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: 811-2652
Name of Registrant: Vanguard Index 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, 2003 - June 30, 2003
Item 1: Reports to Shareholders
VANGUARD(R) 500 INDEX FUND
SEMIANNUAL REPORT
[GRAPHICS]
JUNE 30, 2003
THE VANGUARD GROUP (R)
ETERNAL PRINCIPLES
Markets change, but the principles of successful investing do not. During
the past few years, radical upheaval in the stock market has displayed the power
of this simple truth to dramatic effect.
In the late 1990s, stocks experienced one of the greatest bull markets in
financial history. Then, in March 2000, the longest downturn since the Great
Depression began.
In both bull and bear markets, however, the principles of successful
investing are identical: balance, diversification, and attention to costs.
Balance among stock, bond, and money market funds allows you to pursue long-term
growth while moderating your risk. Diversification limits your exposure to the
disasters that can befall any one security or sector. Attention to costs means
you keep a larger share of any rewards produced by your investments.
These principles are timeless. In fact, they're the basis of our very first
mutual fund--Vanguard(R) Wellington(TM) Fund, a balanced portfolio established
in 1929. Over time, balance, diversification, and attention to costs have proven
to be the master keys to investment success.
================================================================================
SUMMARY
- --------------------------------------------------------------------------------
* Vanguard 500 Index Fund returned 11.7% in the first half of its fiscal
year, nearly matching the return of its target benchmark.
* Every major stock sector rose as investor optimism surged during the second
quarter.
* The fund's 15.4% advance in the second quarter represented its largest
quarterly gain since the fourth quarter of 1998.
- --------------------------------------------------------------------------------
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CONTENTS
- --------------------------------------------------------------------------------
1 Letter from the Chairman
4 Fund Profile
5 Glossary of Investment Terms
6 Performance Summary
7 Financial Statements
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================================================================================
LETTER FROM THE CHAIRMAN [picture of John J. Brennan]
Fellow Shareholder,
During the six months ended June 30, 2003, Vanguard 500 Index Fund returned
11.7% as investor confidence rose sharply during the second quarter. Your fund's
return nearly matched the 11.8% return of its benchmark, the Standard & Poor's
500 Index, and surpassed the 10.4% average return of its peer fund group.
The table below provides the total returns for your fund (both the Investor
Shares and the lower-cost Admiral Shares) and its comparative yardsticks. The
per-share components of your fund's total returns appear on page 3.
============================================================
TOTAL RETURNS SIX MONTHS ENDED
JUNE 30, 2003
- ------------------------------------------------------------
VANGUARD 500 INDEX FUND
Investor Shares 11.7%
Admiral Shares 11.7
Average Large-Cap Core Fund* 10.4
S&P 500 Index 11.8
- ------------------------------------------------------------
*Derived from data provided by Lipper Inc.
============================================================
STOCKS RALLIED DESPITE WAR
The war with Iraq, a lackluster economy, and rising unemployment did little to
impede the U.S. stock market during the half-year ended June 30. Indeed, the
start of the war in mid-March marked the beginning of a sharp rally in stocks.
For the first half of 2003, the overall U.S. stock market, as measured by the
Wilshire 5000 Total Market Index, returned a stellar 12.9%.
The gain was virtually universal, with all market segments and industrial
sectors posting positive returns. Small-capitalization stocks outperformed
large-caps. And according to most (but not all) valuation-based indexes, growth
stocks, whose prices reflect expectations for above-average earnings growth,
outpaced value stocks (those that generally trade at below-average valuations
relative to earnings, book values, or other measures).
Almost without exception, markets overseas also contributed to the bounty.
The Morgan Stanley Capital International (MSCI) All Country World Index Free ex
USA returned 11.1% in U.S. dollars, with emerging markets posting the highest
returns.
BONDS ALSO RALLIED; INTEREST RATES FELL TO 45-YEAR LOWS
In the fixed income market, risk was rewarded during the six months. The lower
the credit rating of the bond issuer, the higher the return. The Lehman Brothers
High Yield Bond Index surged 18.5%--
================================================================================
ADMIRAL(TM) SHARES
A lower-cost class of shares available to many longtime shareholders and to
those with significant investments in the fund.
================================================================================
1
well above the still-respectable six-month return of 3.9% for the overall bond
market, as measured by the Lehman Aggregate Bond Index. During the half-year,
the yield of the 10-year U.S. Treasury note fell 30 basis points (0.30
percentage point) to 3.51%, as bond prices rose.
Meanwhile, short-term interest rates fell to their lowest levels in 45
years. In late June, citing concerns about sustainable economic growth and
potential deflation, the Federal Reserve Board lowered the target for the
federal funds rate (the interest rate charged for overnight loans between banks)
by 25 basis points to 1.00%. It was the 13th rate cut in 21/2 years. The yield
of the 3-month Treasury bill--a fair proxy for money market yields--fell 34
basis points during the six months to 0.85%, well below the inflation rate.
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MARKET BAROMETER TOTAL RETURNS
PERIODS ENDED JUNE 30, 2003
---------------------------
SIX ONE FIVE
MONTHS YEAR YEARS*
- --------------------------------------------------------------------------------
STOCKS
Russell 1000 Index (Large-caps) 12.3% 1.0% -1.2%
Russell 2000 Index (Small-caps) 17.9 -1.6 1.0
Wilshire 5000 Index (Entire market) 12.9 1.3 -1.3
MSCI All Country World Index Free
ex USA (International) 11.1 -4.2 -2.8
- --------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index
(Broad taxable market) 3.9% 10.4% 7.5%
Lehman Municipal Bond Index 3.8 8.7 6.3
Citigroup 3-Month Treasury Bill Index 0.6 1.4 3.9
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CPI
Consumer Price Index 1.5% 2.1% 2.4%
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*Annualized.
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A SECOND-QUARTER RALLY PROVIDED A WELCOME BOOST
Vanguard 500 Index Fund's performance during the first half of 2003--like that
of the S&P 500--was dominated by a second-quarter rally that brought a welcome
reprieve from a three-year bear market. The fund's 11.7% advance for the six
months ended June 30 was largely owing to a 15.4% jump in the second
quarter--its best quarterly showing since the fourth quarter of 1998. Stocks
across the index were boosted during the spring by the favorable market reaction
to the events in Iraq, a new federal tax cut, and interest rates that continued
to drift lower.
Nearly every corner of the market gained ground over the past six months.
Technology stocks, the index's third largest group, led the way with a 16.5%
gain as investors anticipated a revival in sales of tech equipment and services.
Reflecting the widespread optimism that the U.S. economy was finally poised for
increased growth in the months ahead, consumer discretionary stocks rose 15.9%.
Financial services stocks, the index's largest sector, posted a 12.0% gain.
Although growth stocks generally outperformed value stocks, slower- growing
industries still gained 5% or more. Sectors represented included consumer
staples, integrated oils, materials & processing, and auto & transportation.
2
KEEPING AN EYE ON THE LONG TERM
The stock market has certainly tried investors' patience in recent years, so
this half-year's upturn was a relief to everyone. However, no one knows if the
turnaround represents the beginning of a longer phase of rising stock prices.
While news coverage tends to fixate on the near term, we continue to advise our
shareholders to stay focused on the long term. As a shareholder in Vanguard 500
Index Fund, you automatically hold all 500 stocks that make up the S&P 500.
Because these stocks constitute the majority of the value of the U.S. stock
market, you remain positioned to benefit from the long-term growth potential of
the U.S. economy, which, despite ongoing geopolitical and fiscal uncertainties,
continues to exhibit much fundamental strength.
No matter what happens in the short run, we're convinced that your best
plan is to maintain a diversified and consistent mix of stock, bond, and cash
investments tailored to your circumstances and goals. For purposes of such a
strategy, the 500 Index Fund remains an excellent long-term core investment
because it is so diversified across the larger-company arena. You also benefit
from the fund's razor-thin operating expenses. Its annualized expense ratio
(operating costs as a percentage of assets) is just 0.18% for Investor Shares
and a mere 0.12% for Admiral Shares, compared with last year's average of 1.41%
for U.S. large-cap core funds. This substantial cost difference helps your
investment work harder every day.
The enduring advantages of indexing--a buy-and-hold approach, broad
diversification, and low costs--should serve you well in the years ahead. Thank
you for your continued confidence in Vanguard.
Sincerely,
[/S/ John J. Brennan]
John J. Brennan
Chairman and Chief Executive Officer July 9, 2003
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YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-JUNE 30, 2003
DISTRIBUTIONS PER SHARE
-----------------------
STARTING ENDING INCOME CAPITAL
SHARE PRICE SHARE PRICE DIVIDENDS GAINS
- --------------------------------------------------------------------------------
500 INDEX FUND
Investor Shares $81.15 $90.02 $0.600 $0.000
Admiral Shares 81.15 90.02 0.624 0.000
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3
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FUND PROFILE As of June 30, 2003
This Profile provides a snapshot of the fund's characteristics, compared where
appropriate with its unmanaged target index. Key terms are defined on page 5.
500 INDEX FUND
- --------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET
FUND INDEX*
- --------------------------------------------------------
Number of Stocks 504 500
Median Market Cap $50.4B $50.4B
Price/Earnings Ratio 20.9x 20.9x
Price/Book Ratio 3.0x 3.0x
Yield 1.7%
Investor Shares 1.5%
Admiral Shares 1.6%
Return on Equity 22.4% 22.4%
Earnings Growth Rate 8.5% 8.5%
Foreign Holdings 0.0% 0.0%
Turnover Rate 2%** --
Expense Ratio --
Investor Shares 0.18%**
Admiral Shares 0.12%**
Cash Investments 0.0% --
- --------------------------------------------------------
- --------------------------------------------------------
TEN LARGEST HOLDINGS (% of total net assets)
General Electric Co. 3.2%
(conglomerate)
Microsoft Corp. 3.0
(software)
Pfizer Inc. 3.0
(pharmaceuticals)
ExxonMobil Corp. 2.6
(oil)
Wal-Mart Stores, Inc. 2.6
(retail)
Citigroup, Inc. 2.4
(banking)
Johnson & Johnson 1.7
(pharmaceuticals)
American International Group, Inc. 1.6
(insurance)
International Business Machines Corp. 1.6
(computer hardware)
Intel Corp. 1.5
(electronics)
- --------------------------------------------------------
Top Ten 23.2%
- --------------------------------------------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- --------------------------------------------------------------------------------
- --------------------------------------------------------
VOLATILITY MEASURES
TARGET
FUND INDEX*
- --------------------------------------------------------
R-Squared 1.00 1.00
Beta 1.00 1.00
- --------------------------------------------------------
- --------------------------------------------------------
SECTOR DIVERSIFICATION (% of portfolio)
TARGET
FUND INDEX*
- --------------------------------------------------------
Auto & Transportation 2.5% 2.5%
Consumer Discretionary 13.9 13.9
Consumer Staples 7.9 7.9
Financial Services 21.7 21.7
Health Care 14.7 14.7
Integrated Oils 4.3 4.3
Other Energy 1.6 1.6
Materials & Processing 3.1 3.1
Producer Durables 3.7 3.7
Technology 14.3 14.3
Utilities 7.5 7.5
Other 4.8 4.8
- --------------------------------------------------------
- --------------------------------------------------------
INVESTMENT FOCUS
STYLE -- BLEND
MARKET CAP -- LARGE
- --------------------------------------------------------
Visit our website at
WWW.VANGUARD.COM
for regularly updated fund information.
*S&P 500 Index.
**Annualized.
4
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GLOSSARY OF INVESTMENT TERMS
BETA. A measure of the magnitude of a fund's past share-price fluctuations in
relation to the ups and downs of the fund's target index. The index is assigned
a beta of 1.00. 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%.
- --------------------------------------------------------------------------------
CASH INVESTMENTS. The percentage of a fund's net assets invested in "cash
equivalents"--highly liquid, short-term, interest-bearing securities. This
figure does not include cash invested in futures contracts or other equity index
products to simulate stock investment.
- --------------------------------------------------------------------------------
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 American Depositary Receipts of companies based outside the United States.
- --------------------------------------------------------------------------------
MEDIAN MARKET CAP. An indicator of the size of companies in which a fund
invests; the midpoint of market capitalization (market price x shares
outstanding) of a fund's stocks, weighted by the proportion of the fund's assets
invested in each stock. Stocks representing half of the fund's assets have
market capitalizations above the median, and the rest are below it.
- --------------------------------------------------------------------------------
PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book
value, per share. For a fund, the weighted average price/book ratio of the
stocks it holds.
- --------------------------------------------------------------------------------
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 the fund's target index.
If the fund's total returns were precisely synchronized with the 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.
- --------------------------------------------------------------------------------
TURNOVER RATE. An indication of the fund's trading activity. Funds with high
turnover rates incur higher transaction costs and are more likely to distribute
capital gains (which are 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
dividends paid on stocks in the index.
================================================================================
5
================================================================================
PERFORMANCE SUMMARY As of June 30, 2003
All of the returns in this report represent past performance, which cannot be
used to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely. An investor's shares, when
redeemed, 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 redemption of fund shares.
500 INDEX FUND
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) December 31, 1992-June 30, 2003
SCALE RANGE -30% to 50%
500 INDEX FUND INVESTOR SHARES S&P 500 INDEX
------------------------------ -------------
1993 9.9% 10.1%
1994 1.2 1.3
1995 37.4 37.6
1996 22.9 23.0
1997 33.2 33.4
1998 28.6 28.6
1999 21.1 21.0
2000 -9.1 -9.1
2001 -12.0 -11.9
2002 -22.1 -22.1
2003* 11.7 11.8
- --------------------------------------------------------------------------------
*Six months ended June 30, 2003.
Note: See Financial Highlights tables on pages 16 and 17 for dividend and
capital gains information.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS for periods ended June 30, 2003
TEN YEARS
ONE FIVE -------------------------
INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------
500 Index Fund
Investor Shares* 8/31/1976 0.23% -1.63% 8.12% 1.85% 9.97%
Admiral Shares 11/13/2000 0.29 -10.37** -- -- --
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Return since inception.
6
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FINANCIAL STATEMENTS June 30, 2003 (unaudited)
STATEMENT OF NET ASSETS
This Statement provides a detailed list of the fund's holdings, including each
security's market value on the last day of the reporting period. Common stocks
are listed in descending market-value order. Temporary cash investments and
other assets are added to, and liabilities are subtracted from, the value of
Total Common Stocks 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, 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.
================================================================================
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.2%)(1)
- --------------------------------------------------------------------------------
General Electric Co. 86,989,938 2,494,871
Microsoft Corp. 93,447,115 2,393,181
Pfizer Inc. 68,717,740 2,346,711
ExxonMobil Corp. 58,136,970 2,087,699
Wal-Mart Stores, Inc. 38,117,761 2,045,780
Citigroup, Inc. 44,808,153 1,917,789
Johnson & Johnson 25,840,583 1,335,958
American International
Group, Inc. 22,703,421 1,252,775
International Business
Machines Corp. 15,018,316 1,239,011
Intel Corp. 56,891,843 1,182,440
Merck & Co., Inc. 19,517,119 1,181,762
Bank of America Corp. 13,038,942 1,030,468
* Cisco Systems, Inc. 61,095,978 1,019,692
The Procter & Gamble Co. 11,269,075 1,004,976
The Coca-Cola Co. 21,438,385 994,955
Verizon Communications 23,935,891 944,271
Altria Group, Inc. 17,633,908 801,285
SBC Communications Inc. 28,915,337 738,787
Wells Fargo & Co. 14,579,068 734,785
* Amgen, Inc. 10,962,250 728,332
* Dell Computer Corp. 22,352,587 714,389
Eli Lilly & Co. 9,776,974 674,318
ChevronTexaco Corp. 9,298,136 671,325
PepsiCo, Inc. 14,953,044 665,410
Home Depot, Inc. 19,997,116 662,304
* Viacom Inc. Class B 15,139,163 660,976
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* AOL Time Warner Inc. 39,094,660 629,033
United Parcel Service, Inc. 9,793,848 623,868
J.P. Morgan Chase & Co. 17,678,435 604,249
Abbott Laboratories 13,585,375 594,496
Fannie Mae 8,532,547 575,435
Hewlett-Packard Co. 26,566,514 565,867
* Oracle Corp. 45,632,342 548,501
* Comcast Corp. Class A 17,762,013 536,058
Wyeth 11,557,964 526,465
Medtronic, Inc. 10,613,664 509,137
American Express Co. 11,288,077 471,954
Wachovia Corp. 11,708,441 467,869
Bristol-Myers Squibb Co. 16,869,937 458,019
3M Co. 3,401,267 438,695
BellSouth Corp. 16,074,257 428,057
U.S. Bancorp 16,708,558 409,360
Morgan Stanley 9,464,030 404,587
Merrill Lynch & Co., Inc. 8,097,704 378,001
Anheuser-Busch Cos., Inc. 7,262,180 370,734
Bank One Corp. 9,955,712 370,153
E.I. du Pont de Nemours & Co. 8,669,525 360,999
The Walt Disney Co. 17,784,541 351,245
The Goldman Sachs Group, Inc. 4,087,689 342,344
Washington Mutual, Inc. 8,098,778 334,480
Tyco International Ltd. 17,381,530 329,901
ConocoPhillips 5,908,004 323,759
Freddie Mac 5,982,941 303,754
Target Corp. 7,927,627 299,981
Lowe's Cos., Inc. 6,787,473 291,522
================================================================================
7
================================================================================
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
United Technologies Corp. 4,072,814 288,477
* eBay Inc. 2,763,607 287,913
Fifth Third Bancorp 4,998,374 286,607
Gillette Co. 8,888,195 283,178
FleetBoston Financial Corp. 9,153,177 271,941
Colgate-Palmolive Co. 4,682,983 271,379
First Data Corp. 6,510,234 269,784
Walgreen Co. 8,921,296 268,531
Texas Instruments, Inc. 15,052,654 264,927
UnitedHealth Group Inc. 5,156,904 259,134
The Boeing Co. 7,318,588 251,174
Cardinal Health, Inc. 3,885,809 249,858
Dow Chemical Co. 7,969,264 246,728
QUALCOMM Inc. 6,871,148 245,644
McDonald's Corp. 11,074,840 244,311
Schlumberger Ltd. 5,068,442 241,106
Marsh & McLennan Cos., Inc. 4,660,457 238,010
Schering-Plough Corp. 12,785,835 237,817
MBNA Corp. 11,121,506 231,772
Kimberly-Clark Corp. 4,428,285 230,891
* Applied Materials, Inc. 14,423,919 228,763
* Clear Channel
Communications, Inc. 5,345,568 226,599
Allstate Corp. 6,127,391 218,441
* Boston Scientific Corp. 3,570,149 218,136
Honeywell International Inc. 7,467,360 200,499
* EMC Corp. 19,036,993 199,317
Southern Co. 6,281,968 195,746
* AT&T Wireless Services Inc. 23,604,160 193,790
The Bank of New York Co., Inc. 6,704,732 192,761
Motorola, Inc. 20,150,484 190,019
Alcoa Inc. 7,357,657 187,620
Metropolitan Life Insurance Co. 6,616,930 187,391
Emerson Electric Co. 3,664,143 187,238
Lockheed Martin Corp. 3,918,255 186,391
Gannett Co., Inc. 2,338,051 179,586
Carnival Corp. 5,471,888 177,891
Illinois Tool Works, Inc. 2,677,550 176,317
Automatic Data Processing, Inc. 5,205,562 176,260
General Motors Corp. 4,879,969 175,679
Ford Motor Co. 15,932,551 175,099
National City Corp. 5,324,334 174,159
Dominion Resources, Inc. 2,705,687 173,895
* Forest Laboratories, Inc. 3,159,820 173,000
* Yahoo! Inc. 5,248,806 171,951
Sysco Corp. 5,655,010 169,877
Exelon Corp. 2,822,591 168,819
Caterpillar, Inc. 2,998,321 166,887
* Cendant Corp. 8,866,515 162,435
* NEXTEL Communications, Inc. 8,949,288 161,803
FedEx Corp. 2,597,250 161,107
Prudential Financial, Inc. 4,785,532 161,033
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Duke Energy Corp. 7,841,637 156,441
SLM Corp. 3,936,775 154,203
General Mills, Inc. 3,216,981 152,517
* Kohl's Corp. 2,949,580 151,549
International Paper Co. 4,169,283 148,968
The Gap, Inc. 7,752,678 145,440
* Costco Wholesale Corp. 3,971,058 145,341
BB&T Corp. 4,224,829 144,912
SunTrust Banks, Inc. 2,438,634 144,709
HCA Inc. 4,453,260 142,682
Lehman Brothers Holdings, Inc. 2,111,475 140,371
Progressive Corp. of Ohio 1,894,524 138,490
Travelers Property
Casualty Corp. Class B 8,761,135 138,163
AFLAC Inc. 4,468,987 137,421
Northrop Grumman Corp. 1,592,083 137,381
Baxter International, Inc. 5,201,180 135,231
AT&T Corp. 6,840,666 131,683
ALLTEL Corp. 2,709,879 130,670
Tribune Co. 2,690,128 129,933
* Sun Microsystems, Inc. 28,114,824 129,328
Union Pacific Corp. 2,211,513 128,312
Sara Lee Corp. 6,764,924 127,248
Avon Products, Inc. 2,044,160 127,147
General Dynamics Corp. 1,717,967 124,553
Waste Management, Inc. 5,147,882 124,012
* Best Buy Co., Inc. 2,805,394 123,213
NIKE, Inc. Class B 2,298,114 122,926
The Hartford Financial
Services Group Inc. 2,436,293 122,692
Kellogg Co. 3,538,956 121,634
PNC Financial Services Group 2,462,383 120,189
Stryker Corp. 1,728,214 119,886
Guidant Corp. 2,692,875 119,537
Charles Schwab Corp. 11,754,419 118,602
Omnicom Group Inc. 1,640,886 117,652
Raytheon Co. 3,574,021 117,371
Southwest Airlines Co. 6,780,208 116,620
State Street Corp. 2,893,685 114,011
Newmont Mining Corp.
(Holding Company) 3,501,210 113,649
Sprint Corp. 7,826,589 112,703
Computer Associates
International, Inc. 5,032,292 112,119
Occidental Petroleum Corp. 3,301,419 110,763
* Analog Devices, Inc. 3,180,112 110,732
ConAgra Foods, Inc. 4,675,122 110,333
Wm. Wrigley Jr. Co. 1,958,942 110,151
* The Kroger Co. 6,567,892 109,552
Devon Energy Corp. 2,008,762 107,268
* WellPoint Health Networks Inc.
Class A 1,266,147 106,736
================================================================================
8
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
FPL Group, Inc. 1,595,383 106,651
Golden West Financial Corp. 1,328,373 106,283
Harley-Davidson, Inc. 2,632,329 104,925
Mellon Financial Corp. 3,756,365 104,239
Entergy Corp. 1,965,331 103,730
* Veritas Software Corp. 3,610,885 103,524
Weyerhaeuser Co. 1,906,669 102,960
The McGraw-Hill Cos., Inc. 1,660,103 102,926
American Electric Power Co., Inc. 3,438,702 102,576
H.J. Heinz Co. 3,059,080 100,888
* Bed Bath & Beyond, Inc. 2,570,703 99,769
FirstEnergy Corp. 2,591,307 99,636
Masco Corp. 4,149,212 98,959
XL Capital Ltd. Class A 1,188,827 98,673
Baker Hughes, Inc. 2,930,707 98,384
Capital One Financial Corp. 1,971,172 96,942
The Chubb Corp. 1,611,625 96,697
Maxim Integrated Products, Inc. 2,826,558 96,640
Anadarko Petroleum Corp. 2,171,522 96,568
CVS Corp. 3,430,089 96,145
Paychex, Inc. 3,276,857 96,045
Deere & Co. 2,083,754 95,228
Equity Office Properties
Trust REIT 3,505,698 94,689
Burlington Resources, Inc. 1,747,925 94,510
* Apollo Group, Inc. Class A 1,525,197 94,196
* Electronic Arts Inc. 1,267,291 93,767
KeyCorp 3,680,592 93,009
* Anthem, Inc. 1,203,311 92,835
Burlington Northern
Santa Fe Corp. 3,244,324 92,269
Progress Energy, Inc. 2,096,138 92,020
The Principal Financial
Group, Inc. 2,849,438 91,894
Apache Corp. 1,406,730 91,522
Danaher Corp. 1,330,346 90,530
McKesson Corp. 2,520,644 90,088
* St. Jude Medical, Inc. 1,566,190 90,056
Sears, Roebuck & Co. 2,673,222 89,927
Electronic Data Systems Corp. 4,164,979 89,339
Linear Technology Corp. 2,724,925 87,770
Campbell Soup Co. 3,572,667 87,530
Halliburton Co. 3,805,603 87,529
Allergan, Inc. 1,133,458 87,390
Franklin Resources Corp. 2,205,380 86,164
Becton, Dickinson & Co. 2,216,170 86,098
Praxair, Inc. 1,414,224 84,995
Consolidated Edison Inc. 1,942,776 84,083
TJX Cos., Inc. 4,446,452 83,771
* Starbucks Corp. 3,398,504 83,331
Public Service Enterprise
Group, Inc. 1,966,558 83,087
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Air Products & Chemicals, Inc. 1,977,475 82,263
* Corning, Inc. 10,912,187 80,641
SouthTrust Corp. 2,960,348 80,521
The Clorox Co. 1,886,376 80,454
* Agilent Technologies, Inc. 4,102,793 80,210
Northern Trust Corp. 1,918,444 80,172
* MedImmune Inc. 2,194,471 79,813
Aetna Inc. 1,321,970 79,583
* Intuit, Inc. 1,786,268 79,543
Hershey Foods Corp. 1,141,430 79,512
Countrywide Financial Corp. 1,136,589 79,072
Ace, Ltd. 2,303,057 78,972
* Safeway, Inc. 3,842,650 78,621
* Genzyme Corp.-General Division 1,878,160 78,507
* Lexmark International, Inc. 1,109,268 78,503
Pitney Bowes, Inc. 2,039,130 78,323
* Staples, Inc. 4,236,285 77,736
Marriott International, Inc.
