004.
Note: See Financial Highlights table on pages 34 and 35 for dividend and capital gains information.
TAX-MANAGED INTERNATIONAL FUND
*Six months ended June 30, 2004.
Note: See Financial Highlights table on pages 36 and 37 for dividend and capital gains information.
- ---------------------------------------------------------------------------------------------
Average Annual Total Returns for periods ended June 30, 2004
Since Inception
One Five -------------------------
Inception Date Year Years Capital Income Total
- ---------------------------------------------------------------------------------------------
Tax-Managed Small-Cap Fund
Investor Shares 3/25/1999 35.20% 10.91% 13.12% 0.63% 13.75%
Fee-Adjusted Returns* 33.86 10.91 13.12 0.63 13.75
Institutional Shares 4/21/1999 35.26 11.00 11.83 0.68 12.51
Fee-Adjusted Returns* 33.92 11.00 11.83 0.68 12.51
- ---------------------------------------------------------------------------------------------
Tax-Managed International Fund
Investor Shares 8/17/1999 32.90% -0.29%** -- -- --
Fee-Adjusted Returns* 31.59 -0.48** -- -- --
Institutional Shares 1/4/2001 33.02 -1.09** -- -- --
Fee-Adjusted Returns* 31.71 -1.36** -- -- --
- ---------------------------------------------------------------------------------------------
*Reflective of the 2% fee assessed on redemptions of shares held in the fund for less than one year and the 1% fee assessed on redemptions of shares held in the fund for at least one year but less than five years.
**Return since inception.
18
YOUR FUND’S AFTER-TAX RETURNS
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect the reduced tax rates on ordinary income (including qualified dividend income) and short-term capital gains that became effective as of January 1, 2003, and on long-term capital gains realized on or after May 6, 2003. To calculate qualified dividend income, we used actual 2003 figures and estimates for 2004. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for Investor Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not indicate how it will perform in the future.
- ----------------------------------------------------------------------------------------------
Average Annual Total Returns* Periods Ended June 30, 2004
Since
One Year Five Years Inception**
----------------------------------
Tax-Managed Balanced Fund
Returns Before Taxes 8.32% 2.78% 8.82%
Returns After Taxes on Distributions 8.18 2.65 8.67
Returns After Taxes on Distributions and Sale of Fund Shares 6.22 2.62 8.04
- ----------------------------------------------------------------------------------------------
Tax-Managed Growth and Income Fund
Returns Before Taxes 17.86% -2.16% 11.35%
Returns After Taxes on Distributions 17.58 -2.56 10.76
Returns After Taxes on Distributions and Sale of Fund Shares 11.95 -2.04 9.77
- ----------------------------------------------------------------------------------------------
Tax-Managed Capital Appreciation Fund
Returns Before Taxes 19.50% -1.65% 11.06%
Returns After Taxes on Distributions 19.33 -1.87 10.81
Returns After Taxes on Distributions and Sale of Fund Shares 12.88 -1.52 9.75
- ----------------------------------------------------------------------------------------------
Tax-Managed Small-Cap Fund
Returns Before Taxes 33.86% 10.91% 13.75%
Returns After Taxes on Distributions 33.73 10.69 13.53
Returns After Taxes on Distributions and Sale of Fund Shares 22.15 9.38 11.96
- ----------------------------------------------------------------------------------------------
Tax-Managed International Fund
Returns Before Taxes 31.59% -0.48%**
Returns After Taxes on Distributions 31.43 -0.85**
Returns After Taxes on Distributions and Sale of Fund Shares 21.14 -0.58**
- ----------------------------------------------------------------------------------------------
*All fund returns are adjusted to reflect fees. Each of the Vanguard Tax-Managed Funds assesses a 2% fee on redemptions of shares held in the fund for less than one year and a 1% fee on redemptions of shares held in the fund for at least one year but less than five years.
**Inception dates are September 6, 1994, for the Tax-Managed Balanced, Tax-Managed Growth and Income, and Tax-Managed Capital Appreciation Funds; March 25, 1999, for the Tax-Managed Small-Cap Fund; and August 17, 1999, for the Tax-Managed International Fund.
19
ABOUT YOUR FUND’S EXPENSES
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating 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.
- --------------------------------------------------------------------------------
Six Months Ended June 30, 2004
Beginning Ending Expenses
Account Value Account Value Paid During
Tax-Managed Fund 12/31/2003 6/30/2004 Period*
- --------------------------------------------------------------------------------
Based on Actual Fund Return
Balanced Fund $1,000 $1,013 $0.60
- --------------------------------------------------------------------------------
Growth and Income Fund
Investor Shares $1,000 $1,034 $0.75
Admiral Shares $1,000 $1,034 $0.48
Institutional Shares $1,000 $1,034 $0.34
- --------------------------------------------------------------------------------
Capital Appreciation Fund
Investor Shares $1,000 $1,039 $0.74
Admiral Shares $1,000 $1,039 $0.48
Institutional Shares $1,000 $1,039 $0.34
- --------------------------------------------------------------------------------
Small-Cap Fund
Investor Shares $1,000 $1,101 $0.76
Institutional Shares $1,000 $1,101 $0.50
International Fund
Investor Shares $1,000 $1,049 $1.16
Institutional Shares $1,000 $1,048 $0.76
- --------------------------------------------------------------------------------
Based on Hypothetical 5% Return
Balanced Fund $1,000 $1,049 $0.61
- --------------------------------------------------------------------------------
Growth and Income Fund
Investor Shares $1,000 $1,049 $0.75
Admiral Shares $1,000 $1,050 $0.48
Institutional Shares $1,000 $1,050 $0.34
- --------------------------------------------------------------------------------
Capital Appreciation Fund
Investor Shares $1,000 $1,049 $0.74
Admiral Shares $1,000 $1,050 $0.48
Institutional Shares $1,000 $1,050 $0.34
- --------------------------------------------------------------------------------
Small-Cap Fund
Investor Shares $1,000 $1,049 $0.74
Institutional Shares $1,000 $1,050 $0.48
- --------------------------------------------------------------------------------
International Fund
Investor Shares $1,000 $1,049 $1.16
Institutional Shares $1,000 $1,049 $0.76
- --------------------------------------------------------------------------------
*Expenses are equal to the fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366.
The adjacent 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.
20
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% 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 return of 5% before expenses during the period shown, 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.
- --------------------------------------------------------------------------------
Annualized Expense Ratios:
Your fund compared with its peer group
Peer
Tax-Managed Fund Fund Group*
- --------------------------------------------------------------------------------
Balanced 0.12% 1.35%
- --------------------------------------------------------------------------------
Growth and Income
Investor Shares 0.15% 1.44%
Admiral Shares 0.10 --
Institutional Shares 0.07 --
- --------------------------------------------------------------------------------
Capital Appreciation
Investor Shares 0.15% 1.44%
Admiral Shares 0.10 --
Institutional Shares 0.07 --
- --------------------------------------------------------------------------------
Small-Cap
Investor Shares 0.15% 1.78%
Institutional Shares 0.10 --
- --------------------------------------------------------------------------------
International
Investor Shares 0.23% 1.76%
Institutional Shares 0.15 --
- --------------------------------------------------------------------------------
*Peer groups are: for the Tax-Managed Balanced Fund, the Average Balanced Fund; for the Tax-Managed Growth and Income Fund, the Average Large-Cap Core Fund; for the Tax-Managed Capital Appreciation Fund, the Average Multi-Cap Core Fund; for the Tax-Managed Small-Cap Fund, the Average Small-Cap Core Fund; for the Tax Managed International Fund, the Average International Fund. Peer expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2003.
Please note that the expenses shown are meant to highlight and help you compare ongoing costs only; they do not include low-balance fees, account maintenance fees, or the transaction fees on redemptions. These fees are described fully in the prospectus; they also are noted on the Performance Summary pages in this report. If the fees were applied to your account, your costs would be higher. The funds do not carry “sales loads.”
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 for the past five years, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate fund prospectus.
21
As of 6/30/2004
FINANCIAL STATEMENTS (UNAUDITED)
The Statement of Net Assets—an integral part of the Financial Statements for each of the Vanguard Tax-Managed Funds—is included as an insert to this report.
STATEMENT OF OPERATIONS
This Statement shows the types of income earned by each fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period.
- ------------------------------------------------------------------------------------------
Tax-Managed Balanced Fund
Six Months Ended June 30, 2004
(000)
- ------------------------------------------------------------------------------------------
INVESTMENT INCOME
Income
Dividends $ 1,590
Interest 5,243
Security Lending 2
- ------------------------------------------------------------------------------------------
Total Income 6,835
- ------------------------------------------------------------------------------------------
Expenses
The Vanguard Group--Note B
Investment Advisory Services 54
Management and Administrative 213
Marketing and Distribution 30
Custodian Fees 4
Shareholders' Reports 6
- ------------------------------------------------------------------------------------------
Total Expenses 307
- ------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 6,528
- ------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) ON INVESTMENT SECURITIES SOLD 871
- ------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF INVESTMENT SECURITIES (1,084)
- ------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 6,315
- ------------------------------------------------------------------------------------------
22
- ---------------------------------------------------------------------------------------------
Tax-Managed Tax-Managed
Growth and Capital Tax-Managed Tax-Managed
Income Appreciation Small-Cap International
Fund Fund Fund Fund
--------------------------------------------------------
Six Months Ended June 30, 2004
- ---------------------------------------------------------------------------------------------
(000) (000) (000) (000)
- ---------------------------------------------------------------------------------------------
INVESTMENT INCOME
Income
Dividends* $19,565 $ 17,179 $ 4,641 $12,045
Interest 10 9 6 11
Security Lending 7 62 109 34
- ---------------------------------------------------------------------------------------------
Total Income 19,582 17,250 4,756 12,090
- ---------------------------------------------------------------------------------------------
Expenses
The Vanguard Group--Note B
Investment Advisory Services 37 37 37 37
Management and Administrative
Investor Shares 855 961 615 296
Admiral Shares 324 478 -- --
Institutional Shares 62 25 6 15
Marketing and Distribution
Investor Shares 72 80 54 33
Admiral Shares 41 59 -- --
Institutional Shares 15 6 1 6
Custodian Fees 27 5 9 367
Shareholders' Reports
Investor Shares 27 17 6 3
Admiral Shares 1 2 -- --
Institutional Shares -- -- -- --
Trustees' Fees and Expenses 1 1 -- --
- ---------------------------------------------------------------------------------------------
Total Expenses 1,462 1,671 728 757
- ---------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 18,120 15,579 4,028 11,333
- ---------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 2,163 13,752 42,559 (3,497)
Foreign Currencies -- -- -- 324
- ---------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) 2,163 13,752 42,559 (3,173)
- ---------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities 60,282 74,740 51,401 23,608
Foreign Currencies -- -- -- (95)
- ---------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) 60,282 74,740 51,401 23,513
- ---------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $80,565 $104,071 $97,988 $31,673
=============================================================================================
*Dividends for the Tax-Managed International Fund are net of foreign withholding taxes of $1,523,000.
23
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each fund’s total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund’s net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares.
- -----------------------------------------------------------------------------------------------
Tax-Managed Tax-Managed
Balanced Fund Growth and Income Fund
--------------------------- -----------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
June 30, 2004 Dec. 31, 2003 June 30, 2004 Dec. 31, 2003
(000) (000) (000) (000)
- -----------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations
Net Investment Income $ 6,528 $ 11,570 $ 18,120 $ 32,630
Realized Net Gain (Loss) 871 (8,560) 2,163 (37,853)
Change in Unrealized
Appreciation (Depreciation) (1,084) 68,158 60,282 513,100
- -----------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 6,315 71,168 80,565 507,877
- -----------------------------------------------------------------------------------------------
Distributions
Net Investment Income
Investor Shares (5,811) (12,021) (9,221) (18,634)
Admiral Shares -- -- (5,995) (10,596)
Institutional Shares -- -- (1,840) (3,149)
Realized Capital Gain
Investor Shares -- -- -- --
Admiral Shares -- -- -- --
Institutional Shares -- -- -- --
- -----------------------------------------------------------------------------------------------
Total Distributions (5,811) (12,021) (17,056) (32,379)
- -----------------------------------------------------------------------------------------------
Capital Share Transactions--Note F
Investor Shares 23,813 23,416 (5,671) (35,229)
Admiral Shares -- -- 64,153 105,703
Institutional Shares -- -- 26,350 5,492
- -----------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 23,813 23,416 84,832 75,966
- -----------------------------------------------------------------------------------------------
Total Increase (Decrease) 24,317 82,563 148,341 551,464
- -----------------------------------------------------------------------------------------------
Net Assets
Beginning of Period 498,283 415,720 2,314,012 1,762,548
- -----------------------------------------------------------------------------------------------
End of Period $522,600 $498,283 $2,462,353 $2,314,012
===============================================================================================
24
- -----------------------------------------------------------------------------------------------
Tax-Managed Tax-Managed
Capital Appreciation Fund Small-Cap Fund
---------------------------- ----------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
June 30, 2004 Dec. 31, 2003 June 30, 2004 Dec. 31, 2003
(000) (000) (000) (000)
- -----------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations
Net Investment Income $ 15,579 $ 25,456 $ 4,028 $ 5,743
Realized Net Gain (Loss) 13,752 (163,709) 42,559 (20,076)
Change in Unrealized
Appreciation (Depreciation) 74,740 779,669 51,401 266,346
- -----------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 104,071 641,416 97,988 252,013
- -----------------------------------------------------------------------------------------------
Distributions
Net Investment Income
Investor Shares -- (13,637) -- (5,737)
Admiral Shares -- (10,861) -- --
Institutional Shares -- (1,042) -- (80)
Realized Capital Gain
Investor Shares -- -- -- --
Admiral Shares -- -- -- --
Institutional Shares -- -- -- --
- -----------------------------------------------------------------------------------------------
Total Distributions -- (25,540) -- (5,817)
- -----------------------------------------------------------------------------------------------
Capital Share Transactions--Note F
Investor Shares 1,401 (32,762) 51,607 88,797
Admiral Shares 90,938 118,814 -- --
Institutional Shares (12,304) (30,325) 3,452 (24,074)
- -----------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 80,035 55,727 55,059 64,723
- -----------------------------------------------------------------------------------------------
Total Increase (Decrease) 184,106 671,603 153,047 310,919
- -----------------------------------------------------------------------------------------------
Net Assets
Beginning of Period 2,672,738 2,001,135 941,624 630,705
- -----------------------------------------------------------------------------------------------
End of Period $2,856,844 $2,672,738 $1,094,671 $941,624
===============================================================================================
25
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
- ------------------------------------------------------------------------------------------
Tax-Managed
International Fund
----------------------------
Six Months Year
Ended Ended
June 30, 2004 Dec. 31, 2003
(000) (000)
- ------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations
Net Investment Income $ 11,333 $ 10,404
Realized Net Gain (Loss) (3,173) (13,909)
Change in Unrealized Appreciation (Depreciation) 23,513 160,754
- ------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting from Operations 31,673 157,249
- ------------------------------------------------------------------------------------------
Distributions
Net Investment Income
Investor Shares (138) (8,724)
Institutional Shares (43) (1,434)
Realized Capital Gain
Investor Shares -- --
Institutional Shares -- --
- ------------------------------------------------------------------------------------------
Total Distributions (181) (10,158)
- ------------------------------------------------------------------------------------------
Capital Share Transactions--Note F
Investor Shares 105,290 52,530
Institutional Shares 17,863 35,424
- ------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 123,153 87,954
- ------------------------------------------------------------------------------------------
Total Increase (Decrease) 154,645 235,045
- ------------------------------------------------------------------------------------------
Net Assets
Beginning of Period 615,943 380,898
- ------------------------------------------------------------------------------------------
End of Period $770,588 $615,943
==========================================================================================
26
FINANCIAL HIGHLIGHTS
This table summarizes each fund’s investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund’s net income and total returns from year to year; the relative contributions of net income and capital gains to the fund’s total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
Tax-Managed Balanced Fund
- -----------------------------------------------------------------------------------------------
Six Months Ended Year Ended December 31,
June 30, --------------------------------------
For a Share Outstanding Throughout Each Period 2004 2003 2002 2001 2000 1999
- -----------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $17.72 $15.54 $17.18 $18.30 $18.87 $16.74
- -----------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .23 .42 .44 .46 .48 .43
Net Realized and Unrealized Gain (Loss)
on Investments* -- 2.20 (1.65) (1.12) (.56) 2.13
- -----------------------------------------------------------------------------------------------
Total from Investment Operations .23 2.62 (1.21) (.66) (.08) 2.56
- -----------------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment Income** (.20) (.44) (.43) (.46) (.49) (.43)
Distributions from Realized Capital Gains -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------
Total Distributions (.20) (.44) (.43) (.46) (.49) (.43)
- -----------------------------------------------------------------------------------------------
Net Asset Value, End of Period $17.75 $17.72 $15.54 $17.18 $18.30 $18.87
===============================================================================================
Total Return† 1.30% 17.05% -7.07% -3.54% -0.50% 15.49%
===============================================================================================
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $523 $498 $416 $419 $400 $330
Ratio of Total Expenses to Average Net Assets 0.12%†† 0.17% 0.18% 0.19% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 2.55%†† 2.58% 2.69% 2.64% 2.61% 2.52%
Portfolio Turnover Rate 16%†† 16% 24% 21% 15% 13%
===============================================================================================
*Includes increases from redemption fees of $.01, $.01, $.01, $.01, $.01, and $.01.
**Nontaxable dividends represent 77%, 77%, 82%, 87%, 92%, and 90% of dividends from net investment income.
†Total returns do not reflect the 2% redemption fee on shares held less than one year or the 1% redemption fee on shares held at least one year but less than five years.
††Annualized.
27
FINANCIAL HIGHLIGHTS (CONTINUED)
Tax-Managed Growth and Income Fund Investor Shares
- -----------------------------------------------------------------------------------------------
Six Months Ended Year Ended December 31,
June 30, --------------------------------------
For a Share Outstanding Throughout Each Period 2004 2003 2002 2001 2000 1999
- -----------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $24.23 $19.15 $24.93 $28.66 $31.81 $26.55
- -----------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .18 .34 .313 .294 .295 .307
Net Realized and Unrealized Gain (Loss)
on Investments* .65 5.08 (5.768) (3.725) (3.148) 5.267
- -----------------------------------------------------------------------------------------------
Total from Investment Operations .83 5.42 (5.455) (3.431) (2.853) 5.574
- -----------------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment Income (.17) (.34) (.325) (.299) (.297) (.314)
Distributions from Realized Capital Gains -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------
Total Distributions (.17) (.34) (.325) (.299) (.297) (.314)
- -----------------------------------------------------------------------------------------------
Net Asset Value, End of Period $24.89 $24.23 $19.15 $24.93 $28.66 $31.81
===============================================================================================
Total Return** 3.44% 28.53% -21.95% -11.93% -9.03% 21.12%
===============================================================================================
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $1,350 $1,321 $1,077 $1,606 $2,320 $2,240
Ratio of Total Expenses to Average Net Assets 0.15%† 0.17% 0.17% 0.18% 0.19% 0.19%
Ratio of Net Investment Income to
Average Net Assets 1.48%† 1.63% 1.44% 1.13% 0.96% 1.11%
Portfolio Turnover Rate 4%† 5% 9% 5% 5% 4%
===============================================================================================
*Includes increases from redemption fees of $.00, $.01, $.03, $.02, $.02, and $.01.
**Total returns do not reflect the 2% redemption fee on shares held less than one year or the 1% redemption fee on shares held at least one year but less than five years.
†Annualized.
28
Tax-Managed Growth and Income Fund Admiral Shares
- -------------------------------------------------------------------------------------------
Year Ended
Six Months Ended December 31, Nov.12* to
June 30, ---------------- Dec. 31,
For a Share Outstanding Throughout Each Period 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $49.80 $39.35 $51.24 $50.00
- -------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .388 .733 .673 .087
Net Realized and Unrealized Gain (Loss) on Investments** 1.315 10.443 (11.870) 1.348
- -------------------------------------------------------------------------------------------
Total from Investment Operations 1.703 11.176 (11.197) 1.435
- -------------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment Income (.363) (.726) (.693) (.195)
Distributions from Realized Capital Gains -- -- -- --
- -------------------------------------------------------------------------------------------
Total Distributions (.363) (.726) (.693) (.195)
- -------------------------------------------------------------------------------------------
Net Asset Value, End of Period $51.14 $49.80 $39.35 $51.24
===========================================================================================
Total Return† 3.43% 28.64% -21.92% 2.87%
===========================================================================================
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $863 $777 $520 $505
Ratio of Total Expenses to Average Net Assets 0.10%†† 0.11% 0.11% 0.14%††
Ratio of Net Investment Income to Average Net Assets 1.54%†† 1.69% 1.52% 1.26%††
Portfolio Turnover Rate 4%†† 5% 9% 5%
===========================================================================================
*Inception.
**Includes increases from redemption fees of $.01, $.02, $.05, and $.03.
†Total returns do not reflect the 2% redemption fee on shares held less than one year or the 1% redemption fee on shares held at least one year but less than five years.
††Annualized.
29
FINANCIAL HIGHLIGHTS (CONTINUED)
Tax-Managed Growth and Income Fund Institutional Shares
- -----------------------------------------------------------------------------------------------
Six Months Ended Year Ended December 31, Mar. 4* to
For a Share Outstanding Throughout June 30, --------------------------------- Dec. 31,
Each Period 2004 2003 2002 2001 2000 1999
- -----------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $24.24 $19.15 $24.93 $28.66 $31.81 $26.99
- -----------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .18 .369 .331 .319 .319 .274
Net Realized and Unrealized Gain (Loss)
on Investments** .65 5.080 (5.768) (3.725) (3.148) 4.882
- -----------------------------------------------------------------------------------------------
Total from Investment Operations .83 5.449 (5.437) (3.406) (2.829) 5.156
- -----------------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment Income (.18) (.359) (.343) (.324) (.321) (.336)
Distributions from Realized Capital Gains -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------
Total Distributions (.18) (.359) (.343) (.324) (.321) (.336)
- -----------------------------------------------------------------------------------------------
Net Asset Value, End of Period $24.89 $24.24 $19.15 $24.93 $28.66 $31.81
===============================================================================================
Total Return† 3.44% 28.69% -21.88% -11.84% -8.96% 19.23%
===============================================================================================
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $249 $217 $167 $158 $95 $108
Ratio of Total Expenses to
Average Net Assets 0.07%†† 0.08% 0.08% 0.08% 0.11% 0.10%††
Ratio of Net Investment Income to
Average Net Assets 1.56%†† 1.72% 1.54% 1.25% 1.04% 1.18%††
Portfolio Turnover Rate 4%†† 5% 9% 5% 5% 4%
===============================================================================================
*Inception.
**Includes increases from redemption fees of $.00, $.01, $.03, $.02, $.02, and $.01.
†Total returns do not reflect the 2% redemption fee on shares held less than one year or the 1% redemption fee on shares held at least one year but less than five years.
††Annualized.
30
Tax-Managed Capital Appreciation Fund Investor Shares
- ------------------------------------------------------------------------------------------------
Six Months Ended Year Ended December 31,
June 30, -----------------------------------------
For a Share Outstanding Throughout Each Period 2004 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $25.43 $19.49 $25.73 $30.59 $34.17 $25.69
- ------------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .14 .238 .196 .164 .117 .117
Net Realized and Unrealized Gain (Loss)
on Investments* .84 5.940 (6.231) (4.854) (3.578) 8.487
- ------------------------------------------------------------------------------------------------
Total from Investment Operations .98 6.178 (6.035) (4.690) (3.461) 8.604
- ------------------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment Income -- (.238) (.205) (.170) (.119) (.124)
Distributions from Realized Capital Gains -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------
Total Distributions -- (.238) (.205) (.170) (.119) (.124)
- ------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $26.41 $25.43 $19.49 $25.73 $30.59 $34.17
================================================================================================
Total Return** 3.85% 31.72% -23.45% -15.34% -10.13% 33.50%
================================================================================================
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $1,523 $1,466 $1,154 $1,678 $2,643 $2,378
Ratio of Total Expenses to Average Net Assets 0.15%† 0.17% 0.17% 0.18% 0.19% 0.19%
Ratio of Net Investment Income to
Average Net Assets 1.10%† 1.09% 0.87% 0.60% 0.36% 0.47%
Portfolio Turnover Rate 5%† 11% 10% 13% 17% 12%
================================================================================================
*Includes increases from redemption fees of $.00, $.01, $.02, $.02, $.01, and $.01.
**Total returns do not reflect the 2% redemption fee on shares held less than one year or the 1% redemption fee on shares held at least one year but less than five years.
†Annualized.
31
FINANCIAL HIGHLIGHTS (CONTINUED)
Tax-Managed Capital Appreciation Fund Admiral Shares
- -------------------------------------------------------------------------------------------
Year Ended
Six Months Ended December 31, Nov.12* to
June 30, --------------- Dec. 31,
For a Share Outstanding Throughout Each Period 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $51.20 $39.24 $51.79 $50.00
- -------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .30 .51 .42 .064
Net Realized and Unrealized Gain (Loss) on Investments** 1.68 11.96 (12.53) 2.072
- -------------------------------------------------------------------------------------------
Total from Investment Operations 1.98 12.47 (12.11) 2.136
- -------------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment Income -- (.51) (.44) (.346)
Distributions from Realized Capital Gains -- -- -- --
- -------------------------------------------------------------------------------------------
Total Distributions -- (.51) (.44) (.346)
- -------------------------------------------------------------------------------------------
Net Asset Value, End of Period $53.18 $51.20 $39.24 $51.79
===========================================================================================
Total Return† 3.87% 31.80% -23.38% 4.26%
===========================================================================================
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $1,238 $1,103 $741 $778
Ratio of Total Expenses to Average Net Assets 0.10%†† 0.11% 0.11% 0.14%††
Ratio of Net Investment Income to Average Net Assets 1.16%†† 1.16% 0.95% 0.79%††
Portfolio Turnover Rate 5%†† 11% 10% 13%
===========================================================================================
*Inception.
**Includes increases from redemption fees of $.01, $.02, $.03, and $.03.
†Total returns do not reflect the 2% redemption fee on shares held less than one year or the 1% redemption fee on shares held at least one year but less than five years.
††Annualized.
32
Tax-Managed Capital Appreciation Fund Institutional Shares
- ----------------------------------------------------------------------------------------------
Six Months Ended Year Ended December 31, Feb. 24* to
For a Share Outstanding June 30, --------------------------------- Dec. 31,
Throughout Each Period 2004 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $25.44 $19.49 $25.73 $30.59 $34.18 $26.32
- ----------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .15 .267 .216 .188 .136 .129
Net Realized and Unrealized Gain (Loss)
on Investments** .84 5.940 (6.231) (4.854) (3.578) 7.877
- ----------------------------------------------------------------------------------------------
Total from Investment Operations .99 6.207 (6.015) (4.666) (3.442) 8.006
- ----------------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment Income -- (.257) (.225) (.194) (.148) (.146)
Distributions from Realized Capital Gains -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------
Total Distributions -- (.257) (.225) (.194) (.148) (.146)
- ----------------------------------------------------------------------------------------------
Net Asset Value, End of Period $26.43 $25.44 $19.49 $25.73 $30.59 $34.18
==============================================================================================
Total Return† 3.89% 31.87% -23.37% -15.26% -10.07% 30.43%
==============================================================================================
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $95 $104 $106 $121 $210 $165
Ratio of Total Expenses to
Average Net Assets 0.07%†† 0.08% 0.08% 0.08% 0.10% 0.10%††
Ratio of Net Investment Income to
Average Net Assets 1.17%†† 1.17% 0.98% 0.69% 0.46% 0.56%††
Portfolio Turnover Rate 5%†† 11% 10% 13% 17% 12%
==============================================================================================
*Inception.
**Includes increases from redemption fees of $.00, $.01, $.02, $.02, $.01, and $.01.
†Total returns do not reflect the 2% redemption fee on shares held less than one year or the 1% redemption fee on shares held at least one year but less than five years.
††Annualized.
33
FINANCIAL HIGHLIGHTS (CONTINUED)
Tax-Managed Small-Cap Fund Investor Shares
- --------------------------------------------------------------------------------------------
Six Months Ended Year Ended December 31, Feb. 25* to
For a Share Outstanding Throughout June 30, ------------------------------- Dec. 31,
Each Period 2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $17.44 $12.67 $14.92 $14.23 $12.61 $10.00
- --------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .07 .109 .092 .079 .074 .049
Net Realized and Unrealized Gain (Loss)
on Investments** 1.69 4.770 (2.247) .696 1.620 2.615
- --------------------------------------------------------------------------------------------
Total from Investment Operations 1.76 4.879 (2.155) .775 1.694 2.664
- --------------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment Income -- (.109) (.095) (.085) (.074) (.054)
Distributions from Realized Capital Gains -- -- -- -- -- --
- --------------------------------------------------------------------------------------------
Total Distributions -- (.109) (.095) (.085) (.074) (.054)
- --------------------------------------------------------------------------------------------
Net Asset Value, End of Period $19.20 $17.44 $12.67 $14.92 $14.23 $12.61
============================================================================================
Total Return† 10.09% 38.51% -14.44% 5.44% 13.44% 26.28%
============================================================================================
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $1,077 $929 $601 $568 $368 $194
Ratio of Total Expenses to
Average Net Assets 0.15%†† 0.17% 0.17% 0.20% 0.20% 0.19%††
Ratio of Net Investment Income to
Average Net Assets 0.80%†† 0.77% 0.68% 0.63% 0.64% 0.70%††
Portfolio Turnover Rate 24%†† 21% 21% 25% 64% 27%
============================================================================================
*Initial share purchase date. Subscription period for the fund was February 22, 1999, to March 24, 1999, during which time all assets were held in money market instruments. Performance measurement begins March 25, 1999.
**Includes increases from redemption fees of $.01, $.01, $.01, $.00, $.00, and $.00.
†Total returns do not reflect the transaction fee on purchases (0.5% from April 1, 2000, through March 31, 2002; 1% through March 31, 2000), the 2% redemption fee on shares held less than one year, or the 1% redemption fee on shares held at least one year but less than five years.
††Annualized.
34
Tax-Managed Small-Cap Fund Institutional Shares
- --------------------------------------------------------------------------------------------
Six Months Ended Year Ended December 31, Apr. 21* to
For a Share Outstanding Throughout June 30, ------------------------------ Dec. 31,
Each Period 2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $17.47 $12.68 $14.92 $14.23 $12.61 $10.76
- --------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .07 .134 .105 .092 .085 .044
Net Realized and Unrealized Gain (Loss)
on Investments** 1.69 4.770 (2.247) .696 1.620 1.866
- --------------------------------------------------------------------------------------------
Total from Investment Operations 1.76 4.904 (2.142) .788 1.705 1.910
- --------------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment Income -- (.114) (.098) (.098) (.085) (.060)
Distributions from Realized Capital Gains -- -- -- -- -- --
- --------------------------------------------------------------------------------------------
Total Distributions -- (.114) (.098) (.098) (.085) (.060)
- --------------------------------------------------------------------------------------------
Net Asset Value, End of Period $19.23 $17.47 $12.68 $14.92 $14.23 $12.61
============================================================================================
Total Return+ 10.07% 38.68% -14.36% 5.53% 13.53% 17.77%
============================================================================================
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $17 $12 $29 $53 $46 $19
Ratio of Total Expenses to
Average Net Assets 0.10%†† 0.10% 0.10% 0.10% 0.10% 0.10%††
Ratio of Net Investment Income to
Average Net Assets 0.85%†† 0.84% 0.74% 0.73% 0.76% 0.74%††
Portfolio Turnover Rate 24%†† 21% 21% 25% 64% 27%
============================================================================================
*Inception.
**Includes increases from redemption fees of $.01, $.01, $.01, $.00, $.00, and $.00.
†Total returns do not reflect the transaction fee on purchases (0.5% from April 1, 2000, through March 31, 2002; 1% through March 31, 2000), the 2% redemption fee on shares held less than one year, or the 1% redemption fee on shares held at least one year but less than five years.
††Annualized.
35
FINANCIAL HIGHLIGHTS (CONTINUED)
Tax-Managed International Fund Investor Shares
- ----------------------------------------------------------------------------------------------
Six Months Ended Year Ended December 31, Aug. 17* to
For a Share Outstanding Throughout June 30, --------------------------------- Dec. 31,
Each Period 2004 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $8.76 $6.43 $7.79 $10.14 $11.96 $10.00
- ----------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .139 .158 .14 .111 .11 .03
Net Realized and Unrealized Gain (Loss)
on Investments** .293 2.325 (1.36) (2.336) (1.82) 1.97
- ----------------------------------------------------------------------------------------------
Total from Investment Operations .432 2.483 (1.22) (2.225) (1.71) 2.00
- ----------------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment Income (.002) (.153) (.14) (.125) (.11) (.04)
Distributions from Realized Capital Gains -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------
Total Distributions (.002) (.153) (.14) (.125) (.11) (.04)
- ----------------------------------------------------------------------------------------------
Net Asset Value, End of Period $9.19 $8.76 $6.43 $ 7.79 $10.14 $11.96
==============================================================================================
Total Return† 4.93% 38.67% -15.62% -21.94% -14.29% 20.01%
==============================================================================================
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $645 $514 $334 $327 $241 $135
Ratio of Total Expenses to
Average Net Assets 0.23%†† 0.28% 0.31% 0.35% 0.35% 0.35%††
Ratio of Net Investment Income to
Average Net Assets 3.20%†† 2.33% 2.04% 1.49% 1.24% 0.96%††
Portfolio Turnover Rate 5%†† 9% 7% 20% 5% 7%
==============================================================================================
*Inception.
**Includes increases from redemption fees of $.00, $.01, $.01, $.00, $.01, and $.00.
†Total returns do not reflect the transaction fee on purchases (0.25% from April 1, 2000, through March 31, 2002; 0.75% through March 31, 2000), the 2% redemption fee on shares held less than one year, or the 1% redemption fee on shares held at least one year but less than five years.
††Annualized.
36
Tax-Managed International Fund Institutional Shares
- --------------------------------------------------------------------------------------------
Year Ended
Six Months Ended December 31, Jan. 4* to
June 30, -------------- Dec. 31,
For a Share Outstanding Throughout Each Period 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $8.77 $6.43 $7.79 $10.13
- --------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .130 .17 .148 .123
Net Realized and Unrealized Gain (Loss) on Investments** .293 2.33 (1.361) (2.329)
- --------------------------------------------------------------------------------------------
Total from Investment Operations .423 2.50 (1.213) (2.206)
- --------------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment Income (.003) (.16) (.147) (.134)
Distributions from Realized Capital Gains -- -- -- --
- --------------------------------------------------------------------------------------------
Total Distributions (.003) (.16) (.147) (.134)
- --------------------------------------------------------------------------------------------
Net Asset Value, End of Period $9.19 $8.77 $6.43 $ 7.79
============================================================================================
Total Return† 4.82% 38.94% -15.52% -21.77%
============================================================================================
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $125 $102 $47 $55
Ratio of Total Expenses to Average Net Assets 0.15%†† 0.17% 0.20% 0.22%††
Ratio of Net Investment Income to Average Net Assets 3.26%†† 2.44% 2.16% 1.68%††
Portfolio Turnover Rate 5%†† 9% 7% 20%
============================================================================================
*Inception.
**Includes increases from redemption fees of $.00, $.00, $.01, and $.00.
†Total returns do not reflect the 0.25% transaction fee on purchases through March 31, 2002, the 2% redemption fee on shares held less than one year, or the 1% redemption fee on shares held at least one year but less than five years.
††Annualized.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
37
NOTES TO FINANCIAL STATEMENTS
Vanguard Tax-Managed Funds comprise the Tax-Managed Balanced, Tax-Managed Growth and Income, Tax-Managed Capital Appreciation, Tax-Managed Small-Cap, and Tax-Managed International Funds, each of which is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund.
The Tax-Managed Growth and Income and Tax-Managed Capital Appreciation Funds each offer three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. The Tax-Managed Small-Cap and Tax-Managed International Funds each offer two classes of shares: Investor Shares and Institutional Shares. The Tax-Managed Balanced Fund offers only Investor Shares. Investor Shares are available to any investor who meets the funds’ minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $10 million.
The Tax-Managed Balanced Fund invests in debt instruments of many municipal issuers; the issuers’ abilities to meet their obligations may be affected by economic and political developments in a specific state or region. The Tax-Managed International Fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of United States corporations.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The funds consistently follow such policies in preparing their financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 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. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the funds’ pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, futures contracts or exchange-traded funds), between the time the foreign markets close and the funds’ pricing time, to determine whether a significant change in value has occurred. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rates on the valuation date as employed by Morgan Stanley Capital International in the calculation of its indexes. As part of the funds’ fair value procedures, exchange rates may be adjusted if they change significantly before the funds’ pricing time but after the time at which the MSCI rates are determined (generally 11:00 a.m. Eastern time).
Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the asset or liability is settled in cash, when they are recorded as realized foreign currency gains (losses).
38
3. Repurchase Agreements: Each fund, along with other members of The Vanguard Group, transfers uninvested cash balances to a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
4. Federal Income Taxes: Each fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
6. Other: Dividend income is recorded on the ex-dividend date. 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. Premiums and discounts on municipal bonds are amortized and accreted, respectively, to interest income over the lives of the respective securities. Fees assessed on capital share transactions are credited to paid-in capital.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its assets in capital contributions to Vanguard. At June 30, 2004, the funds had contributed capital to Vanguard (included in Other Assets) of:
- --------------------------------------------------------------------------------
Capital Contribution Percentage Percentage of
to Vanguard of Fund Vanguard's
Tax-Managed Fund (000) Net Assets Capitalization
- --------------------------------------------------------------------------------
Balanced $ 75 0.01% 0.07%
Growth and Income 354 0.01 0.35
Capital Appreciation 408 0.01 0.41
Small-Cap 150 0.01 0.15
International 108 0.01 0.11
- --------------------------------------------------------------------------------
The funds’ trustees and officers are also directors and officers of Vanguard.
C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
39
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
During the six months ended June 30, 2004, the Tax-Managed International Fund realized net foreign currency gains of $324,000, which increased distributable net income for tax purposes; accordingly, such gains have been reclassified from accumulated net realized losses to undistributed net investment income.
The funds’ tax-basis capital gains and losses are determined only at the end of each year. For tax purposes at December 31, 2003, the following funds had tax-basis capital losses available to offset future net capital gains:
- --------------------------------------------------------------------------------
Capital Losses
----------------------------------
Expiration: Fiscal
Amount Years Ending
Tax-Managed Fund (000) December 31
- --------------------------------------------------------------------------------
Balanced $ 36,996 2005-2012
Growth and Income 436,447 2004-2012
Capital Appreciation 606,863 2004-2011
Small-Cap 65,359 2007-2012
International 74,226 2007-2012
- --------------------------------------------------------------------------------
The funds will use these capital losses to offset net taxable capital gains, if any realized during the year ending December 31, 2004; should the funds realize net capital losses for the year, the losses will be added to the loss carryforward balances above.
At June 30, 2004, net unrealized appreciation (depreciation) of investment securities for tax purposes was:
- --------------------------------------------------------------------------------
(000)
------------------------------------------------
Net Unrealized
Appreciated Depreciated Appreciation
Tax-Managed Fund Securities Securities (Depreciation)
- --------------------------------------------------------------------------------
Balanced $ 94,833 $ (4,943) $ 89,890
Growth and Income 647,774 (88,690) 559,084
Capital Appreciation 1,025,862 (53,754) 972,108
Small-Cap 360,178 (6,871) 353,307
International 107,343 (40,728) 66,615
- --------------------------------------------------------------------------------
The Tax-Managed International Fund had net unrealized foreign currency gains of $12,000 resulting from the translation of other assets and liabilities at June 30, 2004.
D. During the six months ended June 30, 2004, purchases and sales of investment securities other than temporary cash investments were:
- --------------------------------------------------------------------------------
(000)
----------------------------
Tax-Managed Fund Purchases Sales
- --------------------------------------------------------------------------------
Balanced $ 48,291 $ 38,936
Growth and Income 135,151 52,005
Capital Appreciation 167,814 73,244
Small-Cap 180,434 122,396
International 159,683 17,624
- --------------------------------------------------------------------------------
40
E. The market value of securities on loan to broker/dealers at June 30, 2004, and collateral received with respect to such loans were:
- --------------------------------------------------------------------------------
(000)
----------------------------------
Market Value Cash
of Loaned Collateral
Tax-Managed Fund Securities Received
- --------------------------------------------------------------------------------
Balanced $ 343 $ 376
Growth and Income 1,661 1,830
Capital Appreciation 11,016 13,155
Small-Cap 25,140 26,460
International 12,264 12,925
- --------------------------------------------------------------------------------
The funds invest cash collateral received in repurchase agreements, and record a liability for the return of the collateral, during the period the securities are on loan.
F. Capital share transactions for each class of shares were:
- -------------------------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 2004 December 31, 2003
--------------------- --------------------
Amount Shares Amount Shares
Tax-Managed Fund (000) (000) (000) (000)
- -------------------------------------------------------------------------------------------
Balanced
Issued $ 40,534 2,264 $ 48,701 2,935
Issued in Lieu of Cash Distributions 4,890 276 10,137 605
Redeemed* (21,611) (1,218) (35,422) (2,173)
--------------------------------------------
Net Increase (Decrease)--Investor Shares 23,813 1,322 23,416 1,367
- -------------------------------------------------------------------------------------------
Growth and Income
Investor Shares
Issued $ 82,330 3,349 $ 111,325 5,244
Issued in Lieu of Cash Distributions 8,002 327 16,193 748
Redeemed** (96,003) (3,915) (162,747) (7,721)
--------------------------------------------
Net Increase (Decrease)--Investor Shares (5,671) (239) (35,229) (1,729)
--------------------------------------------
Admiral Shares
Issued 85,177 1,692 142,140 3,222
Issued in Lieu of Cash Distributions 4,660 93 8,137 182
Redeemed** (25,684) (508) (44,574) (1,012)
--------------------------------------------
Net Increase (Decrease)--Admiral Shares 64,153 1,277 105,703 2,392
--------------------------------------------
Institutional Shares
Issued 44,474 1,827 9,505 454
Issued in Lieu of Cash Distributions 1,270 52 2,724 127
Redeemed** (19,394) (805) (6,737) (342)
--------------------------------------------
Net Increase (Decrease)--Institutional Shares 26,350 1,074 5,492 239
- -------------------------------------------------------------------------------------------
*Net of redemption fees for 2004 and 2003 of $152,000 and $240,000, respectively.
**Net of redemption fees for 2004 and 2003 of $396,000 and $858,000, respectively (fund totals).
41
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ------------------------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 2004 December 31, 2003
------------------- -------------------
Amount Shares Amount Shares
Tax-Managed Fund (000) (000) (000) (000)
- ------------------------------------------------------------------------------------------
Capital Appreciation
Investor Shares
Issued $ 101,304 3,906 $ 127,228 5,787
Issued in Lieu of Cash Distributions -- -- 12,060 481
Redeemed* (99,903) (3,848) (172,050) (7,873)
------------------------------------------
Net Increase (Decrease)--Investor Shares 1,401 58 (32,762) (1,605)
------------------------------------------
Admiral Shares
Issued 118,369 2,255 170,008 3,847
Issued in Lieu of Cash Distributions -- -- 8,391 166
Redeemed* (27,431) (526) (59,585) (1,342)
------------------------------------------
Net Increase (Decrease)--Admiral Shares 90,938 1,729 118,814 2,671
------------------------------------------
Institutional Shares
Issued 528 20 1,759 76
Issued in Lieu of Cash Distributions -- -- 641 26
Redeemed* (12,832) (492) (32,725) (1,454)
------------------------------------------
Net Increase (Decrease)--Institutional Shares (12,304) (472) (30,325) (1,352)
- ------------------------------------------------------------------------------------------
Small-Cap
Investor Shares
Issued $ 88,247 4,862 $ 130,229 8,882
Issued in Lieu of Cash Distributions -- -- 4,651 267
Redeemed** (36,640) (2,032) (46,083) (3,337)
------------------------------------------
Net Increase (Decrease)--Investor Shares 51,607 2,830 88,797 5,812
------------------------------------------
Institutional Shares
Issued 3,710 211 21 2
Issued in Lieu of Cash Distributions -- -- 80 5
Redeemed** (258) (14) (24,175) (1,616)
------------------------------------------
Net Increase (Decrease)--Institutional Shares 3,452 197 (24,074) (1,609)
- ------------------------------------------------------------------------------------------
International
Investor Shares
Issued $ 119,322 13,223 $ 122,358 17,126
Issued in Lieu of Cash Distributions 107 12 6,899 804
Redeemed† (14,139) (1,585) (76,727) (11,353)
------------------------------------------
Net Increase (Decrease)--Investor Shares 105,290 11,650 52,530 6,577
------------------------------------------
Institutional Shares
Issued 18,548 2,042 33,988 4,247
Issued in Lieu of Cash Distributions 31 3 1,436 167
Redeemed† (716) (79) -- --
------------------------------------------
Net Increase (Decrease)--Institutional Shares 17,863 1,966 35,424 4,414
- ------------------------------------------------------------------------------------------
*Net of redemption fees for 2004 and 2003 of $347,000 and $796,000, respectively (fund totals).
**Net of redemption fees for 2004 and 2003 of $352,000 and $517,000, respectively (fund totals).
†Net of redemption fees for 2004 and 2003 of $135,000 and $658,000, respectively (fund totals).
42
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43
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 trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard® funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of
Position(s) Held With
Name Fund (Number of
(Year of Birth) Vanguard Funds
Trustee/officer Overseen by Principal Occupation(s) During the Past
Since Trustee/officer) Five Years
- ------------------------------------------------------------------------------------
John J. Brennan* Chairman of the Chairman of the Board, Chief Executive
(1954) Board, Chief Officer, and Director/Trustee of The
May 1987 Executive Officer, Vanguard Group, Inc., and of each of the
and Trustee investment companies served by The
(131) Vanguard Group.
- ------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
Charles D. Ellis Trustee The Partners of `63 (pro bono ventures
(1937) (131) in education); Senior Advisor to
January 2001 Greenwich); Associates (international
business strategy consulting Successor
Trustee of Yale University; Overseer
of the Stern School of Business at
New York University; of the Whitehead
Institute Biomedical Research.
- ------------------------------------------------------------------------------------
Rajiv L. Gupta Trustee Chairman and Chief Executive Officer
(1945) (131) (since October 1999), Vice Chairman
December 2001 (January-September 1999), and Vice
President (prior to September 1999) of
Rohm and Haas Co. (chemicals); Director
of Technitrol, Inc. (electronic
components), and Agere Systems
(communications components); Board
Member of the American Chemistry
Council; Trustee of Drexel University.
- ------------------------------------------------------------------------------------
Joann Heffernan Trustee Vice President, Chief Information
Heisen (131) Officer, and Member of the Executive
(1950) Committee of Johnson & Johnson
July 1998 (pharmaceuticals/consumer products);
Director of the University Medical Center
at Princeton and Women's Research and
Education Institute.
- ------------------------------------------------------------------------------------
Burton G. Malkiel Trustee Chemical Bank Chairman's Professor
(1932) (129) of Economics, Princeton University;
May 1977 Director of Vanguard Investment Series
plc (Irish invest-ent fund) (since
November 2001), Vanguard Group (Ireland)
Limited (Irish investment management
firm) (since November 2001), Prudential
Insurance Co. of America, BKF Capital
(investment management), The Jeffrey Co.
(holding company), and NeuVis, Inc.
(software company).
- ------------------------------------------------------------------------------------
the funds. Among board members’ responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee’s retirement, resignation, or death; or otherwise as specified in the fund’s organizational documents. Any trustee may be removed at a shareholders’ meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
Position(s) Held With
Name Fund (Number of
(Year of Birth) Vanguard Funds
Trustee/officer Overseen by
Since Trustee/officer) Principal Occupation(s) During the Past
Five Years
- -----------------------------------------------------------------------------------
Alfred M. Rankin, Jr. Trustee Chairman, President, Chief
(1941) (131) Executive Officer, and Director of NACCO
January 1993 Industries, Inc. (forklift trucks/
housewares/lignite); Director of
Goodrich Corporation (industrial
products/aircraft systems and
services); Director of Standard
Products Company (supplier for the
automotive industry) until 1998.
- -----------------------------------------------------------------------------------
J. Lawrence Wilson Trustee Retired Chairman and Chief
(1936) (131) Executive Officer of Rohm and Haas Co.
April 1985 (chemicals); Director of Cummins Inc.
(diesel engines), MeadWestvacoCorp.
(paper products), and
AmerisourceBergen Corp.
(pharmaceutical distribution);
Trustee of Vanderbilt University.
- -----------------------------------------------------------------------------------
EXECUTIVE OFFICERS*
R. Gregory Barton Secretary Managing Director and General
(1951) (131) Counsel of The Vanguard Group, Inc.;
June 2001 Secretary of The Vanguard Group and
of each of the investmentcompanies
served by The Vanguard Group.
- -----------------------------------------------------------------------------------
Thomas J. Higgins Treasurer Principal of The Vanguard
(1957) (131) Group, Inc.; Treasurer of each of
July 1998 the investment companies served by
The Vanguard Group.
- -----------------------------------------------------------------------------------
*Officers of the funds are “interested persons” as defined in the Investment Company Act of 1940.
More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group.
- ----------------------------------------------------------------------------------- VANGUARD SENIOR MANAGEMENT TEAM Mortimer J. Buckley, Information Technology. James H. Gately, Investment Programs and Services. Kathleen C. Gubanich, Human Resources. F. William McNabb, III, Client Relationship Group. Michael S. Miller, Planning and Development. Ralph K. Packard, Finance. George U. Sauter, Chief Investment Officer. - ----------------------------------------------------------------------------------- John C. Bogle, Founder; Chairman and Chief Executive Officer, 1974-1996. - -----------------------------------------------------------------------------------
Post Office Box 2600
Valley Forge, PA 19482-2600
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All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted.
About Our Cover
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For More Information
This report is intended for the funds’ shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus.
To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the funds or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through Vanguard.com. Prospectuses may also be viewed online.
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© 2004 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
Q872 082004
As of 6/30/2004
VANGUARD TAX-MANAGED FUNDS®
STATEMENT OF NET ASSETS (UNAUDITED)
The Statement of Net Assets should be read in conjunction with the Statement of Operations, Statement of Changes in Net Assets, Financial Highlights, and Notes to Financial Statements, all of which appear in the accompanying report.
This Statement provides a detailed list of each fund’s holdings, including each security’s market value on the last day of the reporting period. Securities are grouped and subtotaled by asset type (common stocks, bonds, etc.), with common stocks grouped by industry sector (grouped by country for the Tax-Managed International Fund). The Tax-Managed Balanced Fund’s municipal bond holdings are grouped and subtotaled by state. Other assets are added to, and liabilities are subtracted from, the value of Total Investments to calculate the fund’s Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets of each fund, you will find a table displaying the composition of the fund’s net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
- -------------------------------------------------------------- Contents Tax-Managed Balanced Fund 1 Tax-Managed Growth and Income Fund 13 Tax-Managed Capital Appreciation Fund 19 Tax-Managed Small-Cap Fund 26 Tax-Managed International Fund 33 - --------------------------------------------------------------
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Balanced Fund Shares (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (48.1%)
- --------------------------------------------------------------------------------
Auto & Transportation (1.2%)
United Parcel Service, Inc. 11,400 $ 857
FedEx Corp. 8,900 727
Harley-Davidson, Inc. 9,300 576
Southwest Airlines Co. 26,618 446
Norfolk Southern Corp. 14,100 374
Union Pacific Corp. 5,959 354
Burlington Northern Santa Fe Corp. 8,938 313
Expeditors International
of Washington, Inc. 5,800 287
Ford Motor Co. 17,765 278
General Motors Corp. 5,479 255
C.H. Robinson Worldwide, Inc. 4,800 220
J.B. Hunt Transport Services, Inc. 5,700 $ 220
Lear Corp. 3,700 218
* JetBlue Airways Corp. 6,979 205
Gentex Corp. 5,100 202
* Navistar International Corp. 4,900 190
American Axle & Manufacturing
Holdings, Inc. 4,800 175
CSX Corp. 4,200 138
-----------
6,035
-----------
Consumer Discretionary (7.8%)
Wal-Mart Stores, Inc. 61,300 3,234
Home Depot, Inc. 46,300 1,630
* Time Warner, Inc. 91,710 1,612
Viacom Inc. Class B 38,271 1,367
1
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Balanced Fund Shares (000)
- --------------------------------------------------------------------------------
eBay Inc. 11,700 $ 1,076
* Yahoo! Inc. 29,200 1,061
The Walt Disney Co. 41,600 1,060
Lowe's Cos., Inc. 19,900 1,046
McDonald's Corp. 34,500 897
Target Corp. 19,000 807
Cendant Corp. 29,595 724
Gillette Co. 16,500 700
Liberty Media Corp. 77,128 693
Costco Wholesale Corp. 14,200 583
Waste Management, Inc. 18,301 561
* Starbucks Corp. 12,900 561
Kimberly-Clark Corp. 8,372 552
The Gap, Inc. 20,325 493
Avon Products, Inc. 10,600 489
Staples, Inc. 16,237 476
International Game Technology 11,600 448
Electronic Arts Inc. 8,000 436
Best Buy Co., Inc. 8,550 434
DirecTV Group, Inc. 24,771 424
* Apollo Group, Inc. Class A 4,700 415
* Bed Bath & Beyond, Inc. 10,700 411
* Yum! Brands, Inc. 10,800 402
* Amazon.com, Inc. 7,300 397
* InterActiveCorp 12,900 389
Marriott International, Inc. Class A 7,500 374
Clear Channel Communications, Inc. 9,920 367
* Kohl's Corp. 8,600 364
Starwood Hotels & Resorts
Worldwide, Inc. 8,101 363
Coach, Inc. 7,900 357
Federated Department Stores, Inc. 7,200 354
NIKE, Inc. Class B 4,200 318
Hilton Hotels Corp. 15,879 296
Mattel, Inc. 16,080 293
Harrah's Entertainment, Inc. 5,400 292
EchoStar Communications Corp.
Class A 9,457 291
* Caesars Entertainment, Inc. 18,800 282
* Office Depot, Inc. 15,700 281
PETsMART, Inc. 8,600 279
Cintas Corp. 5,650 269
Jones Apparel Group, Inc. 6,800 268
Mandalay Resort Group 3,800 261
Republic Services, Inc. Class A 9,000 260
* Interpublic Group of Cos., Inc. 18,900 259
Estee Lauder Cos. Class A 5,300 259
Robert Half International, Inc. 8,600 256
Manpower Inc. 5,000 254
Michaels Stores, Inc. 4,500 247
* Iron Mountain, Inc. 5,100 246
Fastenal Co. 4,300 244
Abercrombie & Fitch Co. 6,300 $ 244
* XM Satellite Radio Holdings, Inc. 8,900 243
* AutoZone Inc. 3,000 240
* Univision Communications Inc. 7,510 240
Dollar General Corp. 12,060 236
* Allied Waste Industries, Inc. 17,600 232
CDW Corp. 3,600 230
Foot Locker, Inc. 9,400 229
* Mohawk Industries, Inc. 3,100 227
* MGM Mirage, Inc. 4,814 226
Liz Claiborne, Inc. 6,200 223
* Toys R Us, Inc. 14,000 223
* Lamar Advertising Co. Class A 5,000 217
* Brinker International, Inc. 6,350 217
E.W. Scripps Co. Class A 2,000 210
Dollar Tree Stores, Inc. 7,650 210
* AutoNation, Inc. 12,200 209
* Career Education Corp. 4,500 205
* Williams-Sonoma, Inc. 6,200 204
Gannett Co., Inc. 2,400 204
Fox Entertainment Group, Inc.