Class A 2,018,625 77,556
John Hancock Financial
Services, Inc. 2,514,673 77,276
* Zimmer Holdings, Inc. 1,710,040 77,037
* KLA-Tencor Corp. 1,656,535 77,012
Loews Corp. 1,613,689 76,311
* International Game Technology 743,157 76,047
* PG&E Corp. 3,560,667 75,308
* Yum! Brands, Inc. 2,544,948 75,229
PPG Industries, Inc. 1,476,787 74,932
* Xilinx, Inc. 2,937,063 74,337
* Lucent Technologies, Inc. 36,009,394 73,099
Mattel, Inc. 3,826,106 72,390
St. Paul Cos., Inc. 1,981,334 72,339
Archer-Daniels-Midland Co. 5,607,589 72,170
* Xerox Corp. 6,791,817 71,925
Coca-Cola Enterprises, Inc. 3,934,128 71,404
Marathon Oil Corp. 2,696,321 71,048
* Chiron Corp. 1,622,223 70,924
Comerica, Inc. 1,524,221 70,876
* Qwest Communications
International Inc. 14,751,507 70,512
Limited Brands, Inc. 4,542,701 70,412
Ingersoll-Rand Co. 1,473,874 69,744
PACCAR, Inc. 1,011,581 68,342
Eastman Kodak Co. 2,493,148 68,188
Moody's Corp. 1,290,448 68,020
H & R Block, Inc. 1,558,577 67,408
Newell Rubbermaid, Inc. 2,386,115 66,811
AmSouth Bancorp 3,055,100 66,723
AmerisourceBergen Corp. 960,650 66,621
Johnson Controls, Inc. 775,910 66,418
Fortune Brands, Inc. 1,264,480 66,006
Aon Corp. 2,716,392 65,411
================================================================================
9
================================================================================
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Regions Financial Corp. 1,932,597 65,283
Norfolk Southern Corp. 3,392,088 65,128
Adobe Systems, Inc. 2,017,433 64,699
Unocal Corp. 2,245,434 64,422
Biomet, Inc. 2,245,134 64,346
Simon Property Group, Inc. REIT 1,644,402 64,181
* SunGard Data Systems, Inc. 2,474,749 64,121
PPL Corp. 1,466,777 63,071
TXU Corp. 2,804,275 62,956
* Concord EFS, Inc. 4,245,128 62,488
Bear Stearns Co., Inc. 861,792 62,411
* Computer Sciences Corp. 1,629,187 62,105
Ameren Corp. 1,402,884 61,867
* Micron Technology, Inc. 5,296,355 61,597
Equity Residential REIT 2,371,651 61,544
Albertson's, Inc. 3,192,566 61,297
Ambac Financial Group, Inc. 924,420 61,243
* Transocean Inc. 2,782,641 61,135
Charter One Financial, Inc. 1,957,892 61,047
MBIA, Inc. 1,251,891 61,030
* Apple Computer, Inc. 3,181,469 60,830
* Broadcom Corp. 2,437,474 60,717
* Univision Communications Inc. 1,994,429 60,631
Marshall & Ilsley Corp. 1,972,452 60,318
Federated Department
Stores, Inc. 1,629,509 60,047
Rohm & Haas Co. 1,931,915 59,947
* Fiserv, Inc. 1,681,150 59,866
New York Times Co. Class A 1,311,968 59,695
* AutoZone Inc. 778,984 59,179
Ecolab, Inc. 2,286,944 58,546
* Quest Diagnostics, Inc. 916,341 58,463
Kinder Morgan, Inc. 1,061,583 58,016
CIGNA Corp. 1,219,835 57,259
Family Dollar Stores, Inc. 1,496,521 57,092
Synovus Financial Corp. 2,641,409 56,790
DTE Energy Co. 1,461,626 56,477
* Symantec Corp. 1,285,318 56,374
Cinergy Corp. 1,531,771 56,354
CSX Corp. 1,859,347 55,948
May Department Stores Co. 2,509,156 55,854
Lincoln National Corp. 1,543,988 55,012
* Altera Corp. 3,330,523 54,621
Union Planters Corp. 1,726,836 53,584
Dollar General Corp. 2,901,820 52,987
Dover Corp. 1,761,558 52,776
Cintas Corp. 1,482,847 52,552
ITT Industries, Inc. 799,121 52,310
* Comcast Corp. Special Class A 1,814,271 52,305
Xcel Energy, Inc. 3,468,670 52,169
Cincinnati Financial Corp. 1,398,491 51,870
Sempra Energy 1,804,366 51,479
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* BJ Services Co. 1,375,097 51,374
Jefferson-Pilot Corp. 1,236,340 51,259
* Sprint PCS 8,900,635 51,179
Eaton Corp. 648,643 50,990
UST, Inc. 1,454,696 50,958
* Nabors Industries, Inc. 1,266,654 50,096
Starwood Hotels & Resorts
Worldwide, Inc. 1,745,435 49,902
Constellation Energy Group, Inc. 1,438,137 49,328
Monsanto Co. 2,273,822 49,206
* Biogen, Inc. 1,291,531 49,078
Knight Ridder 710,677 48,987
KeySpan Corp. 1,368,480 48,513
* PeopleSoft, Inc. 2,753,784 48,439
Genuine Parts Co. 1,512,264 48,408
First Tennessee National Corp. 1,098,910 48,253
Avery Dennison Corp. 960,667 48,225
* Network Appliance, Inc. 2,951,588 47,845
* Novellus Systems, Inc. 1,304,103 47,758
The Pepsi Bottling Group, Inc. 2,384,616 47,740
* Tenet Healthcare Corp. 4,059,379 47,292
* Edison International 2,833,981 46,562
North Fork Bancorp, Inc. 1,363,067 46,426
* American Standard Cos., Inc. 624,446 46,165
Textron, Inc. 1,175,238 45,858
Interpublic Group of Cos., Inc. 3,389,439 45,351
Molex, Inc. 1,658,119 44,753
* JDS Uniphase Corp. 12,438,929 43,661
NiSource, Inc. 2,283,800 43,392
CenturyTel, Inc. 1,245,098 43,392
Parker Hannifin Corp. 1,027,888 43,161
MeadWestvaco Corp. 1,743,397 43,062
SAFECO Corp. 1,203,932 42,475
El Paso Corp. 5,211,290 42,107
Centex Corp. 541,210 42,101
Delphi Corp. 4,873,716 42,060
Hilton Hotels Corp. 3,277,790 41,923
EOG Resources, Inc. 996,413 41,690
Plum Creek Timber Co. Inc. REIT 1,591,280 41,294
Tiffany & Co. 1,263,035 41,276
Georgia Pacific Group 2,177,068 41,255
Brown-Forman Corp. Class B 523,923 41,191
* Siebel Systems, Inc. 4,257,067 40,612
T. Rowe Price Group Inc. 1,062,361 40,104
MGIC Investment Corp. 858,317 40,032
* Noble Corp. 1,162,493 39,874
Zions Bancorp 783,940 39,675
* QLogic Corp. 816,113 39,443
J.C. Penney Co., Inc.
(Holding Co.) 2,339,728 39,424
Kerr-McGee Corp. 877,120 39,295
* Office Depot, Inc. 2,686,146 38,976
================================================================================
10
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Huntington Bancshares Inc. 1,988,833 38,822
* AutoNation, Inc. 2,454,924 38,591
RadioShack Corp. 1,463,809 38,513
Amerada Hess Corp. 782,164 38,467
Rockwell Automation, Inc. 1,611,955 38,429
* Harrah's Entertainment, Inc. 953,861 38,383
Health Management Associates
Class A 2,076,284 38,307
* Jabil Circuit, Inc. 1,726,468 38,155
Rockwell Collins, Inc. 1,548,637 38,143
IMS Health, Inc. 2,114,745 38,044
Whirlpool Corp. 596,247 37,981
Torchmark Corp. 1,008,925 37,582
* Watson Pharmaceuticals, Inc. 930,515 37,565
W.W. Grainger, Inc. 796,962 37,266
Williams Cos., Inc. 4,499,932 35,549
* Unisys Corp. 2,851,708 35,019
* Sealed Air Corp. 734,259 34,995
Applera Corp.-Applied
Biosystems Group 1,816,237 34,563
Leggett & Platt, Inc. 1,677,960 34,398
Sherwin-Williams Co. 1,276,099 34,302
Janus Capital Group Inc. 2,081,852 34,142
* AES Corp. 5,317,799 33,768
UnumProvident Corp. 2,503,311 33,569
Cooper Industries, Inc. Class A 811,363 33,509
Sigma-Aldrich Corp. 616,517 33,403
Nucor Corp. 680,121 33,224
* BMC Software, Inc. 2,029,747 33,146
McCormick & Co., Inc. 1,211,002 32,939
Liz Claiborne, Inc. 933,935 32,921
Pulte Homes, Inc. 531,148 32,751
Vulcan Materials Co. 883,447 32,749
* Jones Apparel Group, Inc. 1,112,657 32,556
C.R. Bard, Inc. 452,632 32,277
Equifax, Inc. 1,226,692 31,894
VF Corp. 938,692 31,887
* NVIDIA Corp. 1,383,851 31,842
* Citizens Communications Co. 2,466,202 31,789
* Waters Corp. 1,079,997 31,460
* National Semiconductor Corp. 1,587,439 31,304
Freeport-McMoRan
Copper & Gold, Inc. Class B 1,263,980 30,968
* King Pharmaceuticals, Inc. 2,094,594 30,916
Scientific-Atlanta, Inc. 1,296,227 30,902
Sabre Holdings Corp. 1,245,601 30,704
Dow Jones & Co., Inc. 707,831 30,458
Pinnacle West Capital Corp. 793,391 29,712
* Phelps Dodge Corp. 773,519 29,657
* Thermo Electron Corp. 1,407,218 29,580
* Citrix Systems, Inc. 1,440,395 29,326
Black & Decker Corp. 674,726 29,317
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Mercury Interactive Corp. 742,333 28,661
Wendy's International, Inc. 986,101 28,567
Apartment Investment &
Management Co. Class A REIT 815,802 28,227
* Robert Half International, Inc. 1,478,710 28,007
* Sanmina-SCI Corp. 4,433,510 27,975
* Teradyne, Inc. 1,607,873 27,832
Darden Restaurants Inc. 1,462,812 27,764
* Pactiv Corp. 1,385,785 27,314
R.J. Reynolds Tobacco
Holdings, Inc. 732,700 27,264
Engelhard Corp. 1,094,301 27,106
* Solectron Corp. 7,210,812 26,968
* American Power
Conversion Corp. 1,708,607 26,637
Hasbro, Inc. 1,505,438 26,330
Symbol Technologies, Inc. 2,003,878 26,070
International Flavors &
Fragrances, Inc. 815,977 26,054
Alberto-Culver Co. Class B 508,866 26,003
Federated Investors, Inc. 947,702 25,986
R.R. Donnelley & Sons Co. 983,595 25,711
KB HOME 413,682 25,640
Sunoco, Inc. 665,436 25,114
SuperValu Inc. 1,163,172 24,799
* Comverse Technology, Inc. 1,633,650 24,554
Pall Corp. 1,067,820 24,026
Fluor Corp. 707,721 23,808
* Tellabs, Inc. 3,578,864 23,513
* Providian Financial Corp. 2,516,105 23,299
* LSI Logic Corp. 3,257,398 23,062
Nordstrom, Inc. 1,179,135 23,017
Ball Corp. 494,957 22,525
* Toys R Us, Inc. 1,849,519 22,416
* Calpine Corp. 3,308,891 21,839
CenterPoint Energy Inc. 2,651,887 21,613
Bemis Co., Inc. 460,973 21,574
Deluxe Corp. 479,818 21,496
Goodrich Corp. 1,020,385 21,428
* Avaya Inc. 3,316,335 21,424
Eastman Chemical Co. 671,776 21,275
* CIENA Corp. 4,089,448 21,224
* NCR Corp. 828,110 21,216
* Humana Inc. 1,402,306 21,175
* Convergys Corp. 1,304,062 20,865
The Stanley Works 741,247 20,458
Temple-Inland Inc. 469,138 20,131
Brunswick Corp. 783,766 19,610
* Manor Care, Inc. 781,403 19,543
* Navistar International Corp. 592,351 19,328
* Advanced Micro Devices, Inc. 3,001,939 19,242
* Monster Worldwide Inc. 970,608 19,150
================================================================================
11
================================================================================
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Meredith Corp. 431,753 18,997
* Compuware Corp. 3,281,878 18,936
* Millipore Corp. 420,895 18,675
TECO Energy, Inc. 1,532,311 18,372
* Allied Waste Industries, Inc. 1,814,833 18,239
* Rowan Cos., Inc. 812,898 18,209
Ashland, Inc. 592,490 18,178
Bausch & Lomb, Inc. 461,997 17,325
* Reebok International Ltd. 514,316 17,296
* PMC Sierra Inc. 1,466,720 17,205
Maytag Corp. 680,054 16,607
* ADC Telecommunications, Inc. 6,961,389 16,206
* Applied Micro Circuits Corp. 2,639,713 15,970
* Tektronix, Inc. 736,334 15,905
Circuit City Stores, Inc. 1,798,573 15,827
Delta Air Lines, Inc. 1,070,923 15,721
Autodesk, Inc. 970,416 15,682
Adolph Coors Co. Class B 315,513 15,454
* Big Lots Inc. 1,013,406 15,242
PerkinElmer, Inc. 1,093,627 15,103
Winn-Dixie Stores, Inc. 1,222,474 15,049
Dana Corp. 1,290,201 14,915
Snap-On Inc. 505,185 14,666
United States Steel Corp. 895,438 14,658
* Quintiles Transnational Corp. 1,026,799 14,570
NICOR Inc. 382,227 14,184
Ryder System, Inc. 544,723 13,956
Dynegy, Inc. 3,234,940 13,587
Peoples Energy Corp. 312,972 13,423
Cummins Inc. 360,318 12,932
Boise Cascade Corp. 506,050 12,095
Crane Co. 514,704 11,648
* American Greetings Corp. Class A 572,228 11,239
Cooper Tire & Rubber Co. 638,667 11,234
* Gateway, Inc. 2,813,217 10,268
* Mirant Corp. 3,507,486 10,172
CMS Energy Corp. 1,250,877 10,132
Worthington Industries, Inc. 746,011 9,997
Dillard's Inc. 735,796 9,911
* Novell, Inc. 3,197,590 9,849
* Louisiana-Pacific Corp. 907,918 9,842
* Hercules, Inc. 954,218 9,447
Allegheny Energy, Inc. 1,091,095 9,220
Great Lakes Chemical Corp. 436,052 8,895
The Goodyear Tire & Rubber Co. 1,521,911 7,990
* Andrew Corp. 853,592 7,853
Visteon Corp. 1,134,661 7,795
* Thomas & Betts Corp. 507,538 7,334
Tupperware Corp. 506,688 7,276
* Parametric Technology Corp. 2,295,690 7,002
* Viacom Inc. Class A 143,386 6,266
* Power-One, Inc. 718,464 5,137
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Allegheny Technologies Inc. 702,818 4,639
* McDermott International, Inc. 567,941 3,595
Molex, Inc. Class A 4,051 94
Alberto-Culver Co. Class A 1,000 50
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $68,123,002) 78,196,689
- --------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.1%)(1)
- --------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP.
(2) 1.16%, 8/8/2003 $ 10,000 9,998
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 1.17%, 7/2/2003 40,000 39,999
(2) 1.19%, 7/16/2003 9,800 9,796
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
1.16%, 7/1/2003 656,827 656,827
1.16%, 7/1/2003--Note E 170,193 170,193
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $886,806) 886,813
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.3%)
(Cost $69,009,808) 79,083,502
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.3%)
- --------------------------------------------------------------------------------
Other Assets--Note B 226,128
Liabilities--Note E (495,512)
-----------
(269,384)
-----------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $78,814,118
================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
(1)The fund invests a portion of its cash reserves in equity markets through the
use of index futures contracts. After giving effect to futures investments, the
fund's effective common stock and temporary cash investment positions represent
100.0% and 0.3%, respectively, of net assets. See Note C in Notes to Financial
Statements.
(2)Securities with an aggregate value of $59,793,000 have been segregated as
initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
12
================================================================================
AMOUNT
(000)
- --------------------------------------------------------------------------------
AT JUNE 30, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $73,193,680
Overdistributed Net Investment Income (53,672)
Accumulated Net Realized Losses (4,386,130)
Unrealized Appreciation (Depreciation)
Investment Securities 10,073,694
Futures Contracts (13,454)
- --------------------------------------------------------------------------------
NET ASSETS $78,814,118
================================================================================
Investor Shares--Net Assets
Applicable to 715,081,987 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $64,368,311
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $90.02
================================================================================
Admiral Shares--Net Assets
Applicable to 160,477,333 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $14,445,807
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $90.02
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
13
STATEMENT OF OPERATIONS
This Statement shows the types of income earned by the 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.
================================================================================
500 INDEX FUND
SIX MONTHS ENDED JUNE 30, 2003
(000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Dividends $ 624,342
Interest 4,301
Security Lending 385
- --------------------------------------------------------------------------------
Total Income 629,028
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 112
Management and Administrative
Investor Shares 46,524
Admiral Shares 6,777
Marketing and Distribution
Investor Shares 4,180
Admiral Shares 787
Custodian Fees 231
Shareholders' Reports
Investor Shares 1,298
Admiral Shares 14
Trustees' Fees and Expenses 53
- --------------------------------------------------------------------------------
Total Expenses 59,976
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 569,052
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (169,307)
Futures Contracts 83,480
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (85,827)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 7,653,206
Futures Contracts (3,246)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 7,649,960
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $8,133,185
================================================================================
14
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how the 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.
================================================================================
500 INDEX FUND
--------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2003 DEC. 31, 2002
(000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 569,052 $ 1,106,685
Realized Net Gain (Loss) (85,827) (2,516,358)
Change in Unrealized Appreciation (Depreciation) 7,649,960 (18,331,701)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 8,133,185 (19,741,374)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (423,230) (940,961)
Admiral Shares (97,452) (202,486)
Realized Capital Gain
Investor Shares -- --
Admiral Shares -- --
- --------------------------------------------------------------------------------
Total Distributions (520,682) (1,143,447)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--Note F
Investor Shares 1,922,944 439,822
Admiral Shares 1,133,173 1,576,643
- --------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions 3,056,117 2,016,465
- --------------------------------------------------------------------------------
Total Increase (Decrease) 10,668,620 (18,868,356)
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 68,145,498 87,013,854
- --------------------------------------------------------------------------------
End of Period $78,814,118 $68,145,498
================================================================================
15
FINANCIAL HIGHLIGHTS
This table summarizes the 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.
500 INDEX FUND INVESTOR SHARES
- -----------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED DECEMBER 31,
ENDED ---------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $81.15 $105.89 $121.86 $135.33 $113.95 $90.07
- -----------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .66 1.32 1.260 1.29 1.370 1.33
Net Realized and Unrealized Gain (Loss)
on Investments 8.81 (24.70) (15.955) (13.46) 22.415 24.30
- -----------------------------------------------------------------------------------------------------------------------
Total from Investment Operations 9.47 (23.38) (14.695) (12.17) 23.785 25.63
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.60) (1.36) (1.275) (1.30) (1.410) (1.33)
Distributions from Realized Capital Gains -- -- -- -- (.995) (.42)
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions (.60) (1.36) (1.275) (1.30) (2.405) (1.75)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $90.02 $81.15 $105.89 $121.86 $135.33 $113.95
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN* 11.71% -22.15% -12.02% -9.06% 21.07% 28.62%
- -----------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $64,365 $56,224 $73,151 $88,240 $104,652 $74,229
Ratio of Total Expenses to Average Net Assets 0.18%+ 0.18% 0.18% 0.18% 0.18% 0.18%
Ratio of Net Investment Income to Average Net Assets 1.60%+ 1.43% 1.14% 0.98% 1.13% 1.35%
Portfolio Turnover Rate** 2%+ 7% 4% 9% 6% 6%
- -----------------------------------------------------------------------------------------------------------------------
*Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
**Portfolio turnover rates excluding in-kind redemptions were 2%, 6%, 3%, 7%,3%, and 3%, respectively.
+Annualized.
16
500 INDEX FUND ADMIRAL SHARES
- -----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED DEC.31, NOV. 13* TO
JUNE 30, -------------------- DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $81.15 $105.89 $121.87 $124.88
- -----------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .684 1.374 1.313 .179
Net Realized and Unrealized Gain (Loss) on Investments 8.810 (24.700) (15.955) (2.808)
- -----------------------------------------------------------------------------------------------------
Total from Investment Operations 9.494 (23.326) (14.642) (2.629)
- -----------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.624) (1.414) (1.338) (.381)
Distributions from Realized Capital Gains -- -- -- --
- -----------------------------------------------------------------------------------------------------
Total Distributions (.624) (1.414) (1.338) (.381)
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $90.02 $ 81.15 $105.89 $121.87
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN 11.74% -22.10% -11.98% -2.10%
- -----------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $14,446 $11,922 $13,863 $8,237
Ratio of Total Expenses to Average Net Assets 0.12%+ 0.12% 0.12% 0.12%+
Ratio of Net Investment Income to Average Net Assets 1.66%+ 1.50% 1.22% 1.03%+
Portfolio Turnover Rate** 2%+ 7% 4% 9%
=====================================================================================================
*Inception.
**Portfolio turnover rates excluding in-kind redemptions were 2%, 6%, 3%, and7%,respectively.
+Annualized.
NOTES TO FINANCIAL STATEMENTS
Vanguard 500 Index Fund is registered under the Investment Company Act of 1940
as an open-end investment company, or mutual fund. The fund offers two classes
of shares, Investor Shares and Admiral Shares. Investor Shares are available to
any investor who meets the fund's minimum purchase requirements. Admiral Shares
are designed for investors who meet certain administrative, servicing, tenure,
and account-size criteria.
A. The following significant accounting policies conform to generally accepted
accounting principles for U.S. mutual funds. The fund consistently follows such
policies in preparing its financial statements.
1. SECURITY VALUATION: Securities are valued as of the close of trading on
the New York Stock Exchange (generally 4:00 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. Securities for which market quotations are not
readily available, or whose values have been materially affected by events
occurring before the fund's pricing time but after the close of the securities'
primary markets, are valued by methods deemed by the board of trustees to
represent fair value. Temporary cash investments acquired over 60 days to
maturity are valued using the latest bid prices or using valuations based on a
matrix system
17
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(which considers such factors as security prices, yields, maturities, and
ratings), both as furnished by independent pricing services. Other temporary
cash investments are valued at amortized cost, which approximates market value.
2. FUTURES CONTRACTS: The fund uses S&P 500 Index futures contracts to a
limited extent, with the objectives of maintaining full exposure to the stock
market, enhancing returns, maintaining liquidity, and minimizing transaction
costs. The fund may purchase futures contracts to immediately invest incoming
cash in the market, or sell futures in response to cash outflows, thereby
simulating a fully invested position in the underlying index while maintaining a
cash balance for liquidity. The fund may seek to enhance returns by using
futures contracts instead of the underlying securities when futures are believed
to be priced more attractively than the underlying securities. The primary risks
associated with the use of futures contracts are imperfect correlation between
changes in market values of stocks held by the fund and the prices of futures
contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
3. REPURCHASE AGREEMENTS: The 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: The 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.
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 realized and unrealized
gains and losses on investments are allocated to each class of shares based on
its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to the fund under methods approved by the board of
trustees. The fund has committed to provide up to 0.40% of its net assets in
capital contributions to Vanguard. At June 30, 2003, the fund had contributed
capital of $13,456,000 to Vanguard (included in Other Assets), representing
0.02% of the fund's net assets and 13.45% of Vanguard's capitalization. The
fund's trustees and officers are also directors and officers of Vanguard.
18
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.
During the six months ended June 30, 2003, the fund realized $14,031,000 of
net capital gains resulting from in-kind redemptions--in which shareholders
exchange fund shares for securities held by the fund rather than for cash.
Because such gains are not taxable to the fund, and are not distributed to
shareholders, they have been reclassified from accumulated net realized gains to
paid-in capital.
The fund's tax-basis capital gains and losses are determined only at the
end of each fiscal year. For tax purposes, at December 31, 2002, the fund had
available realized losses of $4,292,867,000 to offset future net capital gains
of $193,358,000 through December 31, 2008, $890,248,000 through December 31,
2009, $3,087,963,000 through December 31, 2010, and $121,298,000 through
December 31, 2011. The fund will use these capital losses to offset net taxable
capital gains, if any, realized during the year ending December 31, 2003; should
the fund realize net capital losses for the year, the losses will be added to
the loss carryforward balances above.
At June 30, 2003, net unrealized appreciation of investment securities for
tax purposes was $10,073,694,000, consisting of unrealized gains of
$20,843,375,000 on securities that had risen in value since their purchase and
$10,769,681,000 in unrealized losses on securities that had fallen in value
since their purchase.
At June 30, 2003, the aggregate settlement value of open futures contracts
expiring in September 2003 and the related unrealized depreciation were:
- --------------------------------------------------------------------------------
(000)
--------------------------------
AGGREGATE UNREALIZED
NUMBER OF SETTLEMENT APPRECIATION
FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
S&P 500 Index 2,562 $623,399 $(13,454)
- --------------------------------------------------------------------------------
Unrealized depreciation on open futures contracts is required to be treated as
realized loss for tax purposes.
D. During the six months ended June 30, 2003, the fund purchased $3,631,109,000
of investment securities and sold $579,055,000 of investment securities other
than temporary cash investments.
E. The market value of securities on loan to broker/dealers at June 30, 2003,
was $162,824,000, for which the fund held cash collateral of $170,193,000. The
fund invests cash collateral received in repurchase agreements, and records a
liability for the return of the collateral, during the period the securities are
on loan.
19
F. Capital share transactions for each class of shares were:
- ------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
------------------- -----------------
AMOUNT SHARES AMOUNT SHARES
(000) (000) (000) (000)
- ------------------------------------------------------------------------------------------
Investor Shares
Issued $6,293,870 75,507 $13,122,035 141,376
Issued in Lieu of Cash Distributions 398,041 4,658 883,934 10,271
Redeemed (4,768,967) (57,889) (13,566,147) (149,680)
----------------------------------------------
Net Increase (Decrease)--Investor Shares 1,922,944 22,276 439,822 1,967
----------------------------------------------
Admiral Shares
Issued 1,957,143 23,530 3,955,614 42,831
Issued in Lieu of Cash Distributions 82,156 960 171,021 1,990
Redeemed (906,126) (10,913) (2,549,992) (28,843)
----------------------------------------------
Net Increase (Decrease)--Admiral Shares 1,133,173 13,577 1,576,643 15,978
- ------------------------------------------------------------------------------------------
20
================================================================================
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(R) 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
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 the funds.