Class A 7,400 198
RadioShack Corp. 6,900 198
* Weight Watchers International, Inc. 5,000 196
Darden Restaurants Inc. 9,450 194
Outback Steakhouse 4,650 192
Polo Ralph Lauren Corp. 5,500 189
* Timberland Co. 2,900 187
* Barnes & Noble, Inc. 5,500 187
Hasbro, Inc. 9,825 187
Saks Inc. 12,300 184
* O'Reilly Automotive, Inc. 4,000 181
GTECH Holdings Corp. 3,900 181
Convergys Corp. 11,500 177
* Big Lots Inc. 12,100 175
* Rent-A-Center, Inc. 5,800 174
Alberto-Culver Co. Class B 3,450 173
Reebok International Ltd. 4,800 173
Aramark Corp. Class B 6,000 173
Borders Group, Inc. 7,100 166
* Westwood One, Inc. 6,700 159
The Cheesecake Factory 4,000 159
Columbia Sportswear Co. 2,900 158
Black & Decker Corp. 2,500 155
Education Management Corp. 4,700 154
ServiceMaster Co. 11,900 147
* Liberty Media International INC-A 3,856 143
* Pixar, Inc. 2,000 139
* CarMax, Inc. 6,203 136
Hearst-Argyle Television Inc. 5,200 134
Metro-Goldwyn-Mayer Inc. 10,273 124
Sabre Holdings Corp. 4,140 115
2
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
Omnicom Group Inc. 1,500 $ 114
Chico's FAS, Inc. 2,100 95
* Sirius Satellite Radio, Inc. 28,200 87
* Tech Data Corp. 2,100 82
Corinthian Colleges, Inc. 2,100 52
* Kmart Holding Corp. 600 43
Limited Brands, Inc. 2,138 40
Nordstrom, Inc. 900 38
Belo Corp. Class A 1,400 38
Entercom Communications Corp. 900 34
Newell Rubbermaid, Inc. 1,218 29
-----------
41,041
-----------
Consumer Staples (3.3%)
The Procter & Gamble Co. 56,000 3,049
The Coca-Cola Co. 43,400 2,191
PepsiCo, Inc. 40,300 2,171
Altria Group, Inc. 41,300 2,067
Anheuser-Busch Cos., Inc. 20,000 1,080
Walgreen Co. 27,300 989
Colgate-Palmolive Co. 9,000 526
Sysco Corp. 14,100 506
* The Kroger Co. 25,700 468
* Safeway, Inc. 16,734 424
CVS Corp. 9,028 379
Wm. Wrigley Jr. Co. 6,000 378
Coca-Cola Enterprises, Inc. 10,600 307
The Clorox Co. 5,400 290
Whole Foods Market, Inc. 3,000 286
Dean Foods Co. 7,650 285
The Pepsi Bottling Group, Inc. 9,200 281
Tyson Foods, Inc. 12,931 271
Constellation Brands, Inc. Class A 6,200 230
* Smithfield Foods, Inc. 7,500 221
* Rite Aid Corp. 36,400 190
PepsiAmericas, Inc. 8,800 187
Del Monte Foods Co. 17,000 173
Kellogg Co. 3,200 134
General Mills, Inc. 2,400 114
Sara Lee Corp. 4,700 108
R.J. Reynolds Tobacco
Holdings, Inc. 1,501 101
ConAgra Foods, Inc. 1,200 32
-----------
17,438
-----------
Financial Services (9.3%)
Citigroup, Inc. 117,297 5,454
American International Group, Inc. 54,706 3,899
Bank of America Corp. 44,711 3,783
Wells Fargo & Co. 34,000 1,946
American Express Co. 28,800 1,480
J.P. Morgan Chase & Co. 37,100 1,438
Fannie Mae 19,100 1,363
Morgan Stanley 21,960 1,159
U.S. Bancorp 41,500 $ 1,144
Wachovia Corp. 25,700 1,144
First Data Corp. 23,614 1,051
Bank One Corp. 20,164 1,028
Merrill Lynch & Co., Inc. 16,700 901
Freddie Mac 12,600 798
Prudential Financial, Inc. 15,400 716
The Goldman Sachs Group, Inc. 7,100 669
AFLAC Inc. 15,500 633
Washington Mutual, Inc. 15,671 606
Lehman Brothers Holdings, Inc. 7,764 584
Countrywide Financial Corp. 8,300 583
MBNA Corp. 20,400 526
Progressive Corp. of Ohio 6,100 520
SLM Corp. 12,700 514
Fifth Third Bancorp 9,400 506
State Street Corp. 10,200 500
Capital One Financial Corp. 6,900 472
Golden West Financial Corp. 4,200 447
Allstate Corp. 9,400 438
Metropolitan Life Insurance Co. 11,700 419
The Principal Financial Group, Inc. 10,900 379
The Hartford Financial
Services Group Inc. 5,200 357
Bear Stearns Co., Inc. 4,100 346
St. Paul Travelers Cos., Inc. 8,489 344
Charles Schwab Corp. 35,450 341
Automatic Data Processing, Inc. 8,100 339
Moody's Corp. 5,200 336
Paychex, Inc. 9,650 327
Marsh & McLennan Cos., Inc. 7,200 327
MBIA, Inc. 5,600 320
Franklin Resources Corp. 6,300 315
Fiserv, Inc. 7,925 308
* SunGard Data Systems, Inc. 11,400 296
Legg Mason Inc. 3,200 291
Torchmark Corp. 5,400 291
MGIC Investment Corp. 3,800 288
Loews Corp. 4,800 288
Sovereign Bancorp, Inc. 13,000 287
Ambac Financial Group, Inc. 3,850 283
M & T Bank Corp. 3,100 271
Zions Bancorp 4,200 258
Radian Group, Inc. 5,300 254
The PMI Group Inc. 5,800 252
* Providian Financial Corp. 17,100 251
The Dun & Bradstreet Corp. 4,600 248
DST Systems, Inc. 4,900 236
* AmeriCredit Corp. 12,000 234
Rouse Co. REIT 4,800 228
Plum Creek Timber Co. Inc. REIT 6,900 225
* Host Marriott Corp. REIT 18,000 222
3
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Balanced Fund Shares (000)
- --------------------------------------------------------------------------------
Janus Capital Group Inc. 13,400 $ 221
Mellon Financial Corp. 7,500 220
The Bank of New York Co., Inc. 7,400 218
Genworth Financial Inc. 9,300 213
Certegy, Inc. 5,500 213
Leucadia National Corp. 4,200 209
HCC Insurance Holdings, Inc. 5,900 197
* Markel Corp. 700 194
Catellus Development Corp. REIT 7,843 193
IndyMac Bancorp, Inc. REIT 6,000 190
* CNA Financial Corp. 6,300 186
BB&T Corp. 5,000 185
* Alleghany Corp. 644 185
* WellChoice Inc. 4,400 182
Conseco, Inc. 9,100 181
BlackRock, Inc. 2,800 179
Transatlantic Holdings, Inc. 2,200 178
* BOK Financial Corp. 4,140 163
Reinsurance Group of America, Inc. 3,800 154
National City Corp. 4,400 154
Total System Services, Inc. 6,500 142
New York Community Bancorp, Inc. 7,249 142
* CapitalSource Inc. 5,800 142
Eaton Vance Corp. 3,700 141
Investors Financial Services Corp. 3,100 135
Federated Investors, Inc. 3,700 112
The First Marblehead Corp. 2,500 101
SunTrust Banks, Inc. 1,300 84
* Ameritrade Holding Corp. 5,400 61
* Instinet Group Inc. 10,816 57
ProLogis REIT 1,565 52
PNC Financial Services Group 400 21
First Horizon National Corp. 300 14
StanCorp Financial Group, Inc. 100 7
-----------
48,489
-----------
Health Care (7.3%)
Pfizer Inc. 178,710 6,126
Johnson & Johnson 67,232 3,745
Merck & Co., Inc. 45,100 2,142
* Amgen, Inc. 31,924 1,742
Medtronic, Inc. 30,400 1,481
Eli Lilly & Co. 18,100 1,265
Abbott Laboratories 29,600 1,206
UnitedHealth Group Inc. 16,100 1,002
Bristol-Myers Squibb Co. 32,900 806
* Boston Scientific Corp. 18,800 805
Schering-Plough Corp. 40,000 739
Cardinal Health, Inc. 10,290 721
Wyeth 19,900 720
Genentech, Inc. 12,400 697
* Zimmer Holdings, Inc. 7,470 659
HCA Inc. 14,202 591
Forest Laboratories, Inc. 10,300 $ 583
* WellPoint Health Networks Inc.
Class A 4,800 538
Stryker Corp. 9,600 528
Guidant Corp. 9,300 520
* St. Jude Medical, Inc. 6,184 468
* Biogen Idec Inc. 7,160 453
* Anthem, Inc. 5,036 451
Aetna Inc. 5,069 431
Biomet, Inc. 9,425 419
* Medco Health Solutions, Inc. 10,578 397
* Caremark Rx, Inc. 10,600 349
Gilead Sciences, Inc. 5,200 348
* Tenet Healthcare Corp. 22,990 308
Quest Diagnostics, Inc. 3,600 306
Genzyme Corp.-
General Division 6,200 293
Express Scripts Inc. 3,600 285
* Laboratory Corp. of
America Holdings 7,100 282
* Varian Medical Systems, Inc. 3,500 278
AmerisourceBergen Corp. 4,500 269
Celgene Corp. 4,600 263
* Sepracor Inc. 4,900 259
Oxford Health Plans, Inc. 4,700 259
Health Management
Associates Class A 11,512 258
* Patterson Dental Co. 3,300 252
IMS Health, Inc. 10,576 248
Mylan Laboratories, Inc. 11,950 242
DENTSPLY International Inc. 4,600 240
Coventry Health Care Inc. 4,800 235
* Hospira, Inc. 8,260 228
* IVAX Corp. 9,237 222
Baxter International, Inc. 6,400 221
* Apogent Technologies Inc. 6,900 221
* Lincare Holdings, Inc. 6,300 207
Medicis Pharmaceutical Corp. 5,100 204
Chiron Corp. 4,540 203
* MedImmune Inc. 8,624 202
* Henry Schein, Inc. 3,100 196
McKesson Corp. 5,600 192
Becton, Dickinson & Co. 3,700 192
* Andrx Group 6,853 191
* Stericycle, Inc. 3,600 186
Universal Health Services Class B 3,900 179
Eon Labs, Inc. 4,300 176
Endo Pharmaceuticals
Holdings, Inc. 7,300 171
* Watson Pharmaceuticals, Inc. 6,100 164
* Barr Pharmaceuticals Inc. 4,675 158
* Humana Inc. 8,800 149
4
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
* American Pharmaceuticals
Partners, Inc. 4,450 $ 135
* Millipore Corp. 2,300 130
Health Net Inc. 2,900 77
Beckman Coulter, Inc. 1,100 67
* King Pharmaceuticals, Inc. 5,500 63
* ICOS Corp. 1,300 39
* Kinetic Concepts, Inc. 500 25
-----------
38,407
-----------
Integrated Oils (1.9%)
ExxonMobil Corp. 149,944 6,659
ChevronTexaco Corp. 21,819 2,053
ConocoPhillips Co. 13,476 1,028
Occidental Petroleum Corp. 2,000 97
Amerada Hess Corp. 1,200 95
-----------
9,932
-----------
Other Energy (1.5%)
Devon Energy Corp. 7,623 503
Burlington Resources, Inc. 13,300 481
Apache Corp. 10,846 472
Anadarko Petroleum Corp. 7,796 457
Baker Hughes, Inc. 11,940 450
Kerr-McGee Corp. 7,279 391
* BJ Services Co. 7,300 335
EOG Resources, Inc. 5,600 334
XTO Energy, Inc. 11,125 331
* Smith International, Inc. 4,800 268
Valero Energy Corp. 3,600 266
Pioneer Natural Resources Co. 7,100 249
* Reliant Energy, Inc. 21,800 236
Peabody Energy Corp. 4,200 235
ENSCO International, Inc. 7,900 230
Noble Energy, Inc. 4,500 229
* National-Oilwell, Inc. 7,200 227
* Newfield Exploration Co. 4,000 223
Grant Prideco, Inc. 11,615 214
Pogo Producing Co. 4,300 212
* Premcor, Inc. 5,600 210
* Rowan Cos., Inc. 8,600 209
Patterson-UTI Energy, Inc. 6,100 204
* Varco International, Inc. 9,200 201
FMC Technologies Inc. 6,803 196
Cooper Cameron Corp. 4,000 195
* Pride International, Inc. 11,300 193
Dynegy, Inc. 39,700 169
* NRG Energy 2,700 67
-----------
7,987
-----------
Materials & Processing (1.5%)
E.I. du Pont de Nemours & Co. 16,900 751
Dow Chemical Co. 13,500 549
Alcoa Inc. 16,188 535
Newmont Mining Corp.
(Holding Co.) 12,089 $ 469
Praxair, Inc. 11,200 447
* American Standard Cos., Inc. 8,400 339
* Phelps Dodge Corp. 4,100 318
Smurfit-Stone Container Corp. 13,588 271
Archer-Daniels-Midland Co. 16,121 271
Fluor Corp. 5,200 248
* Pactiv Corp. 9,900 247
* Sealed Air Corp. 4,600 245
Sigma-Aldrich Corp. 4,100 244
Precision Castparts Corp. 4,300 235
Energizer Holdings, Inc. 5,100 229
Nucor Corp. 2,900 223
* Owens-Illinois, Inc. 13,100 220
Monsanto Co. 5,454 210
Freeport-McMoRan
Copper & Gold, Inc. Class B 6,300 209
Lyondell Chemical Co. 11,600 202
Georgia Pacific Group 5,272 195
The St. Joe Co. 4,700 187
* Scotts Co. 2,800 179
Packaging Corp. of America 7,300 174
* Jacobs Engineering Group Inc. 4,300 169
International Paper Co. 3,300 148
Martin Marietta Materials, Inc. 2,300 102
* International Steel Group, Inc. 1,400 42
-----------
7,658
-----------
Producer Durables (2.3%)
United Technologies Corp. 11,300 1,034
The Boeing Co. 18,540 947
* Applied Materials, Inc. 42,300 830
Illinois Tool Works, Inc. 7,100 681
Lockheed Martin Corp. 11,200 583
* Agilent Technologies, Inc. 16,163 473
Danaher Corp. 8,400 436
* Lexmark International, Inc. 4,500 434
* Xerox Corp. 27,700 402
Caterpillar, Inc. 5,000 397
* KLA-Tencor Corp. 7,300 360
Northrop Grumman Corp. 5,918 318
* Waters Corp. 6,400 306
* Thermo Electron Corp. 9,075 279
Pulte Homes, Inc. 5,200 271
Emerson Electric Co. 4,200 267
* LAM Research Corp. 9,600 257
D. R. Horton, Inc. 8,925 253
Centex Corp. 5,400 247
* Teradyne, Inc. 10,700 243
Molex, Inc. 7,266 233
W.W. Grainger, Inc. 3,900 224
5
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Balanced Fund Shares (000)
- --------------------------------------------------------------------------------
Lennar Corp. Class A 5,000 $ 224
Rockwell Collins, Inc. 6,600 220
* NVR, Inc. 450 218
* Alliant Techsystems, Inc. 3,400 215
* Toll Brothers, Inc. 4,600 195
* Mettler-Toledo International Inc. 3,900 192
American Power Conversion Corp. 9,700 191
Herman Miller, Inc. 6,300 182
* United Defense Industries Inc. 5,000 175
Ryland Group, Inc. 2,200 172
* Hovnanian Enterprises Inc.
Class A 4,200 146
* AGCO Corp. 6,400 130
* Novellus Systems, Inc. 3,400 107
Deere & Co. 700 49
Lennar Corp. Class B 680 28
-----------
11,919
-----------
Technology (7.8%)
Microsoft Corp. 195,100 5,572
Intel Corp. 142,200 3,925
Cisco Systems, Inc. 161,100 3,818
International Business
Machines Corp. 34,900 3,076
Dell Inc. 55,000 1,970
Hewlett-Packard Co. 58,512 1,235
* Oracle Corp. 99,400 1,186
QUALCOMM Inc. 15,000 1,095
Texas Instruments, Inc. 34,500 834
Motorola, Inc. 36,206 661
EMC Corp. 55,900 637
Corning, Inc. 42,500 555
Analog Devices, Inc. 11,734 552
Maxim Integrated Products, Inc. 10,100 529
* Lucent Technologies, Inc. 138,900 525
* Symantec Corp. 10,500 460
General Dynamics Corp. 4,600 457
* Apple Computer, Inc. 13,400 436
* Broadcom Corp. 8,800 412
* Sun Microsystems, Inc. 94,000 408
Adobe Systems, Inc. 8,500 395
Xilinx, Inc. 11,800 393
* Veritas Software Corp. 14,019 388
* National Semiconductor Corp. 15,600 343
* Micron Technology, Inc. 22,400 343
* Altera Corp. 15,400 342
Linear Technology Corp. 8,200 324
* Avaya Inc. 19,400 306
* Network Appliance, Inc. 13,839 298
L-3 Communications Holdings, Inc. 4,400 294
Computer Sciences Corp. 6,200 288
* Affiliated Computer
Services, Inc. Class A 5,300 281
Microchip Technology, Inc. 8,800 $ 278
* Advanced Micro Devices, Inc. 17,400 277
* Intuit, Inc. 6,900 266
* JDS Uniphase Corp. 68,400 259
* NCR Corp. 5,168 256
* Solectron Corp. 38,100 247
* Unisys Corp. 17,100 237
* Juniper Networks, Inc. 9,600 236
* Mercury Interactive Corp. 4,700 234
* PeopleSoft, Inc. 12,500 231
* Cadence Design Systems, Inc. 15,500 227
* Synopsys, Inc. 7,900 225
Comverse Technology, Inc. 11,200 223
* Jabil Circuit, Inc. 8,800 222
Ceridian Corp. 9,800 220
* Arrow Electronics, Inc. 8,100 217
* Avnet, Inc. 9,200 209
* Sanmina-SCI Corp. 22,908 208
* Storage Technology Corp. 7,100 206
* NVIDIA Corp. 10,000 205
* Zebra Technologies Corp. Class A 2,332 203
* Tellabs, Inc. 22,600 198
* UTStarcom, Inc. 6,500 197
* ADC Telecommunications, Inc. 66,600 189
Citrix Systems, Inc. 9,200 187
* Ingram Micro, Inc. Class A 12,800 185
* LSI Logic Corp. 24,000 183
* Siebel Systems, Inc. 16,710 178
Compuware Corp. 26,600 176
Intersil Corp. 8,100 175
* Amphenol Corp. 5,200 173
* 3Com Corp. 26,300 164
* BMC Software, Inc. 8,500 157
* BEA Systems, Inc. 18,800 155
Computer Associates
International, Inc. 5,162 145
* Novell, Inc. 16,800 141
Reynolds & Reynolds Class A 5,800 134
* PanAmSat Corp. 5,730 133
* Atmel Corp. 16,100 95
* SanDisk Corp. 3,674 80
* BearingPoint, Inc. 8,400 74
Autodesk, Inc. 1,400 60
* QLogic Corp. 2,200 58
CIENA Corp. 13,000 48
* Western Digital Corp. 4,800 42
Foundry Networks, Inc. 2,800 39
* Maxtor Corp. 5,700 38
-----------
40,628
-----------
Utilities (2.3%)
Verizon Communications Inc. 57,600 2,085
SBC Communications Inc. 63,444 1,539
6
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
* AT&T Wireless Services Inc. 62,869 $ 900
BellSouth Corp. 30,500 800
Comcast Corp. Special Class A 27,492 759
* Nextel Communications, Inc. 26,000 693
* PG&E Corp. 14,500 405
Sprint Corp. 22,500 396
Edison International 13,200 338
Comcast Corp. Class A 10,216 286
Kinder Morgan, Inc. 4,600 273
Cox Communications, Inc.
Class A 9,600 267
* AES Corp. 26,000 258
Telephone & Data Systems, Inc. 3,400 242
* NTL Inc. 4,157 240
Citizens Communications Co. 18,137 219
CenturyTel, Inc. 7,075 213
NSTAR 4,100 196
Exelon Corp. 5,800 193
Southern Co. 6,600 192
Northeast Utilities 8,900 173
ALLTEL Corp. 3,230 164
Dominion Resources, Inc. 2,590 163
* Cablevision Systems
NY Group Class A 8,294 163
* Qwest Communications
International Inc. 45,000 162
* U.S. Cellular Corp. 4,000 154
Duke Energy Corp. 5,000 101
NiSource, Inc. 3,377 70
AT&T Corp. 4,531 66
* Level 3 Communications, Inc. 15,500 55
SCANA Corp. 1,400 51
Cinergy Corp. 700 27
FirstEnergy Corp. 700 26
-----------
11,869
-----------
Other (1.9%)
General Electric Co. 228,609 7,407
3M Co. 14,600 1,314
Honeywell International Inc. 9,800 359
ITT Industries, Inc. 4,000 332
Brunswick Corp. 6,000 245
SPX Corp. 4,200 195
Wesco Financial Corp. 410 148
-----------
10,000
-----------
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $168,356) 251,403
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Market
Amount Value^
(000) (000)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS (51.2%)
- --------------------------------------------------------------------------------
Alaska (0.4%)
Matanuska-Susitna Borough AK GO
5.50%, 3/1/2012 (3) $1,695 $ 1,891
-----------
Arizona (2.0%)
Arizona Transp. Board Highway Rev.
5.25%, 7/1/2017 2,215 2,359
5.25%, 7/1/2020 1,965 2,067
Phoenix AZ Civic Improvement Corp.
Water System Rev.
5.50%, 7/1/2015 (3) 5,525 6,030
-----------
10,456
-----------
California (3.9%)
California GO
6.40%, 2/1/2006 (1) 500 533
6.00%, 2/1/2016 2,000 2,213
California Health Fac. Finance
Auth. Rev. (Catholic
Healthcare West)
6.25%, 7/1/2006 (1) 395 426
California Public Works
Board Lease Rev.
(Dept. of Corrections)
5.00%, 9/1/2011 (2) 1,535 1,636
California State Dept. Water
Resources Power Supply Rev.
5.50%, 5/1/2014 (2) 4,065 4,474
California State Dept. Water
Resources Power Supply Rev.
5.50%, 5/1/2015 (2) 3,000 3,275
California State Econ.
Recovery Bonds
5.00%, 7/1/2015 2,100 2,233
Central Coast California Water
Auth. Rev.
6.00%, 10/1/2008 (2) 1,000 1,096
Clovis CA USD GO
0.00%, 8/1/2005 (3) (ETM) 2,000 1,962
Los Angeles CA USD GO
6.00%, 7/1/2008 (3) 1,000 1,120
San Bernardino County
CA Medical Center COP
5.50%, 8/1/2005 (1) 500 521
South Orange County
CA Public Finance Auth. Rev.
7.00%, 9/1/2006 (1) 875 963
-----------
20,452
-----------
Colorado (0.6%)
Colorado Springs CO Util. System Rev.
5.375%, 11/15/2013 2,775 3,033
-----------
7
- --------------------------------------------------------------------------------
Face Market
Tax-Managed Amount Value^
Balanced Fund (000) (000)
- --------------------------------------------------------------------------------
Connecticut (1.0%)
Connecticut Special Tax Obligation Rev.
(Transp. Infrastructure)
5.00%, 9/1/2009 (4) $ 5,000 $ 5,424
-----------
District of Columbia (1.0%)
District of Columbia GO
6.75%, 6/1/2005 (1) 5 5
5.50%, 6/1/2007 (4) 1,490 1,607
5.40%, 6/1/2012 (2) 455 491
District of Columbia Univ. Rev.
(George Washington Univ.)
6.00%, 9/15/2011 (1) 3,000 3,365
-----------
5,468
-----------
Florida (2.3%)
Florida Board of Educ. Public Educ.
5.00%, 6/1/2008 3,675 3,953
Florida Division Board Financial Dept.
of General Services Systems Rev.
(Dept. of Environmental Protection)
5.00%, 7/1/2009 (1) 3,000 3,249
Florida Muni. Power Agency Rev.
(Stanton Project) VRDO
1.03%, 7/7/2004 (1) 600 600
Florida Turnpike Auth. Rev.
5.25%, 7/1/2009 (3) 485 525
5.25%, 7/1/2010 (3) 825 891
Sunshine State Florida Govt.
Financing Comm. Rev. VRDO
1.06%, 7/7/2004 (2) 1,550 1,550
Tampa FL Health System Rev.
(Catholic Healthcare East)
5.00%, 11/15/2009 (1) 1,000 1,076
-----------
11,844
-----------
Georgia (1.4%)
Atlanta GA Airport Fac. Rev.
5.75%, 1/1/2013 (3) 3,370 3,705
Georgia Muni. Electric
Power Auth. Rev.
6.25%, 1/1/2012 (1) 3,000 3,487
-----------
7,192
-----------
Hawaii (0.4%)
Hawaii GO
5.875%, 10/1/2010 (1) (Prere.) 1,870 2,122
-----------
Illinois (1.7%)
Chicago IL (City Colleges
Improvement) GO
0.00%, 1/1/2012 (3) 2,380 1,731
Illinois GO
5.25%, 8/1/2012 (1) 3,700 4,057
Illinois Health Fac. Auth. Rev.
(Univ. of Chicago Hosp. &
Health Systems) VRDO
1.10%, 7/1/2004 (1) $ 500 $ 500
Illinois Sales Tax Rev.
0.00%, 12/15/2016 (2) 5,000 2,736
-----------
9,024
-----------
Indiana (0.9%)
Indiana Muni. Power
Agency Rev.
5.25%, 1/1/2015 (1) 4,440 4,748
-----------
Louisiana (0.6%)
Louisiana GO
5.50%, 5/15/2015 (3) 2,665 2,896
-----------
Maryland (1.3%)
Maryland GO
5.50%, 8/1/2008 2,250 2,480
Prince Georges County MD GO
5.00%, 10/1/2008 3,805 4,119
-----------
6,599
-----------
Massachusetts (3.8%)
Chelsea MA GO
5.50%, 6/15/2011 (2) 740 809
5.50%, 6/15/2012 (2) 735 803
Massachusetts Bay Transp. Auth. Rev.
6.25%, 3/1/2005 1,000 1,031
5.125%, 3/1/2009 (Prere.) 1,695 1,842
Massachusetts Dev. Finance
Agency Rev. (Smith College) VRDO
1.07%, 7/7/2004 1,595 1,595
Massachusetts GO
5.00%, 8/1/2007 3,000 3,196
Massachusetts Health & Educ. Fac.
Auth. Rev. (Caritas Christi
Obligated Group)
6.50%, 7/1/2012 1,880 2,038
Massachusetts Health & Educ. Fac.
Auth. Rev. (Harvard Univ.) VRDO
0.95%, 7/7/2004 1,275 1,275
Massachusetts Health & Educ. Fac.
Auth. Rev. (Northeastern Univ.)
5.00%, 10/1/2017 (1) 1,000 1,037
Massachusetts Health & Educ. Fac.
Auth. Rev. (Wellesley College) VRDO
1.00%, 7/1/2004 730 730
Massachusetts Water Pollution
Abatement Trust
6.00%, 8/1/2010 1,780 2,006
8
- --------------------------------------------------------------------------------
Face Market
Amount Value^
(000) (000)
- --------------------------------------------------------------------------------
Massachusetts Water
Resources Auth. Rev.
5.75%, 8/1/2004 (1) (Prere.) $ 300 $ 306
5.25%, 8/1/2017 (4) 3,000 3,264
-----------
19,932
-----------
Michigan (2.1%)
Detroit MI City School Dist.
5.00%, 5/1/2011 (3) 3,510 3,799
Dickinson County MI Memorial
Hosp. System Rev.
7.625%, 11/1/2004 (Prere.) 130 134
Michigan Building Auth. Rev.
5.30%, 10/1/2007 (2) (Prere.) 1,250 1,374
5.125%, 10/15/2008 (Prere.) 3,015 3,274
Michigan Muni. Bond Auth. Rev.
(Clean Water Revolving Fund)
5.875%, 10/1/2010 (Prere.) 2,110 2,416
-----------
10,997
-----------
Mississippi (1.0%)
Mississippi GO
5.50%, 12/1/2018 2,750 3,073
5.50%, 12/1/2019 2,000 2,235
-----------
5,308
-----------
Missouri (1.5%)
Missouri Health & Educ. Fac.
Auth. (Washington Univ.)
6.00%, 3/1/2010 (Prere.) 4,000 4,565
Missouri Health & Educ. Fac. Auth.
Health Fac. Rev. (St. Luke's
Episcopal Presbyterian Hosp.)
5.50%, 12/1/2015 (4) 2,965 3,202
-----------
7,767
-----------
Nebraska (0.1%)
Nebraska Public Power Dist. Rev.
5.25%, 1/1/2010 (1) 125 135
5.25%, 1/1/2011 (1) 225 242
-----------
377
-----------
Nevada (0.5%)
Clark County NV Airport
Improvement Rev.
5.00%, 7/1/2005 (1) 1,705 1,761
Clark County NV School Dist. GO
5.90%, 6/15/2006 (3) (Prere.) 750 810
-----------
2,571
-----------
New Jersey (2.7%)
New Jersey Econ. Dev. Auth.
Market Transition Fac. Rev.
5.70%, 7/1/2004 (1) (Prere.) 400 408
New Jersey GO
5.00%, 7/15/2009 3,000 3,241
New Jersey Transp. Corp. COP
5.50%, 9/15/2011 (2) $3,000 $ 3,325
New Jersey Transp. Trust Fund
Auth. Rev.
6.00%, 6/15/2005 (2) 2,500 2,604
6.00%, 6/15/2008 250 275
6.00%, 12/15/2011 (1) (Prere.) 625 722
6.00%, 12/15/2011 (1) (Prere.) 1,440 1,662
5.00%, 6/15/2014 1,555 1,635
6.00%, 12/15/2014 (1) 330 375
-----------
14,247
-----------
New York (5.5%)
Erie County NY GO
6.125%, 1/15/2011 (3) 610 699
Hempstead NY GO
5.625%, 2/1/2006 (3) (Prere.) 155 167
5.625%, 2/1/2011 (3) 685 733
Huntington NY GO
6.70%, 2/1/2010 (3) 375 437
Long Island NY Power Auth.
Electric System Rev.
5.50%, 12/1/2009 (2) 2,000 2,204
5.50%, 12/1/2012 (4) (ETM) 2,000 2,250
Metro. New York Transp. Auth.
Rev. (Commuter Fac.)
6.00%, 7/1/2006 (1) (ETM) 1,000 1,075
Metro. New York Transp. Auth.
Rev. (Dedicated Petroleum Tax)
6.125%, 4/1/2010 (3) (Prere.) 2,110 2,419
New York City NY GO
7.10%, 8/15/2004 (Prere.) 500 509
6.375%, 8/15/2005 (Prere.) 340 361
6.375%, 8/15/2009 300 319
New York City NY Muni. Water
Finance Auth. Water & Sewer
System Rev. VRDO
1.08%, 7/1/2004 (3) 3,000 3,000
New York City NY Transitional
Finance Auth. Rev.
5.875%, 11/1/2012 3,305 3,722
5.375%, 2/1/2013 2,000 2,193
New York State Dormitory Auth.
Rev. (State Univ.)
5.375%, 5/15/2007 (2) 400 431
New York State Dormitory Auth.
Rev. (Vassar Brothers Hosp.)
5.10%, 7/1/2010 (4) 1,500 1,604
New York State Environmental
Fac. Corp. PCR (State Water
Recovery Fund)
6.35%, 6/15/2006 225 229
9
- --------------------------------------------------------------------------------
Face Market
Tax-Managed Amount Value^
Balanced Fund (000) (000)
- --------------------------------------------------------------------------------
New York State Thruway
Auth. Rev. (Service Contract)
5.50%, 4/1/2014 $4,000 $ 4,329
Suffolk County NY GO
5.00%, 4/1/2007 (3) 1,120 1,192
Triborough Bridge & Tunnel Auth.
New York Rev. VRDO
1.06%, 7/7/2004 (4) 850 850
-----------
28,723
-----------
North Carolina (0.9%)
North Carolina Eastern Muni.
Power Agency Rev.
5.125%, 1/1/2014 2,400 2,486
North Carolina GO
5.00%, 3/1/2020 2,000 2,078
-----------
4,564
-----------
Ohio (4.8%)
Butler County OH Transp.
Improvement Dist. Rev.
6.00%, 4/1/2012 (4) 2,250 2,511
Cleveland OH Public Power
System Rev.
7.00%, 11/15/2004 (1) (Prere.) 2,750 2,862
Hamilton County OH Hosp. Fac. Rev.
(Health Alliance of Greater
Cincinnati) VRDO
1.03%, 7/7/2004 (1) 2,097 2,097
Lorain County OH Hosp. Fac. Rev.
(Catholic Healthcare Partners)
5.625%, 9/1/2013 (1) 1,775 1,932
OH Infrastructure Improvements
5.50%, 2/1/2019 2,000 2,226
Ohio Higher Educ. Fac. Comm.
Rev. (Case Western Reserve
Univ.) VRDO
1.08%, 7/1/2004 1,275 1,275
Ohio Housing Finance Agency
Mortgage Rev.
5.025%, 3/1/2021 200 201
Ohio St. Conservation Projects
5.00%, 3/1/2017 3,885 4,076
Ohio Water Dev. Auth.
Water PCR
5.00%, 6/1/2017 5,000 5,243
Ohio Water Dev. Auth. Rev.
6.00%, 12/1/2004 (2) (Prere.) 315 319
6.00%, 12/1/2008 (2) 75 76
Ohio Water Dev. Auth. Rev.