Among board members' responsibilities are selecting investment advisers for
the funds; monitoring fund operations, performance, and costs; reviewing
contracts; nominating and selecting new trustees/directors; and electing
Vanguard officers. The dates in parentheses below show when each trustee was
initially elected.
- --------------------------------------------------------------------------------
JOHN J. BRENNAN* (1987)
Chairman of the Board, Chief Executive Officer, and Director/Trustee of The
Vanguard Group, Inc., and of each of the investment companies served by The
Vanguard Group.
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
CHARLES D. ELLIS (2001)
The Partners of '63 (pro bono ventures in education); Senior Adviser to
Greenwich Associates (international business strategy consulting); Successor
Trustee of Yale University; Overseer of the Stern School of Business at New York
University; Trustee of the Whitehead Institute for Biomedical Research.
RAJIV L. GUPTA (2001)
Chairman and Chief Executive Officer (since October 1999), Vice Chairman
(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 HEISEN (1998)
Vice President, Chief Information Officer, and Member of the Executive Committee
of Johnson & Johnson (pharmaceuticals/consumer products); Director of the
Medical Center at Princeton and Women's Research and Education Institute.
BURTON G. MALKIEL (1977)
Chemical Bank Chairman's Professor of Economics, Princeton University; Director
of Vanguard Investment Series plc (Irish investment fund) (since November 2001),
Vanguard Group (Ireland) Limited (Irish investment management firm) (since
November 2001), Prudential Insurance Co. of America, BKF Capital (investment
management firm), The Jeffrey Co. (holding company), and NeuVis, Inc. (software
company).
ALFRED M. RANKIN, JR. (1993)
Chairman, President, Chief Executive Officer, and Director of NACCO Industries,
Inc. (forklift trucks/housewares/lignite); Director of Goodrich Corporation
(industrial products/aircraft systems and services); Director until 1998 of
Standard Products Company (a supplier for the automotive industry).
J. LAWRENCE WILSON (1985)
Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (chemicals);
Director of Cummins Inc. (diesel engines), MeadWestvaco Corp. (paper products),
and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt
University.
- --------------------------------------------------------------------------------
EXECUTIVE OFFICERS*
R. GREGORY BARTON
Secretary; Managing Director and General Counsel of The Vanguard Group, Inc.
(since September 1997); Secretary of The Vanguard Group and of each of the
investment companies served by The Vanguard Group; Principal of The Vanguard
Group (prior to September 1997).
THOMAS J. HIGGINS
Treasurer; Principal of The Vanguard Group, Inc.; Treasurer of each of 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.
F. WILLIAM MCNABB, III, Client Relationship Group.
JAMES H. GATELY, Investment Programs and Services.
MICHAEL S. MILLER, Planning and Development.
KATHLEEN C. GUBANICH, Human Resources.
RALPH K. PACKARD, Finance.
IAN A. MACKINNON, Fixed Income Group.
GEORGE U. SAUTER, Quantitative Equity Group.
- --------------------------------------------------------------------------------
JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996.
[SHIP]
THE VANGUARD GROUP (R)
Post Office Box 2600
Valley Forge, PA 19482-2600
Vanguard, The Vanguard Group, Vanguard.com, Admiral, Wellington, and the ship
logo are trademarks of The Vanguard Group, Inc.
S&P 500(R), Standard & Poor's 500, and 500 are trademarks of The McGraw-Hill
Companies, Inc., and have been licensed for use by The Vanguard Group, Inc.
Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard
& Poor's, and Standard & Poor's makes no representation regarding the
advisability of investing in the funds.
All other marks are the exclusive property of their respective owners.
ABOUT OUR COVER
The photographs of the sails and ship that appear on the cover of this report
are copyrighted by Michael Kahn.
FOR MORE INFORMATION
This report is intended for the fund's 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 fund or other
Vanguard funds, please contact us at one of the adjacent telephone numbers or by
e-mail through Vanguard.com(R). Prospectuses may also be viewed online.
All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc.,
unless otherwise noted.
WORLD WIDE WEB
www.vanguard.com
FUND INFORMATION
1-800-662-7447
DIRECT INVESTOR ACCOUNT SERVICES
1-800-662-2739
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1-800-523-1036
TEXT TELEPHONE
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(C) 2003 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
Q402 082003
VANGUARD(R) U.S. STOCK INDEX FUNDS
SMALL-CAPITALIZATION PORTFOLIOS
SEMIANNUAL REPORT
[GRAPHICS]
JUNE 30, 2003
VANGUARD(R) SMALL-CAP INDEX FUND
VANGUARD(R) SMALL-CAP GROWTH INDEX FUND
VANGUARD(R) SMALL-CAP VALUE INDEX FUND
[Cover Art]
THE VANGUARD GROUP(R)
ETERNAL PRINCIPLES
Markets change, but the principles of successful investing do not. During
the past few years, radical upheaval in the stock market has displayed the power
of this simple truth to dramatic effect.
In the late 1990s, stocks experienced one of the greatest bull markets in
financial history. Then, in March 2000, the longest downturn since the Great
Depression began.
In both bull and bear markets, however, the principles of successful
investing are identical: balance, diversification, and attention to costs.
Balance among stock, bond, and money market funds allows you to pursue long-term
growth while moderating your risk. Diversification limits your exposure to the
disasters that can befall any one security or sector. Attention to costs means
you keep a larger share of any rewards produced by your investments.
These principles are timeless. In fact, they're the basis of our very first
mutual fund--Vanguard(R) Wellington(TM) Fund, a balanced portfolio established
in 1929. Over time, balance, diversification, and attention to costs have proven
to be the master keys to investment success.
SUMMARY
* During the first half of 2003, Vanguard's three small-capitalization index
funds posted gains that ranged from 9.9% to 16.8%.
* Stocks surged almost across the board, but small-caps led the market.
Growth stocks generally outpaced value issues.
* As of mid-May, the three funds began tracking new target indexes.
CONTENTS
1 Letter from the Chairman
5 Fund Profiles
8 Glossary of Investment Terms
9 Performance Summaries
11 Financial Statements
68 Advantages of Vanguard.com
[MSCI Logo]
Small Cap Index Fund
Small Cap Growth Index Fund
Small Cap Value Index Fund
Letter from the Chairman
[PHOTO] John J. Brennan
Fellow Shareholder,
The U.S. stock market surged during the first half of 2003, with
small-capitalization stocks rising farthest. As the table below shows,
Vanguard's three small-cap index funds posted impressive six-month returns
ranging from 9.9% to 16.8%. The top performer, Vanguard Small-Cap Index Fund,
outpaced its average peer among small-cap core mutual funds. However, Vanguard
Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund lagged their
respective peer-group averages.
- --------------------------------------------------------------------------------
TOTAL RETURNS SIX MONTHS ENDED
JUNE 30, 2003
- --------------------------------------------------------------------------------
VANGUARD SMALL-CAP INDEX FUND
Investor Shares 16.7%
Admiral(TM) Shares 16.7
Institutional Shares 16.8
Average Small-Cap Core Fund* 15.6
Spliced Small Cap Index** 16.5
- --------------------------------------------------------------------------------
VANGUARD SMALL-CAP GROWTH INDEX FUND
Investor Shares 14.5%
Institutional Shares 14.6
Average Small-Cap Growth Fund* 17.5
Spliced Small Cap Growth Index+ 13.7
- --------------------------------------------------------------------------------
VANGUARD SMALL-CAP VALUE INDEX FUND
Investor Shares 9.9%
Institutional Shares 10.0
Average Small-Cap Value Fund* 14.2
Spliced Small Cap Value Index++ 8.6
- --------------------------------------------------------------------------------
*Derived from data provided by Lipper Inc.
**Russell 2000 Index until May 16, 2003; MSCI US Small Cap 1750 Index
thereafter.
+S&P SmallCap 600/Barra Growth Index until May 16, 2003; MSCI US Small Cap
Growth Index thereafter.
++S&P SmallCap 600/Barra Value Index until May 16, 2003; MSCI US Small Cap Value
Index thereafter.
As you know, our funds started tracking new target indexes after May 16.
Reflecting this change, the table shows "spliced" index returns that incorporate
results from both old and new targets. (See page 3 for details about the
switch.) In order to minimize transaction costs, the transitions to the new
indexes were executed over several weeks. (Some small-cap stocks can be
difficult--and therefore expensive--to trade.) Spreading out the transactions
rather than executing them all on May 16 created some random tracking error that
explains the somewhat wider-than-normal gaps between the results for two of the
funds and their targets.
Each fund's total returns are based on the change in net asset value during
the half-year. None of the funds made distributions from income dividends or
capital gains. The table on page 4 provides details.
1
STOCKS RALLIED DESPITE WAR
The war with Iraq, a lackluster economy, and rising unemployment did little to
impede the U.S. stock market during the half-year ended June 30. Indeed, the
start of the war in mid-March marked the beginning of a sharp rally in stocks.
For the first half of 2003, the overall U.S. stock market, as measured by the
Wilshire 5000 Total Market Index, returned a stellar 12.9%.
The gain was almost universal, with all market segments and industrial
sectors in the broad index posting positive returns. As noted,
small-capitalization stocks outperformed large-caps. And according to most
(though not all) style-based indexes, growth stocks, whose prices reflect
expectations for above-average earnings growth, outpaced value stocks.
- --------------------------------------------------------------------------------
MARKET BAROMETER TOTAL RETURNS
PERIODS ENDED JUNE 30, 2003
----------------------------------
SIX ONE FIVE
MONTHS YEAR YEARS*
- --------------------------------------------------------------------------------
STOCKS
Russell 1000 Index (Large-caps) 12.3% 1.0% -1.2%
Russell 2000 Index (Small-caps) 17.9 -1.6 1.0
Wilshire 5000 Index (Entire market) 12.9 1.3 -1.3
MSCI All Country World Index Free
ex USA (International) 11.1 -4.2 -2.8
- --------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index 3.9% 10.4% 7.5%
(Broad taxable market)
Lehman Municipal Bond Index 3.8 8.7 6.3
Citigroup 3-Month Treasury Bill Index 0.6 1.4 3.9
================================================================================
CPI
Consumer Price Index 1.5% 2.1% 2.4%
- --------------------------------------------------------------------------------
*Annualized.
BONDS ALSO RALLIED; INTEREST RATES FELL TO 45-YEAR LOWS
In the fixed income arena, risk was rewarded during the six months. The lower
the credit rating of the bond issuer, the higher the return. The Lehman Brothers
High Yield Bond Index surged 18.5%--well above the respectable six-month return
of 3.9% for the overall bond market, as measured by the Lehman Aggregate Bond
Index. During the half-year, the yield of the 10-year U.S. Treasury note fell 30
basis points (0.30 percentage point) to 3.51%.
Meanwhile, short-term interest rates fell to their lowest levels in 45
years. In late June, citing concerns about sustainable economic growth and
potential deflation, the Federal Reserve Board lowered the target for the
federal funds rate (the interest rate charged for overnight loans between banks)
by 25 basis points to 1.00%. It was the 13th rate cut in 21/2 years. The yield
of the 3-month Treasury bill fell 34 basis points to 0.85%, well below the
inflation rate.
SMALLER, MORE SPECULATIVE STOCKS LED THE MARKET
Among the industry sectors tracked in Vanguard's three small-cap index funds,
there were very few declines during the six months. For the Small-Cap Index
Fund, only one group--the conglomerates that fall into the "other"
2
category--recorded a negative return (-2%). Indeed, 9 of 12 sectors posted
double-digit gains, including the four largest sectors in the fund: financial
services (+15%), consumer discretionary (+17%), technology (+26%), and health
care (+26%).
Results were almost as impressive for our two other funds, each of which
had at least five sectors with double-digit returns. As you would expect--given
that growth stocks generally outperformed value issues during the period--the
Small-Cap Growth Index Fund posted a higher overall return. However, both funds
trailed the result of the Small-Cap Index Fund.
Until recently, our three funds tracked benchmarks from different index
sponsors, each with its own methodology for index construction. The Small-Cap
Index Fund tracked a Russell index that is reconstituted annually strictly on
the basis of market-capitalization rankings. The two other funds tracked
Standard & Poor's SmallCap 600/Barra indexes whose composition, determined by a
committee, generally excludes companies with less than three years of operating
history and four quarters of profits. The S&P/Barra criteria eliminated many of
the more speculative stocks that benefited most from the recent rebound. This
factor explains why our growth and value portfolios lagged the Small-Cap Index
Fund and their respective peer-group averages. (We should note that the same
factor worked in the two funds' favor during much of the previous three years,
when those speculative stocks were pummeled.)
All three funds are now tracking MSCI indexes that we feel have superior
characteristics. For example, the MSCI methodology should result in a lower
turnover rate for index constituents, which translates into lower transaction
costs for the funds. The MSCI indexes, which are based on objective parameters
(without requirements for operating history), use overlapping bands between
market caps--a factor that reduces the turnover rate.
The MSCI indexes also demonstrate better style integrity because they
employ multiple factors in determining a stock's growth or value bias. In this
way, the new indexes more closely mirror their market segments as approached by
active fund managers, who evaluate stocks on the basis of a wide range of
criteria.
The latter characteristic means that in the future, costs (rather than
index methodology) will play an even greater role in how our funds' results
stack up against those of competing funds. And when it comes to costs, Vanguard
has long had an advantage: During the half-year, for example, our funds'
Investor Shares had annualized expense ratios (operating costs as a percentage
of average net assets) of 0.27%, while the average expenses for peer groups
ranged from 1.56% to 1.74%. Expenses were even lower for our funds' Admiral and
Institutional Shares.
3
THE VALUE OF DIVERSIFICATION
Events of the past several years--which saw the height of the dot-com boom, the
long bear market in stocks that followed, and the recent resurgence of
equities--remind us of the value of diversification, both across and within
asset classes. Maintaining a balanced portfolio through such times can be a
struggle, as investors are constantly being tempted or repelled by the returns
of various asset classes or market segments. The balanced investor will never be
at the top of the heap at any one moment--after all, one asset class will always
do better than another--but he or she won't be on the bottom, either: Balance
lets us enjoy much of the gains of the financial markets without plunging to
their depths. Vanguard's small-cap index funds can be a valuable component of a
balanced portfolio, providing low-cost exposure to smaller companies within the
U.S. equity market.
Thank you for entrusting your hard-earned money to us.
Sincerely,
John J. Brennan
Chairman and Chief Executive Officer July 15, 2003
- --------------------------------------------------------------------------------
YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-JUNE 30, 2003
DISTRIBUTIONS PER SHARE
-----------------------------
STARTING ENDING INCOME CAPITAL
SHARE PRICE SHARE PRICE DIVIDENDS GAINS
- --------------------------------------------------------------------------------
SMALL-CAP INDEX FUND
Investor Shares $15.66 $18.27 $0.00 $0.00
Admiral Shares 15.66 18.28 0.00 0.00
Institutional Shares 15.66 18.29 0.00 0.00
- --------------------------------------------------------------------------------
SMALL-CAP GROWTH INDEX FUND
Investor Shares $9.17 $10.50 $0.00 $0.00
Institutional Shares 9.17 10.51 0.00 0.00
- --------------------------------------------------------------------------------
SMALL-CAP VALUE INDEX FUND
Investor Shares $8.52 $9.36 $0.00 $0.00
Institutional Shares 8.53 9.38 0.00 0.00
- --------------------------------------------------------------------------------
4
FUND PROFILES As of June 30, 2003
These Profiles provide snapshots of the funds' characteristics, compared where
appropriate with both an unmanaged target index and a broad market index. Key
terms are defined on page 8.
SMALL-CAP INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET BROAD
FUND INDEX* INDEX**
- --------------------------------------------------------------------------------
Number of Stocks 1,769 1,760 5,403
Median Market Cap $1.0B $1.0B $27.7B
Price/Earnings Ratio 24.5x 24.5x 21.8x
Price/Book Ratio 2.0x 2.0x 2.7x
Yield 1.4% 1.6%
Investor Shares 1.2%
Admiral Shares 1.3%
Institutional Shares 1.4%
Return on Equity 11.7% 11.7% 20.5%
Earnings Growth Rate 6.2% 6.2% 8.6%
Foreign Holdings 0.3% 0.3% 0.1%
Turnover Rate 43%+ -- --
Expense Ratio -- --
Investor Shares 0.27%++
Admiral Shares 0.18%++
Institutional Shares 0.10%++
Cash Investments 0.1% -- --
- --------------------------------------------------------------------------------
- -----------------------------------------------------
TEN LARGEST HOLDING
(% of total net assets)
Providian Financial Corp. 0.3%
(financial services)
Calpine Corp. 0.2
(utilities)
Coventry Health Care Inc. 0.2
(health care)
Humana Inc. 0.2
(health care)
Rite Aid Corp. 0.2
(retail)
The Chicago Mercantile Exchange 0.2
(financial services)
GTECH Holdings Corp. 0.2
(entertainment)
Mack-Cali Realty Corp. REIT 0.2
(real estate)
Waddell & Reed Financial, Inc. 0.2
(investment management)
Developers Diversified Realty Corp. REIT 0.2
(real estate)
- -----------------------------------------------------
Top Ten 2.1%
- -----------------------------------------------------
The "Ten Largest Holdings" excludes any temporary
cash investments and equity index products.
- ----------------------------------------------------------------
VOLATILITY MEASURES
SPLICED BROAD
FUND INDEX+++ FUND INDEX**
- ----------------------------------------------------------------
R-Squared 1.00 1.00 0.79 1.00
Beta 1.00 1.00 1.05 1.00
- ----------------------------------------------------------------
- -----------------------
INVESTMENT FOCUS
[CHART]
Market Cap -- Small
Style -- Blend
- -----------------------
- --------------------------------------------------------------------------------
SECTOR DIVERSIFICATION (% of portfolio)
TARGET BROAD
FUND INDEX* INDEX**
- --------------------------------------------------------------------------------
Auto & Transportation 4.3% 4.3% 2.6%
Consumer Discretionary 18.1 18.2 15.7
Consumer Staples 1.8 1.8 6.9
Financial Services 23.7 23.7 22.3
Health Care 12.1 12.1 14.3
Integrated Oils 0.0 0.0 3.5
Other Energy 4.6 4.7 2.3
Materials & Processing 7.7 7.8 3.6
Producer Durables 7.9 7.7 4.0
Technology 13.5 13.3 13.5
Utilities 5.7 5.9 7.1
Other 0.5 0.5 4.2
Cash 0.1 -- --
- --------------------------------------------------------------------------------
*MSCI US Small Cap 1750 Index.
**Wilshire 5000 Index.
+Annualized; includes activity related to a change in the fund's target index.
++Annualized.
+++Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750
Index thereafter.
5
FUND PROFILES (continued)
SMALL-CAP GROWTH INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET BROAD
FUND INDEX* INDEX**
- --------------------------------------------------------------------------------
Number of Stocks 1,022 1,019 5,403
Median Market Cap $1.0B $1.0B $27.7B
Price/Earnings Ratio 42.5x 42.5x 21.8x
Price/Book Ratio 2.6x 2.6x 2.7x
Yield 0.2% 1.6%
Investor Shares 0.0%
Institutional Shares 0.2%
Return on Equity 12.6% 12.6% 20.5%
Earnings Growth Rate 12.6% 12.6% 8.6%
Foreign Holdings 0.4% 0.4% 0.9%
Turnover Rate 127%+ -- --
Expense Ratio -- --
Investor Shares 0.27%++
Institutional Shares 0.10%++
Cash Investments 0.2% -- --
- --------------------------------------------------------------------------------
- ------------------------------------------------------
TEN LARGEST HOLDINGS
(% of total net assets)
Coventry Health Care Inc. 0.4%
(health care)
Rite Aid Corp. 0.4
(retail)
The Chicago Mercantile Exchange 0.4
(financial services)
GTECH Holdings Corp. 0.4
(entertainment)
Waddell & Reed Financial, Inc. 0.4
(investment management)
Mid Atlantic Medical Services, Inc. 0.4
(health care)
Chesapeake Energy Corp. 0.4
(oil)
Western Digital Corp. 0.4
(computer technology)
PMC Sierra Inc. 0.4
(electronics)
Edwards Lifesciences Corp. 0.4
(medical)
- ------------------------------------------------------
Top Ten 4.0%
- ------------------------------------------------------
The "Ten Largest Holdings" excludes any temporary
cash investments and equity index products.
- ----------------------------------------------------------------
VOLATILITY MEASURES
SPLICED BROAD
FUND INDEX+++ FUND INDEX**
- ----------------------------------------------------------------
R-Squared 1.00 1.00 0.77 1.00
Beta 1.01 1.00 1.04 1.00
- ----------------------------------------------------------------
- ---------------------
INVESTMENT FOCUS
[CHART]
Market Cap -- Small
Style -- Growth
- ---------------------
- --------------------------------------------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
TARGET BROAD
FUND INDEX* INDEX**
- --------------------------------------------------------------------------------
Auto & Transportation 3.7% 3.7% 2.6%
Consumer Discretionary 23.8 24.2 15.7
Consumer Staples 1.8 1.8 6.9
Financial Services 8.8 8.9 22.3
Health Care 19.7 19.6 14.3
Integrated Oils 0.1 0.0 3.5
Other Energy 5.7 6.1 2.3
Materials & Processing 4.2 3.9 3.6
Producer Durables 7.8 7.7 4.0
Technology 22.2 21.8 13.5
Utilities 1.8 2.2 7.1
Other 0.2 0.1 4.2
Cash 0.2 -- --
- --------------------------------------------------------------------------------
*MSCI US Small Cap Growth Index.
**Wilshire 5000 Index.
+Annualized; includes activity related to a change in the fund's target index.
++Annualized.
+++S&P SmallCap 600/Barra Growth Index through May 16, 2003; MSCI US Small
Cap Growth Index thereafter.
6
SMALL-CAP VALUE INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET BROAD
FUND INDEX* INDEX**
- --------------------------------------------------------------------------------
Number of Stocks 951 949 5,403
Median Market Cap $1.0B $1.0B $27.7B
Price/Earnings Ratio 17.2x 17.2x 21.8x
Price/Book Ratio 1.5x 1.5x 2.7x
Yield 2.6% 1.6%
Investor Shares 2.5%
Institutional Shares 2.6%
Return on Equity 11.0% 11.0% 20.5%
Earnings Growth Rate 1.9% 1.9% 8.6%
Foreign Holdings 0.3% 0.3% 0.9%
Turnover Rate 98%+ -- --
Expense Ratio -- --
Investor Shares 0.27%++
Institutional Shares 0.10%++
Cash Investments 0.0% -- --
- --------------------------------------------------------------------------------
- ----------------------------------------------------
TEN LARGEST HOLDINGS
(% of total net assets)
Providian Financial Corp. 0.5%
(financial services)
Calpine Corp. 0.5
(utilities)
Humana Inc. 0.5
(health care)
Mack-Cali Realty Corp. REIT 0.4
(real estate)
Developers Diversified Realty Corp. REIT 0.4
(real estate)
Great Plains Energy, Inc. 0.4
(energy and utilities)
National Fuel Gas Co. 0.4
(gas utilities)
United Dominion Realty Trust REIT 0.4
(real estate)
Annaly Mortgage Management Inc. REIT 0.4
(real estate)
Pentair, Inc. 0.4
(electronics)
- ----------------------------------------------------
Top Ten 4.3%
- ----------------------------------------------------
The "Ten Largest Holdings" excludes any temporary
cash investments and equity index products.
- ----------------------------------------------------------------
VOLATILITY MEASURES
SPLICED BROAD
FUND INDEX+++ FUND INDEX**
- ----------------------------------------------------------------
R-Squared 1.00 1.00 0.62 1.00
Beta 1.01 1.00 0.91 1.00
- ----------------------------------------------------------------
- ----------------------
INVESTMENT FOCUS
[CHART]
Market Cap -- Small
Style -- Value
- ----------------------
- ------------------------------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
TARGET BROAD
FUND INDEX* INDEX**
- ------------------------------------------------------------------
Auto & Transportation 5.0% 5.0% 2.6%
Consumer Discretionary 11.9 11.9 15.7
Consumer Staples 1.9 1.9 6.9
Financial Services 39.3 39.2 22.3
Health Care 4.2 4.2 14.3
Integrated Oils 0.0 0.0 3.5
Other Energy 3.3 3.4 2.3
Materials & Processing 11.8 11.8 3.6
Producer Durables 7.6 7.6 4.0
Technology 4.4 4.4 13.5
Utilities 9.8 9.8 7.1
Other 0.8 0.8 4.2
- ------------------------------------------------------------------
*MSCI US Small Cap Value Index.
**Wilshire 5000 Index.
+Annualized; includes activity related to a change in the fund's target index.
++Annualized.
+++S&P SmallCap 600/Barra Value Index through May 16, 2003; MSCI US Small
Cap Value Index thereafter.
7
GLOSSARY OF INVESTMENT TERMS
BETA. A measure of the magnitude of a fund's past share-price fluctuations in
relation to the ups and downs of the fund's target index or an overall market
index. Each 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%.
- --------------------------------------------------------------------------------
CASH INVESTMENTS. The percentage of a fund's net assets invested in "cash
equivalents"--highly liquid, short-term, interest-bearing securities. This
figure does not include cash invested in futures contracts or other equity index
products to simulate stock investment.
- --------------------------------------------------------------------------------
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 American Depositary Receipts of companies based outside the United States.
- --------------------------------------------------------------------------------
MEDIAN MARKET CAP. An indicator of the size of companies in which a fund
invests; the midpoint of market capitalization (market price x shares
outstanding) of a fund's stocks, weighted by the proportion of the fund's assets
invested in each stock. Stocks representing half of the fund's assets have
market capitalizations above the median, and the rest are below it.
- --------------------------------------------------------------------------------
PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book
value, per share. For a fund, the weighted average price/book ratio of the
stocks it holds.
- --------------------------------------------------------------------------------
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 the fund's target index
or by an overall market 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.
- --------------------------------------------------------------------------------
TURNOVER RATE. An indication of the fund's trading activity. Funds with high
turnover rates incur higher transaction costs and are more likely to distribute
capital gains (which are 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
dividends paid on stocks in the index.
- --------------------------------------------------------------------------------
8
PERFORMANCE SUMMARIES As of June 30, 2003
All of the returns in this report represent past performance, which cannot be
used to predict future returns that may be achieved by the funds. Note, too,
that both share price and return can fluctuate widely. An investor's shares,
when redeemed, 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 redemption of fund shares.
SMALL-CAP INDEX FUND
- --------------------------------------------------------------------------------
Fiscal-Year Total Returns (%) December 31, 1992-June 30, 2003
SCALE RANGE -45% TO 45%
SMALL-CAP INDEX SPLICED SMALL
INVESTOR SHARES CAP INDEX*
--------------- -------------
1993 18.7 18.9
1994 -0.5 -1.8
1995 28.7 28.4
1996 18.1 16.5
1997 24.6 22.4
1998 -2.6 -2.5
1999 23.1 21.3
2000 -2.7 -3.0
2001 3.1 2.5
2002 -20.0 -20.5
2003** 16.7 16.5
*Russell 2000 Index until May 16, 2003; MSCI US Small Cap 1750 Index thereafter.
**Six months ended June 30, 2003.
Note: See Financial Highlights tables on pages 56-58 for dividend and capital
gains information.
- -----------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED JUNE 30, 2003
TEN YEARS
ONE FIVE ---------------------------------
INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------------
SMALL-CAP INDEX FUND
Investor Shares* 10/3/1960 -2.67% 1.43% 7.62% 1.33% 8.95%
Admiral Shares 11/13/2000 -2.52 -0.73** -- -- --
Institutional Shares 7/7/1997 -2.45 1.58 2.58** 1.38** 3.96**
- ------------------------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Returns since inception.
9
PERFORMANCE SUMMARIES (CONTINUED)
SMALL-CAP GROWTH INDEX FUND
- --------------------------------------------------------------------------------
Fiscal-Year Total Returns (%) May 21, 1998-June 30, 2003
SCALE RANGE -45% to 45%
SMALL-CAP GROWTH INDEX SPLICED SMALL CAP
INVESTOR SHARES GROWTH INDEX*
---------------------- -----------------
1998 -4.8 -5.1
1999 19.8 19.6
2000 1.6 0.6
2001 -0.8 -1.2
2002 -15.4 -15.4
2003** 14.5 13.7
*S&P SmallCap 600/Barra Growth Index until May 16, 2003; MSCI US Small Cap
Growth Index thereafter.
**Six months ended June 30, 2003.
Note: See Financial Highlights tables on pages 59 and 60 for dividend and
capital gains information.
SMALL-CAP VALUE INDEX FUND
- --------------------------------------------------------------------------------
Fiscal-Year Total Returns (%) May 21, 1998-June 30, 2003
SCALE RANGE -45% to 45%
SMALL-CAP VALUE INDEX SPLICED SMALL CAP
FUND INVESTOR SHARES VALUE INDEX*
--------------------- -----------------
1998 -12.5 -13.3
1999 3.3 3.0
2000 21.9 20.9
2001 13.7 13.1
2002 -14.2 -14.5
2003** 9.9 8.6
*S&P SmallCap 600/Barra Value Index until May 16, 2003; MSCI US Small Cap Value
Index thereafter.
**Six months ended June 30, 2003.
Note: See Financial Highlights tables on pages 61 and 62 for dividend and
capital gains information.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED JUNE 30, 2003
SINCE INCEPTION
ONE FIVE ---------------------------
INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------
SMALL-CAP GROWTH INDEX FUND
Investor Shares* 5/21/1998 2.72% 2.74% 1.92% 0.21% 2.13%
Institutional Shares 5/24/2000 2.89 0.39** -- -- --
- --------------------------------------------------------------------------------
SMALL-CAP VALUE INDEX FUND
Investor Shares* 5/21/1998 -10.93% 3.83% 2.51% 0.81% 3.32%
Institutional Shares 12/7/1999 -10.68 8.83* -- -- --
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Returns since inception.
10
FINANCIAL STATEMENTS June 30, 2003 (unaudited)
STATEMENT OF NET ASSETS
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. Common stocks
are listed in descending market-value order. Temporary cash investments and
other assets are added to, and liabilities are subtracted from, the value of
Total Common Stocks 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, 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.
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.4%)(1)
- --------------------------------------------------------------------------------
* Providian Financial Corp. 1,396,966 12,936
* Calpine Corp. 1,850,579 12,214
* Coventry Health Care Inc. 249,500 11,517
* Humana Inc. 758,774 11,457
* Rite Aid Corp. 2,521,950 11,223
The Chicago Mercantile
Exchange 154,523 10,759
* GTECH Holdings Corp. 277,000 10,429
Mack-Cali Realty Corp. REIT 281,615 10,245
Waddell & Reed Financial, Inc. 393,400 10,099
Developers Diversified
Realty Corp. REIT 352,703 10,031
* Mid Atlantic Medical
Services, Inc. 189,700 9,921
Chesapeake Energy Corp. 980,181 9,900
* Western Digital Corp. 956,241 9,849
* Navistar International Corp. 300,919 9,819
Great Plains Energy, Inc. 339,249 9,798
National Fuel Gas Co. 375,526 9,782
* PMC Sierra Inc. 820,000 9,619
* Edwards Lifesciences Corp. 295,100 9,485
United Dominion
Realty Trust REIT 548,398 9,443
CBRL Group, Inc. 242,200 9,412
* Catellus Development Corp. 427,180 9,398
* Monster Worldwide Inc. 469,236 9,258
* Newfield Exploration Co. 245,900 9,234
Annaly Mortgage
Management Inc. REIT 454,950 9,058
* Certegy, Inc. 325,700 9,038
* Applied Micro Circuits Corp. 1,487,444 8,999
Pentair, Inc. 230,000 8,984
Autodesk, Inc. 555,610 8,979
The Macerich Co. REIT 254,900 8,955
* Invitrogen Corp. 232,892 8,936
* Maxtor Corp. 1,180,300 8,864
Ryland Group, Inc. 125,900 8,737
* Avaya Inc. 1,344,686 8,687
* PacifiCare Health Systems, Inc. 175,601 8,662
HCC Insurance Holdings, Inc. 290,600 8,593
* ImClone Systems, Inc. 271,100 8,572
Alliant Energy Corp. 449,667 8,557
* Big Lots Inc. 568,355 8,548
Donaldson Co., Inc. 191,700 8,521
Applebee's International, Inc. 270,900 8,514
Chelsea Property Group REIT 211,000 8,505
BorgWarner, Inc. 132,000 8,501
Webster Financial Corp. 223,775 8,459
Delta Air Lines, Inc. 574,702 8,437
* International Rectifier Corp. 314,100 8,424
* AMR Corp. 763,400 8,397
* Integrated Circuit Systems, Inc. 266,800 8,386
* Varco International, Inc. 427,300 8,375
Vectren Corp. 333,547 8,355
Sky Financial Group, Inc. 384,015 8,341
* Amylin Pharmaceuticals, Inc. 380,200 8,323
11
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Renal Care Group, Inc. 236,000 8,310
* Reliant Resources, Inc. 1,350,450 8,278
Snap-On Inc. 284,769 8,267
Philadelphia Suburban Corp. 338,445 8,251
United States Steel Corp. 503,422 8,241
Hawaiian Electric Industries Inc. 179,600 8,235
Cabot Corp. 286,906 8,234
OGE Energy Corp. 384,747 8,222
* Getty Images, Inc. 197,250 8,146
PerkinElmer, Inc. 587,215 8,109
Precision Castparts Corp. 258,578 8,042
Martin Marietta Materials, Inc. 239,094 8,036
Arden Realty Group, Inc. REIT 309,197 8,024
NICOR Inc. 216,067 8,018
Colonial BancGroup, Inc. 576,897 8,002
* DaVita, Inc. 298,100 7,983
HON Industries, Inc. 260,408 7,942
First American Corp. 301,100 7,934
Washington Federal Inc. 340,700 7,880
* STERIS Corp. 341,000 7,874
Roslyn Bancorp, Inc. 365,794 7,861
* O'Reilly Automotive, Inc. 235,378 7,859
Ryder System, Inc. 306,388 7,850
* Education Management Corp. 147,600 7,849
* Performance Food Group Co. 211,600 7,829
Lubrizol Corp. 252,636 7,829
* Pharmaceutical Resources, Inc. 160,600 7,815
Crescent Real Estate, Inc. REIT 469,941 7,806
* Quintiles Transnational Corp. 549,201 7,793
Ruby Tuesday, Inc. 313,800 7,760
* Crown Castle International Corp. 995,901 7,738
Cullen/Frost Bankers, Inc. 238,087 7,643
Federal Realty
Investment Trust REIT 237,700 7,606
* NTL Inc. 222,720 7,599
* Mettler-Toledo International Inc. 206,815 7,580
* The Corp. Executive Board Co. 184,950 7,550
* Neurocrine Biosciences, Inc. 150,601 7,521
Peoples Energy Corp. 174,829 7,498
BRE Properties Inc. Class A REIT 225,632 7,491
Hudson United Bancorp 219,137 7,484
* Arrow Electronics, Inc. 489,800 7,465
StanCorp Financial Group, Inc. 142,611 7,447
* Sepracor Inc. 412,454 7,437
Medicis Pharmaceutical Corp. 130,850 7,419
* Avnet, Inc. 584,400 7,410
AGL Resources Inc. 290,119 7,381
* Cognizant Technology
Solutions Corp. 300,000 7,308
Herman Miller, Inc. 360,111 7,278
* Cypress Semiconductor Corp. 606,200 7,274
* Toll Brothers, Inc. 255,600 7,236
* American Tower Corp. Class A 816,801 7,229
* Human Genome Sciences, Inc. 568,087 7,226
BancorpSouth, Inc. 345,383 7,201
Old National Bancorp 312,710 7,192
* Cincinnati Bell Inc. 1,072,044 7,183
Helmerich & Payne, Inc. 245,200 7,160
* BearingPoint, Inc. 741,850 7,159
Harsco Corp. 198,438 7,154
* Rambus Inc. 430,145 7,128
Friedman, Billings,
Ramsey Group, Inc. 530,450 7,108
Graco, Inc. 221,865 7,100
* Pharmaceutical Product
Development, Inc. 245,428 7,051
CarrAmerica Realty Corp. REIT 253,532 7,051
* McDATA Corp. Class A 478,703 7,023
Mills Corp. REIT 209,047 7,014
Westamerica Bancorporation 162,619 7,006
CenterPoint Properties Corp. REIT 113,070 6,926
* Brocade Communications
Systems, Inc. 1,168,600 6,883
Pan Pacific Retail
Properties, Inc. REIT 174,765 6,877
ICN Pharmaceuticals, Inc. 410,300 6,877
F.N.B. Corp. 227,225 6,876
IndyMac Bancorp, Inc. REIT 269,000 6,838
* Borders Group, Inc. 387,986 6,832
* Foundry Networks, Inc. 473,100 6,813
* Advanced Fibre
Communications, Inc. 416,800 6,781
* Furniture Brands
International Inc. 259,500 6,773
* Charles River Laboratories, Inc. 210,300 6,767
* DeVry, Inc. 289,600 6,745
Rayonier Inc. 203,916 6,729
Thornburg Mortgage, Inc. REIT 272,400 6,728
Camden Property Trust REIT 192,373 6,723
* Polycom, Inc. 484,800 6,719
* Apria Healthcare Group Inc. 269,002 6,693
Polaris Industries, Inc. 108,700 6,674
* Grant Prideco, Inc. 564,600 6,634
* Valassis Communications, Inc. 257,900 6,633
Independence Community
Bank Corp. 234,700 6,623
* Avocent Corp. 221,167 6,620
* Andrx Group 332,300 6,613
Imation Corp. 173,873 6,576
* Sirius Satellite Radio, Inc. 3,860,554 6,524
Realty Income Corp. REIT 171,200 6,519
American Capital Strategies, Ltd. 261,196 6,514
* Affiliated Managers Group, Inc. 106,700 6,503
UGI Corp. Holding Co. 204,300 6,476
12
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* AmeriCredit Corp. 757,200 6,474
* ITT Educational Services, Inc. 220,877 6,461
* Sybase, Inc. 463,400 6,446
* Macromedia, Inc. 305,022 6,418
Trustmark Corp. 251,581 6,408
* Stericycle, Inc. 166,500 6,407
Lee Enterprises, Inc. 170,600 6,403
HRPT Properties Trust REIT 695,900 6,402
* AnnTaylor Stores Corp. 219,956 6,368
WGL Holdings Inc. 238,364 6,364
Piedmont Natural Gas, Inc. 163,231 6,335
Carlisle Co., Inc. 150,247 6,334
IPC Holdings Ltd. 188,798 6,325
* J.D. Edwards & Co. 440,620 6,314
IKON Office Solutions, Inc. 707,435 6,296
* Zale Corp. 157,300 6,292
* Activision, Inc. 486,250 6,282
* Acxiom Corp. 414,490 6,255
Cummins Inc. 173,542 6,228
* Barnes & Noble, Inc. 268,900 6,198
The MONY Group Inc. 229,823 6,194
Park National Corp. 54,113 6,182
Ethan Allen Interiors, Inc. 175,760 6,180
* Respironics, Inc. 164,700 6,180
Boise Cascade Corp. 257,151 6,146
* Netscreen Technologies, Inc. 272,300 6,140
CNF Inc. 241,486 6,129
* Cytec Industries, Inc. 181,127 6,122
* OSI Pharmaceuticals, Inc. 190,000 6,120
Jack Henry & Associates Inc. 343,700 6,114
* Interdigital Communications Corp. 261,588 6,113
ONEOK, Inc. 311,145 6,108
* Protein Design Labs, Inc. 436,578 6,103
* FMC Technologies Inc. 288,500 6,073
Church & Dwight, Inc. 185,500 6,071
* Fisher Scientific International Inc. 173,900 6,069
Peabody Energy Corp. 180,100 6,050
ArvinMeritor, Inc. 299,700 6,048
* ResMed Inc. 154,201 6,045
AptarGroup Inc. 167,400 6,02
* Cabot Microelectronics Corp. 119,401 6,026
Healthcare Realty Trust Inc. REIT 205,807 5,999
First Industrial Realty Trust REIT 189,520 5,989
WPS Resources Corp. 148,902 5,986
Whitney Holdings Corp. 187,195 5,985
* AGCO Corp. 350,300 5,983
Raymond James Financial, Inc. 180,800 5,975
* Cytyc Corp. 567,800 5,973
* Kinder Morgan Management, LLC 159,192 5,963
CBL & Associates
Properties, Inc. REIT 138,600 5,960
First Midwest Bancorp, Inc. 206,781 5,957
Ametek, Inc. 162,502 5,956
* Earthlink, Inc. 752,900 5,940
Regis Corp. 202,978 5,897
* American Greetings Corp. Class A 300,211 5,896
* Techne Corp. 193,397 5,868
Ventas, Inc. REIT 386,700 5,859
Health Care Inc. REIT 191,700 5,847
* Amkor Technology, Inc. 444,912 5,846
Kennametal, Inc. 172,715 5,845
Highwood Properties, Inc. REIT 261,800 5,838
* Pacific Sunwear of California, Inc. 241,893 5,827
Shurgard Storage Centers, Inc.
Class A REIT 176,128 5,826
* Hyperion Solutions Corp. 171,240 5,781
Forest City Enterprise Class A 139,442 5,780
* United Stationers, Inc. 159,183 5,758
* Varian, Inc. 165,692 5,745
* Take-Two Interactive
Software, Inc. 202,600 5,742
* P.F. Chang's China Bistro, Inc. 116,600 5,738
* Mirant Corp. 1,975,295 5,728
* Key Energy Services, Inc. 534,101 5,726
Media General, Inc. Class A 100,077 5,724
CMS Energy Corp. 704,854 5,709
Cooper Tire & Rubber Co. 323,941 5,698
* IDEXX Laboratories Corp. 168,726 5,683
Roper Industries Inc. 152,151 5,660
* Service Corp. International 1,460,100 5,651
Pacific Capital Bancorp 160,933 5,641
* Affymetrix, Inc. 286,090 5,639
Arch Coal, Inc. 244,320 5,614
* Integrated Device
Technology Inc. 507,500 5,608
UCBH Holdings, Inc. 195,221 5,599
* Crown Holdings, Inc. 778,700 5,560
* Novell, Inc. 1,802,529 5,552
* DoubleClick Inc. 599,462 5,545
La-Z-Boy Inc. 246,815 5,524
Reader's Digest Association, Inc. 407,900 5,498
DQE Inc. 364,426 5,492
Lancaster Colony Corp. 142,000 5,490
* Vertex Pharmaceuticals, Inc. 374,400 5,466
* Emmis Communications, Inc. 237,883 5,459
Prentiss Properties Trust REIT 181,900 5,455
* Charter Communications, Inc. 1,370,439 5,441
* Covance, Inc. 299,158 5,415
Westar Energy, Inc. 332,454 5,396
* Electronics for Imaging, Inc. 265,681 5,391
AmerUs Group Co. 191,108 5,387
* Cymer, Inc. 167,800 5,371
Briggs & Stratton Corp. 106,252 5,366
* The Neiman Marcus Group, Inc.
Class A 146,350 5,356
13
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Dynegy, Inc. 1,275,252 5,356
Atmos Energy Corp. 215,922 5,355
* Flowserve Corp. 270,800 5,327
* Panera Bread Co. 133,068 5,323
Airgas, Inc. 317,492 5,318
United Bankshares, Inc. 185,601 5,317
* R.H. Donnelley Corp. 145,600 5,310
* Beazer Homes USA, Inc. 63,417 5,295
* Timberland Co. 100,000 5,286
Essex Property Trust, Inc. REIT 92,297 5,284
* Extended Stay America, Inc. 391,400 5,280
Cooper Cos., Inc. 151,801 5,278
Crane Co. 233,182 5,277
* Louisiana-Pacific Corp. 486,718 5,276
Jefferies Group, Inc. 105,763 5,266
* Sonus Networks, Inc. 1,046,300 5,263
* Bio-Rad Laboratories, Inc.
Class A 95,001 5,258
* ADTRAN Inc. 102,961 5,253
* Scotts Co. 105,900 5,242
Allegheny Energy, Inc. 619,730 5,237
Universal Corp. (VA) 123,653 5,231
* Martek Biosciences Corp. 121,700 5,226
SL Green Realty Corp. REIT 149,300 5,209
IDEX Corp. 143,683 5,207
Washington REIT 191,250 5,202
* Conexant Systems, Inc. 1,239,900 5,197
* Atmel Corp. 2,050,300 5,187
MDC Holdings, Inc. 107,435 5,187
* Arbitron Inc. 144,975 5,176
* FLIR Systems, Inc. 170,900 5,153
Claire's Stores, Inc. 203,089 5,150
The South Financial Group, Inc. 220,421 5,142
PNM Resources Inc. 192,200 5,141
* BJ's Wholesale Club, Inc. 340,200 5,123
Skywest, Inc. 268,154 5,111
* Linens 'n Things, Inc. 216,246 5,106
* Semtech Corp. 358,200 5,101
Patina Oil & Gas Corp. 158,408 5,093
* J.B. Hunt Transport Services, Inc. 134,832 5,090
* Accredo Health, Inc. 233,100 5,082
Sensient Technologies Corp. 220,665 5,073
* American Eagle Outfitters, Inc. 279,100 5,057
* Red Hat, Inc. 667,820 5,055
* Hercules, Inc. 508,257 5,032
* Station Casinos, Inc. 198,201 5,005
Trizec Properties, Inc. REIT 439,865 5,001
Cousins Properties, Inc. REIT 178,831 4,989
Corn Products International, Inc. 166,015 4,985
* Varian Semiconductor
Equipment Associates, Inc. 167,200 4,976
* Kronos, Inc. 97,805 4,969
Airborne, Inc. 237,703 4,968
* The Yankee Candle Co., Inc. 213,701 4,962
* Swift Transportation Co., Inc. 266,309 4,959
* CEC Entertainment Inc. 133,520 4,931
* Vitesse Semiconductor Corp. 1,001,500 4,927
* Forest Oil Corp. 195,800 4,918
Community First Bankshares, Inc. 179,652 4,905
* INAMED Corp. 91,300 4,902
IDACORP, Inc. 186,000 4,883
* Stone Energy Corp. 116,075 4,866
Chittenden Corp. 177,595 4,857
Massey Energy Co. 369,083 4,853
Citizens Banking Corp. 181,244 4,852
Oshkosh Truck Corp. 81,778 4,851
* Ascential Software Corp. 294,876 4,848
Alexander & Baldwin, Inc. 182,666 4,846
* Sonic Corp. 190,411 4,842
Global Payments Inc. 136,300 4,839
* Landstar System, Inc. 76,951 4,836
* CACI International, Inc. 140,801 4,829
* Cimarex Energy Co. 203,300 4,828
* Hovnanian Enterprises Inc.