(Pure Water)
5.75%, 12/1/2005 (1) 105 106
Univ. of Toledo OH General
Receipts VRDO
1.08%, 7/1/2004 (3) $2,100 $ 2,100
-----------
25,024
-----------
Oregon (0.5%)
Oregon State Dept.
Administrative Services
5.75%, 4/1/2009 (4) (Prere.) 2,400 2,699
-----------
Pennsylvania (3.4%)
Geisinger Health System Auth.
of Pennsylvania Rev. (Penn State
Geisinger Health System) VRDO
1.10%, 7/1/2004 2,750 2,750
Montgomery County PA IDA PCR
(PECO Energy) PUT
5.20%, 10/1/2004 2,000 2,014
Pennsylvania Convention Center
Auth. Rev.
6.70%, 9/1/2014 (1) 500 514
Pennsylvania GO
5.00%, 7/1/2009 (3) 5,000 5,423
Pennsylvania Higher Educ. Fac. Auth.
Rev. (Carnegie Mellon Univ.) VRDO
1.10%, 7/1/2004 1,300 1,300
Pennsylvania Turnpike Comm. Oil
Franchise Tax Rev.
5.25%, 12/1/2009 (2) (ETM) 420 458
5.25%, 12/1/2009 (2) 195 212
5.25%, 12/1/2011 (2) (ETM) 310 337
5.25%, 12/1/2011 (2) 145 157
Philadelphia PA Airport Parking Auth.
5.75%, 9/1/2008 (2) 1,150 1,269
Philadelphia PA Hosp. & Higher
Educ. Fac. Auth. Rev. (Children's
Hosp. of Philadelphia) VRDO
1.10%, 7/1/2004 400 400
Philadelphia PA School Dist. GO
6.25%, 9/1/2005 (2) 870 915
Philadelphia PA Water &
Waste Water Rev.
6.25%, 8/1/2009 (1) 1,000 1,138
Pittsburgh PA GO
5.20%, 3/1/2010 (3) 580 599
Pittsburgh PA Water &
Sewer Auth. Rev.
5.60%, 9/1/2005 (3) (Prere.) 235 246
-----------
17,732
-----------
Puerto Rico (0.5%)
Puerto Rico Public Buildings Auth.
Govt. Fac. Rev.
5.25%, 7/1/2014 (3) 2,425 2,682
-----------
10
- --------------------------------------------------------------------------------
Face Market
Amount Value^
(000) (000)
- --------------------------------------------------------------------------------
South Carolina (0.5%)
South Carolina GO
5.00%, 7/1/2008 $2,250 $ 2,432
-----------
South Dakota (0.2%)
South Dakota Building Auth. Lease Rev.
5.25%, 12/1/2010 (2) 1,000 1,078
-----------
Tennessee (0.9%)
Memphis TN Electric System Rev.
5.00%, 12/1/2010 (1) 2,300 2,489
Metro. Govt. of Nashville & Davidson
County TN Water & Sewer Rev.
6.50%, 1/1/2009 (3) 2,000 2,276
-----------
4,765
-----------
Texas (3.3%)
Austin TX Combined Util. System Rev.
5.60%, 5/15/2005 (1) (Prere.) 1,205 1,247
Austin TX Water &
Wastewater System Rev.
5.75%, 5/15/2011 (1) 2,200 2,447
Brazos River TX Harbor Navigation
Dist. Brazoria County Environmental
(Dow Chemical Co. Project) PUT
5.20%, 5/15/2008 800 842
Carrollton TX Independent
School Dist. GO
6.00%, 2/15/2009 (Prere.) 2,925 3,278
Dallas TX Civic Center Refunding &
Improvement Rev.
4.60%, 8/15/2009 (1) 110 116
4.70%, 8/15/2010 (1) 815 858
Houston TX Water &
Sewer System Rev.
0.00%, 12/1/2008 (2) 2,750 2,360
Lubbock TX Health Fac. Dev. Corp. Rev.
(St. Joseph's Health System)
5.00%, 7/1/2008 (4) 1,645 1,762
San Antonio TX Electric & Gas Rev.
5.125%, 2/1/2009 1,000 1,082
San Antonio TX Water Rev.
6.50%, 5/15/2010 (1) (ETM) 75 85
Texas Muni. Power Agency Rev.
0.00%, 9/1/2010 (2) (ETM) 160 127
Univ. of Houston TX Rev.
5.25%, 2/15/2009 (4) 3,000 3,262
-----------
17,466
-----------
Utah (0.1%)
Intermountain Power Agency
Utah Power Supply Rev.
5.20%, 7/1/2006 (ETM) 400 405
Salt Lake City UT Building
Auth. Lease Rev.
5.90%, 10/1/2004 (1) (Prere.) $ 260 266
-----------
$ 671
-----------
Virginia (0.4%)
Virginia Commonwealth Transp.
Board Federal Highway Rev.
5.00%, 10/1/2009 2,000 2,166
-----------
Washington (0.4%)
King County WA Library System GO
6.05%, 12/1/2006 (Prere.) 1,000 1,088
Washington GO
6.00%, 6/1/2012 1,000 1,145
-----------
2,233
-----------
Wisconsin (0.6%)
Wisconsin GO
5.75%, 5/1/2011 (Prere.) 1,355 1,531
5.75%, 5/1/2011 (Prere.) 1,340 1,514
-----------
3,045
-----------
- --------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS
(Cost $260,785) 267,628
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENT (0.1%)
- --------------------------------------------------------------------------------
Repurchase Agreement
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.46%, 7/1/2004--Note E
(Cost $376) 376 376
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (99.4%)
(Cost $429,517) 519,407
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.6%)
- --------------------------------------------------------------------------------
Other Assets--Note B 4,359
Liabilities--Note E (1,166)
-----------
3,193
-----------
- --------------------------------------------------------------------------------
NET ASSETS (100%)
- --------------------------------------------------------------------------------
Applicable to 29,434,384 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $522,600
================================================================================
NET ASSET VALUE PER SHARE $17.75
================================================================================
^See Note A in Notes to Financial Statements.
*Non-income-producing security.
REIT–Real Estate Investment Trust.
11
- -------------------------------------------------------------------------------- Tax-Managed Amount Per Balanced Fund (000) Share - -------------------------------------------------------------------------------- AT JUNE 30, 2004, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $468,963 $15.93 Overdistributed Net Investment Income (130) -- Accumulated Net Realized Losses (36,123) (1.23) Unrealized Appreciation 89,890 3.05 - -------------------------------------------------------------------------------- NET ASSETS $522,600 $17.75 ================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
KEY TO ABBREVIATIONS
BAN–Bond Anticipation Note.
COP–Certificate of Participation.
CP–Commercial Paper.
FR–Floating Rate.
GAN–Grant Anticipation Note.
GO–General Obligation Bond.
IDA–Industrial Development Authority Bond.
IDR–Industrial Development Revenue Bond.
PCR–Pollution Control Revenue Bond.
PUT–Put Option Obligation.
RAN–Revenue Anticipation Note.
TAN–Tax Anticipation Note.
TOB–Tender Option Bond.
TRAN–Tax Revenue Anticipation Note.
UFSD–Union Free School District.
USD–United School District.
VRDO–Variable Rate Demand Obligation.
(ETM)–Escrowed to Maturity.
(Prere.)–Prerefunded.
Scheduled principal and interest payments are guaranteed by:
(1) MBIA (Municipal Bond Insurance Association).
(2) AMBAC (AMBAC Indemnity Corporation).
(3) FGIC (Financial Guaranty Insurance Company).
(4) FSA (Financial Security Assurance).(5) BIGI (Bond Investors Guaranty Insurance).
(6) Connie Lee Inc.
(7) FHA (Federal Housing Authority).
(8) CapMAC (Capital Markets Assurance Corporation).
(9) American Capital Access Financial Guaranty Corporation.
(10) XL Capital Assurance Inc.
(11) CIFG (CDC IXIS Financial Guaranty).
The insurance does not guarantee the market value of the municipal bonds.
LOC–Scheduled principal and interest payments are guaranteed by bank letter of credit.
12
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Growth and Income Fund Shares (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)
- --------------------------------------------------------------------------------
Auto & Transportation (2.6%)
United Parcel Service, Inc. 260,600 $ 19,589
Ford Motor Co. 423,211 6,623
General Motors Corp. 130,502 6,080
FedEx Corp. 68,984 5,635
Harley-Davidson, Inc. 68,200 4,224
Union Pacific Corp. 59,800 3,555
Southwest Airlines Co. 182,932 3,068
Burlington Northern
Santa Fe Corp. 85,627 3,003
Norfolk Southern Corp. 90,519 2,401
PACCAR, Inc. 40,610 2,355
CSX Corp. 49,514 1,623
Genuine Parts Co. 40,537 1,608
Delphi Corp. 129,573 1,384
Dana Corp. 34,593 678
* Navistar International Corp. 16,256 630
Cooper Tire & Rubber Co. 17,185 395
* The Goodyear Tire & Rubber Co. 40,116 365
Visteon Corp. 29,895 349
* Delta Air Lines, Inc. 29,000 206
-----------
63,771
-----------
Consumer Discretionary (13.7%)
Wal-Mart Stores, Inc. 991,628 52,318
* Time Warner, Inc. 1,054,214 18,533
Home Depot, Inc. 513,844 18,087
Viacom Inc. Class B 396,706 14,170
* eBay Inc. 151,900 13,967
The Walt Disney Co. 474,396 12,092
* Yahoo! Inc. 311,300 11,310
Gillette Co. 231,916 9,833
Lowe's Cos., Inc. 181,712 9,549
Target Corp. 211,128 8,967
Kimberly-Clark Corp. 115,844 7,632
McDonald's Corp. 291,030 7,567
Carnival Corp. 146,200 6,871
Cendant Corp. 235,697 5,770
Gannett Co., Inc. 62,904 5,337
Clear Channel
Communications, Inc. 142,257 5,256
The Gap, Inc. 207,985 5,044
Avon Products, Inc. 109,068 5,032
NIKE, Inc. Class B 61,012 4,622
Costco Wholesale Corp. 106,052 4,356
Waste Management, Inc. 134,151 4,112
* Starbucks Corp. 91,600 3,983
* Electronic Arts Inc. 70,100 3,824
Best Buy Co., Inc. 74,950 3,803
* Apollo Group, Inc. Class A 40,900 3,611
Tribune Co. 75,691 3,447
Staples, Inc. 115,100 $ 3,374
The McGraw-Hill Cos., Inc. 43,976 3,367
* Kohl's Corp. 79,000 3,340
Omnicom Group Inc. 43,700 3,316
International Game Technology 80,800 3,119
TJX Cos., Inc. 114,608 2,767
* Bed Bath & Beyond, Inc. 69,500 2,672
Marriott International, Inc.
Class A 52,168 2,602
* Yum! Brands, Inc. 66,850 2,488
J.C. Penney Co., Inc. (Holding Co.) 65,306 2,466
* Univision Communications Inc. 74,787 2,388
Starwood Hotels & Resorts
Worldwide, Inc. 47,900 2,148
Federated Department Stores, Inc. 41,700 2,047
Limited Brands, Inc. 108,994 2,038
Cintas Corp. 39,682 1,892
Sears, Roebuck & Co. 49,399 1,865
May Department Stores Co. 67,120 1,845
Eastman Kodak Co. 66,528 1,795
Mattel, Inc. 98,120 1,791
R.R. Donnelley & Sons Co. 50,127 1,655
Hilton Hotels Corp. 88,467 1,651
* AutoZone Inc. 19,300 1,546
New York Times Co. Class A 34,530 1,544
Dollar General Corp. 76,562 1,498
Newell Rubbermaid, Inc. 63,473 1,492
Harrah's Entertainment, Inc. 25,949 1,404
Nordstrom, Inc. 32,348 1,378
* Interpublic Group of Cos., Inc. 97,354 1,337
Knight Ridder 18,270 1,315
* Office Depot, Inc. 72,200 1,293
Tiffany & Co. 33,800 1,246
VF Corp. 25,442 1,239
Family Dollar Stores, Inc. 39,700 1,208
Robert Half International, Inc. 39,900 1,188
Leggett & Platt, Inc. 44,400 1,186
Jones Apparel Group, Inc. 29,200 1,153
Black & Decker Corp. 18,286 1,136
Whirlpool Corp. 15,953 1,094
RadioShack Corp. 37,364 1,070
* AutoNation, Inc. 62,100 1,062
Alberto-Culver Co. Class B 20,879 1,047
* Allied Waste Industries, Inc. 73,700 971
Liz Claiborne, Inc. 25,838 930
Wendy's International, Inc. 26,351 918
Sabre Holdings Corp. 32,231 893
The Stanley Works 18,706 853
International Flavors &
Fragrances, Inc. 21,982 822
* Toys R Us, Inc. 49,791 793
13
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Growth and Income Fund Shares (000)
- --------------------------------------------------------------------------------
Hasbro, Inc. 41,025 $ 779
Darden Restaurants Inc. 37,411 769
* Monster Worldwide Inc. 27,300 702
Meredith Corp. 11,696 643
Circuit City Stores, Inc. 46,100 597
* Convergys Corp. 33,300 513
Reebok International Ltd. 13,991 503
Maytag Corp. 18,364 450
Snap-On Inc. 13,367 448
Dillard's Inc. 19,386 432
* Big Lots Inc. 26,752 387
Viacom Inc. Class A 3,800 138
-----------
337,696
-----------
Consumer Staples (7.8%)
The Procter & Gamble Co. 594,302 32,354
The Coca-Cola Co. 563,126 28,427
Altria Group, Inc. 474,179 23,733
PepsiCo, Inc. 394,615 21,262
Anheuser-Busch Cos., Inc. 185,828 10,035
Walgreen Co. 236,860 8,577
Colgate-Palmolive Co. 122,912 7,184
Sysco Corp. 147,716 5,299
Sara Lee Corp. 183,072 4,209
General Mills, Inc. 87,282 4,149
Kellogg Co. 95,036 3,977
CVS Corp. 92,024 3,867
ConAgra Foods, Inc. 122,392 3,314
Wm. Wrigley Jr. Co. 51,994 3,278
H.J. Heinz Co. 81,288 3,186
Coca-Cola Enterprises, Inc. 108,800 3,154
* The Kroger Co. 171,876 3,128
Hershey Foods Corp. 59,896 2,771
The Clorox Co. 49,114 2,641
* Safeway, Inc. 103,306 2,618
Campbell Soup Co. 95,212 2,559
Albertson's, Inc. 84,874 2,253
The Pepsi Bottling Group, Inc. 59,800 1,826
UST, Inc. 38,399 1,382
Brown-Forman Corp. Class B 28,044 1,354
R.J. Reynolds Tobacco
Holdings, Inc. 19,700 1,332
McCormick & Co., Inc. 31,800 1,081
SuperValu Inc. 31,392 961
Adolph Coors Co. Class B 8,528 617
Winn-Dixie Stores, Inc. 32,508 234
-----------
190,762
-----------
Financial Services (21.4%)
Citigroup, Inc. 1,195,810 55,605
American International
Group, Inc. 603,063 42,986
Bank of America Corp. 471,436 39,893
Wells Fargo & Co. 390,104 22,326
J.P. Morgan Chase & Co. 481,490 $ 18,667
Fannie Mae 224,032 15,987
American Express Co. 295,419 15,179
Wachovia Corp. 303,930 13,525
Morgan Stanley 254,078 13,408
Bank One Corp. 259,354 13,227
U.S. Bancorp 438,154 12,076
Merrill Lynch & Co., Inc. 222,084 11,988
The Goldman Sachs Group, Inc. 111,500 10,499
Freddie Mac 159,160 10,075
First Data Corp. 201,603 8,975
Washington Mutual, Inc. 199,870 7,723
MBNA Corp. 295,292 7,616
Allstate Corp. 162,380 7,559
Fifth Third Bancorp 130,054 6,994
Metropolitan Life Insurance Co. 174,700 6,263
St. Paul Travelers Cos., Inc. 154,196 6,251
Automatic Data Processing, Inc. 136,436 5,714
Prudential Financial, Inc. 121,800 5,660
Marsh & McLennan Cos., Inc. 120,912 5,487
National City Corp. 152,660 5,345
The Bank of New York Co., Inc. 179,700 5,298
Lehman Brothers Holdings, Inc. 63,963 4,813
AFLAC Inc. 117,800 4,807
BB&T Corp. 129,596 4,791
The Hartford Financial
Services Group Inc. 67,602 4,647
Countrywide Financial Corp. 64,699 4,545
Progressive Corp. of Ohio 50,300 4,291
SunTrust Banks, Inc. 65,252 4,241
SLM Corp. 101,600 4,110
State Street Corp. 77,800 3,815
Capital One Financial Corp. 55,400 3,788
Golden West Financial Corp. 35,354 3,760
PNC Financial Services Group 65,331 3,468
Charles Schwab Corp. 316,075 3,037
The Chubb Corp. 43,909 2,994
Paychex, Inc. 87,175 2,953
SouthTrust Corp. 76,100 2,953
Franklin Resources Corp. 57,700 2,890
Mellon Financial Corp. 98,056 2,876
KeyCorp 94,948 2,838
ACE Ltd. 65,500 2,769
Loews Corp. 42,900 2,572
The Principal Financial Group, Inc. 73,700 2,563
Equity Office Properties Trust REIT 93,400 2,540
Simon Property Group, Inc. REIT 48,100 2,473
XL Capital Ltd. Class A 31,900 2,407
M & T Bank Corp. 27,456 2,397
Charter One Financial, Inc. 51,802 2,289
CIGNA Corp. 32,738 2,253
Moody's Corp. 34,680 2,242
14
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
Comerica, Inc. 39,953 $ 2,193
Northern Trust Corp. 50,988 2,156
Aon Corp. 72,750 2,071
AmSouth Bancorp 81,263 2,070
Bear Stearns Co., Inc. 24,201 2,040
Marshall & Ilsley Corp. 51,300 2,005
Lincoln National Corp. 41,342 1,953
H & R Block, Inc. 40,600 1,936
Equity Residential REIT 64,800 1,926
MBIA, Inc. 33,400 1,908
Regions Financial Corp. 50,600 1,849
Ambac Financial Group, Inc. 25,000 1,836
Synovus Financial Corp. 70,500 1,785
* Fiserv, Inc. 45,150 1,756
* SunGard Data Systems, Inc. 67,100 1,745
MGIC Investment Corp. 22,900 1,737
Cincinnati Financial Corp. 38,850 1,691
Jefferson-Pilot Corp. 32,443 1,648
North Fork Bancorp, Inc. 40,200 1,530
T. Rowe Price Group Inc. 29,200 1,472
SAFECO Corp. 32,120 1,413
Torchmark Corp. 25,798 1,388
ProLogis REIT 41,900 1,379
Plum Creek Timber Co. Inc. REIT 42,300 1,378
First Horizon National Corp. 28,800 1,310
Union Planters Corp. 43,850 1,307
Zions Bancorp 20,800 1,278
Huntington Bancshares Inc. 53,110 1,216
Sovereign Bancorp, Inc. 53,800 1,189
UnumProvident Corp. 68,762 1,093
* Providian Financial Corp. 67,728 994
* E*TRADE Financial Corp. 84,442 942
Janus Capital Group Inc. 55,600 917
Dow Jones & Co., Inc. 19,040 859
Equifax, Inc. 31,800 787
Federated Investors, Inc. 25,200 765
Apartment Investment &
Management Co. Class A REIT 21,800 679
Ryder System, Inc. 15,064 604
Deluxe Corp. 11,582 504
Provident Financial Group, Inc. 3,100 122
-----------
527,879
-----------
Health Care (13.2%)
Pfizer Inc. 1,764,387 60,483
Johnson & Johnson 686,392 38,232
Merck & Co., Inc. 513,758 24,403
Eli Lilly & Co. 261,096 18,253
* Amgen, Inc. 294,004 16,044
Abbott Laboratories 360,594 14,698
Medtronic, Inc. 280,236 13,653
Wyeth 308,236 11,146
Bristol-Myers Squibb Co. 449,476 11,012
UnitedHealth Group Inc. 142,281 $ 8,857
* Boston Scientific Corp. 192,964 8,259
Cardinal Health, Inc. 99,468 6,968
Schering-Plough Corp. 340,185 6,287
Stryker Corp. 92,400 5,082
* Zimmer Holdings, Inc. 56,397 4,974
* Biogen Idec Inc. 78,525 4,967
Baxter International, Inc. 141,588 4,886
* Forest Laboratories, Inc. 85,400 4,836
HCA Inc. 112,486 4,678
Guidant Corp. 72,600 4,057
* WellPoint Health Networks Inc.
Class A 35,900 4,021
* Caremark Rx, Inc. 105,892 3,488
* St. Jude Medical, Inc. 40,792 3,086
Becton, Dickinson & Co. 58,692 3,040
Aetna Inc. 35,159 2,989
* Anthem, Inc. 32,010 2,867
Allergan, Inc. 30,436 2,725
Biomet, Inc. 58,715 2,609
* Genzyme Corp.-General Division 52,400 2,480
* Medco Health Solutions, Inc. 62,601 2,348
McKesson Corp. 67,769 2,326
* Gilead Sciences, Inc. 30,600 2,050
Quest Diagnostics, Inc. 24,000 2,039
* Chiron Corp. 43,700 1,951
AmerisourceBergen Corp. 26,000 1,554
* Tenet Healthcare Corp. 107,899 1,447
* Express Scripts Inc. 18,100 1,434
C.R. Bard, Inc. 24,154 1,368
* MedImmune Inc. 57,400 1,343
IMS Health, Inc. 54,546 1,279
Health Management
Associates Class A 56,200 1,260
Mylan Laboratories, Inc. 61,900 1,253
* Hospira, Inc. 36,189 999
Bausch & Lomb, Inc. 12,202 794
* Watson Pharmaceuticals, Inc. 25,300 681
Manor Care, Inc. 20,613 674
* King Pharmaceuticals, Inc. 55,766 639
* Humana Inc. 37,700 637
* Millipore Corp. 11,294 637
-----------
325,793
-----------
Integrated Oils (4.6%)
ExxonMobil Corp. 1,512,294 67,161
ChevronTexaco Corp. 247,375 23,280
ConocoPhillips Co. 158,493 12,091
Occidental Petroleum Corp. 90,345 4,374
Marathon Oil Corp. 79,778 3,019
Unocal Corp. 61,023 2,319
Amerada Hess Corp. 20,817 1,648
-----------
113,892
-----------
15
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Growth and Income Fund Shares (000)
- --------------------------------------------------------------------------------
Other Energy (1.9%)
Schlumberger Ltd. 136,110 $ 8,644
Devon Energy Corp. 55,503 3,663
Anadarko Petroleum Corp. 58,309 3,417
Burlington Resources, Inc. 91,834 3,323
Apache Corp. 75,350 3,281
Halliburton Co. 101,978 3,086
Baker Hughes, Inc. 77,091 2,902
Valero Energy Corp. 29,800 2,198
* Transocean Inc. 74,200 2,147
Kerr-McGee Corp. 34,520 1,856
* BJ Services Co. 37,100 1,701
EOG Resources, Inc. 26,900 1,606
* Nabors Industries, Inc. 34,300 1,551
Williams Cos., Inc. 120,800 1,438
* Noble Corp. 31,300 1,186
El Paso Corp. 148,100 1,167
Sunoco, Inc. 17,545 1,116
* Rowan Cos., Inc. 24,586 598
* Calpine Corp. 96,761 418
* Dynegy, Inc. 88,100 375
-----------
45,673
-----------
Materials & Processing (3.5%)
E.I. du Pont de Nemours & Co. 231,233 10,271
Dow Chemical Co. 216,396 8,807
Alcoa Inc. 200,956 6,638
International Paper Co. 112,132 5,012
Newmont Mining Corp.
(Holding Co.) 102,309 3,965
Weyerhaeuser Co. 55,769 3,520
Masco Corp. 101,368 3,161
Praxair, Inc. 75,220 3,002
Air Products & Chemicals, Inc. 52,480 2,753
Archer-Daniels-Midland Co. 150,414 2,524
PPG Industries, Inc. 39,625 2,476
Monsanto Co. 61,420 2,365
Georgia Pacific Group 58,984 2,181
Rohm & Haas Co. 51,857 2,156
* American Standard Cos., Inc. 49,900 2,011
Ecolab, Inc. 59,560 1,888
* Phelps Dodge Corp. 21,556 1,671
Avery Dennison Corp. 25,484 1,631
Nucor Corp. 18,197 1,397
Sherwin-Williams Co. 33,194 1,379
MeadWestvaco Corp. 46,679 1,372
Freeport-McMoRan
Copper & Gold, Inc. Class B 40,800 1,353
Vulcan Materials Co. 23,600 1,122
* Sealed Air Corp. 19,536 1,041
Sigma-Aldrich Corp. 16,100 960
Ball Corp. 13,002 937
Engelhard Corp. 28,790 $ 930
United States Steel Corp. 26,200 920
Fluor Corp. 19,080 910
* Pactiv Corp. 35,577 887
Temple-Inland Inc. 12,800 886
Ashland, Inc. 16,406 866
Eastman Chemical Co. 17,982 831
Boise Cascade Corp. 20,330 765
Bemis Co., Inc. 24,850 702
Louisiana-Pacific Corp. 25,300 598
Worthington Industries, Inc. 19,802 407
Allegheny Technologies Inc. 18,900 341
Great Lakes Chemical Corp. 11,543 312
* Hercules, Inc. 25,417 310
-----------
85,258
-----------
Producer Durables (4.2%)
United Technologies Corp. 118,789 10,867
The Boeing Co. 194,883 9,957
* Applied Materials, Inc. 389,700 7,646
Illinois Tool Works, Inc. 71,538 6,860
Caterpillar, Inc. 78,990 6,275
Emerson Electric Co. 97,432 6,192
Lockheed Martin Corp. 103,676 5,399
Northrop Grumman Corp. 83,198 4,468
Deere & Co. 57,679 4,046
Danaher Corp. 71,100 3,687
* Agilent Technologies, Inc. 111,501 3,265
* Lexmark International, Inc. 30,000 2,896
Ingersoll-Rand Co. 40,190 2,745
* Xerox Corp. 185,230 2,686
Pitney Bowes, Inc. 53,380 2,362
* KLA-Tencor Corp. 45,400 2,242
Dover Corp. 47,180 1,986
Parker Hannifin Corp. 27,673 1,645
Pulte Homes, Inc. 29,342 1,527
Molex, Inc. 44,025 1,412
Rockwell Collins, Inc. 41,153 1,371
* Waters Corp. 27,700 1,324
Centex Corp. 28,632 1,310
Cooper Industries, Inc. Class A 21,395 1,271
W.W. Grainger, Inc. 21,146 1,216
* Thermo Electron Corp. 38,500 1,183
* Novellus Systems, Inc. 34,300 1,078
* Teradyne, Inc. 45,100 1,024
American Power
Conversion Corp. 46,600 916
Goodrich Corp. 27,354 884
Pall Corp. 28,895 757
KB HOME 10,911 749
* Andrew Corp. 37,400 748
Tektronix, Inc. 19,752 672
16
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
Cummins Inc. 10,041 $ 628
Crane Co. 13,954 438
Thomas & Betts Corp. 13,628 371
* Power-One, Inc. 19,000 209
-----------
104,312
-----------
Technology (15.0%)
Microsoft Corp. 2,496,068 71,288
Intel Corp. 1,495,536 41,277
* Cisco Systems, Inc. 1,563,405 37,053
International Business
Machines Corp. 389,701 34,352
* Dell Inc. 583,300 20,894
Hewlett-Packard Co. 704,981 14,875
* Oracle Corp. 1,201,072 14,329
QUALCOMM Inc. 187,300 13,669
Motorola, Inc. 541,873 9,889
Texas Instruments, Inc. 400,169 9,676
* EMC Corp. 564,850 6,439
General Dynamics Corp. 45,932 4,561
* Corning, Inc. 317,039 4,141
Analog Devices, Inc. 86,800 4,087
Maxim Integrated Products, Inc. 74,400 3,900
Computer Associates
International, Inc. 135,400 3,799
* Lucent Technologies, Inc. 992,810 3,753
Raytheon Co. 103,619 3,706
* Broadcom Corp. 72,700 3,400
* Sun Microsystems, Inc. 770,484 3,344
* Symantec Corp. 72,200 3,161
* Apple Computer, Inc. 88,100 2,867
Linear Technology Corp. 71,600 2,826
* Veritas Software Corp. 99,989 2,770
Xilinx, Inc. 80,300 2,675
Adobe Systems, Inc. 55,200 2,567
* Micron Technology, Inc. 140,946 2,158
Electronic Data Systems Corp. 111,800 2,141
* Computer Sciences Corp. 43,544 2,022
* Altera Corp. 86,436 1,921
* National Semiconductor Corp. 82,760 1,820
* Network Appliance, Inc. 80,200 1,727
* Intuit, Inc. 44,500 1,717
* Affiliated Computer
Services, Inc. Class A 31,500 1,668
Rockwell Automation, Inc. 43,153 1,619
* Avaya Inc. 102,359 1,616
* PeopleSoft, Inc. 84,800 1,569
* Solectron Corp. 221,900 1,436
* Advanced Micro Devices, Inc. 82,200 1,307
* JDS Uniphase Corp. 334,675 1,268
* Siebel Systems, Inc. 116,700 1,246
Scientific-Atlanta, Inc. 35,356 1,220
* Jabil Circuit, Inc. 46,700 $ 1,176
Autodesk, Inc. 26,420 1,131
* Sanmina-SCI Corp. 121,100 1,102
* NCR Corp. 21,780 1,080
* Unisys Corp. 77,481 1,075
* Mercury Interactive Corp. 21,200 1,056
Applera Corp.-
Applied Biosystems Group 46,900 1,020
* BMC Software, Inc. 51,685 956
* Comverse Technology, Inc. 45,500 907
* Tellabs, Inc. 96,500 843
* Citrix Systems, Inc. 39,600 806
Symbol Technologies, Inc. 54,550 804
* NVIDIA Corp. 38,600 791
* Novell, Inc. 89,902 754
* LSI Logic Corp. 88,874 677
PerkinElmer, Inc. 29,680 595
* Compuware Corp. 89,800 593
* PMC Sierra Inc. 41,100 590
* QLogic Corp. 21,600 574
* ADC Telecommunications, Inc. 188,000 534
* CIENA Corp. 131,849 490
* Gateway, Inc. 86,500 389
* Applied Micro Circuits Corp. 72,500 386
* Parametric Technology Corp. 62,300 312
-----------
370,394
-----------
Utilities (6.7%)
Verizon Communications Inc. 640,464 23,178
SBC Communications Inc. 765,670 18,567
* Comcast Corp. Class A 461,230 12,928
BellSouth Corp. 424,072 11,119
* AT&T Wireless Services Inc. 630,509 9,029
* Nextel Communications, Inc. 256,500 6,838
Sprint Corp. 329,680 5,802
Exelon Corp. 152,686 5,083
Southern Co. 170,412 4,968
Dominion Resources, Inc. 75,633 4,771
Duke Energy Corp. 211,906 4,300
ALLTEL Corp. 71,136 3,601
TXU Corp. 74,744 3,028
Entergy Corp. 53,286 2,985
American Electric
Power Co., Inc. 91,537 2,929
FirstEnergy Corp. 76,161 2,849
FPL Group, Inc. 42,749 2,734
* PG&E Corp. 96,758 2,703
AT&T Corp. 183,798 2,689
Progress Energy, Inc. 57,011 2,511
Consolidated Edison Inc. 55,900 2,223
Public Service Enterprise
Group, Inc. 54,735 2,191
17
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Growth and Income Fund Shares (000)
- --------------------------------------------------------------------------------
Edison International 75,228 $ 1,924
PPL Corp. 41,180 1,890
Sempra Energy 52,984 1,824
Ameren Corp. 42,405 1,913
Kinder Morgan, Inc. 28,700 1,702
DTE Energy Co. 40,102 1,626
Cinergy Corp. 41,806 1,589
* Comcast Corp. Special Class A 57,192 1,579
Xcel Energy, Inc. 92,636 1,548
* Qwest Communications
International Inc. 414,676 1,489
Constellation Energy Group, Inc. 38,998 1,478
* AES Corp. 148,100 1,471
KeySpan Corp. 36,900 1,354
NiSource, Inc. 61,259 1,263
CenturyTel, Inc. 32,200 967
Pinnacle West Capital Corp. 21,100 852
CenterPoint Energy Inc. 71,387 821
* Citizens Communications Co. 66,800 808
TECO Energy, Inc. 43,800 525
* Allegheny Energy, Inc. 29,600 456
Peoples Energy Corp. 8,619 363
* CMS Energy Corp. 38,100 348
NICOR Inc. 10,180 346
-----------
165,162
-----------
Other (5.3%)
General Electric Co. 2,440,524 79,073
3M Co. 180,790 16,273
Tyco International Ltd. 463,662 15,366
Honeywell International Inc. 198,428 7,268
Fortune Brands, Inc. 33,788 2,549
Johnson Controls, Inc. 43,952 2,346
Eaton Corp. 34,918 2,261
Textron, Inc. 31,904 1,893
ITT Industries, Inc. 21,501 1,785
Brunswick Corp. 22,026 899
-----------
129,713
-----------
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $1,901,221) 2,460,305
- --------------------------------------------------------------------------------
Face
Amount
(000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENT (0.1%)
- --------------------------------------------------------------------------------
Repurchase Agreement
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.46%, 7/1/2004--Note E
(Cost $1,830) $1,830 1,830
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100%)
(Cost $1,903,051) 2,462,135
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
Other Assets--Note B $ 11,192
Liabilities--Note E (10,974)
-----------
218
-----------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $2,462,353
================================================================================
^See Note A in Notes to Financial Statements.
*Non-income-producing security.
REIT—Real Estate Investment Trust.
- --------------------------------------------------------------------------------
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Amount
(000)
- --------------------------------------------------------------------------------
Paid-in Capital $2,338,814
Overdistributed Net Investment Income (1,263)
Accumulated Net Realized Losses (434,282)
Unrealized Appreciation 559,084
- --------------------------------------------------------------------------------
NET ASSETS $2,462,353
================================================================================
Investor Shares--Net Assets
Applicable to 54,257,340 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,350,285
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $24.89
================================================================================
Admiral Shares--Net Assets
Applicable to 16,872,676 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $862,914
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $51.14
================================================================================
Institutional Shares--Net Assets
Applicable to 10,011,087 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $249,154
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $24.89
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
18
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Capital Appreciation Fund Shares (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (100.0%)
- --------------------------------------------------------------------------------
Auto & Transportation (2.3%)
United Parcel Service, Inc. 147,300 $ 11,073
FedEx Corp. 96,200 7,859
Harley-Davidson, Inc. 106,200 6,578
Southwest Airlines Co. 293,887 4,928
Norfolk Southern Corp. 162,000 4,296
CSX Corp. 102,500 3,359
Expeditors International
of Washington, Inc. 65,500 3,236
Ford Motor Co. 192,513 3,013
J.B. Hunt Transport Services, Inc. 70,900 2,735
C.H. Robinson Worldwide, Inc. 57,200 2,622
General Motors Corp. 55,882 2,604
Lear Corp. 42,200 2,489
Gentex Corp. 58,126 2,306
* JetBlue Airways Corp. 78,350 2,302
* Navistar International Corp. 48,700 1,888
Union Pacific Corp. 31,253 1,858
American Axle & Manufacturing
Holdings, Inc. 48,700 1,771
Burlington Northern
Santa Fe Corp. 14,493 508
-------------
65,425
-------------
Consumer Discretionary (16.9%)
Wal-Mart Stores, Inc. 677,400 35,740
* Time Warner, Inc. 1,218,247 21,417
Home Depot, Inc. 480,000 16,896
The Walt Disney Co. 590,409 15,050
Viacom Inc. Class B 418,530 14,950
* eBay Inc. 129,510 11,908
* Yahoo! Inc. 325,000 11,807
Lowe's Cos., Inc. 218,600 11,487
Gillette Co. 237,016 10,049
McDonald's Corp. 379,700 9,872
Target Corp. 202,000 8,579
Cendant Corp. 331,925 8,126
Liberty Media Corp. 860,758 7,738
Avon Products, Inc. 158,000 7,290
Costco Wholesale Corp. 156,100 6,411
* Starbucks Corp. 145,252 6,316
Waste Management, Inc. 204,297 6,262
Kimberly-Clark Corp. 87,496 5,764
The Gap, Inc. 236,387 5,732
Staples, Inc. 180,530 5,291
Clear Channel
Communications, Inc. 140,636 5,196
International Game Technology 132,600 5,118
* Electronic Arts Inc. 90,200 4,920
Best Buy Co., Inc. 95,100 4,825
NIKE, Inc. Class B 63,600 4,818
* Apollo Group, Inc. Class A 52,984 $ 4,678
* InterActiveCorp 152,260 4,589
* Yum! Brands, Inc. 122,680 4,566
* Bed Bath & Beyond, Inc. 118,717 4,565
* DirecTV Group, Inc. 266,802 4,562
* Amazon.com, Inc. 82,900 4,510
* Kohl's Corp. 103,500 4,376
Starwood Hotels & Resorts
Worldwide, Inc. 93,924 4,212
* Coach, Inc. 89,600 4,049
Federated Department Stores, Inc. 81,100 3,982
Marriott International, Inc. Class A 79,200 3,950
Harrah's Entertainment, Inc. 61,700 3,338
* EchoStar Communications Corp.
Class A 106,200 3,266
Mattel, Inc. 178,032 3,249
* Caesars Entertainment, Inc. 214,400 3,216
PETsMART, Inc. 98,900 3,209
Mandalay Resort Group 46,000 3,157
Hilton Hotels Corp. 169,150 3,156
Black & Decker Corp. 49,600 3,082
Jones Apparel Group, Inc. 77,600 3,064
Robert Half International, Inc. 102,500 3,051
* Office Depot, Inc. 170,300 3,050
Cintas Corp. 63,500 3,027
Estee Lauder Cos. Class A 61,300 2,990
Republic Services, Inc. Class A 103,300 2,989
Michaels Stores, Inc. 54,000 2,970
* Interpublic Group of Cos., Inc. 209,600 2,878
* Liberty Media International INC-A 76,247 2,829
Manpower Inc. 55,600 2,823
* XM Satellite Radio Holdings, Inc. 103,000 2,811
Abercrombie & Fitch Co. 72,500 2,809
Alberto-Culver Co. Class B 55,350 2,775
Fastenal Co. 48,600 2,762
* MGM Mirage, Inc. 58,632 2,752
* Iron Mountain, Inc. 55,600 2,683
* AutoZone Inc. 33,300 2,667
* Toys R Us, Inc. 165,900 2,643
Gannett Co., Inc. 30,900 2,622
* Chico's FAS, Inc. 57,800 2,610
Liz Claiborne, Inc. 72,400 2,605
Dollar General Corp. 131,987 2,582
* Univision Communications Inc. 80,695 2,577
* Fox Entertainment Group, Inc.
Class A 96,300 2,571
* Mohawk Industries, Inc. 34,700 2,545
Foot Locker, Inc. 103,900 2,529
RadioShack Corp. 88,300 2,528
CDW Corp. 38,600 2,461
* Lamar Advertising Co. Class A 54,886 2,379
19
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Capital Appreciation Fund Shares (000)
- --------------------------------------------------------------------------------
* Career Education Corp. 52,000 $ 2,369
* Brinker International, Inc. 68,500 2,337
Darden Restaurants Inc. 111,850 2,299
Polo Ralph Lauren Corp. 66,700 2,298
* Allied Waste Industries, Inc. 174,100 2,295
* Dollar Tree Stores, Inc. 83,650 2,295
* AutoNation, Inc. 134,000 2,291
* Williams-Sonoma, Inc. 69,100 2,278
Borders Group, Inc. 97,100 2,276
Outback Steakhouse 53,950 2,231
E.W. Scripps Co. Class A 20,935 2,198
* Tech Data Corp. 55,510 2,172
* Sirius Satellite Radio, Inc. 702,000 2,162
* Timberland Co. 33,400 2,157
Saks Inc. 139,400 2,091
* Convergys Corp. 135,200 2,082
* CarMax, Inc. 95,079 2,079
* Rent-A-Center, Inc. 68,600 2,053
* O'Reilly Automotive, Inc. 44,524 2,012
Reebok International Ltd. 55,500 1,997
* Corinthian Colleges, Inc. 79,800 1,974
* Big Lots Inc. 135,906 1,965
* Weight Watchers
International, Inc. 50,200 1,965
* Barnes & Noble, Inc. 57,300 1,947
Hasbro, Inc. 102,100 1,940
* Pixar, Inc. 27,843 1,935
Aramark Corp. Class B 67,200 1,933
* Westwood One, Inc. 81,000 1,928
* Education Management Corp. 56,800 1,866
* Columbia Sportswear Co. 33,700 1,841
GTECH Holdings Corp. 39,100 1,811
* The Cheesecake Factory 44,600 1,775
Metro-Goldwyn-Mayer Inc. 139,263 1,685
Hearst-Argyle Television Inc. 61,400 1,583
* Entercom Communications Corp. 40,700 1,518
Sabre Holdings Corp. 43,200 1,197
Limited Brands, Inc. 56,874 1,064
Belo Corp. Class A 38,400 1,031
ServiceMaster Co. 66,000 813
Newell Rubbermaid, Inc. 32,660 768
Nordstrom, Inc. 13,500 575
Viacom Inc. Class A 13,688 498
* Kmart Holding Corp. 6,400 460
Omnicom Group Inc. 3,900 296
-------------
483,196
-------------
Consumer Staples (6.4%)
The Procter & Gamble Co. 593,200 32,294
PepsiCo, Inc. 464,800 25,043
The Coca-Cola Co. 474,000 23,928
Altria Group, Inc. 449,500 22,497
Walgreen Co. 307,300 $ 11,127
Anheuser-Busch Cos., Inc. 151,400 8,176
Sysco Corp. 163,300 5,858
CVS Corp. 137,522 5,779
* The Kroger Co. 277,400 5,049
Colgate-Palmolive Co. 78,900 4,612
* Safeway, Inc. 175,584 4,449
Wm. Wrigley Jr. Co. 63,200 3,985
Coca-Cola Enterprises, Inc. 125,700 3,644
Whole Foods Market, Inc. 36,400 3,474
The Pepsi Bottling Group, Inc. 102,800 3,140
* Dean Foods Co. 82,100 3,063
Tyson Foods, Inc. 135,345 2,835
* Constellation Brands, Inc. Class A 73,100 2,714
* Smithfield Foods, Inc. 89,300 2,625
PepsiAmericas, Inc. 103,700 2,203
* Rite Aid Corp. 417,400 2,179
* Del Monte Foods Co. 186,700 1,897
General Mills, Inc. 22,200 1,055
Sara Lee Corp. 44,600 1,025
The Clorox Co. 6,420 345
ConAgra Foods, Inc. 11,200 303
Kellogg Co. 100 4
R.J. Reynolds Tobacco
Holdings, Inc. 53 4
-------------
183,307
-------------
Financial Services (19.1%)
Citigroup, Inc. 1,282,844 59,652
American International
Group, Inc. 612,431 43,654
Bank of America Corp. 487,696 41,269
Wells Fargo & Co. 366,590 20,980
American Express Co. 321,300 16,508
J.P. Morgan Chase & Co. 424,300 16,450
Fannie Mae 198,500 14,165
Merrill Lynch & Co., Inc. 261,600 14,121
Morgan Stanley 235,000 12,401
First Data Corp. 266,595 11,869
Wachovia Corp. 256,200 11,401
Bank One Corp. 219,159 11,177
U.S. Bancorp 392,700 10,823
Freddie Mac 139,800 8,849
MBNA Corp. 321,500 8,291
Prudential Financial, Inc. 177,500 8,248
The Goldman Sachs Group, Inc. 86,300 8,126
AFLAC Inc. 173,700 7,089
Lehman Brothers Holdings, Inc. 88,069 6,627
Washington Mutual, Inc. 157,111 6,071
Countrywide Financial Corp. 86,199 6,055
Progressive Corp. of Ohio 68,500 5,843
State Street Corp. 118,100 5,792
20
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
SLM Corp. 141,700 $ 5,732
St. Paul Travelers Cos., Inc. 140,077 5,679
Capital One Financial Corp. 80,200 5,484
Golden West Financial Corp. 47,300 5,030
Metropolitan Life Insurance Co. 128,400 4,603
Allstate Corp. 95,100 4,427
Paychex, Inc. 127,180 4,309
Automatic Data Processing, Inc. 98,100 4,108
Fifth Third Bancorp 75,800 4,077
Charles Schwab Corp. 418,700 4,024
The Principal Financial Group, Inc. 113,500 3,948
Bear Stearns Co., Inc. 45,700 3,853
Moody's Corp. 58,400 3,776
Franklin Resources Corp. 73,300 3,671
Loews Corp. 57,300 3,436
* SunGard Data Systems, Inc. 131,400 3,416
* Fiserv, Inc. 87,650 3,409
The Hartford Financial
Services Group Inc. 49,200 3,382
MGIC Investment Corp. 44,200 3,353
Sovereign Bancorp, Inc. 149,900 3,313
Plum Creek Timber Co. Inc. REIT 100,900 3,287
MBIA, Inc. 57,000 3,256
Ambac Financial Group, Inc. 43,950 3,228
Legg Mason Inc. 35,400 3,222
Marsh & McLennan Cos., Inc. 70,600 3,204
Torchmark Corp. 58,600 3,153
* Providian Financial Corp. 205,900 3,021
M & T Bank Corp. 33,700 2,942
Zions Bancorp 47,600 2,925
The PMI Group Inc. 66,500 2,894
* DST Systems, Inc. 59,900 2,881
* The Dun & Bradstreet Corp. 51,600 2,782
Radian Group, Inc. 57,320 2,746
* AmeriCredit Corp. 134,800 2,633
Rouse Co. REIT 55,100 2,617
* Host Marriott Corp. REIT 209,943 2,595
Janus Capital Group Inc. 153,700 2,535
Investors Financial Services Corp. 58,100 2,532
* Genworth Financial Inc. 105,400 2,419
Leucadia National Corp. 48,100 2,391
Certegy, Inc. 59,500 2,309
Catellus Development Corp. REIT 92,708 2,285
* Alleghany Corp. 7,875 2,260
* Markel Corp. 8,100 2,248
BlackRock, Inc. 35,200 2,247
Federated Investors, Inc. 73,950 2,244
Eaton Vance Corp. 57,300 2,189
The Bank of New York Co., Inc. 74,200 2,187
Transatlantic Holdings, Inc. 26,250 2,126
HCC Insurance Holdings, Inc. 61,600 2,058
* Conseco, Inc. 103,000 $ 2,050
StanCorp Financial Group, Inc. 30,200 2,023
* WellChoice Inc. 48,200 1,995
Reinsurance Group
of America, Inc. 46,500 1,890
* CNA Financial Corp. 63,000 1,864
IndyMac Bancorp, Inc. REIT 56,000 1,770
BB&T Corp. 46,300 1,712
National City Corp. 48,800 1,708
New York Community
Bancorp, Inc. 86,400 1,696
* Instinet Group Inc. 312,517 1,650
* CapitalSource Inc. 65,400 1,599
* BOK Financial Corp. 39,933 1,568
Total System Services, Inc. 70,850 1,552
* The First Marblehead Corp. 32,500 1,308
* Ameritrade Holding Corp. 100,000 1,135
SunTrust Banks, Inc. 13,600 884
ProLogis REIT 18,389 605
Mellon Financial Corp. 12,500 367
PNC Financial Services Group 3,800 202
First Horizon National Corp. 300 14
-------------
545,499
-------------
Health Care (15.2%)
Pfizer Inc. 1,984,860 68,041
Johnson & Johnson 744,298 41,457
Merck & Co., Inc. 495,300 23,527
* Amgen, Inc. 358,975 19,589
Medtronic, Inc. 314,000 15,298
Eli Lilly & Co. 197,800 13,828
Abbott Laboratories 310,400 12,652
UnitedHealth Group Inc. 175,000 10,894
Wyeth 255,800 9,250
* Boston Scientific Corp. 205,500 8,795
Schering-Plough Corp. 471,300 8,710
Bristol-Myers Squibb Co. 350,500 8,587
Cardinal Health, Inc. 116,012 8,127
* Genentech, Inc. 135,700 7,626
* Zimmer Holdings, Inc. 80,370 7,089
HCA Inc. 155,821 6,481
* Biogen Idec Inc. 99,340 6,283
* Forest Laboratories, Inc. 106,600 6,037
* WellPoint Health Networks Inc.
Class A 53,872 6,034
Stryker Corp. 107,200 5,896
Guidant Corp. 103,500 5,784
* St. Jude Medical, Inc. 69,916 5,289
* Gilead Sciences, Inc. 78,600 5,266
* Caremark Rx, Inc. 159,623 5,258
Aetna Inc. 57,997 4,930
* Anthem, Inc. 52,355 4,689
21
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Capital Appreciation Fund Shares (000)
- --------------------------------------------------------------------------------
Biomet, Inc. 103,175 $ 4,585
* Medco Health Solutions, Inc. 116,321 4,362
Becton, Dickinson & Co. 80,600 4,175
* Genzyme Corp.-General Division 78,200 3,701
Quest Diagnostics, Inc. 40,100 3,406
* Tenet Healthcare Corp. 237,605 3,186
* Celgene Corp. 55,400 3,172
* Sepracor Inc. 58,700 3,105
* Express Scripts Inc. 39,100 3,098
AmerisourceBergen Corp. 51,200 3,061
Oxford Health Plans, Inc. 55,500 3,055
* Varian Medical Systems, Inc. 38,000 3,015
* Patterson Dental Co. 39,315 3,007
Beckman Coulter, Inc. 47,600 2,904
Health Management
Associates Class A 128,468 2,880
DENTSPLY International Inc. 54,600 2,845
* Laboratory Corp.
of America Holdings 71,600 2,843
Mylan Laboratories, Inc. 135,937 2,753
* Coventry Health Care Inc. 56,250 2,751
* Millipore Corp. 46,200 2,604
* Hospira, Inc. 91,940 2,538
* Apogent Technologies Inc. 79,200 2,534
* IVAX Corp. 103,975 2,494
* Chiron Corp. 51,740 2,310
* Eon Labs, Inc. 56,400 2,308
* Andrx Group 81,977 2,290
* Humana Inc. 131,800 2,227
* Henry Schein, Inc. 35,100 2,216
Medicis Pharmaceutical Corp. 54,700 2,185
* Lincare Holdings, Inc. 64,500 2,119
* Health Net Inc. 76,400 2,025
* King Pharmaceuticals, Inc. 176,800 2,024
Universal Health Services Class B 43,900 2,015
* Stericycle, Inc. 38,900 2,013
* MedImmune Inc. 84,000 1,966
* Watson Pharmaceuticals, Inc. 70,200 1,888
* Endo Pharmaceuticals
Holdings, Inc. 78,500 1,841
* Barr Pharmaceuticals Inc. 49,725 1,676
* American Pharmaceuticals
Partners, Inc. 52,200 1,586
IMS Health, Inc. 65,752 1,541
* ICOS Corp. 48,500 1,447
Baxter International, Inc. 29,300 1,011
McKesson Corp. 27,524 945
* Kinetic Concepts, Inc. 5,500 274
-------------
435,398
-------------
Integrated Oils (3.8%)
ExxonMobil Corp. 1,624,434 $ 72,141
ChevronTexaco Corp. 230,419 21,685
ConocoPhillips Co. 130,974 9,992
Amerada Hess Corp. 37,800 2,993
Occidental Petroleum Corp. 13,800 668
-------------
107,479
-------------
Other Energy (3.1%)
Devon Energy Corp. 85,111 5,617
Burlington Resources, Inc. 153,000 5,536
Apache Corp. 122,262 5,325
Anadarko Petroleum Corp. 89,408 5,239
Baker Hughes, Inc. 126,480 4,762
Valero Energy Corp. 59,600 4,396
Kerr-McGee Corp. 80,795 4,344
EOG Resources, Inc. 63,400 3,786
XTO Energy, Inc. 122,350 3,645
* BJ Services Co. 76,700 3,516
* Smith International, Inc. 53,400 2,978
Pioneer Natural Resources Co. 83,600 2,933
* Reliant Energy, Inc. 264,800 2,868
Peabody Energy Corp. 48,300 2,704
Noble Energy, Inc. 52,100 2,657
ENSCO International, Inc. 90,800 2,642
* Newfield Exploration Co. 47,200 2,631
* Grant Prideco, Inc. 127,600 2,355
* Premcor, Inc. 62,800 2,355
* FMC Technologies Inc. 81,025 2,334
Pogo Producing Co. 46,700 2,307
Patterson-UTI Energy, Inc. 66,600 2,225
* Rowan Cos., Inc. 88,800 2,160
* Varco International, Inc. 92,100 2,016
* Pride International, Inc. 116,900 2,000
* Cooper Cameron Corp. 40,700 1,982
* Dynegy, Inc. 424,300 1,808
* NRG Engergy 31,300 776
* National-Oilwell, Inc. 12,700 400
-------------
88,297
-------------
Materials & Processing (3.2%)
Alcoa Inc. 242,128 7,997
E.I. du Pont de Nemours & Co. 165,600 7,356
Dow Chemical Co. 137,100 5,580
Newmont Mining Corp.
(Holding Co.) 134,256 5,204
Praxair, Inc. 118,200 4,717
Monsanto Co. 105,867 4,076
Georgia Pacific Group 108,642 4,018
* American Standard Cos., Inc. 95,700 3,858
* Phelps Dodge Corp. 42,200 3,271
Nucor Corp. 41,600 3,193
Archer-Daniels-Midland Co. 189,773 3,184
22
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
Fluor Corp. 63,400 $ 3,022
Smurfit-Stone Container Corp. 144,765 2,888
Sigma-Aldrich Corp. 47,000 2,802
* Pactiv Corp. 111,700 2,786
Precision Castparts Corp. 50,700 2,773
* Sealed Air Corp. 50,136 2,671
* Energizer Holdings, Inc. 57,128 2,571
* Owens-Illinois, Inc. 148,100 2,482
Freeport-McMoRan
Copper & Gold, Inc. Class B 72,900 2,417
Lyondell Chemical Co. 133,900 2,329
Packaging Corp. of America 91,200 2,180
The St. Joe Co. 52,500 2,084
* Jacobs Engineering Group Inc. 47,700 1,878
* Scotts Co. 29,000 1,853
Martin Marietta Materials, Inc. 36,500 1,618
International Paper Co. 34,600 1,547
* International Steel Group, Inc. 14,900 443
-------------
90,798
-------------
Producer Durables (4.8%)
United Technologies Corp. 143,700 13,146
The Boeing Co. 207,770 10,615
* Applied Materials, Inc. 516,300 10,130
Illinois Tool Works, Inc. 84,500 8,103
Lockheed Martin Corp. 116,800 6,083
* Agilent Technologies, Inc. 183,525 5,374
Danaher Corp. 93,800 4,864
* Lexmark International, Inc. 50,300 4,855
Emerson Electric Co. 71,200 4,525
* Xerox Corp. 305,400 4,428
* KLA-Tencor Corp. 80,300 3,965
Northrop Grumman Corp. 72,268 3,881
Caterpillar, Inc. 44,000 3,495
* Waters Corp. 72,900 3,483
Pulte Homes, Inc. 59,300 3,085
Rockwell Collins, Inc. 92,000 3,065
Centex Corp. 63,700 2,914
* Thermo Electron Corp. 93,034 2,860
D. R. Horton, Inc. 99,425 2,824
* Novellus Systems, Inc. 88,200 2,773
* LAM Research Corp. 97,208 2,605
Molex, Inc. 79,956 2,565
* Teradyne, Inc. 110,200 2,502
W.W. Grainger, Inc. 43,400 2,495
Lennar Corp. Class A 54,600 2,442
* NVR, Inc. 4,800 2,324
* Toll Brothers, Inc. 52,900 2,239
Herman Miller, Inc. 75,300 2,179
American Power
Conversion Corp. 109,800 2,158
* Alliant Techsystems, Inc. 33,700 2,135
* Mettler-Toledo International Inc. 42,100 $ 2,069
Ryland Group, Inc. 25,700 2,010
* AGCO Corp. 94,000 1,915
* Hovnanian Enterprises Inc.
Class A 51,900 1,801
* United Defense Industries Inc. 51,300 1,795
Deere & Co. 6,500 456
Lennar Corp. Class B 8,300 344
-------------
138,502
-------------
Technology (16.5%)
Microsoft Corp. 2,145,200 61,267
Intel Corp. 1,661,700 45,863
* Cisco Systems, Inc. 1,804,800 42,774
International Business
Machines Corp. 373,400 32,915
* Dell Inc. 624,800 22,380
* Oracle Corp. 1,122,748 13,394
QUALCOMM Inc. 183,100 13,363
Hewlett-Packard Co. 606,758 12,803
Texas Instruments, Inc. 450,000 10,881
* EMC Corp. 732,500 8,350
Motorola, Inc. 390,446 7,126
* Corning, Inc. 478,200 6,245
Analog Devices, Inc. 127,066 5,982
Maxim Integrated Products, Inc. 113,700 5,960
General Dynamics Corp. 59,700 5,928
* Lucent Technologies, Inc. 1,488,354 5,626
* Sun Microsystems, Inc. 1,193,700 5,181
* Symantec Corp. 117,800 5,157
* Apple Computer, Inc. 157,600 5,128
Linear Technology Corp. 117,700 4,646
Adobe Systems, Inc. 98,700 4,590
* Veritas Software Corp. 160,200 4,438
* Broadcom Corp. 93,100 4,354
Xilinx, Inc. 127,800 4,257
* Altera Corp. 171,276 3,806
* National Semiconductor Corp. 166,600 3,664
* Micron Technology, Inc. 238,000 3,644
* Computer Sciences Corp. 76,600 3,557
Autodesk, Inc. 78,894 3,377
* Solectron Corp. 505,700 3,272
* Avaya Inc. 203,600 3,215
Microchip Technology, Inc. 100,800 3,179
* Network Appliance, Inc. 146,463 3,153
* JDS Uniphase Corp. 815,300 3,090
L-3 Communications Holdings, Inc. 46,100 3,079
* Advanced Micro Devices, Inc. 192,700 3,064
* PeopleSoft, Inc. 165,100 3,054
* NCR Corp. 60,637 3,007
* Affiliated Computer
Services, Inc. Class A 55,900 2,959
23
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Capital Appreciation Fund Shares (000)
- --------------------------------------------------------------------------------
* Juniper Networks, Inc. 119,000 $ 2,924
* Sanmina-SCI Corp. 305,046 2,776
* Intuit, Inc. 71,300 2,751
* BMC Software, Inc. 145,900 2,699
* Siebel Systems, Inc. 252,549 2,697
* Tellabs, Inc. 293,900 2,569
* Cadence Design Systems, Inc. 173,000 2,531
* Mercury Interactive Corp. 50,500 2,516
* Zebra Technologies Corp. Class A 28,505 2,480
* Jabil Circuit, Inc. 98,100 2,470
* Arrow Electronics, Inc. 91,500 2,454
* Synopsys, Inc. 83,754 2,381
* Unisys Corp. 169,700 2,355
* Avnet, Inc. 102,600 2,329
* Comverse Technology, Inc. 115,800 2,309
* BEA Systems, Inc. 278,100 2,286
* Atmel Corp. 377,463 2,235
* Novell, Inc. 263,900 2,214
* ADC Telecommunications, Inc. 779,404 2,213
* QLogic Corp. 82,000 2,180
* Storage Technology Corp. 75,000 2,175
* NVIDIA Corp. 103,800 2,128
* LSI Logic Corp. 267,100 2,035
* 3Com Corp. 324,575 2,029
* Ceridian Corp. 89,900 2,023
* SanDisk Corp. 92,400 2,004
* Compuware Corp. 294,562 1,944
* Amphenol Corp. 57,400 1,913
Intersil Corp. 85,600 1,854
* Ingram Micro, Inc. Class A 125,000 1,809
* BearingPoint, Inc. 202,000 1,792
* UTStarcom, Inc. 58,725 1,776
* PanAmSat Corp. 71,008 1,649
Reynolds & Reynolds Class A 65,200 1,508
* Foundry Networks, Inc. 103,300 1,453
* Citrix Systems, Inc. 71,356 1,453
* CIENA Corp. 365,904 1,361
* Maxtor Corp. 185,000 1,227
Computer Associates
International, Inc. 42,289 1,187
* Western Digital Corp. 136,500 1,182
-------------
471,599
-------------
Utilities (4.9%)
Verizon Communications Inc. 602,142 21,792
SBC Communications Inc. 695,920 16,876
* AT&T Wireless Services Inc. 698,710 10,006
* Comcast Corp. Class A 315,957 8,856
BellSouth Corp. 333,700 8,750
* Comcast Corp. Special Class A 282,232 7,792
* Nextel Communications, Inc. 280,090 7,467
* PG&E Corp. 163,300 4,563
Sprint Corp. 214,750 3,780
Edison International 147,200 $ 3,764
Kinder Morgan, Inc. 52,000 3,083
* Cox Communications, Inc.