Class A 81,901 4,828
Taubman Co. REIT 251,900 4,826
* Continental Airlines, Inc. Class B 322,300 4,825
* Waste Connections, Inc. 137,303 4,812
* Overture Services, Inc. 265,318 4,810
International Bancshares Corp. 135,116 4,805
* Hollywood Entertainment Corp. 279,300 4,804
* Evergreen Resources, Inc. 88,402 4,801
* NBTY, Inc. 227,936 4,800
Minerals Technologies, Inc. 98,639 4,800
New Century Financial Corp. 109,953 4,799
Perrigo Co. 306,156 4,788
The Toro Co. 120,040 4,772
* Gen-Probe Inc. 116,700 4,770
The Timken Co. 272,100 4,764
Hilb, Rogal and Hamilton Co. 139,602 4,752
Bob Evans Farms, Inc. 171,484 4,738
FactSet Research Systems Inc. 107,481 4,735
* GlobespanVirata, Inc. 572,678 4,725
* Mentor Graphics Corp. 326,226 4,724
Standard Pacific Corp. 141,994 4,709
Clarcor Inc. 122,076 4,706
New Jersey Resources Corp. 132,369 4,699
Commercial Federal Corp. 221,478 4,695
Greater Bay Bancorp 228,400 4,691
* Christopher & Banks Corp. 126,301 4,672
* Allmerica Financial Corp. 259,281 4,664
* Commonwealth Telephone
Enterprises, Inc. 106,051 4,663
14
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Home Properties of
New York, Inc. REIT 131,300 4,627
Reckson Associates
Realty Corp. REIT 221,800 4,627
* JetBlue Airways Corp. 109,400 4,627
* FTI Consulting, Inc. 184,451 4,606
* Ultra Petroleum Corp. 356,464 4,602
Staten Island Bancorp, Inc. 236,168 4,601
Blyth, Inc. 169,030 4,598
Nationwide Health
Properties, Inc. REIT 288,200 4,591
* Southwest Bancorporation
of Texas, Inc. 140,950 4,582
* Gemstar-TV Guide
International, Inc. 900,216 4,582
* Skyworks Solutions, Inc. 676,463 4,580
Platinum Underwriters
Holdings, Ltd. 168,500 4,573
Albemarle Corp. 163,200 4,565
First BanCorp Puerto Rico 166,138 4,560
York International Corp. 194,779 4,558
* Silicon Valley Bancshares 190,800 4,543
Dillard's Inc. 335,987 4,526
Energen Corp. 135,702 4,519
* Lattice Semiconductor Corp. 548,572 4,515
Worthington Industries, Inc. 336,761 4,513
Brandywine Realty Trust REIT 183,200 4,510
John Wiley & Sons Class A 171,780 4,501
* Kroll Inc. 166,200 4,497
Black Hills Corp. 146,302 4,491
* Alleghany Corp. 23,467 4,482
* Tetra Tech, Inc. 261,540 4,480
Ferro Corp. 197,140 4,442
* Pediatrix Medical Group, Inc. 123,911 4,417
Callaway Golf Co. 333,100 4,404
* Sybron Dental Specialties, Inc. 186,402 4,399
Mentor Corp. 226,676 4,393
* Intergraph Corp. 203,567 4,377
* Quiksilver, Inc. 265,201 4,373
Olin Corp. 254,698 4,355
Cabot Oil & Gas Corp. 157,568 4,350
Superior Industries
International, Inc. 104,309 4,350
Florida Rock Industries, Inc. 105,216 4,343
Visteon Corp. 630,917 4,334
* Investment Technology Group, Inc. 232,900 4,332
* Avid Technology, Inc. 123,474 4,330
Invacare Corp. 130,795 4,316
* ADVO, Inc. 97,201 4,316
Susquehanna Bancshares, Inc. 184,588 4,310
Post Properties, Inc. REIT 162,600 4,309
Diagnostic Products Corp. 104,950 4,308
* Terex Corp. 220,600 4,306
Werner Enterprises, Inc. 203,033 4,304
* Cumulus Media Inc. 227,300 4,303
Fremont General Corp. 314,070 4,303
* Legato Systems, Inc. 511,428 4,291
* Sylvan Learning Systems, Inc. 187,815 4,290
* Tom Brown, Inc. 154,302 4,288
Great Lakes Chemical Corp. 209,000 4,264
Hollinger International, Inc. 395,300 4,257
Downey Financial Corp. 102,800 4,246
* Plantronics, Inc. 195,823 4,243
East West Bancorp, Inc. 117,220 4,236
Colonial Properties Trust REIT 119,602 4,209
* Cognex Corp. 187,695 4,195
Western Gas Resources, Inc. 105,929 4,195
Alexandria Real Estate
Equities, Inc. REIT 92,900 4,180
Alpharma, Inc. Class A 193,387 4,177
* United Rentals, Inc. 300,300 4,171
* Payless ShoeSource, Inc. 332,691 4,159
* Catalina Marketing Corp. 235,300 4,153
* United Online, Inc. 163,820 4,151
* Thomas & Betts Corp. 285,900 4,131
Federal Signal Corp. 234,843 4,126
* Hutchinson Technology, Inc. 125,151 4,116
* Alliance Gaming Corp. 217,501 4,113
First Niagara Financial Group, Inc. 294,579 4,112
* NPS Pharmaceuticals Inc. 168,900 4,111
* Premcor, Inc. 190,227 4,099
* Perot Systems Corp. 360,797 4,099
* Hot Topic, Inc. 152,100 4,093
* Adaptec, Inc. 524,600 4,081
* Corrections Corp. of America REIT 160,887 4,075
* Trimeris, Inc. 89,100 4,070
The Goodyear Tire & Rubber Co. 773,020 4,058
* Gateway, Inc. 1,110,103 4,052
* Abgenix, Inc. 385,900 4,048
* KEMET Corp. 400,800 4,048
Capital Automotive REIT 144,620 4,048
* Southern Union Co. 238,697 4,044
Brookline Bancorp, Inc. 288,593 4,040
LandAmerica Financial Group, Inc. 84,957 4,035
Banta Corp. 124,365 4,026
Strayer Education, Inc. 50,634 4,023
TrustCo Bank NY 362,991 4,022
* Arch Capital Group Ltd. 115,598 4,015
* Macrovision Corp. 201,341 4,011
Texas Regional Bancshares, Inc. 115,236 3,999
* Jack in the Box Inc. 179,301 3,998
Cleco Corp. 230,804 3,998
Commerce Group, Inc. 110,221 3,990
Fred's, Inc. 106,993 3,978
15
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
W Holding Co., Inc. 234,501 3,968
Kellwood Co. 125,388 3,966
* Documentum, Inc. 201,600 3,965
* SCP Pool Corp. 115,150 3,961
* VISX Inc. 227,710 3,951
The Phoenix Cos., Inc. 437,419 3,950
* XM Satellite Radio Holdings, Inc. 356,700 3,942
W.P. Carey & Co. LLC 131,594 3,940
Crompton Corp. 556,802 3,925
* Parametric Technology Corp. 1,285,505 3,921
* Maverick Tube Corp. 204,308 3,912
Delta & Pine Land Co. 177,826 3,909
* Dionex Corp. 97,809 3,888
* Tommy Hilfiger Corp. 420,650 3,887
* Western Wireless Corp. Class A 336,200 3,876
* Mueller Industries Inc. 142,448 3,862
* LifePoint Hospitals, Inc. 183,900 3,851
Hughes Supply, Inc. 110,597 3,838
LNR Property Corp. 102,451 3,832
Wolverine World Wide, Inc. 198,788 3,829
* Dycom Industries, Inc. 234,647 3,825
* Cost Plus, Inc. 106,851 3,810
* Keane, Inc. 279,410 3,808
Matthews International Corp. 153,800 3,808
* Cal Dive International, Inc. 173,840 3,790
* American Axle & Manufacturing
Holdings, Inc. 158,400 3,786
* NetIQ Corp. 244,710 3,783
St. Mary Land & Exploration Co. 138,514 3,781
Delphi Financial Group, Inc. 80,571 3,771
* ATMI, Inc. 150,758 3,764
* Andrew Corp. 408,927 3,762
Impac Mortgage
Holdings, Inc. REIT 225,301 3,760
* The Medicines Co. 190,600 3,753
* CV Therapeutics, Inc. 126,200 3,743
Thor Industries, Inc. 91,301 3,727
* Ohio Casualty Corp. 282,228 3,720
Kilroy Realty Corp. REIT 134,479 3,698
Tupperware Corp. 257,307 3,695
Flowers Foods, Inc. 186,960 3,694
Acuity Brands, Inc. 202,944 3,687
The Brink's Co. 252,600 3,680
Liberty Corp. 86,500 3,676
Provident Financial Group, Inc. 143,134 3,669
* Ariba, Inc. 1,235,055 3,668
* Benchmark Electronics, Inc. 119,064 3,662
Gables Residential Trust REIT 120,183 3,633
* Applera Corp.-Celera
Genomics Group 351,801 3,631
* AirTran Holdings, Inc. 346,701 3,630
* American Italian Pasta Co. 86,698 3,611
* EMCOR Group, Inc. 73,092 3,608
* CNET Networks, Inc. 578,907 3,607
MAF Bancorp, Inc. 97,185 3,603
IMC Global Inc. 535,000 3,590
* Kansas City Southern 298,302 3,589
Republic Bancorp, Inc. 267,102 3,585
John H. Harland Co. 137,002 3,584
* ProAssurance Corp. 132,696 3,581
* CSG Systems International, Inc. 253,200 3,578
* OfficeMax, Inc. 546,000 3,576
Glimcher Realty Trust REIT 159,400 3,571
USF Corp. 132,364 3,570
* Unit Corp. 170,644 3,568
* Watson Wyatt & Co. Holdings 153,200 3,551
Flagstar Bancorp, Inc. 145,159 3,549
CH Energy Group, Inc. 78,706 3,542
Trinity Industries, Inc. 191,168 3,539
* Trimble Navigation Ltd. 154,285 3,538
* The Titan Corp. 343,500 3,535
* Ralcorp Holdings, Inc. 141,551 3,533
* Rare Hospitality International Inc. 107,965 3,528
* FMC Corp. 155,680 3,523
* Silicon Laboratories Inc. 132,037 3,517
People's Bank 121,116 3,511
* THQ Inc. 194,810 3,507
* Micrel, Inc. 336,800 3,499
Reinsurance Group
of America, Inc. 108,601 3,486
Owens & Minor, Inc. Holding Co. 155,840 3,483
Grey Global Group Inc. 4,501 3,477
American Financial Group, Inc. 152,400 3,475
* Select Medical Corp. 139,600 3,466
* Joy Global Inc. 234,651 3,466
* Philadelphia Consolidated
Holding Corp. 85,624 3,459
* MPS Group, Inc. 501,821 3,453
Southwest Gas Corp. 162,796 3,448
R.L.I. Corp. 104,575 3,441
Black Box Corp. 94,809 3,432
Potlatch Corp. 133,236 3,431
* Anixter International Inc. 146,075 3,423
* Tractor Supply Co. 71,600 3,419
* Thoratec Corp. 229,363 3,418
* Spinnaker Exploration Co. 130,219 3,412
Northwest Natural Gas Co. 125,164 3,411
* Coherent, Inc. 143,837 3,406
Chateau Communities, Inc. REIT 115,000 3,403
* RealNetworks, Inc. 501,835 3,402
* Alkermes, Inc. 316,000 3,397
* Grey Wolf, Inc. 840,601 3,396
* Power Integrations, Inc. 139,600 3,395
* Men's Wearhouse, Inc. 155,311 3,394
16
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Odyssey Healthcare, Inc. 91,650 3,391
* Progress Software Corp. 163,542 3,390
* Copart, Inc. 358,100 3,384
* SEACOR SMIT Inc. 92,720 3,383
* Too Inc. 166,921 3,380
Horace Mann Educators Corp. 208,979 3,371
Municipal Mortgage &
Equity, L.L.C. 132,622 3,366
* OmniVision Technologies, Inc. 107,750 3,362
* Yellow Corp. 145,071 3,358
* PETCO Animal Supplies, Inc. 154,326 3,355
* Westport Resources Corp. 147,350 3,352
Cathay Bancorp, Inc. 74,866 3,338
GATX Corp. 204,100 3,337
* Ligand Pharmaceuticals Inc.
Class B 245,048 3,330
* Priority Healthcare Corp. Class B 179,400 3,328
* Borland Software Corp. 340,200 3,324
* Journal Register Co. 183,300 3,316
* Biosite Inc. 68,900 3,314
Sun Communities, Inc. REIT 84,300 3,313
* Sycamore Networks, Inc. 863,000 3,305
Heritage Property
Investment Trust REIT 121,800 3,298
* United Defense Industries Inc. 126,901 3,292
Engineered Support Systems, Inc. 78,473 3,284
* Heartland Express, Inc. 147,155 3,274
* Pinnacle Systems, Inc. 305,700 3,271
Selective Insurance Group 130,133 3,260
* Quantum Corp. 801,802 3,247
The Pep Boys
(Manny, Moe & Jack) 239,977 3,242
Commercial Net Lease Realty REIT 188,000 3,241
Manufactured Home
Communities, Inc. REIT 91,900 3,227
* Penn National Gaming, Inc. 157,000 3,226
Tootsie Roll Industries, Inc. 105,700 3,223
Net.Bank, Inc. 244,000 3,211
Otter Tail Corp. 118,900 3,208
* Veridian Corp. 91,900 3,206
* Cerner Corp. 139,600 3,204
First Commonwealth
Financial Corp. 245,202 3,178
Avista Corp. 224,068 3,171
* FileNET Corp. 175,694 3,170
* MGI Pharma, Inc. 123,646 3,169
Lincoln Electric Holdings, Inc. 154,800 3,159
* Wilson Greatbatch
Technologies, Inc. 87,252 3,150
Brady Corp. Class A 94,245 3,143
ABM Industries Inc. 203,825 3,139
CVB Financial Corp. 160,466 3,132
* Advanced Neuromodulation
Systems, Inc. 60,400 3,127
NDCHealth Corp. 170,401 3,127
* Oceaneering International, Inc. 121,591 3,107
* Alliance Data Systems Corp. 132,700 3,105
Granite Construction Co. 161,959 3,103
Senior Housing
Properties Trust REIT 228,700 3,101
* Exar Corp. 195,901 3,101
MacDermid, Inc. 117,875 3,100
IHOP Corp. 98,102 3,097
Casey's General Stores, Inc. 218,646 3,092
UniSource Energy Corp. 164,110 3,085
* Simpson Manufacturing Co. 84,095 3,078
* Northwest Airlines Corp. Class A 272,600 3,078
* Anteon International Corp. 110,100 3,073
* AmSurg Corp. 100,631 3,069
* DRS Technologies, Inc. 109,901 3,068
Novastar Financial, Inc. REIT 51,350 3,068
* Six Flags, Inc. 452,500 3,068
H.B. Fuller Co. 139,222 3,066
Kaydon Corp. 146,988 3,057
Albany International Corp. 111,286 3,049
* Group 1 Automotive, Inc. 93,902 3,043
Provident Bankshares Corp. 119,494 3,036
Lexington Corporate
Properties Trust REIT 171,400 3,034
* La Quinta Corp. REIT 703,622 3,033
Lennox International Inc. 235,544 3,031
* Mediacom Communications Corp. 306,601 3,026
* El Paso Electric Co. 244,473 3,014
* MSC Industrial
Direct Co., Inc. Class A 168,055 3,008
* Boyd Gaming Corp. 174,000 3,003
* RSA Security Inc. 278,117 2,990
Redwood Trust, Inc. REIT 74,700 2,981
* Viasys Healthcare Inc. 143,743 2,975
* Sierra Pacific Resources 498,917 2,964
* Ryan's Family Steak Houses, Inc. 211,428 2,960
* American Management
Systems, Inc. 206,993 2,956
* CUNO Inc. 81,777 2,954
* Knight Transportation, Inc. 118,596 2,953
* Axcelis Technologies, Inc. 480,777 2,942
* Insight Communications Co., Inc. 223,100 2,940
* IGEN International, Inc. 93,500 2,936
Millennium Chemicals, Inc. 308,700 2,936
* Micromuse Inc. 367,100 2,933
* BankUnited Financial Corp. 145,198 2,926
* BioMarin Pharmaceutical Inc. 299,300 2,921
* First Federal Financial Corp. 82,724 2,919
* CMGI Inc. 1,730,000 2,889
17
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Advanced Digital
Information Corp. 288,201 2,879
* Digital Insight Corp. 150,400 2,865
* DSP Group Inc. 132,945 2,862
* Genta Inc. 214,700 2,860
* Extreme Networks, Inc. 539,400 2,859
S & T Bancorp, Inc. 104,046 2,854
* Aztar Corp. 177,064 2,85
* Genesis Health Ventures, Inc. 161,600 2,852
* Sonic Automotive, Inc. 130,100 2,850
* Chiquita Brands International, Inc. 195,300 2,832
* IDT Corp. Class B 160,800 2,830
Georgia Gulf Corp. 142,717 2,826
* USG Corp. 148,401 2,820
USEC Inc. 399,600 2,805
* Technitrol, Inc. 186,195 2,802
G & K Services, Inc. Class A 94,629 2,801
* MICROS Systems, Inc. 84,907 2,800
Chemical Financial Corp. 93,776 2,795
* Newport Corp. 188,726 2,793
* EGL, Inc. 183,733 2,793
NBT Bancorp, Inc. 144,086 2,788
Cambrex Corp. 121,102 2,788
Interstate Bakeries Corp. 219,234 2,784
* ILEX Oncology, Inc. 143,236 2,780
PolyMedica Corp. 60,617 2,776
Nordson Corp. 115,854 2,763
Baldor Electric Co. 134,015 2,761
Waypoint Financial Corp. 152,704 2,755
Reliance Steel & Aluminum Co. 132,592 2,745
* Charming Shoppes, Inc. 552,030 2,744
* US Oncology, Inc. 370,822 2,740
* Endo Pharmaceuticals
Holdings, Inc. 161,665 2,735
* Choice Hotel International, Inc. 100,051 2,732
UIL Holdings Corp. 67,374 2,732
Summit Properties, Inc. REIT 132,300 2,732
* ESCO Technologies Inc. 62,001 2,728
* eSPEED, Inc. Class A 137,800 2,723
Landry's Restaurants, Inc. 115,352 2,722
Pacific Northwest Bancorp 78,298 2,722
* K-V Pharmaceutical Co. Class A 97,800 2,719
Tecumseh Products Co. Class A 70,891 2,716
National Penn Bancshares Inc. 96,650 2,714
* CSK Auto Corp. 187,700 2,712
* Actuant Corp. 57,201 2,707
* Enterasys Networks, Inc. 891,400 2,701
* Wynn Resorts Ltd. 152,309 2,694
R & G Financial Corp. Class B 90,700 2,694
Ruddick Corp. 171,359 2,694
* Washington Group
International, Inc. 122,654 2,693
* Knight Trading Group, Inc. 432,601 2,691
* Entravision Communications Corp. 237,000 2,690
* Tekelec 237,300 2,681
* Atlantic Coast Airlines
Holdings Inc. 198,776 2,681
* Argosy Gaming Co. 127,801 2,672
* Kirby Corp. 94,607 2,668
* ProQuest Co. 103,300 2,665
* Hanover Compressor Co. 235,836 2,665
* Vicuron Pharmaceuticals Inc. 187,935 2,665
* Enzon Pharmaceuticals, Inc. 212,300 2,658
* Interactive Data Corp. 157,192 2,657
* Identix, Inc. 417,689 2,652
Vintage Petroleum, Inc. 234,755 2,648
* Alaska Air Group, Inc. 123,444 2,648
BankAtlantic Bancorp, Inc.
Class A 222,466 2,645
* Internet Security Systems, Inc. 182,201 2,640
* Province Healthcare Co. 238,202 2,637
CONSOL Energy, Inc. 115,850 2,634
* eFunds Corp. 227,901 2,628
F & M Bancorp 53,059 2,617
Winnebago Industries, Inc. 69,001 2,615
Arkansas Best Corp. 109,776 2,612
* Credence Systems Corp. 308,159 2,610
* West Corp. 97,869 2,608
* Sierra Health Services, Inc. 130,401 2,608
* UnitedGlobalCom Inc. Class A 503,970 2,606
MFA Mortgage
Investments, Inc. REIT 259,300 2,603
First Citizens BancShares Class A 25,797 2,601
* Photronics Inc. 149,029 2,601
The Manitowoc Co., Inc. 116,606 2,600
Curtiss-Wright Corp. 41,000 2,591
Spartech Corp. 122,009 2,588
* MAXIMUS, Inc. 93,651 2,588
* Rogers Corp. 77,702 2,587
* Entegris Inc. 192,086 2,582
* Price Communications Corp. 199,967 2,582
* Superior Energy Services, Inc. 271,161 2,571
* School Specialty, Inc. 90,311 2,570
MGE Energy, Inc. 81,575 2,570
Modine Manufacturing Co. 132,340 2,563
* Marvel Enterprises Inc. 134,201 2,563
* USI Holdings Corp. 217,871 2,562
* Zoran Corp. 133,300 2,561
* TriQuint Semiconductor, Inc. 614,711 2,557
* Barra, Inc. 71,575 2,555
First Charter Corp. 146,800 2,554
A.O. Smith Corp. 90,620 2,551
Amcore Financial, Inc. 109,428 2,547
* Vignette Corp. 1,224,150 2,546
18
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Wausau-Mosinee Paper Corp. 226,806 2,540
Sterling Bancshares, Inc. 193,876 2,536
* UNOVA, Inc. 228,100 2,532
* Telik, Inc. 157,500 2,531
Equity One, Inc. REIT 154,028 2,526
* Iomega Corp. 238,001 2,523
UMB Financial Corp. 59,314 2,515
RAIT Investment Trust REIT 94,900 2,515
* Enzo Biochem, Inc. 116,742 2,512
* Nektar Therapeutics 271,316 2,504
* TiVo Inc. 205,300 2,501
Hancock Holding Co. 53,126 2,500
* Sinclair Broadcast Group, Inc. 214,800 2,494
* The Advisory Board Co. 61,500 2,492
* Southwestern Energy Co. 165,090 2,478
Glenborough
Realty Trust, Inc. REIT 129,300 2,476
* CommScope, Inc. 260,208 2,472
The Laclede Group, Inc. 92,170 2,470
* Priceline.com, Inc. 110,316 2,470
* American Healthways Inc. 68,250 2,465
* Informatica Corp. 356,700 2,465
Umpqua Holdings Corp. 129,755 2,464
First Financial Bancorp 153,881 2,462
* AtheroGenics, Inc. 164,540 2,457
Texas Industries, Inc. 103,151 2,455
* AMERIGROUP Corp. 65,961 2,454
Brown Shoe Co., Inc. 82,260 2,451
* NII Holdings Inc. 63,990 2,449
* Meritage Corp. 49,701 2,448
* W-H Energy Services, Inc. 125,471 2,444
MB Financial, Inc. 60,911 2,439
Seacoast Financial Services Corp. 123,108 2,438
Anchor Bancorp Wisconsin Inc. 102,001 2,437
Pennsylvania REIT 81,200 2,432
* CONMED Corp. 133,044 2,429
* Shuffle Master, Inc. 82,580 2,427
PS Business Parks, Inc. REIT 68,600 2,422
* Actel Corp. 118,008 2,419
Dime Community Bancshares 94,977 2,417
* Scientific Games Corp. 257,124 2,417
* Saxon Capital Inc. 138,600 2,409
Empire District Electric Co. 110,270 2,398
* Cray Inc. 303,520 2,398
* Littelfuse, Inc. 107,100 2,395
* Advanced Medical Optics, Inc. 140,450 2,395
* The Gymboree Corp. 142,706 2,395
* Jones Lang Lasalle Inc. 151,500 2,394
* United Surgical Partners
International, Inc. 105,910 2,393
* Nextel Partners, Inc. 327,700 2,392
* Dendrite International, Inc. 185,143 2,385
* United Natural Foods, Inc. 84,645 2,382
* Plexus Corp. 206,281 2,378
Anthracite Capital Inc. REIT 197,101 2,377
* Quest Software, Inc. 199,700 2,376
Harbor Florida Bancshares, Inc. 99,101 2,374
Wabtec Corp. 170,657 2,374
* Ask Jeeves, Inc. 172,600 2,373
Quanex Corp. 79,839 2,373
* TIBCO Software Inc. 464,740 2,366
Anworth Mortgage
Asset Corp. REIT 153,300 2,364
* ExpressJet Holdings, Inc. 156,201 2,359
* Symyx Technologies, Inc. 144,442 2,357
Alabama National BanCorporation 48,600 2,356
* Navigant Consulting, Inc. 198,661 2,354
* Houston Exploration Co. 67,801 2,353
Gray Television, Inc. 189,301 2,347
* Allen Telecom Inc. 141,897 2,344
* Medarex, Inc. 355,184 2,341
Florida East Coast Industries, Inc.
Class A 91,600 2,340
Regal-Beloit Corp. 122,502 2,340
Longs Drug Stores, Inc. 140,803 2,337
Corporate Office
Properties Trust, Inc. REIT 138,000 2,336
United National Bancorp 84,005 2,318
* Digital River, Inc. 119,960 2,315
A. Schulman Inc. 144,126 2,315
* Resources Connection, Inc. 96,778 2,309
* Palm, Inc. 141,900 2,309
* VCA Antech, Inc. 117,893 2,307
* UICI 153,002 2,306
* Imagistics International Inc. 89,280 2,303
* Griffon Corp. 143,832 2,301
* Connetics Corp. 153,396 2,296
Community Bank System, Inc. 60,400 2,295
Aquila, Inc. 888,600 2,293
* Insituform Technologies Inc.
Class A 129,432 2,288
* SERENA Software, Inc. 109,156 2,279
* Integra LifeSciences Holdings 86,351 2,278
* Lin TV Corp. 96,700 2,277
* Aeroflex, Inc. 294,042 2,276
* Guitar Center, Inc. 78,400 2,274
* Offshore Logistics, Inc. 104,528 2,273
Harleysville National Corp. 83,91 2,271
* Stewart Information Services Corp. 81,435 2,268
City Holding Co. 77,401 2,266
* MKS Instruments, Inc. 125,362 2,265
Scottish Annuity & Life
Holdings, Ltd. 112,063 2,265
* Hain Celestial Group, Inc. 141,376 2,261
19
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Hecla Mining Co. 534,161 2,260
* Eon Labs, Inc. 64,256 2,259
Wintrust Financial Corp. 76,290 2,258
Mid-America Apartment
Communities, Inc. REIT 83,300 2,250
* InterMune Inc. 139,600 2,249
* Checkpoint Systems, Inc. 158,802 2,247
* FEI Co. 119,756 2,247
* Dollar Thrifty
Automotive Group, Inc. 121,100 2,246
Sandy Spring Bancorp, Inc. 71,000 2,244
EastGroup Properties, Inc. REIT 83,000 2,241
Analogic Corp. 45,898 2,238
* Power-One, Inc. 312,610 2,235
* Steel Dynamics, Inc. 162,801 2,230
* Shaw Group, Inc. 184,800 2,227
M/I Schottenstein Homes, Inc. 52,041 2,221
Alfa Corp. 174,561 2,219
* ANSYS, Inc. 71,321 2,218
* CTI Molecular Imaging, Inc. 117,200 2,216
WD-40 Co. 77,532 2,214
Frontier Financial Corp. 77,900 2,213
South Jersey Industries, Inc. 60,036 2,212
* SurModics, Inc. 72,396 2,208
* Packeteer, Inc. 141,500 2,203
* Manhattan Associates, Inc. 84,834 2,203
* Sunrise Senior Living, Inc. 98,206 2,198
Glacier Bancorp, Inc. 89,255 2,197
* Agile Software Corp. 226,800 2,189
Entertainment
Properties Trust REIT 75,701 2,176
Mid-State Bancshares 110,160 2,176
National Health Investors REIT 117,900 2,174
* Tesoro Petroleum Corp. 315,601 2,171
Westbanco Inc. 89,143 2,166
Westcorp, Inc. 76,998 2,156
* Photon Dynamics, Inc. 78,000 2,155
* Verity, Inc. 170,138 2,154
Rock-Tenn Co. 126,760 2,149
* Fossil, Inc. 91,101 2,146
* Microsemi Corp. 134,107 2,146
* Itron, Inc. 99,291 2,141
* Forward Air Corp. 84,300 2,139
* Magnum Hunter Resources Inc. 267,501 2,137
K-Swiss, Inc. 61,769 2,132
American States Water Co. 77,836 2,125
Irwin Financial Corp. 81,902 2,121
* Moog Inc. 60,950 2,118
* Cyberonics, Inc. 98,466 2,118
* OMI Corp. 343,100 2,113
* Corvis Corp. 1,408,800 2,113
* Gaylord Entertainment Co.
Class A 107,975 2,113
Arrow International, Inc. 47,780 2,109
* Advent Software, Inc. 124,600 2,107
* Atrix Laboratories, Inc. 95,800 2,107
* Genlyte Group, Inc. 60,200 2,105
Boston Private Financial
Holdings, Inc. 99,798 2,104
* Financial Federal Corp. 86,203 2,103
* Denbury Resources, Inc. 156,500 2,102
* Sola International Inc. 120,513 2,097
Commercial Metals Co. 117,834 2,096
* Triarc Cos., Inc. Class A 69,800 2,093
* Stewart Enterprises, Inc. Class A 486,800 2,093
Russell Corp. 109,981 2,090
Stewart & Stevenson
Services, Inc. 132,544 2,088
* LTX Corp. 241,978 2,086
United Community Banks, Inc. 83,352 2,082
* Regeneron Pharmaceuticals, Inc. 132,189 2,082
* Artisan Components, Inc. 91,900 2,078
* Akamai Technologies, Inc. 427,300 2,077
Allegheny Technologies Inc. 314,601 2,076
Bedford Property
Investors, Inc. REIT 73,100 2,076
* CoStar Group, Inc. 69,481 2,075
* Kopin Corp. 338,916 2,074
* Genesis Microchip Inc. 152,820 2,069
* Electro Scientific Industries, Inc. 136,246 2,065
* TETRA Technologies, Inc. 69,603 2,064
* Veeco Instruments, Inc. 121,147 2,063
Rollins, Inc. 109,399 2,062
* Tanox, Inc. 128,403 2,061
Aaron Rents, Inc. Class B 79,574 2,056
* Rayovac Corp. 158,601 2,054
Parkway Properties Inc. REIT 48,800 2,052
* Urban Outfitters, Inc. 57,000 2,046
* Triumph Group, Inc. 72,572 2,044
Thomas Industries, Inc. 75,576 2,044
* Bright Horizons Family
Solutions, Inc. 60,900 2,044
Lone Star Steakhouse &
Saloon, Inc. 93,864 2,043
Bowne & Co., Inc. 156,593 2,040
OM Group, Inc. 138,500 2,040
* NCO Group, Inc. 113,899 2,040
The Trust Co. of New Jersey 67,315 2,040
* Insight Enterprises, Inc. 202,287 2,035
Kelly Services, Inc. Class A 86,430 2,027
Independent Bank Corp. (MI) 78,808 2,025
* Powerwave Technologies, Inc. 322,174 2,020
Odyssey Re Holdings Corp. 95,700 2,019
20
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Handleman Co. 126,200 2,019
Russ Berrie and Co., Inc. 55,066 2,010
Corus Bankshares Inc. 41,500 2,010
* Spherion Corp. 288,648 2,006
* O'Charley's Inc. 93,047 2,003
Woodward Governor Co. 46,501 2,000
* SRA International, Inc. 62,200 1,990
* The Neiman Marcus Group, Inc.