Class A 107,300 2,982
* AES Corp. 277,200 2,753
SCANA Corp. 74,200 2,699
* Qwest Communications
International Inc. 743,479 2,669
Telephone & Data Systems, Inc. 36,900 2,627
CenturyTel, Inc. 85,600 2,571
* NTL Inc. 42,796 2,466
* Citizens Communications Co. 195,702 2,368
Exelon Corp. 67,600 2,250
NSTAR 46,000 2,202
ALLTEL Corp. 42,953 2,174
FirstEnergy Corp. 55,900 2,091
Northeast Utilities 107,400 2,091
Southern Co. 64,200 1,871
* U.S. Cellular Corp. 48,100 1,854
* Cablevision Systems
NY Group Class A 88,544 1,740
Dominion Resources, Inc. 27,139 1,712
* Level 3 Communications, Inc. 452,819 1,607
Duke Energy Corp. 53,200 1,079
NiSource, Inc. 35,920 741
AT&T Corp. 35,017 512
Cinergy Corp. 5,700 217
-------------
140,005
-------------
- --------------------------------------------------------------------------------
Other (3.8%)
General Electric Co. 2,459,134 79,676
3M Co. 154,200 13,880
ITT Industries, Inc. 45,000 3,735
Honeywell International Inc. 100,800 3,692
Brunswick Corp. 56,400 2,301
SPX Corp. 48,300 2,243
Wesco Financial Corp. 4,930 1,785
-------------
107,312
-------------
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $1,884,709) 2,856,817
- --------------------------------------------------------------------------------
Face
Amount
(000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENT (0.5%)
- --------------------------------------------------------------------------------
Repurchase Agreement
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.46%, 7/1/2004--Note E
(Cost $13,155) $13,155 13,155
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.5%)
(Cost $1,897,864) 2,869,972
- --------------------------------------------------------------------------------
24
- --------------------------------------------------------------------------------
Market
Value^
(000)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.5%)
Other Assets--Note B $ 5,039
Liabilities--Note E (18,167)
-------------
(13,128)
-------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $2,856,844
- --------------------------------------------------------------------------------
^See Note A in Notes to Financial Statements.
*Non-income-producing security.
REIT--Real Estate Investment Trust.
- --------------------------------------------------------------------------------
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Amount
(000)
- --------------------------------------------------------------------------------
Paid-in Capital $2,465,345
Undistributed Net Investment Income 12,502
Accumulated Net Realized Losses (593,111)
Unrealized Appreciation 972,108
- --------------------------------------------------------------------------------
NET ASSETS $2,856,844
================================================================================
Investor Shares--Net Assets
Applicable to 57,678,912 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,523,432
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $26.41
================================================================================
Admiral Shares--Net Assets
Applicable to 23,279,160 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,238,024
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $53.18
================================================================================
Institutional Shares--Net Assets
Applicable to 3,609,386 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $95,388
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $26.43
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
25
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Small-Cap Fund Shares (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.8%)
- --------------------------------------------------------------------------------
Auto & Transportation (5.2%)
Polaris Industries, Inc. 99,500 $ 4,776
Oshkosh Truck Corp. 82,700 4,740
* Yellow Roadway Corp. 111,485 4,444
* Landstar System, Inc. 70,900 3,748
Heartland Express, Inc. 118,034 3,229
Winnebago Industries, Inc. 79,900 2,979
* EGL, Inc. 104,400 2,777
* Knight Transportation, Inc. 87,218 2,506
Skywest, Inc. 139,046 2,421
* Kansas City Southern 149,700 2,320
* Kirby Corp. 58,200 2,264
USF Corp. 64,100 2,252
* Wabash National Corp. 79,300 2,185
Monaco Coach Corp. 68,150 1,920
Arkansas Best Corp. 58,200 1,916
* Forward Air Corp. 50,400 1,885
* Fleetwood Enterprises, Inc. 122,730 1,786
* Offshore Logistics, Inc. 54,900 1,544
Arctic Cat, Inc. 49,620 1,366
* TBC Corp. 51,663 1,230
* Frontier Airlines, Inc. 87,000 947
* AAR Corp. 74,600 847
Standard Motor Products, Inc. 47,100 694
Coachmen Industries, Inc. 38,470 615
* Mesa Air Group Inc. 74,900 606
* Atlantic Coast Airlines
Holdings Inc. 104,596 600
* Tower Automotive, Inc. 136,900 498
-----------
57,095
-----------
Consumer Discretionary (19.4%)
* Urban Outfitters, Inc. 93,382 5,688
* Fossil, Inc. 164,026 4,470
The Toro Co. 56,300 3,945
SCP Pool Corp. 82,787 3,725
* Tractor Supply Co. 88,600 3,705
The Pep Boys
(Manny, Moe & Jack) 139,005 3,524
* Kroll Inc. 92,700 3,419
* Zale Corp. 121,450 3,311
* Take-Two Interactive
Software, Inc. 107,055 3,280
* United Stationers, Inc. 79,464 3,156
* Sonic Corp. 138,187 3,144
* Quiksilver, Inc. 131,500 3,131
Ethan Allen Interiors, Inc. 86,880 3,120
* Linens `n Things, Inc. 104,400 3,060
* Waste Connections, Inc. 101,700 3,016
Kellwood Co. 65,000 2,831
* Arbitron Inc. 72,396 2,644
* United Natural Foods, Inc. 91,000 2,631
* Guitar Center, Inc. 58,300 $ 2,593
* Argosy Gaming Co. 68,400 2,572
* CEC Entertainment Inc. 87,125 2,571
* Jack in the Box Inc. 85,450 2,538
Aaron Rents, Inc. Class B 76,450 2,534
* Panera Bread Co. 70,100 2,515
* Select Comfort Corp. 86,630 2,460
* P.F. Chang's China Bistro, Inc. 59,200 2,436
Wolverine World Wide, Inc. 91,900 2,412
ADVO, Inc. 72,550 2,388
* Hot Topic, Inc. 113,725 2,330
* Aztar Corp. 81,900 2,293
* Men's Wearhouse, Inc. 86,450 2,281
La-Z-Boy Inc. 122,560 2,204
ABM Industries Inc. 113,000 2,200
* Tetra Tech, Inc. 129,306 2,110
* WMS Industries, Inc. 70,410 2,098
* Insight Enterprises, Inc. 116,400 2,067
* THQ Inc. 89,306 2,045
Watson Wyatt & Co. Holdings 76,000 2,025
* Shuffle Master, Inc. 55,387 2,011
Burlington Coat Factory
Warehouse Corp. 103,600 1,999
G & K Services, Inc. Class A 49,700 1,997
* Rare Hospitality International Inc. 78,550 1,956
Landry's Restaurants, Inc. 64,830 1,938
* Global Imaging Systems, Inc. 51,414 1,885
IHOP Corp. 51,600 1,845
* MAXIMUS, Inc. 51,000 1,808
* Multimedia Games Inc. 65,118 1,746
* Group 1 Automotive, Inc. 52,420 1,741
Fred's, Inc. 78,600 1,736
Brown Shoe Co., Inc. 41,800 1,711
* Cost Plus, Inc. 51,300 1,665
Oxford Industries, Inc. 38,100 1,660
K-Swiss, Inc. 81,500 1,647
* School Specialty, Inc. 44,500 1,616
CDI Corp. 46,300 1,602
* Stein Mart, Inc. 96,757 1,573
* Ryan's Restaurant Group, Inc. 99,550 1,573
Central Parking Corp. 83,700 1,564
Christopher & Banks Corp. 87,525 1,550
* Hibbett Sporting Goods, Inc. 56,609 1,548
* Electronics Boutique
Holdings Corp. 57,701 1,520
* K2 Inc. 96,645 1,517
Movie Gallery, Inc. 77,149 1,508
The Nautilus Group, Inc. 77,030 1,503
* Jo-Ann Stores, Inc. 50,990 1,499
* Labor Ready, Inc. 94,800 1,469
* The Children's Place Retail
Stores, Inc. 62,318 1,466
26
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
* Spherion Corp. 142,400 $ 1,444
Chemed Corp. 29,500 1,431
* Cross Country Healthcare, Inc. 76,500 1,388
Phillips-Van Heusen Corp. 72,000 1,386
* Heidrick & Struggles
International, Inc. 46,358 1,376
* Consolidated Graphics, Inc. 31,160 1,373
Russell Corp. 76,300 1,370
Lone Star Steakhouse &
Saloon, Inc. 48,839 1,328
* Too Inc. 79,500 1,328
* Information Holdings Inc. 47,900 1,311
* Papa John's International, Inc. 43,500 1,285
Bowne & Co., Inc. 80,500 1,276
* Genesco, Inc. 51,658 1,221
Startek, Inc. 33,800 1,210
* JAKKS Pacific, Inc. 58,200 1,210
The Marcus Corp. 69,600 1,201
* The Dress Barn, Inc. 69,100 1,183
* Steak n Shake Co. 64,200 1,170
* Volt Information Sciences Inc. 36,600 1,153
* Prime Hospitality Corp. 106,600 1,132
* The Gymboree Corp. 71,400 1,097
* J. Jill Group, Inc. 46,376 1,094
* Coinstar, Inc. 49,594 1,090
Cato Corp. Class A 47,700 1,071
* SOURCECORP, Inc. 38,600 1,062
Triarc Cos., Inc. Class B 104,200 1,060
* Pinnacle Entertainment, Inc. 83,200 1,049
The Stride Rite Corp. 91,300 1,007
* Administaff, Inc. 60,500 1,004
* ShopKo Stores, Inc. 68,498 969
* Pre-Paid Legal Services, Inc. 39,400 939
Haverty Furniture Cos., Inc. 52,650 920
Libbey, Inc. 31,600 877
* O'Charley's Inc. 48,300 830
Lawson Products, Inc. 21,742 829
Goody's Family Clothing 75,957 788
* Pegasus Solutions Inc. 58,284 765
Thomas Nelson, Inc. 33,100 753
* 4Kids Entertainment Inc. 31,340 750
Sturm, Ruger & Co., Inc. 61,450 744
* MemberWorks, Inc. 25,000 740
Oshkosh B' Gosh, Inc. Class A 27,454 686
* Midway Games Inc. 57,900 667
Action Performance Cos., Inc. 44,100 665
National Presto Industries, Inc. 15,895 655
* Midas Inc. 34,900 607
Bassett Furniture Industries, Inc. 27,416 597
Advanced Marketing Services 45,400 586
Angelica Corp. 19,900 500
* Applica Inc. 56,100 499
* Department 56 Inc. 30,800 $ 474
Triarc Cos., Inc. Class A 43,900 453
* Insurance Auto Auctions, Inc. 25,600 435
Russ Berrie and Co., Inc. 22,200 431
* The Wet Seal, Inc. Class A 78,630 411
* Bally Total Fitness Holding Corp. 81,200 406
Haggar Corp. 19,300 389
Hancock Fabrics, Inc. 27,600 352
* On Assignment, Inc. 55,076 325
Fedders Corp. 73,640 320
* Enesco Group, Inc. 32,500 291
* QRS Corp. 39,300 257
* Ashworth, Inc. 29,050 241
* Concord Camera Corp. 36,220 120
CPI Corp. 4,900 72
* Ultimate Electronics, Inc. 7,300 36
-----------
213,014
-----------
Consumer Staples (2.6%)
* NBTY, Inc. 154,694 4,546
* Performance Food Group Co. 107,800 2,861
Flowers Foods, Inc. 105,265 2,753
Sanderson Farms, Inc. 46,287 2,482
* Ralcorp Holdings, Inc. 70,000 2,464
Casey's General Stores, Inc. 117,099 2,143
Longs Drug Stores, Inc. 86,390 2,062
* Hain Celestial Group, Inc. 83,600 1,513
Lance, Inc. 71,455 1,100
Schweitzer-Mauduit
International, Inc. 35,100 1,075
* Duane Reade Inc. 58,400 954
* J & J Snack Foods Corp. 20,700 845
American Italian Pasta Co. 25,000 762
Nash-Finch Co. 28,097 703
* The Great Atlantic &
Pacific Tea Co., Inc. 86,900 666
Dimon Inc. 102,700 587
Nature's Sunshine Inc. 33,198 473
J.M. Smucker Co. 2,002 92
-----------
28,081
-----------
Financial Services (16.3%)
Whitney Holdings Corp. 95,600 4,270
UCBH Holdings, Inc. 105,540 4,171
Shurgard Storage Centers, Inc.
Class A REIT 108,100 4,043
Global Payments Inc. 89,740 4,040
The South Financial Group, Inc. 138,363 3,921
First Midwest Bancorp, Inc. 109,380 3,851
Hudson United Bancorp 103,189 3,847
First BanCorp Puerto Rico 94,100 3,835
Essex Property Trust, Inc. REIT 53,900 3,684
New Century Financial Corp. 78,450 3,673
East West Bancorp, Inc. 119,600 3,672
27
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Small-Cap Fund Shares (000)
- --------------------------------------------------------------------------------
Downey Financial Corp. 66,100 $ 3,520
Southwest Bancorporation of
Texas, Inc. 79,733 3,518
FactSet Research Systems Inc. 72,300 3,418
United Bankshares, Inc. 103,167 3,353
MAF Bancorp, Inc. 76,973 3,285
Delphi Financial Group, Inc. 73,449 3,268
Fremont General Corp. 179,900 3,175
* Philadelphia Consolidated
Holding Corp. 51,107 3,070
Chittenden Corp. 86,875 3,054
Hilb, Rogal and Hamilton Co. 85,500 3,051
* Kronos, Inc. 72,290 2,978
Flagstar Bancorp, Inc. 140,875 2,801
Community First Bankshares, Inc. 85,210 2,743
Susquehanna Bancshares, Inc. 107,549 2,706
Selective Insurance Group 64,635 2,578
Commercial Federal Corp. 94,400 2,558
* UICI 107,350 2,556
Seacoast Financial Services Corp. 72,384 2,504
Capital Automotive REIT 83,562 2,451
Wintrust Financial Corp. 47,800 2,414
Colonial Properties Trust REIT 62,400 2,404
* ProAssurance Corp. 70,000 2,388
Gables Residential Trust REIT 70,100 2,382
TrustCo Bank NY 172,571 2,261
Kilroy Realty Corp. REIT 65,600 2,237
Lexington Corporate Properties
Trust REIT 111,000 2,210
Zenith National Insurance Corp. 45,200 2,197
Provident Bankshares Corp. 75,738 2,184
Waypoint Financial Corp. 78,145 2,156
R.L.I. Corp. 58,600 2,139
Commercial Net Lease
Realty REIT 124,300 2,138
Republic Bancorp, Inc. 151,820 2,110
* Piper Jaffray Cos., Inc. 45,700 2,067
Brookline Bancorp, Inc. 140,600 2,063
John H. Harland Co. 67,790 1,990
NDCHealth Corp. 85,200 1,977
* eFunds Corp. 110,396 1,932
* NCO Group, Inc. 72,370 1,932
Entertainment Properties
Trust REIT 53,845 1,924
BankAtlantic Bancorp, Inc.
Class A 100,000 1,845
* BankUnited Financial Corp. 69,100 1,783
LandAmerica Financial
Group, Inc. 44,650 1,738
Irwin Financial Corp. 65,400 1,727
* Sterling Financial Corp. 52,360 1,669
* First Federal Financial Corp. 39,800 1,656
Dime Community Bancshares 92,919 $ 1,624
First Republic Bank 35,600 1,534
* Financial Federal Corp. 43,200 1,523
Cash America International Inc. 65,700 1,511
Boston Private Financial
Holdings, Inc. 63,700 1,475
Sterling Bancshares, Inc. 102,800 1,459
Gold Banc Corp., Inc. 92,261 1,430
Stewart Information
Services Corp. 42,200 1,425
Riggs National Corp. 66,346 1,401
Anchor Bancorp Wisconsin Inc. 52,720 1,394
Umpqua Holdings Corp. 65,274 1,370
Glenborough Realty Trust,
Inc. REIT 74,000 1,358
* Investment Technology
Group, Inc. 100,400 1,284
Presidential Life Corp. 67,976 1,225
* Digital Insight Corp. 55,743 1,156
* World Acceptance Corp. 44,114 809
* PRG-Schultz International, Inc. 143,099 783
SWS Group, Inc. 43,310 663
* Carreker Corp. 56,018 561
* Rewards Network Inc. 59,800 538
Viad Corp. 15,000 405
SCPIE Holdings Inc. 21,700 197
-----------
178,242
-----------
Health Care (12.3%)
Medicis Pharmaceutical Corp. 131,500 5,253
* IDEXX Laboratories Corp. 80,300 5,054
Cooper Cos., Inc. 77,600 4,902
* Respironics, Inc. 82,204 4,829
* MGI Pharma, Inc. 165,000 4,457
* Accredo Health, Inc. 113,025 4,402
* Techne Corp. 96,575 4,196
* Pharmaceutical Product
Development, Inc. 131,100 4,165
* ResMed Inc. 78,900 4,021
* Pediatrix Medical Group, Inc. 56,250 3,929
* Cerner Corp. 83,799 3,736
Mentor Corp. 98,500 3,378
Invacare Corp. 73,200 3,273
Diagnostic Products Corp. 68,500 3,010
* US Oncology, Inc. 200,400 2,950
* Advanced Medical Optics, Inc. 69,200 2,946
* Sierra Health Services, Inc. 64,500 2,883
* AMERIGROUP Corp. 57,760 2,842
* Sybron Dental Specialties, Inc. 89,200 2,663
* American Medical Systems
Holdings, Inc. 78,500 2,645
* United Surgical Partners
International, Inc. 64,683 2,553
28
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
Alpharma, Inc. Class A 122,200 $ 2,503
Owens & Minor, Inc. Holding Co. 91,400 2,367
* Priority Healthcare Corp. Class B 101,997 2,341
* Integra LifeSciences Holdings 66,312 2,339
* American Healthways Inc. 75,100 1,999
* Province Healthcare Co. 113,850 1,953
* CONMED Corp. 70,632 1,935
PolyMedica Corp. 62,300 1,934
* Sunrise Senior Living, Inc. 48,700 1,906
* Cyberonics, Inc. 56,400 1,881
* Centene Corp. 47,630 1,836
* AmSurg Corp. 70,250 1,765
* Haemonetics Corp. 58,650 1,739
* Biosite Inc. 37,100 1,667
* Odyssey Healthcare, Inc. 86,600 1,630
* Viasys Healthcare Inc. 71,200 1,489
* Immucor Inc. 45,617 1,485
* Possis Medical Inc. 43,400 1,482
* ArthroCare Corp. 48,829 1,420
Datascope Corp. 35,088 1,393
Analogic Corp. 31,200 1,324
* Sola International Inc. 74,700 1,287
* Noven Pharmaceuticals, Inc. 57,500 1,266
* PAREXEL International Corp. 62,500 1,237
* CIMA Labs Inc. 34,560 1,166
* ICU Medical, Inc. 32,700 1,096
* Hologic, Inc. 46,812 1,088
* SurModics, Inc. 41,005 1,010
* Merit Medical Systems, Inc. 63,400 1,010
* RehabCare Group, Inc. 37,000 985
* LabOne, Inc. 30,360 965
* Orthodontic Centers
of America, Inc. 114,100 934
* Wilson Greatbatch
Technologies, Inc. 32,900 920
Hooper Holmes, Inc. 149,200 856
Vital Signs, Inc. 29,400 854
* Regeneron Pharmaceuticals, Inc. 76,850 809
* BioLase Technology, Inc. 55,264 744
* Enzo Biochem, Inc. 31,816 477
* ArQule, Inc. 63,100 333
* Theragenics Corp. 64,800 299
* Savient Pharmaceuticals Inc. 110,140 273
* CryoLife Inc. 50,400 266
* Osteotech, Inc. 37,520 243
* Curative Health Services, Inc. 12,900 112
-----------
134,705
-----------
Other Energy (5.5%)
Massey Energy Co. 177,811 5,016
Patina Oil & Gas Corp. 164,600 4,917
* Evergreen Resources, Inc. 101,880 4,116
Cabot Oil & Gas Corp. 78,500 3,321
* Unit Corp. 105,134 $ 3,306
* Spinnaker Exploration Co. 79,800 3,143
* Cimarex Energy Co. 97,100 2,935
* Stone Energy Corp. 63,180 2,886
* Cal Dive International, Inc. 89,929 2,727
CARBO Ceramics Inc. 37,800 2,580
Vintage Petroleum, Inc. 149,350 2,534
St. Mary Land & Exploration Co. 67,200 2,396
* Oceaneering International, Inc. 57,370 1,965
* Seacor Holdings INC 44,000 1,933
* Veritas DGC Inc. 78,800 1,824
* Hydrill Co. 53,100 1,673
* Remington Oil & Gas Corp. 64,000 1,510
* Swift Energy Co. 66,000 1,456
* TETRA Technologies, Inc. 53,600 1,439
* Input/Output, Inc. 167,440 1,388
* Atwood Oceanics, Inc. 32,800 1,369
Frontier Oil Corp. 61,200 1,297
* W-H Energy Services, Inc. 64,100 1,256
* Prima Energy Corp. 30,514 1,207
* Plains Resources Inc. 55,800 946
* Dril-Quip, Inc. 42,000 785
-----------
59,925
-----------
Materials & Processing (11.6%)
The Timken Co. 206,800 5,478
Florida Rock Industries, Inc. 101,500 4,280
Hughes Supply, Inc. 71,500 4,213
Corn Products International, Inc. 85,300 3,971
AptarGroup Inc. 86,100 3,762
* Steel Dynamics, Inc. 115,100 3,295
Simpson Manufacturing Co. 57,500 3,227
Reliance Steel & Aluminum Co. 75,500 3,044
Mueller Industries Inc. 81,300 2,911
Georgia Gulf Corp. 78,600 2,819
Clarcor Inc. 60,400 2,766
* URS Corp. 98,700 2,704
* Rogers Corp. 38,300 2,677
Acuity Brands, Inc. 98,200 2,651
* Maverick Tube Corp. 100,900 2,650
* Armor Holdings, Inc. 75,400 2,564
Albany International Corp. 75,700 2,540
Brady Corp. Class A 54,700 2,522
Lennox International Inc. 137,338 2,486
MacDermid, Inc. 70,600 2,390
* OM Group, Inc. 66,000 2,179
Commercial Metals Co. 66,700 2,164
Wausau-Mosinee Paper Corp. 124,600 2,156
Kaydon Corp. 66,318 2,051
Texas Industries, Inc. 49,700 2,046
Delta & Pine Land Co. 91,100 2,000
H.B. Fuller Co. 68,900 1,957
* Lone Star Technologies, Inc. 66,900 1,844
29
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Small-Cap Fund Shares (000)
- --------------------------------------------------------------------------------
Quanex Corp. 37,750 $ 1,838
Carpenter Technology Corp. 52,500 1,788
* Century Aluminum Co. 72,056 1,786
Watsco, Inc. 62,548 1,756
* EMCOR Group, Inc. 36,300 1,596
* PolyOne Corp. 212,400 1,580
Barnes Group, Inc. 53,575 1,553
Arch Chemicals, Inc. 53,500 1,542
Cambrex Corp. 60,600 1,529
A. Schulman Inc. 70,740 1,520
* Griffon Corp. 68,210 1,520
Tredegar Corp. 92,900 1,498
* Shaw Group, Inc. 147,270 1,492
Universal Forest Products, Inc. 42,800 1,380
Rock-Tenn Co. 81,300 1,378
* Cleveland-Cliffs Inc. 24,400 1,376
Valmont Industries, Inc. 56,600 1,296
WD-40 Co. 40,294 1,206
Chesapeake Corp. of Virginia 44,775 1,195
ElkCorp 45,800 1,096
Deltic Timber Corp. 27,595 1,060
* Interface, Inc. 119,111 1,040
* Insituform Technologies Inc.