Class B 57,553 1,986
* Ciber, Inc. 282,809 1,985
Arch Chemicals, Inc. 103,835 1,983
* WilTel Communications, Inc. 134,300 1,980
* Mykrolis Corp. 194,322 1,972
Steelcase Inc. 167,553 1,970
* aQuantive, Inc. 187,220 1,966
Belden, Inc. 123,302 1,959
* Lexar Media, Inc. 205,251 1,958
* Monaco Coach Corp. 127,677 1,957
* Hydrill Co. 71,744 1,955
* Central Garden and Pet Co. 81,663 1,948
* webMethods, Inc. 239,450 1,947
* Apex Silver Mines Ltd. 131,945 1,946
* Eclipsys Corp. 186,356 1,946
* ICU Medical, Inc. 62,371 1,943
* TierOne Corp. 99,784 1,943
* Ultratech, Inc. 105,034 1,942
Surewest Communications 64,166 1,941
Frontier Oil Corp. 127,651 1,940
* Westell Technologies, Inc. 224,300 1,940
ElkCorp 86,148 1,938
Speedway Motorsports, Inc. 72,302 1,938
* American Pharmaceuticals
Partners, Inc. 57,120 1,936
* International Multifoods Corp. 84,360 1,933
Inter-Tel, Inc. 90,986 1,931
* Exelixis, Inc. 278,120 1,930
* Jacuzzi Brands, Inc. 364,600 1,929
Hooper Holmes, Inc. 298,875 1,925
* Brooks Automation, Inc. 169,724 1,925
* Finish Line, Inc. 86,600 1,923
* Select Comfort Corp. 117,400 1,923
PFF Bancorp, Inc. 49,621 1,918
The Stride Rite Corp. 192,351 1,916
New England Business
Service, Inc. 63,831 1,915
Bandag, Inc. 51,376 1,915
* Lone Star Technologies, Inc. 90,293 1,912
First Financial Bankshares, Inc. 57,033 1,908
* Newpark Resources, Inc. 347,702 1,905
Franklin Electric, Inc. 34,200 1,903
* PSS World Medical, Inc. 330,702 1,902
PolyOne Corp. 427,089 1,901
* Orthodontic Centers
of America, Inc. 237,200 1,900
* Paxar Corp. 172,630 1,899
Glatfelter 128,700 1,898
* TBC Corp. 99,396 1,893
* United Therapeutics Corp. 86,900 1,893
* Nautica Enterprises, Inc. 147,471 1,892
* Haemonetics Corp. 100,992 1,889
* Remington Oil & Gas Corp. 102,651 1,887
* CIMA Labs Inc. 70,094 1,885
* Helen of Troy Ltd. 124,050 1,881
* InVision Technologies, Inc. 74,901 1,879
* XOMA Ltd. 351,917 1,876
* Tularik, Inc. 188,612 1,875
AMLI Residential
Properties Trust REIT 79,600 1,875
California Water Service Group 66,626 1,874
Hudson River Bancorp. Inc. 67,091 1,873
First Merchants Corp. 77,011 1,872
* Centene Corp. 48,100 1,871
* Veritas DGC Inc. 162,602 1,870
* Echelon Corp. 135,500 1,866
* SOURCECORP, Inc. 86,065 1,859
* Stage Stores, Inc. 79,060 1,858
Cornerstone Realty
Income Trust, Inc. REIT 253,901 1,856
Overseas Shipholding Group Inc. 84,198 1,853
Methode Electronics, Inc. Class A 171,806 1,847
Central Pacific Financial Co. 66,600 1,845
* Magma Design Automation, Inc. 107,480 1,843
* Remec, Inc. 264,701 1,842
Longview Fibre Co. 224,014 1,837
Keystone Property Trust REIT 99,200 1,836
* ShopKo Stores, Inc. 141,102 1,834
* Coinstar, Inc. 97,165 1,833
Park Electrochemical Corp. 91,718 1,830
Texas Genco Holdings, Inc. 78,678 1,829
Datascope Corp. 61,602 1,829
Gold Banc Corp., Inc. 173,400 1,822
* Ionics, Inc. 81,451 1,822
Sovran Self Storage, Inc. REIT 57,701 1,818
* Young Broadcasting Inc. 85,946 1,816
* Global Imaging Systems, Inc. 78,400 1,816
* Digene Corp. 66,642 1,815
Connecticut Bancshares, Inc. 46,196 1,813
* AK Steel Corp. 499,700 1,809
* ValueClick, Inc. 298,880 1,802
* Corixa Corp. 233,066 1,802
Koger Equity, Inc. REIT 104,500 1,801
C & D Technologies, Inc. 125,377 1,800
Penn Virginia Corp. 41,802 1,797
* Mercury Computer Systems, Inc. 98,822 1,795
21
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Beverly Enterprises, Inc. 511,600 1,791
* Papa John's International, Inc. 63,751 1,788
Schweitzer-Mauduit
International, Inc. 74,034 1,787
Landauer, Inc. 42,700 1,786
Suffolk Bancorp 55,253 1,779
* Exult Inc. 207,600 1,779
First Sentinel Bancorp Inc. 111,266 1,777
* Bay View Capital Corp. 307,399 1,777
* Esterline Technologies Corp. 101,867 1,774
* Global Industries Ltd. 367,778 1,773
* Headwaters Inc. 120,641 1,772
The Nautilus Group, Inc. 142,839 1,771
* eResearch Technology, Inc. 79,900 1,771
Unizan Financial Corp. 100,728 1,770
Kimball International, Inc. Class B 113,363 1,768
* Pegasus Solutions Inc. 108,751 1,767
* Core Laboratories NV 163,304 1,764
Getty Realty Holding Corp. REIT 79,000 1,763
* ChipPAC, Inc. 229,500 1,760
Mid Atlantic Realty Trust REIT 83,700 1,753
Cubic Corp. 78,851 1,752
* Teledyne Technologies, Inc. 133,670 1,751
Wellman, Inc. 156,203 1,749
* Comstock Resources, Inc. 127,701 1,747
* URS Corp. 89,759 1,747
* Armor Holdings, Inc. 130,018 1,742
Oriental Financial Group Inc. 67,627 1,737
* IDT Corp. 97,000 1,736
Roto-Rooter, Inc. 45,464 1,736
* Universal Compression
Holdings, Inc. 83,100 1,733
* PAREXEL International Corp. 123,787 1,727
* Ocular Sciences, Inc. 86,900 1,725
* General Communication, Inc. 199,169 1,725
* Movie Gallery, Inc. 93,457 1,724
* ArthroCare Corp. 102,676 1,721
* Steak n Shake Co. 112,611 1,717
* Silicon Storage Technology, Inc. 409,800 1,717
* First Republic Bank 64,527 1,716
* Openwave Systems Inc. 880,102 1,716
First Financial Holdings, Inc. 63,439 1,715
* Bombay Co. 161,222 1,714
* Triad Guaranty, Inc. 45,000 1,708
* Myriad Genetics, Inc. 125,300 1,705
Cato Corp. Class A 80,794 1,703
* Oak Technology, Inc. 274,000 1,702
* Leapfrog Enterprises, Inc. 53,400 1,699
First Essex Bancorp, Inc. 36,000 1,697
CARBO Ceramics Inc. 45,554 1,697
* Genesco, Inc. 95,757 1,695
* Gartner, Inc. Class A 223,552 1,695
Tredegar Corp. 113,033 1,694
* Lawson Software Inc. 218,005 1,694
* SangStat Medical Corp. 129,300 1,693
FelCor Lodging Trust, Inc. REIT 215,401 1,691
Helix Technology Corp. 127,214 1,683
* Aeropostale, Inc. 78,100 1,678
* Wright Medical Group, Inc. 88,280 1,677
* Cobalt Corp. 81,600 1,677
* Sterling Financial Corp. (Spokane) 68,647 1,672
Applied Industrial Technology, Inc. 79,202 1,671
CTS Corp. 159,882 1,671
* Silgan Holdings, Inc. 53,401 1,670
Nu Skin Enterprises, Inc. 159,801 1,670
Town & Country Trust REIT 71,600 1,665
* WebEx Communications, Inc. 119,300 1,664
* Jo-Ann Stores, Inc. Class A 65,722 1,663
* Retek Inc. 259,767 1,663
MCG Capital Corp. 114,620 1,662
Walter Industries, Inc. 141,000 1,657
* ESS Technology, Inc. 169,329 1,651
* Per-Se Technologies, Inc. 146,967 1,650
Burlington Coat Factory
Warehouse Corp. 92,015 1,647
* InfoSpace, Inc. 121,257 1,645
Watts Industries Class A 92,102 1,644
* Hibbett Sporting Goods, Inc. 49,900 1,644
* WMS Industries, Inc. 105,406 1,643
* Cirrus Logic 408,401 1,642
* CDI Corp. 63,231 1,641
First Community Bancorp 52,281 1,641
* Ventana Medical Systems, Inc. 60,341 1,640
* Serologicals Corp. 120,201 1,638
* Websense, Inc. 104,500 1,636
* MicroStrategy Inc. 44,900 1,636
Barnes Group, Inc. 75,107 1,634
* LendingTree, Inc. 66,700 1,633
First Federal Capital Corp. 82,231 1,632
* E.piphany Inc. 319,380 1,632
* Plains Exploration &
Production Co. 150,356 1,625
Kramont Realty Trust REIT 98,500 1,625
RFS Hotel Investors, Inc. REIT 131,801 1,624
* The Topps Co., Inc. 188,720 1,621
* 7-Eleven, Inc. 153,500 1,619
* Silicon Image, Inc. 290,200 1,619
* Orbital Sciences Corp. 221,500 1,617
Watsco, Inc. 97,601 1,616
Pulitzer, Inc. 32,702 1,616
Roadway Corp. 56,604 1,615
Royal Gold, Inc. 75,130 1,615
* American Medical Systems
Holdings, Inc. 95,691 1,614
22
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Electronics Boutique Holdings Corp. 69,800 1,613
* Range Resources Corp. 257,100 1,612
* F5 Networks, Inc. 95,400 1,607
* AMN Healthcare Services, Inc. 126,500 1,607
* J. Jill Group, Inc. 95,100 1,601
* Intermagnetics General Corp. 80,576 1,599
Valmont Industries, Inc. 82,050 1,597
* JAKKS Pacific, Inc. 119,873 1,593
GenCorp, Inc. 179,184 1,593
* California Pizza Kitchen, Inc. 74,000 1,591
* Trammell Crow Co. 149,950 1,591
* Pre-Paid Legal Services, Inc. 64,827 1,590
Investors Real Estate Trust REIT 147,134 1,588
* Gardner Denver Inc. 77,541 1,586
* ScanSource, Inc. 59,300 1,586
* Oakley, Inc. 134,602 1,584
* AMC Entertainment, Inc. 137,901 1,578
* Safeguard Scientifics, Inc. 583,700 1,576
Ramco-Gershenson
Properties Trust REIT 67,600 1,575
* Oil States International, Inc. 130,100 1,574
* Jarden Corp. 56,701 1,569
* ViaSat, Inc. 109,305 1,567
Fidelity Bankshares, Inc. 70,280 1,567
Mine Safety Appliances Co. 35,901 1,566
* Transkaryotic Therapies, Inc. 135,700 1,566
* Cable Design Technologies Corp. 218,967 1,566
* VistaCare, Inc. 64,370 1,565
Cash America International Inc. 118,286 1,564
* Tuesday Morning Corp. 59,400 1,562
Dimon Inc. 217,987 1,561
* ActivCard Corp. 165,996 1,560
Bank Mutual Corp. 47,988 1,560
* SPS Technologies, Inc. 57,503 1,555
* Sharper Image Corp. 57,000 1,554
West Pharmaceutical
Services, Inc. 63,394 1,553
* Albany Molecular Research, Inc. 102,800 1,552
* Inspire Pharmaceuticals, Inc. 143,694 1,552
Berry Petroleum Class A 86,400 1,551
Chesapeake Corp. of Virginia 70,969 1,551
* Transaction Systems
Architects, Inc. 172,879 1,549
* The Sports Authority, Inc. 144,701 1,548
* Esperion Therapeutics, Inc. 79,012 1,548
* Unifi, Inc. 249,362 1,546
Metris Cos., Inc. 278,500 1,546
* Kulicke & Soffa Industries, Inc. 241,716 1,545
* PRIMEDIA Inc. 505,261 1,541
Sterling Financial Corp. (PA) 66,189 1,539
* Impax Laboratories, Inc. 128,250 1,538
Sterling Bancorp 54,836 1,529
* Alexion Pharmaceuticals, Inc. 89,381 1,524
GBC Bancorp 39,620 1,521
* Cell Genesys, Inc. 175,853 1,519
Phillips-Van Heusen Corp. 110,928 1,512
Cohu, Inc. 96,789 1,510
Harleysville Group, Inc. 65,550 1,509
LaSalle Hotel Properties REIT 101,500 1,500
Hancock Fabrics, Inc. 92,551 1,495
Action Performance Cos., Inc. 78,579 1,493
* Alaris Medical, Inc. 115,277 1,493
* GrafTech International Ltd. 273,830 1,492
* Korn/Ferry International 183,485 1,486
Riggs National Corp. 97,547 1,485
* Zoll Medical Corp. 44,234 1,484
* Cubist Pharmaceuticals, Inc. 139,100 1,483
* Atwood Oceanics, Inc. 54,607 1,483
* Boca Resorts, Inc. Class A 113,890 1,481
Universal Health
Realty Income REIT 54,800 1,480
* Spanish Broadcasting System, Inc. 181,220 1,477
* JDA Software Group, Inc. 131,923 1,476
* aaiPharma Inc. 74,150 1,474
The Marcus Corp. 98,601 1,474
Tanger Factory Outlet
Centers, Inc. REIT 44,300 1,465
* Duane Reade Inc. 99,279 1,464
* Swift Energy Co. 132,493 1,457
* WCI Communities, Inc. 75,700 1,456
Carpenter Technology Corp. 93,311 1,456
First Community Bancshares, Inc. 41,189 1,454
* NCI Building Systems, Inc. 87,000 1,453
* ScanSoft, Inc. 266,880 1,449
* Advanced Energy Industries, Inc. 101,570 1,447
Centex Construction Products, Inc. 36,100 1,447
* Multimedia Games Inc. 56,700 1,446
Zenith National Insurance Corp. 50,651 1,444
Independent Bank Corp. (MA) 63,900 1,444
Weis Markets, Inc. 46,482 1,442
* ManTech International Corp. 75,130 1,441
Main Street Banks, Inc. 56,946 1,441
* ValueVision Media, Inc. 105,701 1,441
MTS Systems Corp. 97,736 1,441
* Hudson Highland Group, Inc. 75,375 1,433
United Community Financial Corp. 154,736 1,430
JLG Industries, Inc. 209,667 1,426
SWS Group, Inc. 70,646 1,424
Crown American
Realty Trust REIT 132,500 1,423
* Quanta Services, Inc. 200,188 1,421
Presidential Life Corp. 100,679 1,421
* Applied Films Corp. 54,640 1,414
* Align Technology, Inc. 112,582 1,413
23
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
First Financial Corp. (IN) 26,657 1,410
* Trex Co., Inc. 35,901 1,409
* Dick's Sporting Goods, Inc. 38,400 1,409
* Chattem, Inc. 74,900 1,408
* NetFlix.com, Inc. 54,900 1,403
* Systems & Computer
Technology Corp. 155,792 1,402
* Prime Hospitality Corp. 208,793 1,401
Haverty Furniture Cos., Inc. 80,022 1,400
Max Re Capital Ltd. 93,150 1,394
Libbey, Inc. 61,417 1,394
* SciClone Pharmaceuticals, Inc. 162,300 1,389
Washington Trust Bancorp, Inc. 60,422 1,389
* Conceptus, Inc. 98,738 1,387
* Bally Total Fitness Holding Corp. 153,353 1,385
* Nuevo Energy Co. 79,353 1,385
* Boston Communications Group, Inc. 80,792 1,384
* SonoSite, Inc. 69,100 1,379
American Woodmark Corp. 29,600 1,378
WSFS Financial Corp. 35,729 1,372
* Time Warner Telecom Inc. 215,300 1,371
IBERIABANK Corp. 28,032 1,368
* Cross Country Healthcare, Inc. 103,541 1,366
* CKE Restaurants Inc. 244,310 1,366
* j2 Global Communications, Inc. 29,700 1,366
* K2 Inc. 111,477 1,366
* The Dress Barn, Inc. 107,318 1,360
Equity Inns, Inc. REIT 196,800 1,358
West Coast Bancorp 74,600 1,358
* II-VI, Inc. 58,650 1,354
* WFS Financial, Inc. 40,238 1,348
* Quicksilver Resources, Inc. 56,201 1,346
PMA Capital Corp. Class A 107,022 1,345
* Fisher Communications, Inc. 27,501 1,345
* FuelCell Energy, Inc. 163,700 1,341
* MatrixOne, Inc. 233,375 1,340
* Planar Systems, Inc. 68,471 1,339
Community Trust Bancorp Inc. 51,225 1,339
* DuPont Photomasks, Inc. 71,082 1,338
NACCO Industries, Inc. Class A 22,707 1,338
* Consolidated Graphics, Inc. 58,483 1,338
Allegiant Bancorp, Inc. 65,998 1,336
Brookfield Homes Corp. 86,400 1,332
* Labor Ready, Inc. 185,747 1,332
* Right Management
Consultants, Inc. 105,100 1,330
* Savient Pharmaceuticals Inc. 286,082 1,327
* Wind River Systems Inc. 348,075 1,326
* GameStop Corp. 102,400 1,323
* Plains Resources Inc. 93,308 1,320
* Excel Technology, Inc. 57,549 1,314
* AFC Enterprises, Inc. 80,876 1,313
* Parker Drilling Co. 451,300 1,313
Integra Bank Corp. 76,266 1,313
* Nabi Biopharmaceuticals 190,547 1,307
* Incyte Corp. 281,418 1,306
Oxford Industries, Inc. 31,401 1,304
* Fleetwood Enterprises, Inc. 175,732 1,300
* S1 Corp. 321,643 1,299
* Steven Madden, Ltd. 59,400 1,297
* Genesee & Wyoming Inc. Class A 63,000 1,296
* A.C. Moore Arts & Crafts, Inc. 64,600 1,294
* The Wet Seal, Inc. Class A 120,877 1,291
* Isis Pharmaceuticals, Inc. 243,194 1,289
State Auto Financial Corp. 57,389 1,288
Arctic Cat, Inc. 67,225 1,288
* Stratex Networks, Inc. 402,200 1,287
Tennant Co. 35,002 1,286
* Champion Enterprises, Inc. 247,703 1,283
* Immucor Inc. 58,865 1,283
EDO Corp. 72,451 1,282
Ameron International Corp. 36,800 1,280
Gibraltar Steel 62,295 1,276
Lindsay Manufacturing Co. 54,839 1,273
Capitol Bancorp Ltd. 46,961 1,273
Deltic Timber Corp. 44,638 1,270
* Inveresk Research Group Inc. 70,101 1,269
* Portfolio Recovery Associates, Inc. 40,600 1,266
* Hologic, Inc. 95,873 1,264
* Asyst Technologies, Inc. 188,584 1,262
* Fidelity National Information
Solutions, Inc. 48,347 1,261
* Wild Oats Markets Inc. 115,657 1,261
Holly Corp. 45,601 1,259
* SonicWALL, Inc. 262,100 1,258
* SPSS, Inc. 75,151 1,258
* Wireless Facilities, Inc. 105,400 1,254
* Secure Computing Corp. 143,500 1,253
* Local Financial Corp. 86,740 1,253
* Keystone Automotive
Industries, Inc. 68,560 1,252
* Group 1 Software, Inc. 68,255 1,251
* Verint Systems Inc. 49,200 1,250
Old Second Bancorp, Inc. 29,116 1,248
* Frontier Airlines, Inc. 137,187 1,246
* Kadant Inc. 66,400 1,245
Port Financial Corp. 23,082 1,244
Kaman Corp. Class A 106,150 1,241
Simmons First National Corp. 61,991 1,240
* Cell Therapeutics, Inc. 127,450 1,240
* Tollgrade Communications, Inc. 66,473 1,240
Innkeepers USA Trust REIT 182,300 1,240
Prosperity Bancshares, Inc. 64,360 1,239
McGrath Rent Corp. 46,300 1,238
24
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Churchill Downs, Inc. 32,301 1,237
* Talk America Holdings, Inc. 113,126 1,234
World Fuel Services Corp. 50,101 1,232
* Mesa Air Group Inc. 153,901 1,231
* CorVel Corp. 34,194 1,231
* Kindred Healthcare, Inc. 69,000 1,231
* Immunomedics Inc. 195,000 1,230
* Gulfmark Offshore, Inc. 72,885 1,230
* Ameristar Casinos, Inc. 57,600 1,230
* Orient-Express Hotel Ltd. 83,035 1,225
Great Lakes, Inc. REIT 76,500 1,224
Greif Inc. Class A 53,191 1,223
* Antigenics, Inc. 105,900 1,220
U.S. Restaurant
Properties, Inc. REIT 77,601 1,218
Omega Financial Corp. 35,551 1,216
* FreeMarkets, Inc. 174,300 1,213
NUI Corp. 78,101 1,212
* IDX Systems Corp. 77,974 1,210
* Century Business Services, Inc. 372,200 1,210
* Input/Output, Inc. 224,084 1,206
Standex International Corp. 57,319 1,204
* Diversa Corp. 122,220 1,201
* LabOne, Inc. 55,650 1,200
* Kos Pharmaceuticals, Inc. 51,100 1,199
* Robert Mondavi Corp. Class A 47,363 1,199
Oshkosh B' Gosh, Inc. Class A 44,398 1,199
* Arris Group Inc. 241,577 1,198
* Maxygen Inc. 109,168 1,198
Urstadt Biddle Properties
Class A REIT 93,000 1,196
Vector Group Ltd. 68,321 1,196
* Forrester Research, Inc. 73,020 1,195
* Manugistics Group, Inc. 290,558 1,194
Community Banks, Inc. 40,056 1,191
* Harmonic, Inc. 292,250 1,189
United Fire & Casualty Co. 36,600 1,189
CIRCOR International, Inc. 66,500 1,186
* Kensey Nash Corp. 45,300 1,185
* RailAmerica, Inc. 140,101 1,184
Universal Forest Products, Inc. 56,428 1,182
* Isle of Capri Casinos, Inc. 71,300 1,179
* Possis Medical Inc. 85,880 1,178
* Gabelli Asset Management Inc. 32,602 1,177
Flushing Financial Corp. 52,900 1,173
* Information Holdings Inc. 64,242 1,172
Capital City Bank Group, Inc. 32,341 1,171
* National Western Life Insurance Co.
Class A 10,600 1,171
* PRG-Schultz International, Inc. 197,922 1,168
OceanFirst Financial Corp. 47,737 1,166
Columbia Banking System, Inc. 64,882 1,162
* Synaptics Inc. 86,300 1,162
* Quaker City Bancorp, Inc. 28,275 1,161
* Gart Sports Co. 40,900 1,160
* Tejon Ranch Co. 38,500 1,159
* Paxson Communications Corp. 192,800 1,155
Ennis Business Forms, Inc. 79,200 1,152
* Sapient Corp. 415,831 1,152
* PTEK Holdings, Inc. 237,460 1,152
Pioneer Standard Electronics Inc. 135,640 1,150
* Concord Communications, Inc. 83,722 1,150
* Merit Medical Systems, Inc. 57,501 1,149
* ITLA Capital Corp. 28,400 1,148
* Old Dominion Freight Line, Inc. 52,908 1,144
Saul Centers, Inc. REIT 44,677 1,144
* Insignia Financial Group, Inc. 102,800 1,142
* Impath, Inc. 80,378 1,137
St. Francis Capital Corp. 39,089 1,136
Firstfed America Bancorp, Inc. 32,901 1,135
* CuraGen Corp. 203,929 1,132
Tompkins Trustco, Inc. 25,346 1,132
* Hanger Orthopedic Group, Inc. 98,800 1,131
* Molecular Devices Corp. 71,101 1,131
Central Vermont
Public Service Corp. 57,718 1,128
* RehabCare Group, Inc. 76,971 1,128
First Busey Corp. 46,500 1,127
* Noven Pharmaceuticals, Inc. 110,020 1,127
MeriStar Hospitality Corp. REIT 219,134 1,126
* Lexicon Genetics Inc. 166,886 1,120
* Standard Microsystem Corp. 73,748 1,119
* Electro Rent Corp. 103,658 1,117
* SafeNet, Inc. 39,900 1,116
* SeaChange International, Inc. 116,901 1,115
Courier Corp. 21,601 1,112
* infoUSA Inc. 137,276 1,112
Arrow Financial Corp. 33,315 1,112
Solutia, Inc. 509,500 1,111
* Pericom Semiconductor Corp. 119,191 1,108
* Daktronics, Inc. 67,537 1,104
* MemberWorks, Inc. 55,851 1,103
CB Bancshares Inc. (HI) 17,735 1,102
* Harvest Natural Resources, Inc. 172,900 1,101
* RTI International Metals, Inc. 101,552 1,100
* Stillwater Mining Co. 213,951 1,100
S.Y. Bancorp, Inc. 31,076 1,099
* Harris Interactive Inc. 166,696 1,099
BSB Bancorp, Inc. 44,254 1,098
* RC2 Corp. 64,570 1,098
* OraSure Technologies, Inc. 146,700 1,094
Peoples Holding Co. 24,731 1,094
Quaker Chemical Corp. 43,681 1,094
* 4Kids Entertainment Inc. 58,601 1,090
25
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Schnitzer Steel Industries, Inc.
Class A 24,700 1,090
* Mobile Mini, Inc. 66,571 1,087
* Caraustar Industries, Inc. 135,627 1,086
Myers Industries, Inc. 114,146 1,084
Central Parking Corp. 87,602 1,083
* Hawthorne Financial Corp. 31,190 1,081
* Intuitive Surgical, Inc. 142,581 1,081
* West Marine, Inc. 61,700 1,080
The Standard Register Co. 65,421 1,078
* Rainbow Technologies, Inc. 127,651 1,074
* Herley Industries Inc. 63,200 1,073
* Regent Communications, Inc. 181,800 1,073
* Inverness Medical Innovations, Inc. 55,500 1,071
* Lithia Motors, Inc. 66,200 1,070
First Source Corp. 57,467 1,067
* Silicon Graphics, Inc. 932,801 1,063
* Finisar Corp. 685,769 1,063
* Sotheby's Holdings Class A 142,709 1,062
Bank of Granite Corp. 62,159 1,060
Movado Group, Inc. 48,700 1,059
* Heidrick & Struggles
International, Inc. 83,826 1,058
* Alloy, Inc. 163,600 1,055
* EPIQ Systems, Inc. 61,450 1,055
First Indiana Corp. 61,575 1,054
PXRE Group Ltd. 53,223 1,054
* Computer Network
Technology Corp. 130,100 1,054
* Lightbridge, Inc. 120,215 1,053
* Saga Communications, Inc. 54,126 1,053
* Playtex Products, Inc. 163,801 1,052
* Siliconix, Inc. 29,101 1,051
* LookSmart, Ltd. 371,100 1,050
Second Bancorp, Inc. 40,700 1,050
Skyline Corp. 34,902 1,047
Cascade Natural Gas Corp. 54,526 1,041
* Gentiva Health Services, Inc. 115,696 1,041
Bel Fuse, Inc. Class B 45,428 1,040
* Adolor Corp. 84,771 1,040
* Buckeye Technology, Inc. 152,869 1,040
* Interwoven, Inc. 467,500 1,038
Robbins & Myers, Inc. 55,968 1,035
* Keynote Systems Inc. 98,516 1,032
* J & J Snack Foods Corp. 32,619 1,032
* OSI Systems Inc. 64,200 1,031
* CCC Information Services Group 71,061 1,030
* Pacer International, Inc. 54,600 1,030
* Vicor Corp. 107,203 1,029
Banner Corp. 50,200 1,029
Sea Containers Ltd. Class A 90,103 1,026
Apogee Enterprises, Inc. 113,701 1,026
* White Electronic Designs Corp. 96,790 1,025
* Neoware Systems, Inc. 66,800 1,025
CityBank Lynnwood WA 37,800 1,023
* At Road, Inc. 93,600 1,022
* Anaren, Inc. 108,976 1,021
* Tower Automotive, Inc. 278,313 1,019
* Pixelworks, Inc. 170,800 1,015
* Renaissance Learning, Inc. 46,265 1,013
Midwest Banc Holdings, Inc. 52,098 1,012
* Audiovox Corp. 90,378 1,011
First Bancorp (NC) 39,000 1,010
* Digimarc Corp. 64,100 1,006
Peoples Bancorp, Inc. 39,695 1,003
* Register.com, Inc. 169,700 994
* Encore Acquisition Co. 51,901 994
* Mindspeed Technologies, Inc. 412,500 990
Union Bankshares Corp. 34,985 989
* Energy Partners, Ltd. 85,297 985
* Gartner, Inc. Class B 131,000 983
* Avatar Holding, Inc. 32,500 982
Sturm, Ruger & Co., Inc. 98,094 981
Calgon Carbon Corp. 170,200 979
Advanced Marketing Services 75,251 978
Argonaut Group, Inc. 79,141 976
* Drugstore.com, Inc. 166,520 972
* New Focus, Inc. 259,641 971
* Prima Energy Corp. 46,445 970
Coca-Cola Bottling Co. 17,722 968
Financial Institutions, Inc. 41,163 967
Connecticut Water Services, Inc. 37,854 967
* Rudolph Technologies, Inc. 60,500 966
* Crown Media Holdings, Inc. 233,705 965
Mission West Properties Inc. REIT 84,800 964
* Steiner Leisure Ltd. 65,995 964
* NeoPharm, Inc. 69,441 962
First Place Financial Corp. 55,506 961
* Triton PCS, Inc. 190,100 960
Midland Co. 43,040 956
* CompuCredit Corp. 78,600 955
UniFirst Corp. 43,500 953
Troy Financial Corp. 34,965 949
North Pittsburgh Systems, Inc. 62,961 949
* Federal Agricultural Mortgage Corp.
Class C 42,401 948
* Palm Harbor Homes, Inc. 49,995 947
Keithley Instruments Inc. 65,500 946
* The TriZetto Group, Inc. 156,500 945
Building Materials Holding Corp. 63,690 943
* Pharmacopeia, Inc. 114,317 943
* Ribapharm Inc. 145,950 941
* IDine Rewards Network Inc. 68,501 941
Lakeland Bancorp, Inc. 58,793 940
26
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Presstek, Inc. 150,085 935
* Opsware, Inc. 232,350 934
Seacoast Banking Corp. of Florida 54,800 934
CSS Industries, Inc. 24,100 929
Virginia Financial Group, Inc. 33,155 928
* Salix Pharmaceuticals, Ltd. 88,380 927
CT Communications, Inc. 86,202 927
* Strattec Security Corp. 17,401 926
* Peet's Coffee & Tea Inc. 53,000 925
* MTR Gaming Group Inc. 119,700 924
* General Maritime Corp. 91,000 924
Great Southern Bancorp, Inc. 23,929 922
* Elizabeth Arden, Inc. 69,679 918
* Playboy Enterprises, Inc. Class B 67,301 915
Farmers Capital Bank Corp. 28,600 913
Camden National Corp. 33,154 912
SJW Corp. 10,600 904
* InFocus Corp. 190,995 901
* Citizens, Inc. 123,816 900
* Integral Systems, Inc. 45,062 896
* AAON, Inc. 48,306 895
CCBT Financial Cos. Inc. 37,441 894
* Ocwen Financial Corp. 196,900 894
Peapack Gladstone Financial Corp. 27,902 894
* Intrado Inc. 56,500 892
* Asbury Automotive Group, Inc. 66,150 892
* Stoneridge, Inc. 65,100 889
* Cleveland-Cliffs Inc. 49,709 887
* Vastera, Inc. 148,562 887
Bank of the Ozarks, Inc. 22,776 883
* Concurrent Computer Corp. 301,785 881
* MSC.Software Corp. 130,501 880
* MRO Software Inc. 101,835 879
* Salem Communications Corp. 43,900 878
First National Corp. 35,620 878
NBC Capital Corp. 34,333 869
* Monolithic System Technology, Inc. 95,700 867
* Verisity Ltd. 72,220 862
* Kenneth Cole Productions, Inc. 44,050 859
* Stamps.com Inc. 178,722 858
* 1-800-FLOWERS.COM, Inc. 103,900 856
* K-V Pharmaceutical Co. Class B 30,075 851
* Tweeter Home
Entertainment Group, Inc. 97,700 848
* Teletech Holdings Inc. 200,300 847
Riviana Foods, Inc. 31,455 846
Standard Commercial Tobacco Co. 49,701 845
* Lydall, Inc. 78,895 844
* PEC Solutions, Inc. 52,270 842
* Transmeta Corp. 524,700 840
United Industrial Corp. 51,300 836
* TransMontaigne Inc. 128,235 831
Baldwin & Lyons, Inc. Class B 34,974 831
* United Auto Group, Inc. 37,952 827
* SureBeam Corp. 311,811 826
Vital Signs, Inc. 31,757 824
* ImmunoGen, Inc. 192,963 824
* Terayon Communications
Systems, Inc. 301,763 824
Coachmen Industries, Inc. 68,913 824
CNA Surety Corp. 83,600 823
Pennrock Financial Services Corp. 30,462 823
Blair Corp. 37,000 821
* FalconStor Software, Inc. 122,521 820
Interface, Inc. 174,961 812
LSI Industries Inc. 73,100 811
* Gene Logic Inc. 135,886 811
Milacron Inc. 164,577 805
* P.A.M. Transportation
Services, Inc. 33,250 805
Shenandoah
Telecommunications Co. 16,776 805
Capital Southwest Corp. 13,900 798
* Universal Display Corp. 89,160 795
Gorman-Rupp Co. 33,137 795
Apex Mortgage Capital, Inc. REIT 145,325 795
* Cole National Corp. Class A 62,900 788
Penn Engineering &
Manufacturing Corp. 57,651 787
Pennfed Financial Services, Inc. 28,313 786
PrivateBancorp, Inc. 28,801 785
NL Industries, Inc. 46,100 784
* The Buckle, Inc. 40,702 783
* Stein Mart, Inc. 130,419 781
Newcastle Investment Corp. REIT 39,800 779
* Navigant International, Inc. 60,400 779
Lance, Inc. 85,090 777
Kaneb Services LLC 26,122 763
* Young Innovations, Inc. 26,700 761
* Dura Automotive Systems, Inc. 80,435 761
Interpool, Inc. 46,310 760
HEICO Corp. 62,100 758
* Energy Conversion Devices, Inc. 82,220 748
* Omnova Solutions Inc. 184,302 745
German American Bancorp 42,609 744
* Drexler Technology Corp. 47,920 743
* Inet Technologies, Inc. 74,190 740
* IXYS Corp. 92,801 740
* Big 5 Sporting Goods Corp. 59,000 739
* Aftermarket Technology Corp. 70,200 738
* The Great Atlantic &
Pacific Tea Co., Inc. 83,755 737
National Presto Industries, Inc. 23,305 736
* Mastec Inc. 127,600 735
27
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
CFS Bancorp, Inc. 52,100 735
* Universal American Financial Corp. 115,099 733
* MedQuist, Inc. 35,896 727
Angelica Corp. 42,779 725
* National Healthcare Corp. 36,796 724
* Ultimate Electronics, Inc. 56,404 723
Citizens 1st Bancorp, Inc. 33,108 723
* Integrated Defense Technology, Inc. 46,600 723
* Credit Acceptance Corp. 71,600 722
* Learning Tree International, Inc. 46,217 722
* Entrust, Inc. 245,380 721
* Ixia 111,221 715
BancFirst Corp. 13,761 714
Hanmi Financial Corp. 40,786 713
* PDF Solutions, Inc. 61,286 708
* Riverstone Networks, Inc. 599,400 707
First Oak Brook Bancshares, Inc. 21,364 705
* Astec Industries, Inc. 80,801 705
* Tenneco Automotive, Inc. 194,285 699
* Lannett Company, Inc. 29,701 696
Lawson Products, Inc. 25,247 695
* 1-800 CONTACTS, Inc. 28,310 693
Republic Bancshares, Inc. 27,632 691
* Microtune, Inc. 215,846 691
* Cerus Corp. 91,360 688
* Boston Beer Co., Inc. Class A 47,601 685
Stepan Co. 30,300 685
* InterCept, Inc. 81,900 685
* Clark, Inc. 57,147 683
* Tier Technologies, Inc. 88,000 682
BEI Technologies, Inc. 56,655 680
* Gulf Island Fabrication, Inc. 39,801 673
Florida East Coast Industries, Inc.
Class B 26,830 668
Pope & Talbot, Inc. 60,444 668
* Altiris, Inc. 33,100 664
* Insurance Auto Auctions, Inc. 52,614 661
* MTC Technologies, Inc. 28,000 657
Republic Bancorp, Inc. Class A 44,200 655
* Skechers U.S.A., Inc. 88,101 652
* McLeod USA Inc. 430,400 650
* Zymogenetics, Inc. 55,461 646
* Global Power
Equipment Group Inc. 138,100 642
* The Children's Place
Retail Stores, Inc. 32,179 639
* Wackenhut Corrections Corp. 46,500 638
Advanta Corp. Class B 63,288 637
* Charlotte Russe Holding Inc. 61,600 636
* Vail Resorts Inc. 47,000 633
* Startek, Inc. 23,951 630
* Closure Medical Corp. 33,100 625
* Net2Phone, Inc. 143,484 621
* Tyler Technologies, Inc. 145,671 619
* Interland Inc. 630,877 618
Sanderson Farms, Inc. 22,000 618
* Volt Information Sciences Inc. 44,923 613
Capstead Mortgage Corp. REIT 54,000 609
* Dril-Quip, Inc. 33,290 606
* Exact Sciences Corp. 55,280 606
* William Lyon Homes, Inc. 18,851 600
Reckson Associates Realty Corp.
Class B REIT 28,160 600
* bebe stores, inc. 31,000 593
* Neoforma, Inc. 54,100 591
* Radiant Systems, Inc. 87,560 590
Partners Trust Financial Group, Inc. 30,901 590
* Blue Rhino Corp. 49,101 589
* Infonet Services Corp. 369,600 588
* Arena Pharmaceuticals, Inc. 87,038 578
* ON Semiconductor Corp. 212,700 574
* Graphic Packaging
International Corp. 127,300 574
* Ulticom, Inc. 60,200 572
* MarineMax, Inc. 40,700 570
* Internet Capital Group, Inc. 1,181,400 567
* Martha Stewart Living
Omnimedia, Inc. 59,800 562
CoBiz Inc. 42,101 561
* SeeBeyond Technology Corp. 242,360 560
Material Sciences Corp. 57,691 560
* Kyphon Inc. 36,800 556
Pilgrim's Pride Corp. 56,700 548
World Wrestling
Entertainment, Inc. 52,900 544
* Midway Games Inc. 149,752 544
* Party City Corp. 52,900 543
* Plug Power, Inc. 115,600 540
* CompuCom Systems, Inc. 118,300 535
* CardioDynamics
International Corp. 156,201 533
* Loral Space &
Communications, Ltd. 174,445 532
Franklin Financial Corp. 17,511 526
* PC Connection, Inc. 77,294 526
* Kirkland's, Inc. 32,450 524
* Del Laboratories, Inc. 22,202 522
* barnesandnoble.com inc. 219,767 512
* Mothers Work, Inc. 19,126 512
* WatchGuard Technologies, Inc. 110,040 506
* Beasley Broadcast Group, Inc. 36,300 497
* Covenant Transport, Inc. 29,120 495
* Therasense, Inc. 49,180 492
* Dynacq International, Inc. 29,100 489
28
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Oneida Ltd. 71,935 486
* Navigators Group, Inc. 16,267 485
Ingles Markets, Inc. 47,000 475
* Galyan's Trading Co. 33,030 474
* The Boyds Collection, Ltd. 100,001 471
Dover Downs Gaming &
Entertainment, Inc. 50,790 470
* Liquidmetal Technologies Inc. 91,550 470
Royal Bancshares of
Pennsylvania, Inc. 21,927 468
* On Assignment, Inc. 114,833 459
Computer Programs
and Systems, Inc. 22,900 458
* Restoration Hardware, Inc. 101,653 457
* Powell Industries, Inc. 30,700 449
* Shoe Carnival, Inc. 30,251 447
* NetRatings, Inc. 48,800 446
* Syntel, Inc. 28,137 443
* Sequa Corp. Class A 12,809 439
Advanta Corp. Class A 44,380 437
Deb Shops, Inc. 23,200 436
Alico, Inc. 17,218 425
* McDATA Corp. 29,100 422
* Embarcadero Technologies, Inc. 59,200 414
* Wesco International, Inc. 68,200 409
* Semitool, Inc. 82,421 406
* Virage Logic Corp. 55,800 404
* Turnstone Systems, Inc. 159,314 400
* iGATE Corp. 111,540 387
* Specialty Laboratories, Inc. 37,200 381
* FTD, Inc. 18,250 368
* Pegasystems Inc. 49,800 367
* Handspring, Inc. 319,800 361
* Collins & Aikman Corp. 121,260 358
* General Binding Corp. 29,501 354
* Bruker Daltonics, Inc. 66,400 354
Valhi, Inc. 36,200 348
* Arden Group Inc. Class A 5,806 343
* Digitas Inc. 69,005 342
* Jo-Ann Stores, Inc. Class B 15,100 334
* NASSDA Corp. 43,245 334
Acadia Realty Trust REIT 36,379 333
* eUniverse, Inc. 89,960 326
* Medical Staffing Network
Holdings, Inc. 43,701 306
* Alliance Imaging, Inc. 69,200 304
Curtiss-Wright Corp. Class B 4,800 299
* Bioreliance Corp. 12,299 261
* Raytech Corp. 60,194 256
* Guess ?, Inc. 41,701 250
* Revlon, Inc. Class A 82,774 248
Crawford & Co. Class B 50,166 246
* ICT Group, Inc. 21,000 220
Urstadt Biddle Properties REIT 16,400 218
General Cable Corp. 39,700 214
Tecumseh Products Co. Class B 5,200 192
Pilgrim's Pride Corp. Class A 23,050 165
Bandag, Inc. Class A 4,500 158
HEICO Corp. Class A 9,710 87
Gray Television, Inc. Class A 5,700 70
LSB Bancshares, Inc. 3,233 56
* Magnum Hunter Resources Inc.
Warrants Exp. 3/21/2005 36,400 13
* Microstrategy Inc. Warrants Exp. 6/24/2007 11,775 2
* TIMCO Aviation Services, Inc. 3,806 1
ProcureNet, Inc. 136,100 --
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $4,490,933) 5,034,348
- --------------------------------------------------------------------------------
29
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
SMALL-CAP INDEX FUND (000) (000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (5.8%)(1)
- --------------------------------------------------------------------------------
Federal Home Loan Bank
(2) 1.17%, 7/16/2003 $ 3,000 2,999
Federal Home Loan Mortgage Corp.
(2) 1.20%, 7/11/2003 2,000 1,999
Federal National Mortgage Assn.
(2) 1.17%, 7/2/2003 2,000 2,000
(2) 1.14%, 7/30/2003 2,500 2,498
(2) 1.18%-1.19%, 7/23/2003 3,500 3,498
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.16%, 7/1/2003 20,737 20,737
1.16%, 7/1/2003--Note E 258,161 258,161
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $291,889) 291,892
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (105.2%)
(Cost $4,782,822) 5,326,240
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-5.2%)
- --------------------------------------------------------------------------------
Other Assets--Note B 30,981
Security Lending Collateral
Payable to Brokers--Note E (258,161)
Other Liabilities (36,101)
----------------
(263,281)
----------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $5,062,959
- --------------------------------------------------------------------------------
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
(1)The fund invests a portion of its cash reserves in equity markets through the
use of index futures contracts. After giving effect to futures investments, the
fund's effective common stock and temporary cash investment positions represent
99.9% and 5.3%, respectively, of net assets. See Note C in Notes to Financial
Statements.
(2)Securities with an aggregate value of $12,994,000 have been segregated as
initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
- --------------------------------------------------------------------------------
AMOUNT
(000)
- --------------------------------------------------------------------------------
AT JUNE 30, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $5,573,928
Undistributed Net Investment Income 17,192
Accumulated Net Realized Losses (1,071,055)
Unrealized Appreciation (Depreciation) Investment Securities 543,418
Futures Contracts (524)
- --------------------------------------------------------------------------------
NET ASSETS $5,062,959
================================================================================
Investor Shares--Net Assets
Applicable to 192,446,428 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $3,516,071
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INVESTOR SHARES $18.27
================================================================================
Admiral Shares--Net Assets
Applicable to 41,134,182 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $751,876
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $18.28
================================================================================
Institutional Shares--Net Assets
Applicable to 43,474,173 outstanding $.001
Par value shares of beneficial interest
(unlimited authorization) $795,012
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $18.29
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
30
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.8%)
- --------------------------------------------------------------------------------
* Coventry Health Care Inc. 50,899 2,349
* Rite Aid Corp. 514,950 2,292
The Chicago Mercantile Exchange 32,728 2,279
* GTECH Holdings Corp. 56,500 2,127
Waddell & Reed Financial, Inc. 80,200 2,059
* Mid Atlantic Medical Services, Inc. 38,639 2,021
Chesapeake Energy Corp. 199,800 2,018
* Western Digital Corp. 194,700 2,005
* PMC Sierra Inc. 167,300 1,962
* Edwards Lifesciences Corp. 60,200 1,935
CBRL Group, Inc. 49,400 1,920
* Catellus Development Corp. 87,162 1,918
* Monster Worldwide Inc. 95,811 1,890
* Newfield Exploration Co. 50,059 1,880
* Certegy, Inc. 66,400 1,843
* Applied Micro Circuits Corp. 302,838 1,832
Autodesk, Inc. 113,200 1,829
* ImClone Systems, Inc. 55,200 1,745
Donaldson Co., Inc. 39,099 1,738
Applebee's International, Inc. 55,200 1,735
* International Rectifier Corp. 63,900 1,714
* Integrated Circuit Systems, Inc. 54,398 1,710
* Varco International, Inc. 87,199 1,709
* Renal Care Group, Inc. 48,186 1,697
* Amylin Pharmaceuticals, Inc. 77,400 1,694
* Getty Images, Inc. 40,200 1,660
* DaVita, Inc. 60,750 1,627
* STERIS Corp. 69,400 1,602
* Education Management Corp. 30,099 1,601
* O'Reilly Automotive, Inc. 47,933 1,600
* Pharmaceutical Resources, Inc. 32,799 1,596
* Performance Food Group Co. 43,034 1,592
Ruby Tuesday, Inc. 64,000 1,583
* Crown Castle International Corp. 202,900 1,577
* NTL Inc. 45,384 1,549
* Mettler-Toledo International Inc. 42,109 1,543
* The Corporate Executive Board Co. 37,700 1,539
* Arrow Electronics, Inc. 99,900 1,522
* Sepracor Inc. 84,198 1,518
Medicis Pharmaceutical Corp. 26,680 1,513
* Cognizant Technology
Solutions Corp. 61,200 1,491
Herman Miller, Inc. 73,400 1,483
* Cypress Semiconductor Corp. 123,400 1,481
* American Tower Corp. Class A 166,700 1,475
* Human Genome Sciences, Inc. 115,610 1,471
* Cincinnati Bell Inc. 218,399 1,463
Helmerich & Payne, Inc. 50,000 1,460
* BearingPoint, Inc. 151,250 1,460
* Rambus Inc. 87,773 1,454
Graco, Inc. 45,166 1,445
* Pharmaceutical Product
Development, Inc. 49,920 1,434
* Brocade Communications
Systems, Inc. 242,200 1,427
* Foundry Networks, Inc. 96,561 1,390
* Advanced Fibre
Communications, Inc. 85,000 1,383
* Furniture Brands International Inc. 52,901 1,381
* Charles River Laboratories, Inc. 42,851 1,379
* Polycom, Inc. 99,100 1,374
* DeVry, Inc. 58,899 1,372
* Apria Healthcare Group Inc. 54,898 1,366
Polaris Industries, Inc. 22,127 1,359
* Grant Prideco, Inc. 114,900 1,350
* Andrx Group 67,700 1,347
* Avocent Corp. 44,998 1,347
* Affiliated Managers Group, Inc. 21,800 1,329
* ITT Educational Services, Inc. 45,013 1,317
* Stericycle, Inc. 34,000 1,308
* Macromedia, Inc. 62,100 1,307
* AnnTaylor Stores Corp. 44,799 1,297
* J.D. Edwards & Co. 89,900 1,288
* Activision, Inc. 98,900 1,278
* Acxiom Corp. 84,500 1,275
* Barnes & Noble, Inc. 54,699 1,261
* Respironics, Inc. 33,595 1,260
* Netscreen Technologies, Inc. 55,500 1,252
Jack Henry & Associates Inc. 70,099 1,247
* OSI Pharmaceuticals, Inc. 38,700 1,247
* Interdigital Communications Corp. 53,300 1,246
* Protein Design Labs, Inc. 89,098 1,246
* Fisher Scientific International Inc. 35,500 1,239
Church & Dwight, Inc. 37,847 1,239
* FMC Technologies Inc. 58,799 1,238
* ResMed Inc. 31,413 1,231
* Cabot Microelectronics Corp. 24,398 1,231
Raymond James Financial, Inc. 36,900 1,220
* Cytyc Corp. 115,500 1,215
* Earthlink, Inc. 153,500 1,211
Regis Corp. 41,359 1,201
* Techne Corp. 39,390 1,195
* McDATA Corp. Class A 81,198 1,191
* Pacific Sunwear of California, Inc. 49,402 1,190
Forest City Enterprise Class A 28,432 1,179
* Hyperion Solutions Corp. 34,855 1,177
* United Stationers, Inc. 32,461 1,174
* Varian, Inc. 33,799 1,172
* P.F. Chang's China Bistro, Inc. 23,789 1,171
* Take-Two Interactive
Software, Inc. 41,273 1,170
* Key Energy Services, Inc. 108,700 1,165
* IDEXX Laboratories Corp. 34,346 1,157
31
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Roper Industries Inc. 31,037 1,155
* Avaya Inc. 178,362 1,152
* Affymetrix, Inc. 58,350 1,150
UCBH Holdings, Inc. 39,910 1,145
* Integrated Device Technology Inc. 103,500 1,144
* DoubleClick Inc. 122,100 1,129
La-Z-Boy Inc. 50,363 1,127
Lancaster Colony Corp. 28,899 1,117
* Vertex Pharmaceuticals, Inc. 76,426 1,116
* Emmis Communications, Inc. 48,499 1,113
* Charter Communications, Inc. 279,120 1,108
* Covance, Inc. 60,999 1,104
* Electronics for Imaging, Inc. 54,200 1,100
* Cymer, Inc. 34,256 1,097
* Panera Bread Co. 27,167 1,087
* Timberland Co. 20,399 1,078
* Extended Stay America, Inc. 79,899 1,078
Cooper Cos., Inc. 30,892 1,074
* Bio-Rad Laboratories, Inc. Class A 19,400 1,074
* Sonus Networks, Inc. 213,400 1,073
* ADTRAN Inc. 20,999 1,071
* Scotts Co. 21,616 1,070
* Martek Biosciences Corp. 24,800 1,065
* Arbitron Inc. 29,568 1,056
Claire's Stores, Inc. 41,398 1,050
* FLIR Systems, Inc. 34,786 1,049
* Linens 'n Things, Inc. 44,099 1,041
* Semtech Corp. 72,900 1,038
* J.B. Hunt Transport Services, Inc. 27,499 1,038
Patina Oil & Gas Corp. 32,278 1,038
* American Eagle Outfitters, Inc. 56,999 1,033
* Red Hat, Inc. 136,000 1,030
* Station Casinos, Inc. 40,500 1,023
* Varian Semiconductor
Equipment Associates, Inc 34,125 1,016
* The Yankee Candle Co., Inc. 43,600 1,012
* Kronos, Inc. 19,921 1,012
* Swift Transportation Co., Inc. 54,299 1,011
* CEC Entertainment Inc. 27,235 1,006
* Forest Oil Corp. 39,999 1,005
* Vitesse Semiconductor Corp. 204,000 1,004
* INAMED Corp. 18,622 1,000
* Ascential Software Corp. 60,349 992
Oshkosh Truck Corp. 16,697 990
* Landstar System, Inc. 15,734 989
* Sonic Corp. 38,858 988
* Cimarex Energy Co. 41,500 986
Global Payments Inc. 27,753 985
* Evergreen Resources, Inc. 18,101 983
* CACI International, Inc. 28,657 983
* Overture Services, Inc. 54,199 983
International Bancshares Corp. 27,591 981
* Hollywood Entertainment Corp. 57,000 980
* Waste Connections, Inc. 27,958 980
* NBTY, Inc. 46,504 979
* Gen-Probe Inc. 23,800 973
Hilb, Rogal and Hamilton Co. 28,486 970
FactSet Research Systems Inc. 21,993 969
* Mentor Graphics Corp. 66,598 964
Clarcor Inc. 24,972 963
* GlobespanVirata, Inc. 116,600 962
* Christopher & Banks Corp. 25,838 956
* Commonwealth Telephone
Enterprises, Inc. 21,652 952
* JetBlue Airways Corp. 22,344 945
* FTI Consulting, Inc. 37,700 941
* Southwest Bancorporation
of Texas, Inc. 28,838 938
* Ultra Petroleum Corp. 72,425 935
* Skyworks Solutions, Inc. 137,999 934
Platinum Underwriters
Holdings, Ltd. 34,400 934
* Gemstar-TV Guide
International, Inc. 183,200 932
* Silicon Valley Bancshares 39,000 929
John Wiley & Sons Class A 35,139 921
* Kroll Inc. 33,898 917
* Tetra Tech, Inc. 53,399 915
* Invitrogen Corp. 23,737 911
Mentor Corp. 46,435 900
* Sybron Dental Specialties, Inc. 38,070 898
Ryland Group, Inc. 12,900 895
* Quiksilver, Inc. 54,275 895
* Intergraph Corp. 41,500 892
Superior Industries
International, Inc. 21,299 888
* Investment Technology Group, Inc. 47,600 885
* Avid Technology, Inc. 25,223 885
Invacare Corp. 26,729 882
* ADVO, Inc. 19,864 882
Diagnostic Products Corp. 21,457 881
Werner Enterprises, Inc. 41,499 880
* Valassis Communications, Inc. 34,200 880
* Cumulus Media Inc. 46,400 878
Fremont General Corp. 64,099 878
* Tom Brown, Inc. 31,599 878
* Legato Systems, Inc. 104,398 876
* Sylvan Learning Systems, Inc. 38,298 875
Imation Corp. 23,098 874
* Plantronics, Inc. 39,999 867
East West Bancorp, Inc. 23,850 862
Delta Air Lines, Inc. 58,626 861
* Cognex Corp. 38,312 856
Western Gas Resources, Inc. 21,498 851
32
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* United Online, Inc. 33,503 849
* Catalina Marketing Corp. 48,099 849
* Alliance Gaming Corp. 44,400 840
* Premcor, Inc. 38,862 837
* NPS Pharmaceuticals Inc. 34,400 837
* Hot Topic, Inc. 31,042 835
* Trimeris, Inc. 18,200 831
PerkinElmer, Inc. 59,868 827
Strayer Education, Inc. 10,400 826
* Abgenix, Inc. 78,500 823
* KEMET Corp. 81,500 823
Ethan Allen Interiors, Inc. 23,335 820
* Macrovision Corp. 41,098 819
W Holding Co., Inc. 47,900 810
Fred's, Inc. 21,793 810
* SCP Pool Corp. 23,541 810
* VISX Inc. 46,399 805
* Documentum, Inc. 40,900 805
* XM Satellite Radio Holdings, Inc. 72,800 804
* Maverick Tube Corp. 41,699 799
Delta & Pine Land Co. 36,294 798
* Dionex Corp. 20,013 796
* Mueller Industries Inc. 29,199 792
* Western Wireless Corp. Class A 68,300 787
* LifePoint Hospitals, Inc. 37,527 786
* Cost Plus, Inc. 21,815 778
Matthews International Corp. 31,200 773
* Amkor Technology, Inc. 58,700 771
St. Mary Land & Exploration Co. 28,235 771
* Cal Dive International, Inc. 35,231 768
* The Medicines Co. 38,898 766
* Neurocrine Biosciences, Inc. 15,330 766
* CV Therapeutics, Inc. 25,736 763
* ATMI, Inc. 30,551 763
* Avnet, Inc. 59,800 758
Thor Industries, Inc. 18,463 754
* Ariba, Inc. 251,500 747
* EMCOR Group, Inc. 14,999 740
* AirTran Holdings, Inc. 70,700 740
* Applera Corp.-Celera
Genomics Group 71,500 738
* American Italian Pasta Co. 17,679 736
* CNET Networks, Inc. 117,800 734
* CSG Systems International, Inc. 51,740 731
John H. Harland Co. 27,889 730
* Watson Wyatt & Co. Holdings 31,329 726
* Unit Corp. 34,599 723
* Trimble Navigation Ltd. 31,513 723
* Rare Hospitality International Inc. 21,999 719
* Silicon Laboratories Inc. 26,898 717
* THQ Inc. 39,699 715
* Micrel, Inc. 68,399 711
* Philadelphia Consolidated
Holding Corp. 17,499 707
Airgas, Inc. 42,198 707
* Joy Global Inc. 47,700 705
* Select Medical Corp. 28,300 703
Jefferies Group, Inc. 14,099 702
* Navistar International Corp. 21,484 701
Black Box Corp. 19,299 699
* RealNetworks, Inc. 102,505 695
* Men's Wearhouse, Inc. 31,799 695
* Tractor Supply Co. 14,545 695
* Spinnaker Exploration Co. 26,499 694
* Grey Wolf, Inc. 171,700 694
* Anixter International Inc. 29,599 694
* Progress Software Corp. 33,444 693
* Thoratec Corp. 46,500 693
* Odyssey Healthcare, Inc. 18,700 692
* Too Inc. 34,079 690
* Alkermes, Inc. 64,100 689
* Coherent, Inc. 29,099 689
* Power Integrations, Inc. 28,303 688
* Copart, Inc. 72,799 688
* PETCO Animal Supplies, Inc. 31,622 687
* Atmel Corp. 271,600 687
* Westport Resources Corp. 30,100 685
* Biosite Inc. 14,162 681
* OmniVision Technologies, Inc. 21,800 680
Cathay Bancorp, Inc. 15,200 678
* Ligand Pharmaceuticals Inc.