Class A 60,888 991
Myers Industries, Inc. 69,737 983
* Buckeye Technology, Inc. 84,600 973
* Mobile Mini, Inc. 33,623 955
* Caraustar Industries, Inc. 66,383 937
Ryerson Tull, Inc. 57,300 910
The Standard Register Co. 67,900 808
* RTI International Metals, Inc. 48,250 770
Pope & Talbot, Inc. 36,800 728
* Brush Engineered Materials Inc. 38,200 722
Wellman, Inc. 81,545 663
Quaker Chemical Corp. 23,900 660
Apogee Enterprises, Inc. 62,500 650
Steel Technologies, Inc. 28,890 638
Building Materials Holding Corp. 29,900 566
* Omnova Solutions Inc. 90,500 552
* IMCO Recycling, Inc. 34,700 459
* Commonwealth Industries Inc. 36,934 382
* A.M. Castle & Co. 34,600 372
* Lydall, Inc. 37,900 370
* Material Sciences Corp. 31,725 338
Penford Corp. 19,004 334
* Wolverine Tube, Inc. 28,400 310
Intermet Corp. 53,103 228
-----------
126,671
-----------
Producer Durables (12.1%)
* NVR, Inc. 15,050 7,286
Roper Industries Inc. 85,900 4,888
MDC Holdings, Inc. 75,947 4,831
Briggs & Stratton Corp. 53,000 $ 4,683
IDEX Corp. 117,050 4,021
Cognex Corp. 104,181 4,009
Standard Pacific Corp. 80,900 3,988
Engineered Support
Systems, Inc. 61,524 3,600
* Varian Semiconductor
Equipment Associates, Inc. 84,800 3,270
* Cymer, Inc. 85,900 3,216
* Axcelis Technologies, Inc. 231,743 2,883
Curtiss-Wright Corp. 49,500 2,781
* Dionex Corp. 50,200 2,770
* Moog Inc. 62,418 2,316
* Rayovac Corp. 79,623 2,237
A.O. Smith Corp. 70,200 2,232
* Littelfuse, Inc. 51,400 2,180
* CUNO Inc. 40,800 2,177
* Brooks Automation, Inc. 107,276 2,162
* Meritage Corp. 30,500 2,098
The Manitowoc Co., Inc. 61,900 2,095
* Technitrol, Inc. 94,000 2,059
* ATMI, Inc. 74,506 2,035
* Headwaters Inc. 78,293 2,030
Watts Water Technologies, Inc. 74,600 2,010
Woodward Governor Co. 26,939 1,943
* Electro Scientific Industries, Inc. 64,693 1,831
* FEI Co. 76,500 1,829
* Paxar Corp. 91,300 1,782
* Vicor Corp. 97,411 1,780
Baldor Electric Co. 76,060 1,776
* Veeco Instruments, Inc. 68,123 1,758
* Teledyne Technologies, Inc. 76,500 1,532
* Champion Enterprises, Inc. 164,300 1,508
* Ionics, Inc. 53,300 1,506
* Esterline Technologies Corp. 49,800 1,471
* Photronics Inc. 77,000 1,458
JLG Industries, Inc. 102,700 1,426
* Imagistics International Inc. 38,920 1,378
Thomas Industries, Inc. 40,800 1,355
Applied Industrial
Technology, Inc. 44,600 1,343
* Photon Dynamics, Inc. 38,075 1,335
Helix Technology Corp. 60,800 1,297
* Kulicke & Soffa Industries, Inc. 117,200 1,284
Belden, Inc. 59,700 1,279
Regal-Beloit Corp. 57,400 1,278
* Gardner Denver Inc. 45,625 1,273
* Triumph Group, Inc. 38,700 1,236
Stewart & Stevenson
Services, Inc. 66,466 1,191
* Itron, Inc. 50,300 1,154
C & D Technologies, Inc. 58,700 1,047
30
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
* Cable Design Technologies Corp. 97,800 $ 1,037
CTS Corp. 83,600 1,008
Cohu, Inc. 49,175 936
* Ultratech, Inc. 57,260 932
* Symmetricom Inc. 101,836 906
* Audiovox Corp. 53,000 895
* DuPont Photomasks, Inc. 42,800 870
* Astec Industries, Inc. 45,900 864
Keithley Instruments Inc. 37,100 822
* C-COR Electronics, Inc. 79,474 818
* Artesyn Technologies, Inc. 90,779 817
Standex International Corp. 29,000 789
Skyline Corp. 19,400 789
Robbins & Myers, Inc. 32,600 732
X-Rite Inc. 46,800 680
* Advanced Energy Industries, Inc. 43,225 679
Lindsay Manufacturing Co. 27,000 649
* Rudolph Technologies, Inc. 34,200 622
* Magnatek, Inc. 67,500 563
* Milacron Inc. 111,600 446
* Tollgrade Communications, Inc. 29,638 315
-----------
132,076
-----------
Technology (10.3%)
* FLIR Systems, Inc. 78,000 4,282
* Avid Technology, Inc. 74,891 4,087
* Hyperion Solutions Corp. 91,200 3,987
* Trimble Navigation Ltd. 118,378 3,290
* Skyworks Solutions, Inc. 346,759 3,027
Anixter International Inc. 84,900 2,889
* FileNET Corp. 90,447 2,855
* Benchmark Electronics, Inc. 95,850 2,789
* CACI International, Inc. 68,700 2,778
* Aeroflex, Inc. 173,134 2,481
* WebEx Communications, Inc. 103,055 2,242
* Manhattan Associates, Inc. 72,210 2,230
* Adaptec, Inc. 253,146 2,142
* Coherent, Inc. 70,642 2,109
* MICROS Systems, Inc. 43,062 2,066
* InVision Technologies, Inc. 40,860 2,039
* SERENA Software, Inc. 106,700 2,037
* DRS Technologies, Inc. 62,700 2,000
* Websense, Inc. 52,900 1,969
Black Box Corp. 41,554 1,964
* Microsemi Corp. 136,858 1,945
* DSP Group Inc. 68,226 1,858
* Progress Software Corp. 85,600 1,855
* Dendrite International, Inc. 95,932 1,782
* Internet Security Systems, Inc. 115,333 1,769
* Power Integrations, Inc. 70,925 1,766
* ScanSource, Inc. 28,791 1,711
* ANSYS, Inc. 35,776 1,681
Inter-Tel, Inc. 62,408 1,558
* Checkpoint Systems, Inc. 86,500 $ 1,551
* ViaSat, Inc. 60,700 1,514
* Hutchinson Technology, Inc. 60,700 1,493
* j2 Global Communications, Inc. 53,406 1,485
* ManTech International Corp. 75,550 1,418
* Harmonic, Inc. 164,700 1,403
* Exar Corp. 94,300 1,382
Cubic Corp. 64,800 1,356
* Intermagnetics General Corp. 38,604 1,314
* Mercury Computer Systems, Inc. 48,700 1,208
* Verity, Inc. 88,608 1,197
* Ciber, Inc. 145,500 1,196
Park Electrochemical Corp. 47,050 1,188
* Pinnacle Systems, Inc. 164,987 1,180
* Actel Corp. 59,525 1,101
EDO Corp. 45,600 1,100
Methode Electronics,
Inc. Class A 83,100 1,078
* Daktronics, Inc. 43,100 1,075
Bel Fuse, Inc. Class B 25,724 1,073
Agilysys, Inc. 74,900 1,033
BEI Technologies, Inc. 33,760 956
* JDA Software Group, Inc. 69,072 910
* Standard Microsystem Corp. 37,200 867
* Kopin Corp. 165,665 847
* ESS Technology, Inc. 78,957 846
Talx Corp. 33,100 809
* MRO Software Inc. 57,500 783
* SPSS, Inc. 42,285 760
* Netegrity, Inc. 86,687 733
* RadiSys Corp. 36,955 686
* Catapult Communications Corp. 29,132 670
* Pericom Semiconductor Corp. 59,684 639
* EPIQ Systems, Inc. 40,100 581
* Digi International, Inc. 52,600 564
* PC-Tel, Inc. 47,200 557
* SBS Technologies, Inc. 34,105 548
* Captaris Inc. 80,600 521
* Alliance Semiconductor Corp. 86,367 514
* Bell Microproducts Inc. 61,500 498
* Supertex, Inc. 30,245 494
* MapInfo Corp. 44,740 474
* Concord Communications, Inc. 41,400 472
* Planar Systems, Inc. 34,200 458
* Zix Corp. 51,796 411
* Network Equipment
Technologies, Inc. 46,300 378
* Phoenix Technologies Ltd. 53,200 372
* Gerber Scientific, Inc. 49,300 348
* NYFIX, Inc. 70,168 343
* Roxio, Inc. 62,695 308
* Brooktrout Technology, Inc. 25,800 279
31
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
Small-Cap Fund Shares (000)
- --------------------------------------------------------------------------------
* SCM Microsystems, Inc. 39,400 $ 256
* Three-Five Systems, Inc. 48,499 247
* Meade Instruments Corp. 46,686 149
-----------
112,811
-----------
Utilities (4.3%)
Energen Corp. 84,800 4,070
Piedmont Natural Gas, Inc. 90,700 3,873
UGI Corp. Holding Co. 120,200 3,858
* Southern Union Co. 174,363 3,676
Atmos Energy Corp. 121,125 3,100
New Jersey Resources Corp. 65,550 2,726
* Southwestern Energy Co. 83,700 2,400
* Commonwealth Telephone
Enterprises, Inc. 51,831 2,320
Avista Corp. 111,600 2,056
Cleco Corp. 112,600 2,025
UniSource Energy Corp. 78,500 1,951
Southwest Gas Corp. 80,060 1,932
Northwest Natural Gas Co. 63,300 1,931
* El Paso Electric Co. 113,700 1,756
CH Energy Group, Inc. 36,800 1,709
UIL Holdings Corp. 33,963 1,654
The Laclede Group, Inc. 48,900 1,340
* General Communication, Inc. 130,940 1,040
American States Water Co. 37,350 868
* Intrado Inc. 39,600 637
Cascade Natural Gas Corp. 26,500 585
Central Vermont Public
Service Corp. 27,200 557
NUI Corp. 37,300 545
* Boston Communications
Group, Inc. 42,323 434
Green Mountain Power Corp. 11,275 294
-----------
47,337
-----------
Other (0.2%)
GenCorp, Inc. 103,900 1,391
Kaman Corp. Class A 52,834 739
-----------
2,130
-----------
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $738,780) 1,092,087
- --------------------------------------------------------------------------------
Face Market
Amount Value^
(000) (000)
================================================================================
TEMPORARY CASH INVESTMENTS (2.5%)
- --------------------------------------------------------------------------------
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.47%, 7/1/2004 $ 1,350 $ 1,350
1.46%, 7/1/2004--Note E 26,460 26,460
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS
(Cost $27,810) 27,810
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (102.3%)
(Cost $766,590) 1,119,897
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-2.3%)
- --------------------------------------------------------------------------------
Other Assets--Note B 9,867
Security Lending Collateral
Payable to Brokers---Note E (26,460)
Other Liabilities (8,633)
-----------
(25,226)
-----------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $1,094,671
================================================================================
^See Note A in Notes to Financial Statements.
*Non-income-producing security.
REIT–Real Estate Investment Trust.
- --------------------------------------------------------------------------------
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Amount
(000)
- --------------------------------------------------------------------------------
Paid-in Capital $760,898
Undistributed Net Investment Income 3,270
Accumulated Net Realized Losses (22,804)
Unrealized Appreciation 353,307
- --------------------------------------------------------------------------------
NET ASSETS $1,094,671
================================================================================
Investor Shares--Net Assets
Applicable to 56,110,381 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,077,361
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE---
INVESTOR SHARES $19.20
================================================================================
Institutional Shares--Net Assets
Applicable to 899,999 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $17,310
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE---
INSTITUTIONAL SHARES $19.23
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
32
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
International Fund Shares (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.8%)
- --------------------------------------------------------------------------------
Australia (4.8%)
BHP Billiton Ltd. 368,943 $ 3,220
National Australia Bank Ltd. 146,780 3,051
Commonwealth Bank
of Australia 125,029 2,838
Australia & New Zealand Bank
Group Ltd. 179,376 2,284
Westpac Banking Corp., Ltd. 179,816 2,205
News Corp. Ltd. Pfd. 261,718 2,142
News Corp. Ltd. 135,244 1,195
Woolworths Ltd. 103,573 823
AMP Limited 186,098 821
Telstra Corp. Ltd. 224,253 786
Wesfarmers Ltd. 36,761 753
Rio Tinto Ltd. 29,786 746
Coles Myer Ltd. 111,044 664
Foster's Group Ltd. 196,779 647
Stockland 176,870 638
QBE Insurance Group Ltd. 65,700 586
Suncorp-Metway Ltd. 58,309 577
Insurance Australia Group Ltd. 162,136 565
Woodside Petroleum Ltd. 46,151 536
Rinker Group Ltd. 93,819 526
Macquarie Bank Ltd. 22,023 520
Westfields Holdings Ltd. 45,875 492
Macquarie Infrastucture Group 197,734 455
Mirvac Group 143,467 430
Alumina Ltd. 114,665 422
Amcor Ltd. 85,214 414
Tabcorp Holdings Ltd. 41,567 412
Brambles Industries Ltd. 94,691 396
WMC Resources Ltd. 110,421 378
BlueScope Steel Ltd. 79,729 374
Australian Gas Light Co., Ltd. 42,940 363
Newcrest Mining Ltd. 32,921 316
Orica Ltd. 29,211 307
CSL Ltd. 19,399 301
Centro Properties Group 107,385 298
Investa Property Group 209,540 285
Lend Lease Corp. 38,668 277
Santos Ltd. 57,129 276
Boral Ltd. 60,034 270
Origin Energy Ltd. 63,483 249
John Fairfax Holdings Ltd. 93,882 244
Coca-Cola Amatil Ltd. 43,985 212
Patrick Corp. Ltd. 53,350 198
James Hardie Industries NV 45,250 189
Mayne Group Ltd. 75,946 180
Transurban Group 48,709 165
Paperlinx Ltd. 48,679 164
Tab Ltd. 46,741 160
Toll Holdings Ltd. 20,705 $ 155
Sonic Healthcare Ltd. 22,840 145
Southcorp Ltd. 65,014 142
CSR Ltd. 88,953 138
Lion Nathan Ltd. 29,055 137
Deutsche Office Trust 162,837 130
AXA Asia Pacific Holdings Ltd. 53,031 124
Publishing & Broadcasting Ltd. 13,803 124
Aristocrat Leisure Ltd. 33,008 111
Cochlear Ltd. 6,607 105
Ansell Ltd. 18,887 102
Australian Stock Exchange Ltd. 9,280 100
OneSteel Ltd. 57,056 99
* Pacific Brands Limited 51,897 97
Harvey Norman Holdings Ltd. 48,047 94
Computershare Ltd. 40,096 89
Iluka Resources Ltd. 27,814 88
Pepetual Trustees Australia Ltd. 2,419 79
Leighton Holdings Ltd. 12,171 77
ING Industrial Fund 60,439 76
Futuris Corp., Ltd. 51,353 57
-----------
36,619
-----------
Austria (0.3%)
Erste Bank der Oesterreichischen
Sparkassen AG 3,365 529
Telekom Austria AG 28,670 438
OMV AG 1,300 253
Bank Austria Creditanstalt 3,654 214
Wienerberger AG 5,505 192
Voestalpine AG 2,252 111
Oesterreichische
Elektrizitaetswirtschafts AG
Class A 415 73
Mayr-Melnhof Karton AG 546 70
Boehler-Uddeholm AG 787 65
VA Technologies AG 1,002 56
Flughafen Wien AG 777 45
RHI AG 1,970 44
-----------
2,090
-----------
Belgium (1.1%)
Fortis Group 116,564 2,581
Dexia 63,410 1,052
Electrabel SA 2,958 948
KBC Bankverzekeringsholding 10,065 579
Solvay SA 6,328 517
* Belgacom SA 16,604 505
Interbrew 14,753 469
UCB SA 8,537 398
Delhaize Group 7,374 377
Cofinimmo 2,045 276
Agfa Gevaert NV 8,561 212
Colruyt NV 1,589 196
33
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
International Fund Shares (000)
- --------------------------------------------------------------------------------
* Mobistar SA 2,707 $ 169
Umicore 2,393 151
Omega Pharma SA 2,311 117
Bekaert NV 1,827 105
Barco NV 1,086 98
D'Ieteren SA 283 60
Compagnie Maritime Belge SA 437 53
-----------
8,863
-----------
Cayman Islands
Kingboard Chemical Holdings Ltd. 24,000 42
-----------
Denmark (0.8%)
Novo Nordisk A/S B Shares 25,094 1,292
Danske Bank A/S 48,990 1,161
AP Moller-Maersk A/S 109 749
TDC A/S 13,041 424
Vestas Wind Systems A/S 17,105 251
Danisco A/S 4,629 239
Novozymes A/S 5,124 231
ISS A/S 4,076 201
GN Store Nord A/S 22,667 200
Group 4 Falck A/S 7,500 193
Carlsberg A/S B Shares 3,056 162
H. Lundbeck A/S 7,318 159
* Topdanmark A/S 2,500 148
Coloplast A/S B Shares 1,375 130
* William Demant A/S 2,600 98
Kobenhavns Lufthavne A/S 660 96
DSV, De Sammensluttede
Vognmaend A/S 1,900 91
East Asiatic Co. A/S 1,950 90
FLS Industries A/S B Shares 3,799 53
Bang & Olufsen A/S B Shares 909 50
NKT Holding A/S 2,140 43
-----------
6,061
-----------
Finland (1.4%)
Nokia Oyj 471,575 6,805
UPM-Kymmene Oyj 51,932 988
Stora Enso Oyj R Shares 61,766 838
Fortum Oyj 31,577 403
Sampo Oyj A Shares 27,750 269
TietoEnator Oyj B Shares 7,475 227
Kone Corp. B Shares 3,325 201
Elisa Oyj Class A 13,100 175
Outokumpu Oyj A Shares 9,400 150
Metso Oyj 9,640 122
Kesko Oyj 5,760 114
Amer Group Ltd. 2,157 112
Uponor Oyj 2,895 95
Orion-Yhtyma Oyj B Shares 3,650 94
Nokian Renkaat Oyj 959 93
Rautaruuki Oyj 10,970 89
Wartsila Oyj B Shares 2,770 $ 62
KCI Konecranes Oyj 1,400 52
Pohjola Group PLC D Shares 3,870 40
-----------
10,929
-----------
France (9.4%)
Total SA 57,003 10,868
Aventis SA 66,700 5,035
BNP Paribas SA 79,190 4,870
AXA 130,723 2,879
France Telecom SA 109,099 2,843
* Vivendi Universal SA 99,065 2,748
Societe Generale Class A 32,047 2,723
Carrefour SA 56,044 2,719
L'Oreal SA 30,947 2,472
Sanofi-Synthelabo SA 36,042 2,285
Groupe Danone 24,170 2,108
* Alcatel SA 119,262 1,840
L'Air Liquide SA (Registered) 10,851 1,794
LVMH Louis Vuitton
Moet Hennessy 24,227 1,752
Suez SA 78,688 1,638
Credit Agricole SA 66,021 1,606
Cie. de St. Gobain SA 30,970 1,544
Lafarge SA 16,554 1,476
Schneider Electric SA 20,141 1,375
Renault SA 17,970 1,369
STMicroelectronics NV 57,224 1,255
PSA Peugeot Citroen 16,326 909
Compagnie Generale des
Etablissements Michelin
SA B Shares 13,978 773
Accor SA 18,313 773
Lagardere S.C.A. 12,291 768
Veolia Environnement 26,635 751
European Aeronautic Defence
and Space Co. 26,289 732
Pernod Ricard SA 5,361 686
Pinault-Printemps-Redoute SA 6,460 664
Vinci SA 6,567 662
Bouygues SA 19,698 660
Arcelor 37,672 633
Essilor International SA 9,372 612
Cap Gemini SA 11,565 464
Thomson SA 23,434 462
Unibail Co. 4,409 456
Gecina SA 5,066 398
Societe Television Francaise 1 12,169 383
Etablissements Economiques du
Casino Guichard-Perrachon SA 3,777 341
Publicis Groupe SA 10,105 299
Valeo SA 7,159 298
Autoroutes du Sud de la France 7,357 292
34
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
Thales SA 7,748 $ 283
Dassault Systemes SA 5,908 274
Technip SA 1,897 257
* Atos Origin SA 3,870 249
Euronext NV 8,706 243
Sodexho Alliance SA 9,144 241
Imerys SA 3,620 211
Air France 12,314 210
CNP Assurances 3,441 200
Sagem SA 1,743 194
Klepierre 2,795 191
Hermes International 937 187
Zodiac SA 4,290 146
* Business Objects SA 6,183 139
Societe BIC SA 2,760 123
Alstom 102,583 115
-----------
72,478
-----------
Germany (6.9%)
Siemens AG 78,448 5,642
E.On AG 60,937 4,396
Deutsche Telekom AG 244,800 4,301
Deutsche Bank AG 51,511 4,047
DaimlerChrysler AG (Registered) 84,270 3,937
SAP AG 20,010 3,317
Allianz AG 29,651 3,212
BASF AG 53,377 2,857
RWE AG 40,062 1,884
Bayer AG 65,092 1,877
Muenchener Rueckversicherungs-
Gesellschaft AG (Registered) 16,507 1,789
Bayerische Hypo-und
Vereinsbank AG 55,510 987
Schering AG 16,619 979
Volkswagen AG 22,673 958
Deutsche Post AG 43,937 949
Commerzbank AG 51,529 908
Infineon Technologies AG 60,807 816
Depfa Bank PLC 49,192 715
Metro AG 14,800 702
Continental AG 13,335 643
Adidas-Salomon AG 4,599 549
ThyssenKrupp AG 31,863 543
Porsche AG 796 533
Deutsche Boerse AG 10,430 530
Henkel KGaA 5,793 495
Linde AG 8,173 450
Altana AG 7,016 422
* Hypo Real Estate Holding AG 14,134 415
Puma AG 1,594 405
Man AG 10,825 395
Merck KGaA 4,889 294
Volkswagen AG Pfd. 9,452 273
Deutsche Lufthansa AG 19,681 $ 268
Fresenius Medical Care AG 3,586 266
HeidelbergerCement AG 5,193 259
TUI AG 13,496 258
Beiersdorf AG 1,817 212
Celesio AG 3,130 187
* Qiagen NV 15,311 181
ProSieben Sat.1 Media AG 8,357 151
RWE AG Pfd. 3,681 148
Fresenius Medical Care AG 2,361 126
EPCOS AG 6,044 126
Karstadt Quelle AG 5,141 112
MLP AG 7,244 107
Douglas Holding AG 3,391 97
Suedzucker AG 4,763 94
-----------
52,812
-----------
Greece (0.5%)
National Bank of Greece SA 23,832 518
Alpha Credit Bank SA 20,160 513
EFG Eurobank Ergasias 19,000 414
Hellenic Telecommunication
Organization SA 26,680 347
Greek Organization of Football
Prognostics 17,100 323
Public Power Corp. 10,500 250
Coca-Cola Hellenic Bottling Co. SA 8,400 196
Cosmote Mobile
Communications SA 11,400 179
Bank of Piraeus 15,100 176
Titan Cement Co. SA 6,400 151
Commercial Bank of Greece SA 4,800 125
Hellenic Petroleum SA 9,500 79
Viohalco, Hellenic Copper &
Aluminum Industry SA 9,400 67
Folli-Follie SA 1,400 45
Germanos S.A. 1,400 40
Intracom SA 7,700 34
Technical Olympic SA 8,000 33
Hyatt Regency Hotels and
Tourism SA 2,700 28
Hellenic Duty Free Shops SA 1,100 21
Hellenic Technodomiki Tev SA 4,230 18
-----------
3,557
-----------
Hong Kong (1.6%)
Hutchison Whampoa Ltd. 207,512 1,417
Sun Hung Kai Properties Ltd. 133,064 1,092
Cheung Kong Holdings Ltd. 148,000 1,091
CLP Holdings Ltd. 187,732 1,028
Hang Seng Bank Ltd. 76,643 983
Hong Kong Electric Holdings Ltd. 153,500 636
Boc Hong Kong Holdings Ltd. 370,000 631
Swire Pacific Ltd. A Shares 92,298 598
35
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
International Fund Shares (000)
- --------------------------------------------------------------------------------
Hong Kong & China Gas Co., Ltd. 357,177 $ 588
Bank of East Asia Ltd. 134,549 385
Wharf Holdings Ltd. 119,215 342
Henderson Land Development
Co. Ltd. 69,006 297
Esprit Holdings Ltd. 63,572 284
* PCCW Ltd. 329,000 224
Li & Fung Ltd. 145,850 213
Hong Kong Exchanges &
Clearing Ltd. 101,000 207
MTR Corp. 133,000 201
Cathay Pacific Airways Ltd. 97,170 183
New World Development
Co., Ltd. 240,000 177
Techtronic Industries Co., Ltd. 100,000 160
Johnson Electric Holdings Ltd. 148,498 151
Hang Lung Properties Ltd. 114,500 148
Cheung Kong Infrastructure
Holdings Ltd. 59,000 142
Yue Yuen Industrial
(Holdings) Ltd. 57,500 140
Television Broadcasts Ltd. 29,000 124
Hopewell Holdings Ltd. 59,000 119
Hysan Development Co., Ltd. 64,000 95
Shangri-La Asia Ltd. 94,078 92
Sino Land Co. 159,000 89
Giordano International Ltd. 129,000 81
Kerry Properties Ltd. 44,000 67
ASM Pacific Technology Ltd. 16,500 62
Orient Overseas Holdings 13,000 38
SCMP Group Ltd. 79,863 32
Texwinca Holdings Limited 36,000 28
-----------
12,145
-----------
Ireland (0.8%)
Allied Irish Banks PLC 82,808 1,280
Bank of Ireland 95,711 1,279
CRH PLC 51,278 1,083
* Elan Corp. PLC 38,226 943
Irish Life & Permanent PLC 28,211 434
Kerry Group PLC A Shares 13,708 290
Grafton Group PLC 21,060 168
DCC PLC 8,424 154
Independent News & Media PLC 56,047 134
* Ryanair Holdings PLC 21,583 120
Fyffes PLC 33,722 71
Greencore Group PLC 13,017 50
Kingspan Group PLC 5,510 33
Waterford Wedgewood PLC 34,132 7
-----------
6,046
-----------
Italy (3.7%)
ENI SpA 255,221 5,068
Assicurazioni Generali SpA 94,310 2,544
Telecom Italia SpA 808,049 2,512
Unicredito Italiano SpA 435,632 $ 2,152
Telecom Italia Mobile SpA 366,004 2,075
ENEL SpA 239,399 1,919
Telecom Italia S.p.A. RNC 570,523 1,260
Banca Intesa SpA 322,050 1,258
San Paolo-IMI SpA 95,451 1,150
Mediaset SpA 58,676 669
Banco Popolare di Verona e
Novara Scrl 36,678 630
Mediobanca Banca di Credito
Finanziaria SpA 46,143 561
Riunione Adriatica di Sicurta SpA 30,442 552
Alleanza Assicurazioni SpA 47,260 539
Banche Popolari Unite Scrl 31,843 528
Finmeccanica Spa 569,564 453
Banca Antonveneta SpA 21,200 436
Capitalia SpA 129,619 405
Autostrade SpA 19,700 387
Fiat SpA 43,918 368
Banca Nazionale del
Lavoro (BNL) 153,502 357
Snam Rete Gas SpA 81,902 352
Banca Monte dei Paschi di
Siena SpA 102,327 327
Banca Intesa SpA Non
Convertible Risp. 90,117 271
Banca Popolare di Milano SpA 34,301 220
Luxottica Group SpA 12,142 202
Pirelli & C. Accomandita
per Azioni 183,986 190
Banca Fideuram SpA 30,252 170
Mediolanum SpA 25,592 163
Seat Pagine Gialle SpA 386,009 162
Autogrill SpA 10,418 148
Bulgari SpA 13,389 135
* Edison S.p.A. 77,501 134
Mondadori (Arnoldo) Editore SpA 13,486 128
Italcementi SpA 8,752 117
Gruppo Editoriale L'Espresso SpA 14,836 89
* Tiscali SpA 17,212 77
FinecoGroup S.p.A. 11,448 72
* Telecom Italia SpA 130,836 54
Benetton Group SpA 4,600 53
* Parmalat Finanziaria SpA 34,147 5
-----------
28,892
-----------
Japan (24.1%)
Toyota Motor Corp. 282,200 11,562
Canon, Inc. 82,000 4,371
Mitsubishi Tokyo Financial Group Inc. 440 4,119
Takeda Chemical Industries Ltd. 87,100 3,868
Honda Motor Co., Ltd. 76,700 3,740
NTT DoCoMo, Inc. 1,962 3,546
Sony Corp. 90,300 3,440
36
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
Mizuho Financial Group, Inc. 741 $ 3,401
Matsushita Electric Industrial
Co., Ltd. 215,034 3,088
Nippon Telegraph and
Telephone Corp. 521 2,816
Nissan Motor Co., Ltd. 245,200 2,757
Sumitomo Mitsui Financial
Group, Inc. 397 2,755
Nomura Holdings Inc. 180,000 2,695
Tokyo Electric Power Co. 114,600 2,629
Millea Holdings, Inc. 148 2,222
Hitachi Ltd. 304,000 2,116
East Japan Railway Co. 342 1,940
UFJ Holdings Inc. 374 1,671
Ito-Yokado Co., Ltd. 35,000 1,515
Sharp Corp. 93,000 1,503
Fuji Photo Film Co., Ltd. 46,000 1,459
Chubu Electric Power Co. 65,300 1,395
Ricoh Co. 64,000 1,377
Kyocera Corp. 15,700 1,347
Kansai Electric Power Co., Inc. 71,500 1,318
Kao Corp. 53,000 1,292
JFE Holdings, Inc. 51,900 1,287
Nippon Steel Corp. 599,000 1,271
Shin-Etsu Chemical Co., Ltd. 35,000 1,265
Murata Manufacturing Co., Ltd. 21,900 1,262
Seven Eleven Japan Co. Ltd. 38,000 1,254
Mitsubishi Estate Co., Ltd. 99,000 1,242
Rohm Co., Ltd. 10,200 1,235
Denso Corp. 51,900 1,222
Bridgestone Corp. 64,000 1,216
Mitsui Sumitomo Insurance Co. 125,880 1,196
Hoya Corp. 11,200 1,185
Fujitsu Ltd. 163,000 1,162
Nintendo Co. 9,700 1,138
NEC Corp. 159,400 1,135
Toshiba Corp. 278,000 1,131
Mitsubishi Corp. 107,000 1,051
Dai-Nippon Printing Co., Ltd. 63,000 1,018
Yamanouchi Pharmaceuticals
Co., Ltd. 29,800 1,014
Softbank Corp. 22,600 1,005
Aeon Co., Ltd. 24,600 998
Mitsui & Co., Ltd. 124,000 939
Tokyo Electron Ltd. 16,400 931
Orix Corp. 7,800 904
* Yahoo Japan Corp. 91 894
TDK Corp. 11,600 890
Fanuc Co., Ltd. 14,600 881
Daiwa Securities Group Inc. 121,000 879
Tokyo Gas Co., Ltd. 245,000 879
Central Japan Railway Co. 102 878
Secom Co., Ltd. 20,000 $ 859
Mitsubishi Electric Corp. 169,000 840
Mitsui Fudosan Co., Ltd. 69,000 837
Sankyo Co., Ltd. 37,900 830
Nitto Denko Corp. 16,000 827
Nippon Oil Corp. 127,000 809
Mitsubishi Heavy Industries Ltd. 292,000 801
Resona Holdings Inc. 439,000 790
Asahi Glass Co., Ltd. 75,000 789
T & D Holdings, Inc. 15,400 778
Keyence Corp. 3,310 764
Sumitomo Trust & Banking
Co., Ltd. 106,000 764
Kyushu Electric Power Co., Inc. 40,300 761
Sompo Japan Insurance Inc. 72,000 744
Eisai Co., Ltd. 24,900 725
Tohoku Electric Power Co. 42,000 715
Ajinomoto Co., Inc. 56,000 682
Sumitomo Electric Industries Ltd. 66,000 681
Yamato Transport Co., Ltd. 41,000 677
Nikko Securities Co., Ltd. 138,000 677
Japan Tobacco, Inc. 86 676
West Japan Railway Co. 165 673
Kirin Brewery Co., Ltd. 66,000 661
Fujisawa Pharmaceutical Co., Ltd. 27,500 658
Asahi Kasei Corp. 121,000 634
Toppan Printing Co., Ltd. 55,000 630
Sanyo Electric Co., Ltd. 148,000 616
Promise Co., Ltd. 8,950 604
* Bank of Yokohama Ltd. 95,000 601
Sumitomo Chemical Co. 127,000 599
SMC Corp. 5,400 591
Itochu Corp. 129,000 586
Komatsu Ltd. 94,000 576
Kinki Nippon Railway Co. 148,190 570
Konica Minolta Holdings, Inc. 40,500 565
Daiwa House Industry Co., Ltd. 48,000 563
Sumitomo Corp. 76,000 558
Sekisui House Ltd. 49,000 550
Osaka Gas Co., Ltd. 195,000 547
Toray Industries, Inc. 114,000 543
Kubota Corp. 100,000 538
Tostem Inax Holding Corp. 24,512 535
Shizuoka Bank Ltd. 59,000 527
Omron Corp. 22,100 523
Shionogi & Co., Ltd. 30,000 522
OJI Paper Co., Ltd. 80,000 519
Daikin Industries Ltd. 19,000 516
Sumitomo Realty &
Development Co. 39,000 489
Tokyu Corp. 94,000 488
Advantest Corp. 7,000 474
37
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
International Fund Shares (000)
- --------------------------------------------------------------------------------
Nippon Express Co., Ltd. 79,000 $ 468
Takefuji Corp. 6,380 468
Nippon Unipac Holding 87 460
Acom Co., Ltd. 6,990 459
Marui Co., Ltd. 33,300 454
Mitsui Osk Lines Ltd. 84,000 447
Aiful Corp. 4,200 443
Chugai Pharmaceutical Co., Ltd. 27,800 441
Chiba Bank Ltd. 70,000 434
Shiseido Co., Ltd. 34,000 433
Trend Micro Inc. 9,500 426
Asahi Breweries Ltd. 38,200 426
Sumitomo Metal Industries Ltd. 356,000 426
Mitsubishi Chemical Corp. 158,000 425
Terumo Corp. 16,700 424
Daiichi Pharmaceutical Co., Ltd. 23,300 420
Nidec Corp. 4,000 415
Credit Saison Co., Ltd. 13,600 414
Nippon Yusen Kabushiki
Kaisha Co. 88,000 411
Fast Retailing Co., Ltd. 5,000 410
NTT Data Corp. 123 402
Olympus Corp. 21,000 401
Mitsui Trust Holding Inc. 52,100 386
Taisho Pharmaceutical Co. 17,000 381
Pioneer Corp. 14,500 379
Odakyu Electric Railway Co. 67,000 368
Hirose Electric Co., Ltd. 3,300 367
Kobe Steel Ltd. 240,000 363
Dentsu Inc. 139 362
Aisin Seiki Co., Ltd. 16,600 350
Sekisui Chemical Co. 41,000 350
NOK Corp. 9,200 345
Daito Trust Construction Co., Ltd. 8,800 343
Oriental Land Co., Ltd. 5,100 339
Kajima Corp. 89,000 334
Seiko Epson Corp. 9,000 331
Tobu Railway Co., Ltd. 73,000 324
JSR Corp. 17,000 323
Ohbayashi Corp. 59,000 321
Bank of Fukuoka, Ltd. 53,000 318
Sumitomo Metal Mining Co. 48,000 317
Shinsei Bank, Ltd. 49,000 317
CSK Corp. 6,400 315
Yokogawa Electric Corp. 23,000 311
Toto Ltd. 29,000 309
Marubeni Corp. 124,000 309
Taisei Corp. 80,000 305
Takashimaya Co. 26,000 304
Keio Electric Railway Co., Ltd. 52,000 300
Kuraray Co., Ltd. 36,000 298
Citizen Watch Co., Ltd. 26,000 298
Joyo Bank Ltd. 66,000 $ 296
Nikon Corp. 26,000 296
Teijin Ltd. 78,000 295
Rakuten, Inc . 38 293
Nippon Mining Holdings Inc. 58,500 292
Casio Computer Co. 19,000 291
Matsushita Electric Works, Ltd. 31,000 284
Yamada Denki Co., Ltd. 7,200 272
Hokkaido Electric
Power Co., Ltd. 15,100 271
Mabuchi Motor Co. 3,600 270
Yamaha Corp. 16,200 269
Mitsui Chemicals, Inc. 52,000 263
Furukawa Electric Co. 60,000 259
Stanley Electric Co. 15,000 254
ToneGeneral Sekiyu K.K. 29,000 251
Showa Denko K.K. 99,000 251
Kyowa Hakko Kogyo Co. 34,000 248
Nomura Research Institute, Ltd. 2,300 248
Lawson Inc. 5,900 246
Keihin Electric Express
Railway Co., Ltd. 38,000 241
Isetan Co. 16,300 238
Ushio Inc. 13,000 237
NGK Insulators Ltd. 29,000 237
Yamaha Motor Co., Ltd. 15,000 237
Oki Electric Industry Co. Ltd. 58,000 236
Mitsui Mining & Smelting Co., Ltd. 50,000 236
Kawasaki Kisen Kaisha Ltd. 46,000 235
77 Bank Ltd. 34,000 235
NTN Corp. 45,000 231
Alps Electric Co., Ltd. 16,000 231
Shimizu Corp. 50,000 229
Nissin Food Products Co., Ltd. 8,700 228
Onward Kashiyama Co., Ltd. 14,000 228
Toyo Seikan Kaisha Ltd. 13,000 226
NSK Ltd. 44,000 222
Kaneka Corp. 23,000 221
Konami Corp. 8,500 218
Hokugin Financial Group, Inc. 84,000 218
Mitsubishi Materials Corp. 94,000 213
JAFCO CO., Ltd. 2,700 208
Mitsukoshi, Ltd. 37,000 207
Amada Co., Ltd. 31,000 207
Sankyo Co., Ltd. 5,000 206
Benesse Corp. 6,200 205
NEC Electronics Corp. 3,300 205
FamilyMart Co., Ltd. 6,200 204
Daimaru, Inc. 22,000 202
Uni-Charm Corp. 4,000 201
Kawasaki Heavy Industries Ltd. 123,000 200
Bandai Co., Ltd. 7,200 198
38
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
Japan Airlines System Co. 61,000 $ 197
Mitsubishi Rayon Co., Ltd. 50,000 196
THK Co., Inc. 10,200 195
JGC Corp. 20,000 194
Net One Systems Co., Ltd. 49 193
Leopalace21 Corp. 10,200 193
Taiheiyo Cement Corp. 75,000 189
Nippon Meat Packers, Inc. 15,000 187
Toho Co., Ltd. 12,600 185
USS Co., Ltd. 2,110 184
Fujikura Ltd. 32,000 182
Makita Corp. 12,000 182
Uny Co., Ltd. 14,000 181
Ishikawajima-Harima Heavy
Industries Co. 108,000 180
Oracle Corp. Japan 3,200 179
Gunma Bank Ltd. 35,000 178
Hino Motors, Ltd. 24,000 176
Minebea Co., Ltd. 37,000 174
Dowa Mining Co. Ltd. 29,000 174
TIS Inc. 4,000 173
Nisshin Steel Co. 84,000 172
Taiyo Yuden Co., Ltd. 12,000 171
Sammy Corp. 3,500 169
Shimano, Inc. 7,000 169
* Sumitomo Heavy Industries Ltd. 53,000 168
Hitachi Chemical Co., Ltd. 10,000 166
Nisshin Seifun Group Inc. 16,000 164
Dai-Nippon Ink & Chemicals, Inc. 63,000 164
Fuji Electric Holdings Co., Ltd. 59,000 162
Aeon Credit Service Co. Ltd. 2,370 160
* Sega Corp. 12,300 160
Shimamura Co., Ltd. 1,800 158
All Nippon Airways Co., Ltd. 47,000 156
NGK Spark Plug Co. 16,000 156
Mitsubishi Gas Chemical Co. 37,000 155
Kamigumi Co., Ltd. 21,000 155
Denki Kagaku Kogyo K.K. 43,000 155
Kurita Water Industries Ltd. 11,100 154
Skylark Co., Ltd. 7,500 153
Tosoh Corp. 41,000 150
Kikkoman Corp. 17,000 148
The Suruga Bank, Ltd. 19,000 148
Yakult Honsha Co., Ltd. 10,000 147
Central Glass Co., Ltd. 17,000 146
Nippon Sheet Glass Co., Ltd. 36,000 145
Meitec Corp. 3,600 145
Koyo Seiko Co., Ltd. 12,000 144
Susuken Co., Ltd. 4,560 144
Ebara Corp. 29,000 144
Toyobo Ltd. 56,000 143
Shimachu Co. 5,100 141
Japan Retail Fund $
Investment Corp. 20 140
Takara Holdings Inc. 17,000 139
House Foods Industry Corp. 9,500 136
Showa Shell Sekiyu K.K. 14,900 136
Sanken Electric Co., Ltd. 10,000 133
Uniden Corp. 6,000 131
Dai-Nippon Screen
Manufacturing Co., Ltd. 22,000 131
Kuraya Sanseido INC 8,500 129
Obic Co., Ltd. 600 129
Daicel Chemical Industries Ltd. 24,000 127
Fuji Soft ABC Inc. 3,200 127
Ryohin Keikaku Co. Ltd. 2,400 125
Sumitomo Osaka Cement Co., Ltd. 45,000 125
Ito En, Ltd. 2,600 124
Tokyu Land Corporation 38,000 123
Aoyama Trading Co., Ltd. 4,500 123
Toyoda Gosei Co., Ltd. 5,100 121
Nippon Shokubai Co., Ltd. 15,000 121
Itochu Techno-Science Corp. 2,800 120
Fuji Television Network, Inc. 52 120
Sapparo Holdings Ltd. 32,000 118
Ube Industries Ltd. 74,000 116
Seino Transportation Co., Ltd. 11,000 115
Nissan Chemical Industries, Ltd. 14,000 114
Meiji Seika Kaisha Ltd. 25,000 112
Okumura Corp. 21,000 111
Mitsui Engineering &
Shipbuilding Co., Ltd. 63,000 111
World Co., Ltd. 3,600 111
Nippon Light Metal Co. 46,000 110
Zeon Corp. 15,000 110
Yamazaki Baking Co., Ltd. 11,000 109
Teikoku Oil Co., Ltd. 20,000 109
Wacoal Corp. 10,000 107
Meiji Dairies Corp. 19,000 106
Nisshinbo Industries, Inc. 14,000 106
Toyo Suisan Kaisha, Ltd. 8,000 106
* Nissho Iwai-Nichimen
Holdings Corp. 20,600 106
Hankyu Department Stores, Inc. 12,000 106
Hitachi Cable Ltd. 22,000 106
Mitsubishi Logistics Corp. 11,000 105
Kansai Paint Co., Ltd. 17,000 105
Mitsumi Electric Co., Ltd. 8,900 104
Nippon Sanso Corp. 19,000 103
Coca-Cola West Japan Co. Ltd. 4,100 102
Matsumotokiyoshi Co., Ltd. 3,300 101
Sanden Corp. 16,000 101
Sumitomo Bakelite Co. Ltd. 14,000 99
Nitori Co., Ltd. 1,550 98
39
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
International Fund Shares (000)
- --------------------------------------------------------------------------------
Q.P. Corp. 11,200 $ 98
Namco Ltd. 3,400 96
Alfresa Holdings Corp. 1,700 96
Hitachi Construction
Machinery Co. 8,000 96
Kinden Corp. 15,000 95
Gunze Ltd. 18,000 94
C&S Co. Ltd. 3,500 94
Rinnai Corp. 3,000 92
Hitachi Capital Corp. 4,900 92
The Goodwill Group, Inc. 35 92
Sanwa Shutter Corp. 17,000 92
Aderans Co. Ltd. 4,000 87
Katokichi Co., Ltd. 4,200 85
Nichii Gakkan Co. 1,830 84
Kokuyo Co., Ltd. 6,600 84
Tokyo Broadcasting System, Inc. 4,700 84
Komori Corp. 5,000 84
Comsys Holdings Corp. 10,000 82
Nichirei Corp. 23,000 82
Tokyo Style Co. 7,000 81
Bellsystem24, Inc. 350 75
Asatsu-DK Inc. 2,800 74
Hitachi Software Engineering
Co., Ltd. 3,100 73
Autobacs Seven Co., Ltd. 2,200 73
Amano Corp. 8,000 72
Nishimatsu Construction Co. 20,000 71
Nippon Kayaku Co., Ltd. 12,000 67
Toda Corp. 16,000 67
Anritsu Corp. 10,000 66
Ariake Japan Co., Ltd. 2,090 63
Takuma Co., Ltd. 8,000 58
Ishihara Sangyo Kaisha Ltd. 25,000 56
* Kanebo Ltd. 55,000 52
Capcom Co., Ltd. 4,500 51
Kaken Pharmaceutical Co. 7,000 41
* Snow Brand Milk Products Co. 12,000 41
Saizeriya Co., Ltd. 2,900 40
-----------
185,849
-----------
Netherlands (4.8%)
Royal Dutch Petroleum Co. 203,473 10,443
ING Groep NV 172,108 4,062
Unilever NV 56,360 3,847
Koninklijke (Royal) Philips
Electronics NV 128,600 3,462
ABN-AMRO Holding NV 152,951 3,346
Aegon NV 131,909 1,590
Koninklijke KPN NV 194,618 1,482
Koninklijke Ahold NV 148,066 1,162
Akzo Nobel NV 26,830 987
Reed Elsevier NV 66,096 928
* ASML Holding NV 47,609 $ 806
Heineken NV 23,473 771
TPG NV 33,627 768
Verenigde Nederlandse
Uitgeversbedrijven NV 22,079 641
Wolters Kluwer NV 26,398 479
* Koninklijke Numico NV 14,792 475
DSM NV 8,087 397
Rodamco Europe NV 5,140 311
Vedior NV 15,571 227
Wereldhave NV 2,356 194
Oce NV 9,537 154
* Getronics NV 51,766 142
IHC Caland NV 2,816 131
Randstad Holding NV 4,755 130
Hagemeyer NV 57,941 123
-----------
37,058
-----------
New Zealand (0.2%)
Telecom Corp. of New
Zealand Ltd. 191,893 717
Sky City Entertainment
Group Ltd. 49,947 152
Fletcher Building Ltd. 43,357 125
Carter Holt Harvey Ltd. 83,797 110
Contact Energy Ltd. 27,315 102
Auckland International
Airport Ltd. 21,642 93
Fisher & Paykel Appliances
Holdings Ltd. 24,054 70
Fisher & Paykel Healthcare
Corp. Ltd. 7,328 61
Tower Ltd. 38,377 42
The Warehouse Group Ltd. 13,360 36
Independent Newspapers Ltd. 11,173 33
* Sky Network Television, Ltd. 8,195 26
Tenon Ltd. 21,693 26
NGC Holdings, Ltd. 12,944 23
Tenon Ltd. 1,241 2
-----------
1,618
-----------
Norway (0.5%)
Norsk Hydro ASA 14,612 950
Telenor ASA 79,926 556
Statoil ASA 43,570 553
DNB NOR ASA 68,680 469
Orkla ASA 18,420 461
Norske Skogindustrier ASA 10,700 191
* Yara International ASA 17,452 141
Storebrand ASA 20,200 138
Tandberg ASA 12,400 131
Frontline Ltd. 3,610 124
* Petroleum Geo-Services 2,080 85
Tomra Systems ASA 17,800 84
40
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
Schibsted ASA 3,930 $ 70
Smedvig ASA A Shares 3,320 37
* Aker Kvaerner ASA 1,837 29
-----------
4,019
-----------
Portugal (0.3%)
Portugal Telecom SGPS SA 86,150 930
Electricidade de Portugal SA 162,919 456
Banco Comercial Portugues SA 191,537 447
Brisa-Auto Estradas de
Portugal SA 30,052 217
Banco Espirito Santo SA 10,951 182
Banco BPI SA 38,549 141
PT Multimedia-Servicos de
Telecomunicacoes e
Multimedia, SGPS, SA 4,325 95
Sonae SGPS SA 80,058 88
Cimpor-Cimento de Portugal SA 17,463 85
* Jeronimo Martins & Filho,
SGPS, SA 2,748 31
-----------
2,672
-----------
Singapore (0.8%)
DBS Group Holdings Ltd. 105,082 879
United Overseas Bank Ltd. 112,504 875
Singapore
Telecommunications Ltd. 619,900 810
Oversea-Chinese Banking
Corp., Ltd. 94,650 665
Singapore Press Holdings LTD. 157,250 380
Singapore Airlines Ltd. 53,751 350
Keppel Corp., Ltd. 54,000 221
Venture Corp. Ltd. 21,000 219
Singapore Technologies
Engineering Ltd. 144,906 175
Neptune Orient Lines Ltd. 113,000 155
Fraser & Neave Ltd. 18,130 147
City Developments Ltd. 44,000 138
ComfortDelgro Corp Ltd. 161,000 115
Singapore Exchange Ltd. 109,000 106
Capitaland Ltd. 95,000 76
* Chartered Semiconductor
Manufacturing Ltd. 90,398 73
Capitamall Trust 73,000 72
Singapore Post Ltd. 137,000 70
Sembcorp Industries Ltd. 89,000 69
United Overseas Land Ltd. 45,000 61
Jardine Cycle N Carriage Limited 14,037 52
Creative Technology Ltd. 4,450 47
Singapore Land Ltd. 16,000 41
Parkway Holdings Ltd. 63,000 41
SembCorp Marine Ltd. 68,000 38
Allgreen Properties Ltd. 65,000 36
Overseas Union Enterprise Ltd. 8,000 33
Ascendas Real Estate
Investment Trust 39,000 $ 33
Sembcorp Logistics Ltd. 28,000 30
Keppel Land Ltd. 29,000 27
* Datacraft Asia Ltd. 25,000 25
* ST Assembly Test Services Ltd. 30,000 25
Wing Tai Holdings Ltd. 25,000 12
SMRT Corp. Ltd. 25,000 10
* City Developements Limited
Warrants 4,400 8
-----------
6,114
-----------
Spain (3.5%)
Telefonica SA 442,074 6,535
Banco Santander Central
Hispano SA 422,101 4,381
Banco Bilbao Vizcaya
Argentaria SA 319,086 4,263
Repsol-YPF SA 90,475 1,981
Endesa SA 88,697 1,709
Iberdrola SA 74,601 1,575
Banco Popular Espanol SA 16,119 910
Altadis SA 26,641 823
Industria de Diseno Textil SA 21,605 496
ACS, Actividades de Contruccion
y Servisios, S.A. 27,924 471
Gas Natural SDG SA 19,585 469
Union Fenosa SA 18,795 401
Abertis Infraestructuras SA 21,710 378
Acerinox SA 4,921 280
Telefonica SA ADR 6,192 276
Grupo Ferrovial, SA 6,432 268
Amadeus Global Travel
Distribution SA 34,320 225
Fomento de Construc y Contra SA 5,301 196
Acciona SA 2,549 158
* Sogecable SA 3,667 148
Indra Sistemas, SA 10,990 140
Sacyr Vallehermoso SA 10,096 138
Metrovacesa SA 3,519 135
Gamesa Corporacion
Tecnologica, S.A. 8,839 130
Corporacion Mapfre SA 10,426 128
Iberia (Linea Aer Espana) 43,744 126
Promotora de Informaciones SA 6,947 121
Zeltia SA 14,509 99
Telefonica Publicidad e
Informacion, SA 14,486 96
* Antena 3 Television 1,782 94
NH Hoteles SA 8,543 94
Sociedad General de Aguas de
Barcelona SA 4,442 76
-----------
27,320
-----------
41
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
International Fund Shares (000)
- --------------------------------------------------------------------------------
Sweden (2.4%)
Telefonaktiebolaget LM Ericsson
AB Class B 1,444,162 $ 4,256
Nordea Bank AB 224,174 1,614
Hennes & Mauritz AB B Shares 45,965 1,187
Svenska Handelsbanken AB
A Shares 55,470 1,112
TeliaSonera AB 183,643 778
Volvo AB B Shares 22,270 775
Sandvik AB 21,583 736
Svenska Cellulosa AB B Shares 19,210 729
Skandinaviska Enskilda Banken
AB A Shares 47,524 688
Electrolux AB Series B 28,736 551
Swedish Match AB 41,331 422
Skandia Forsakrings AB 100,500 416
Tele2 AB B Shares 9,246 405
Atlas Copco AB A Shares 10,400 386
Assa Abloy AB 30,200 386
Securitas AB B Shares 29,740 371
Skanska AB B Shares 38,676 340
SKF AB B Shares 8,270 304
Volvo AB A Shares 9,052 303
Scania B 8,000 272
Atlas Copco AB B Shares 7,930 271
Getinge AB-B SHS 16,200 191
Gambro AB A Shares 15,600 151
Trelleborg AB B Shares 7,820 135
Holmen AB 4,500 130
Alfa Laval AB 7,100 113
Castellum AB 4,600 111
Eniro AB 14,400 110
Fabege AB B Shares 8,370 109
Billerud Aktiebolag 6,500 106
Svenskt Stal AB A Shares 5,730 97
* Modern Times Group AB 4,600 89
Gambro AB B Shares 9,200 89
* Lundin Petroleum AB 16,000 85
OM HEX AB 6,060 73
Axfood AB 2,650 68
WM-Data AB Class B 30,000 67
* Capio AB 6,000 58
Hoganas AB B Shares 2,300 56
* SAS AB 5,875 45
Svenskt Stal AB 2,580 42
* Elekta AB-B Shares 1,800 40
Wihlborgs Fastigheter AB 2,400 32
D. Carnegie & Co. AB 2,900 28
-----------
18,327
-----------
Switzerland (7.1%)
Nestle SA (Registered) 39,392 10,505
Novartis AG (Registered) 232,453 10,255
UBS AG 111,167 $ 7,833
Roche Holdings AG 69,034 6,835
Credit Suisse Group (Registered) 112,350 3,992
Zurich Financial Services AG 13,955 2,203
Swiss Re (Registered) 31,785 2,065
Cie. Financiere Richemont AG 51,953 1,356
ABB Ltd. 184,931 1,011
Holcim Ltd. (Registered) 17,385 945
Swisscom AG 2,735 904
Syngenta AG 10,259 860
Adecco SA (Registered) 12,847 640
Synthes, Inc. 4,492 512
CIBA Specialty Chemicals AG
(Registered) 6,408 462
Serono SA Class B 681 429
Swatch Group AG (Bearer) 3,020 393
Givaudan SA 662 383
Nobel Biocare Holding AG 2,100 329
Clariant AG 22,398 327
Geberit AG 362 241
SGS Societe Generale de
Surveillance Holding SA
(Registered) 427 233
Lonza AG (Registered) 4,017 204
* Logitech International SA 4,252 194
Swatch Group AG (Registered) 6,263 167
Straumann Holding AG 791 159
Schindler Holding AG (Ptg. Ctf) 549 158
* Micronas Semiconductor
Holding AG 3,234 147
Unaxis Holding AG 1,110 125
Kuoni Reisen Holding AG
(Registered) 254 109
Phonak Holding AG 3,492 109
* Kudelski SA 3,156 91
Sulzer AG (Registered) 306 87
Valora Holding AG 345 79
Rieter Holding AG. 253 67
UBS AG 741 53
-----------
54,462
-----------
United Kingdom (24.8%)
BP PLC 2,104,051 18,582
HSBC Holdings PLC 1,074,595 16,126
Vodafone Group PLC 6,638,599 14,537
GlaxoSmithKline PLC 582,482 11,789
Royal Bank of Scotland
Group PLC 290,103 8,354
AstraZeneca Group PLC 164,876 7,397
Shell Transport &
Trading Co. PLC 941,491 6,906
Barclays PLC 633,430 5,396
HBOS PLC 376,024 4,654
42
- --------------------------------------------------------------------------------
Market
Value^
Shares (000)
- --------------------------------------------------------------------------------
Lloyds TSB Group PLC 544,247 $ 4,261
Diageo PLC 305,206 4,115
Tesco PLC 753,856 3,640
BT Group PLC 840,334 3,025
Unilever PLC 272,217 2,671
Rio Tinto PLC 104,522 2,513
British American Tobacco PLC 152,718 2,367
National Grid Transco PLC 300,457 2,318
Aviva PLC 219,909 2,269
BG Group PLC 347,581 2,142
BHP Billiton PLC 241,563 2,096
Cadbury Schweppes PLC 206,244 1,779
Prudential PLC 200,439 1,725
Centrica PLC 417,080 1,698
Reckitt Benckiser PLC 59,592 1,687
Imperial Tobacco Group PLC 72,257 1,557
GUS PLC 99,888 1,532
Marks & Spencer Group PLC 222,385 1,463
British Sky Broadcasting
Group PLC 123,899 1,398
Compass Group PLC 212,824 1,299
ScottishPower PLC 173,321 1,253
Reed Elsevier PLC 124,306 1,208
BAE Systems PLC 297,643 1,183
Kingfisher PLC 227,567 1,181
Legal & General Group PLC 658,323 1,134
BAA PLC 106,333 1,067
Scottish & Southern Energy PLC 85,760 1,060
Land Securities Group PLC 50,186 1,055
SABMiller PLC 79,267 1,026
Smith & Nephew PLC 92,103 991
WPP Group PLC 96,653 982
Boots Group PLC 78,211 976
Reuters Group PLC 141,926 954
Pearson PLC 76,355 928
Wolseley PLC 56,400 875
ITV PLC 400,552 839
BOC Group PLC 48,679 815
Carnival PLC 16,540 803
Hilton Group PLC 157,560 789
J. Sainsbury PLC 148,806 768
Smiths Group PLC 55,974 758
InterContinental Hotels
Group PLC 71,391 754
Man Group PLC 27,647 716
Next PLC 27,129 700
3i Group PLC 60,295 670
Rolls-Royce Group PLC 145,821 666
Scottish & Newcastle PLC 80,083 631
British Land Co., PLC 49,509 623
Dixons Group PLC 192,864 578
Cable and Wireless PLC 232,874 548
United Utilities PLC 55,607 $ 523
Hanson Building Materials PLC 72,278 497
BP PLC ADR 9,184 492
Imperial Chemical Industries PLC 116,724 488
Severn Trent PLC 33,168 479
Rentokil Initial PLC 179,417 470
Amvescap PLC 68,626 468
Friends Provident PLC 175,674 468
Rexam PLC 54,467 443
Whitbread PLC 29,368 438
Yell Group PLC 69,035 432
Daily Mail and General Trust 32,497 429
Royal & Sun Alliance
Insurance Group PLC 285,802 428
Exel PLC 30,292 421
The Sage Group PLC 122,810 415
William Hill PLC 41,013 412
Liberty International PLC 29,804 411
Enterprise Inns PLC 35,906 374
Tomkins PLC 74,365 370
Capita Group PLC 63,867 369
BPB PLC 49,762 369
Slough Estates PLC 45,147 367
Hammerson PLC 28,940 366
Bunzl PLC 43,258 361
Hays PLC 161,338 359
EMI Group PLC 79,786 353
Johnson Matthey PLC 20,673 345
Signet Group PLC 163,199 339
Kelda Group PLC 37,335 339
GKN PLC 73,846 335
Emap PLC 24,126 324
United Business Media PLC 35,134 323
Rank Group PLC 58,424 318
* Corus Group PLC 434,337 313
Persimmon PLC 27,298 313
Trinity Mirror PLC 26,247 309
Alliance Unichem PLC 25,564 303
Electrocomponents PLC 45,755 296
RMC Group PLC 26,385 290
* International Power PLC 113,972 290
The Peninsular & Oriental
Steam Navigation Co. 69,957 279
Brambles Industries PLC 72,238 279
* British Airways PLC 55,814 279
Taylor Woodrow PLC 59,162 276
Provident Financial PLC 25,021 272
Cobham PLC 10,746 272
Kesa Electricals PLC 50,831 267
Mitchells & Butlers PLC 50,960 257
Barratt Developments PLC 23,604 252
The Berkeley Group PLC 10,947 246
43
- --------------------------------------------------------------------------------
Market
Tax-Managed Value^
International Fund Shares (000)
- --------------------------------------------------------------------------------
George Wimpey PLC 36,293 $ 243
Tate & Lyle PLC 40,155 240
* Marconi Corporation PLC 19,326 240
BBA Group PLC 48,282 239
LogicaCMG PLC 70,757 235
IMI PLC 34,531 233
ARM Holdings PLC 106,777 232
Inchape plc 7,148 227
Associated British Ports
Holdings PLC 30,978 227
Punch Taverns PLC 23,359 216
Close Brothers Group PLC 14,851 209
ICAP PLC 41,833 206
Balfour Beatty PLC 41,282 199
Aegis Group PLC 118,779 193
Kidde PLC 87,176 189
Misys PLC 52,708 189
FirstGroup PLC 36,981 188
Cattles PLC 32,667 188
Invensys PLC 572,065 187
United Utilities PLC 30,551 184
London Stock Exchange PLC 27,252 181
Pilkington PLC 98,840 175
Serco Group PLC 43,283 167
HMV Group PLC 36,793 161
Schroders PLC 14,296 159
Stagecoach Group PLC 95,564 155
MFI Furniture Group PLC 52,887 145
National Express Group PLC 11,776 144
Amec PLC 28,553 141
Premier Farnell PLC 31,121 139
FKI PLC 58,917 131
* Cookson Group PLC 171,901 131
Intertek Testing Services PLC 12,440 129
De La Rue Group PLC 20,610 129
Securicor PLC 54,546 126
The Davis Service Group PLC 17,661 123
Bellway PLC 8,860 122
Arriva PLC 15,369 115
SSL International PLC 20,805 105
Meggitt PLC 21,731 103
WPP Group PLC ADR 2,004 103
Great Portland Estates PLC 21,249 99
Novar PLC 38,623 86
ScottishPower PLC ADR 2,320 68
* Eircom Group PLC 37,100 67
Aggreko PLC 21,868 65
-----------
191,478
-----------
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $702,836) 769,451
- --------------------------------------------------------------------------------
Face Market
Amount Value^
(000) (000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENT (1.7%)
- --------------------------------------------------------------------------------
Repurchase Agreement
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.468%, 7/1/2004--Note E
(Cost $12,925) $12,925 $ 12,925
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.5%)
(Cost $715,761) 782,376
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.5%)
Other Assets--Note B 2,969
Liabilities--Note E (14,757)
-----------
(11,788)
-----------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $770,588
- --------------------------------------------------------------------------------
^See Note A in Notes to Financial Statements.
*Non-income-producing security.
ADR–American Depositary Receipt.
(Ptg. Ctf.)–Participating Certificates.
- --------------------------------------------------------------------------------
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Amount
(000)
- --------------------------------------------------------------------------------
Paid-in Capital $770,187
Undistributed Net Investment Income 11,497
Accumulated Net Realized Losses (77,723)
Unrealized Appreciation
Investment Securities 66,615
Foreign Currencies 12
- --------------------------------------------------------------------------------
NET ASSETS $770,588
================================================================================
Investor Shares--Net Assets
Applicable to 70,266,816 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $645,406
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $9.19
================================================================================
Institutional Shares--Net Assets
Applicable to 13,620,394 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $125,182
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $9.19
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net assets.
44
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THIS PAGE INTENTIONALLY LEFT BLANK.
© 2004 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
F872 082004
Item 2: Not applicable.
Item 3: Not applicable.
Item 4: Not applicable.
Item 5: Not applicable.
Item 6: Not applicable.
Item 7: Not applicable.
Item 8: Not applicable.
Item 9: Not applicable.
Item 10: 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 Controls. There were no significant changes in Registrant's
internal controls or in other factors that could significantly affect these
controls subsequent to the date of their evaluation, including any corrective
actions with regard to significant deficiencies and material weaknesses.
Item 11: 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 TAX-MANAGED FUNDS
BY: (signature)
----------------------------------------
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER
Date: August 16, 2004
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 TAX-MAMAGED FUNDS
BY: (signature)
----------------------------------------
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER
Date: August 16, 2004
VANGUARD TAX-MANAGED FUNDS
BY: (signature)
----------------------------------------
(HEIDI STAM)
THOMAS J. HIGGINS*
TREASURER
Date: August 16, 2004
*By Power of Attorney. See File Number 2-57689, filed on December 26, 2002.
Incorporated by Reference.