Class B 49,700 675
* Borland Software Corp. 69,100 675
Engineered Support Systems, Inc. 16,118 675
* Sycamore Networks, Inc. 176,100 674
* Journal Register Co. 37,200 673
* Priority Healthcare Corp. Class B 36,241 672
* Accredo Health, Inc. 30,729 670
* United Defense Industries Inc. 25,700 667
* Pinnacle Systems, Inc. 62,082 664
* Heartland Express, Inc. 29,779 663
* Penn National Gaming, Inc. 32,100 660
Tootsie Roll Industries, Inc. 21,499 656
* Cerner Corp. 28,537 655
* FileNET Corp. 35,919 648
* Wilson Greatbatch
Technologies, Inc. 17,900 646
* Advanced Neuromodulation
Systems, Inc. 12,400 642
New Century Financial Corp. 14,599 637
Perrigo Co. 40,698 637
CVB Financial Corp. 32,500 634
* Alliance Data Systems Corp. 27,100 634
NDCHealth Corp. 34,533 634
33
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
IHOP Corp. 19,999 631
* Simpson Manufacturing Co. 17,203 630
* Oceaneering International, Inc. 24,599 629
* Exar Corp. 39,699 628
* DRS Technologies, Inc. 22,423 626
* Northwest Airlines Corp. Class A 55,400 625
* Anteon International Corp. 22,400 625
* AmSurg Corp. 20,388 622
* Group 1 Automotive, Inc. 18,999 616
* RSA Security Inc. 56,915 612
* MSC Industrial Direct Co., Inc.
Class A 34,079 61
Ametek, Inc. 16,600 608
* CUNO Inc. 16,686 603
* Knight Transportation, Inc. 24,190 602
* Axcelis Technologies, Inc. 97,899 599
* Insight Communications Co., Inc. 45,400 598
* IGEN International, Inc. 19,000 597
* Micromuse Inc. 74,600 596
* BioMarin Pharmaceutical Inc. 60,900 594
* CMGI Inc. 352,600 589
* Advanced Digital Information Corp. 58,900 588
* Digital Insight Corp. 30,700 585
* Genta Inc. 43,900 585
* Extreme Networks, Inc. 110,100 584
* Sonic Automotive, Inc. 26,550 582
* Pediatrix Medical Group, Inc. 16,299 581
* DSP Group Inc. 26,899 579
* IDT Corp. Class B 32,800 577
Florida Rock Industries, Inc. 13,829 571
* Technitrol, Inc. 37,899 570
* ILEX Oncology, Inc. 29,300 569
* EGL, Inc. 37,399 568
* Novell, Inc. 183,699 566
HON Industries, Inc. 18,419 562
* eSPEED, Inc. Class A 28,100 555
* Choice Hotel International, Inc. 20,300 554
* Endo Pharmaceuticals
Holdings, Inc. 32,700 553
* Wynn Resorts Ltd. 31,150 551
* Washington Group
International, Inc. 25,020 549
* Argosy Gaming Co. 26,093 546
* Entravision Communications Corp. 48,000 545
* Tekelec 48,100 544
* Enzon Pharmaceuticals, Inc. 43,400 543
* Vicuron Pharmaceuticals Inc. 38,300 543
* Interactive Data Corp. 32,064 542
* ProQuest Co. 21,000 542
* Identix, Inc. 85,000 540
* Kirby Corp. 19,099 539
Winnebago Industries, Inc. 14,138 536
* eFunds Corp. 46,399 535
* TiVo Inc. 43,900 535
* Internet Security Systems, Inc. 36,899 535
* UnitedGlobalCom Inc. Class A 102,980 532
Texas Regional Bancshares, Inc. 15,300 531
* West Corp. 19,880 530
* Price Communications Corp. 40,899 528
* Photronics Inc. 30,199 527
* Entegris Inc. 39,200 527
* USI Holdings Corp. 44,620 525
* TriQuint Semiconductor, Inc. 125,898 524
* Marvel Enterprises Inc. 27,400 523
* MAXIMUS, Inc. 18,928 523
* Rogers Corp. 15,696 523
* Zoran Corp. 27,200 523
* Superior Energy Services, Inc. 55,000 521
* Vignette Corp. 250,600 521
Sterling Bancshares, Inc. 39,618 518
* Toll Brothers, Inc. 18,300 518
* Telik, Inc. 32,200 517
* Enzo Biochem, Inc. 23,985 516
* Barra, Inc. 14,444 516
* The Advisory Board Co. 12,600 511
* Sinclair Broadcast Group, Inc. 43,900 510
* Nektar Therapeutics 55,100 509
* Southwestern Energy Co. 33,799 507
* Priceline.com, Inc. 22,550 505
* CommScope, Inc. 52,998 503
* American Healthways Inc. 13,900 502
* AtheroGenics, Inc. 33,600 502
* W-H Energy Services, Inc. 25,699 501
Brown Shoe Co., Inc. 16,799 501
* AMERIGROUP Corp. 13,445 500
* Informatica Corp. 72,300 500
* NII Holdings Inc. 13,050 499
* Stone Energy Corp. 11,899 499
* Shuffle Master, Inc. 16,892 496
* Actel Corp. 24,199 496
* CONMED Corp. 26,999 493
* Scientific Games Corp. 52,200 491
* United Surgical Partners
International, Inc. 21,700 490
* Advanced Medical Optics, Inc. 28,739 490
* Nextel Partners, Inc. 67,100 490
* The Gymboree Corp. 29,168 489
* Dendrite International, Inc. 37,899 488
IndyMac Bancorp, Inc. REIT 19,200 488
* Plexus Corp. 42,298 488
* Quest Software, Inc. 40,900 487
* Ask Jeeves, Inc. 35,372 486
* Cray Inc. 61,500 486
* United Natural Foods, Inc. 17,253 485
34
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* TIBCO Software Inc. 95,000 484
* ExpressJet Holdings, Inc. 32,000 483
* Navigant Consulting, Inc. 40,700 482
Grey Global Group Inc. 623 481
* Medarex, Inc. 72,700 479
* Allen Telecom Inc. 28,999 479
* Symyx Technologies, Inc. 29,200 477
* Palm, Inc. 29,100 473
* Digital River, Inc. 24,500 473
* Resources Connection, Inc. 19,800 472
* Connetics Corp. 31,400 470
* SERENA Software, Inc. 22,414 468
* Sirius Satellite Radio, Inc. 276,300 467
* Lin TV Corp. 19,800 466
* VCA Antech, Inc. 23,800 466
* Offshore Logistics, Inc. 21,399 465
* Insituform Technologies Inc.
Class A 26,299 465
* Aeroflex, Inc. 60,048 465
* MKS Instruments, Inc. 25,650 463
* Hecla Mining Co. 109,000 461
* Integra LifeSciences Holdings 17,465 461
* Eon Labs, Inc. 13,100 460
* Sybase, Inc. 33,100 460
* InterMune Inc. 28,500 459
Wintrust Financial Corp. 15,506 459
* FEI Co. 24,454 459
* Guitar Center, Inc. 15,800 458
M/I Schottenstein Homes, Inc. 10,700 457
* CTI Molecular Imaging, Inc. 24,000 454
* Packeteer, Inc. 29,000 452
* ANSYS, Inc. 14,430 449
* SurModics, Inc. 14,712 449
* Agile Software Corp. 46,400 448
* Manhattan Associates, Inc. 17,190 446
Cabot Oil & Gas Corp. 16,087 444
* Photon Dynamics, Inc. 15,937 440
Boise Cascade Corp. 18,354 439
* Verity, Inc. 34,600 438
* Forward Air Corp. 17,232 437
* Fossil, Inc. 18,536 437
* Exelixis, Inc. 62,800 436
K-Swiss, Inc. 12,617 436
* Magnum Hunter Resources Inc. 54,200 433
Arrow International, Inc. 9,800 433
* Cytec Industries, Inc. 12,800 433
* Cyberonics, Inc. 20,100 432
* Quantum Corp. 106,699 432
AptarGroup Inc. 12,000 432
* Advent Software, Inc. 25,499 431
* Denbury Resources, Inc. 32,100 431
* Itron, Inc. 19,989 431
Boston Private Financial
Holdings, Inc. 20,417 430
* Atrix Laboratories, Inc. 19,500 429
* Financial Federal Corp. 17,499 427
* Artisan Components, Inc. 18,800 425
United Community Banks, Inc. 17,000 425
* Kopin Corp. 69,334 424
* Triarc Cos., Inc. Class A 14,099 423
* Genesis Microchip Inc. 31,200 422
* Veeco Instruments, Inc. 24,799 422
Rollins, Inc. 22,399 422
* Akamai Technologies, Inc. 86,800 422
* CoStar Group, Inc. 14,100 421
* TETRA Technologies, Inc. 14,199 421
* Rayovac Corp. 32,500 421
* Electro Scientific Industries, Inc. 27,699 420
* MGI Pharma, Inc. 16,378 420
* Bright Horizons Family
Solutions, Inc. 12,500 420
* Perot Systems Corp. 36,872 419
* Urban Outfitters, Inc. 11,639 418
* Powerwave Technologies, Inc. 65,999 414
* O'Charley's Inc. 19,099 411
* WilTel Communications, Inc. 27,500 405
* SRA International, Inc. 12,600 403
* Mykrolis Corp. 39,700 403
* aQuantive, Inc. 38,300 402
* Mediacom Communications Corp. 40,700 402
* Lexar Media, Inc. 42,000 401
* Parametric Technology Corp. 131,299 400
* Apex Silver Mines Ltd. 27,084 399
* Eclipsys Corp. 38,200 399
* Monaco Coach Corp. 25,999 399
* Hydrill Co. 14,612 398
* Ultratech, Inc. 21,499 398
Speedway Motorsports, Inc. 14,800 397
Surewest Communications 13,100 396
* webMethods, Inc. 48,700 396
* The Neiman Marcus Group, Inc.
Class B 11,446 395
Hooper Holmes, Inc. 61,199 394
* American Pharmaceuticals
Partners, Inc. 11,600 393
* Select Comfort Corp. 24,000 393
Frontier Oil Corp. 25,852 393
Inter-Tel, Inc. 18,484 392
* ICU Medical, Inc. 12,585 392
* Newpark Resources, Inc. 71,300 391
* Paxar Corp. 35,399 389
* United Therapeutics Corp. 17,800 388
* Lone Star Technologies, Inc. 18,299 388
* NetIQ Corp. 25,000 387
35
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Haemonetics Corp. 20,638 386
* Remington Oil & Gas Corp. 20,992 386
* K-V Pharmaceutical Co. Class B 13,600 385
* Centene Corp. 9,846 383
* InVision Technologies, Inc. 15,268 383
* Echelon Corp. 27,800 383
* XOMA Ltd. 71,800 383
* Tularik, Inc. 38,400 382
* CIMA Labs Inc. 14,099 379
* Coinstar, Inc. 19,885 375
* Magma Design Automation, Inc. 21,800 374
* MICROS Systems, Inc. 11,332 374
Park Electrochemical Corp. 18,699 373
Connecticut Bancshares, Inc. 9,500 373
G & K Services, Inc. Class A 12,555 372
PolyMedica Corp. 8,099 371
* Global Imaging Systems, Inc. 16,000 371
* Digene Corp. 13,600 370
* Young Broadcasting Inc. 17,500 370
* ValueClick, Inc. 61,300 370
C & D Technologies, Inc. 25,699 369
* Conexant Systems, Inc. 88,200 369
* Papa John's International, Inc. 13,086 367
* Mercury Computer Systems, Inc. 20,164 366
* Exult Inc. 42,600 365
IMC Global Inc. 54,200 364
* Headwaters Inc. 24,700 363
* eResearch Technology, Inc. 16,300 361
Penn Virginia Corp. 8,400 361
Suffolk Bancorp 11,200 361
* Corixa Corp. 46,400 359
Cubic Corp. 16,020 356
* Comstock Resources, Inc. 26,000 356
* Armor Holdings, Inc. 26,499 355
* Movie Gallery, Inc. 19,180 354
* IDT Corp. 19,700 353
* ArthroCare Corp. 21,030 352
* Openwave Systems Inc. 180,700 352
* Silicon Storage Technology, Inc. 84,000 352
* Myriad Genetics, Inc. 25,700 350
* Bombay Co. 32,900 350
* Oak Technology, Inc. 56,200 349
* Triad Guaranty, Inc. 9,196 349
* Lawson Software Inc. 44,779 348
* Gartner, Inc. Class A 45,798 347
* SangStat Medical Corp. 26,500 347
CARBO Ceramics Inc. 9,309 347
* Genesco, Inc. 19,565 346
* Cobalt Corp. 16,800 345
* Leapfrog Enterprises, Inc. 10,800 344
* Hovnanian Enterprises Inc. Class A 5,821 343
* Wright Medical Group, Inc. 18,000 342
* K-V Pharmaceutical Co. Class A 12,300 342
* WebEx Communications, Inc. 24,500 342
* Aeropostale, Inc. 15,900 342
* Per-Se Technologies, Inc. 30,100 338
* UNOVA, Inc. 30,400 337
* ESS Technology, Inc. 34,599 337
* WMS Industries, Inc. 21,636 337
* Retek Inc. 52,699 337
* InfoSpace, Inc. 24,800 337
* Sterling Financial Corp. (Spokane) 13,800 336
* Websense, Inc. 21,463 336
* Hibbett Sporting Goods, Inc. 10,200 336
* E.piphany Inc. 65,700 336
* LendingTree, Inc. 13,700 335
* MicroStrategy Inc. 9,200 335
* Ventana Medical Systems, Inc. 12,300 334
First Community Bancorp 10,600 333
* Plains Exploration & Production Co. 30,750 332
* 7-Eleven, Inc. 31,500 332
* Silicon Image, Inc. 59,500 332
Royal Gold, Inc. 15,400 331
* Electronics Boutique Holdings Corp. 14,300 330
* F5 Networks, Inc. 19,600 330
* American Medical Systems
Holdings, Inc. 19,516 329
Blyth, Inc. 12,100 329
* J. Jill Group, Inc. 19,493 328
* Intermagnetics General Corp. 16,524 328
Net.Bank, Inc. 24,900 328
* AMN Healthcare Services, Inc. 25,800 328
* ScanSource, Inc. 12,200 326
* Pre-Paid Legal Services, Inc. 13,296 326
* Meritage Corp. 6,614 326
* McDATA Corp. 22,400 325
* California Pizza Kitchen, Inc. 15,100 325
* Lattice Semiconductor Corp. 39,300 323
* VistaCare, Inc. 13,300 323
* Oil States International, Inc. 26,700 323
* Oakley, Inc. 27,400 322
* Cable Design Technologies Corp. 44,799 320
* Littelfuse, Inc. 14,300 320
Dime Community Bancshares 12,563 320
* Sharper Image Corp. 11,700 319
MacDermid, Inc. 12,121 319
* Albany Molecular Research, Inc. 21,100 319
* ViaSat, Inc. 22,199 318
* ActivCard Corp. 33,852 318
* Jarden Corp. 11,500 318
Metris Cos., Inc. 57,300 318
* Inspire Pharmaceuticals, Inc. 29,400 318
* Impax Laboratories, Inc. 26,400 317
* Kulicke & Soffa Industries, Inc. 49,492 316
36
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Sterling Financial Corp. (PA) 13,600 316
* Tuesday Morning Corp. 12,000 316
* PRIMEDIA Inc. 103,400 315
* Alaris Medical, Inc. 24,200 313
* Esperion Therapeutics, Inc. 15,900 311
* Cell Genesys, Inc. 36,000 311
Hancock Fabrics, Inc. 18,934 306
* GrafTech International Ltd. 56,100 306
* Zoll Medical Corp. 9,100 305
* Cubist Pharmaceuticals, Inc. 28,600 305
* Korn/Ferry International 37,599 305
* Spanish Broadcasting System, Inc. 37,100 302
* aaiPharma Inc. 15,200 302
Scottish Annuity &
Life Holdings, Ltd. 14,921 302
* ScanSoft, Inc. 55,000 299
* Multimedia Games Inc. 11,700 298
* Advanced Energy Industries, Inc. 20,915 298
Harleysville National Corp. 11,000 298
* ValueVision Media, Inc. 21,700 296
First Niagara Financial Group, Inc. 21,050 294
* ManTech International Corp. 15,200 292
* Align Technology, Inc. 23,200 291
Main Street Banks, Inc. 11,500 291
* Jo-Ann Stores, Inc. Class A 11,499 291
* Trex Co., Inc. 7,400 290
* Hutchinson Technology, Inc. 8,799 289
* NetFlix.com, Inc. 11,300 289
* Chattem, Inc. 15,300 288
* Newport Corp. 19,300 286
* Arch Capital Group Ltd. 8,200 285
* SciClone Pharmaceuticals, Inc. 33,200 284
American Woodmark Corp. 6,100 284
* Conceptus, Inc. 20,200 284
* Dick's Sporting Goods, Inc. 7,700 282
* j2 Global Communications, Inc. 6,100 280
* Boston Communications
Group, Inc. 16,365 280
* SonoSite, Inc. 14,000 279
* Quicksilver Resources, Inc. 11,600 278
* LTX Corp. 32,199 278
* The Dress Barn, Inc. 21,899 277
* Regeneron Pharmaceuticals, Inc. 17,564 277
* Knight Trading Group, Inc. 44,200 275
* Planar Systems, Inc. 14,042 275
* Tanox, Inc. 17,100 274
* Hanover Compressor Co. 24,200 273
* Labor Ready, Inc. 38,120 273
* Right Management
Consultants, Inc. 21,600 273
* MatrixOne, Inc. 47,598 273
* GameStop Corp. 21,100 273
* Keane, Inc. 20,000 273
* Wind River Systems Inc. 71,499 272
* II-VI, Inc. 11,800 272
* Andrew Corp. 29,405 271
LNR Property Corp. 7,200 269
* Nabi Biopharmaceuticals 39,252 269
Aaron Rents, Inc. Class B 10,399 269
* Credence Systems Corp. 31,600 268
* Excel Technology, Inc. 11,700 267
* S1 Corp. 65,800 266
* AFC Enterprises, Inc. 16,327 265
* The Wet Seal, Inc. Class A 24,799 265
Arctic Cat, Inc. 13,799 264
* Steven Madden, Ltd. 12,100 264
* Isis Pharmaceuticals, Inc. 49,600 263
* Immucor Inc. 12,000 261
* Benchmark Electronics, Inc. 8,499 261
* A.C. Moore Arts & Crafts, Inc. 13,000 260
* Wild Oats Markets Inc. 23,800 259
* Wireless Facilities, Inc. 21,800 259
EDO Corp. 14,639 259
* School Specialty, Inc. 9,099 259
* Portfolio Recovery Associates, Inc. 8,300 259
* Asyst Technologies, Inc. 38,600 258
* Fidelity National Information
Solutions, Inc. 9,900 258
* Secure Computing Corp. 29,500 258
* Frontier Airlines, Inc. 28,199 256
* Keystone Automotive
Industries, Inc. 14,000 256
* Group 1 Software, Inc. 13,900 255
Umpqua Holdings Corp. 13,400 254
* Ameristar Casinos, Inc. 11,900 254
* Tollgrade Communications, Inc. 13,599 254
* Gulfmark Offshore, Inc. 15,000 253
* Talk America Holdings, Inc. 23,200 253
Flagstar Bancorp, Inc. 10,299 252
* Immunomedics Inc. 39,900 252
* Verint Systems Inc. 9,900 252
Franklin Electric, Inc. 4,500 250
* Antigenics, Inc. 21,700 250
* IDX Systems Corp. 16,100 250
* CorVel Corp. 6,900 248
* Maxygen Inc. 22,500 247
* Diversa Corp. 25,100 247
Oshkosh B' Gosh, Inc. Class A 9,127 246
Vector Group Ltd. 14,000 245
* Manugistics Group, Inc. 59,600 245
* LabOne, Inc. 11,332 244
* Harmonic, Inc. 59,992 244
Wabtec Corp. 17,500 243
* Isle of Capri Casinos, Inc. 14,700 243
37
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Forrester Research, Inc. 14,800 242
* Gabelli Asset Management Inc. 6,700 242
* Kos Pharmaceuticals, Inc. 10,300 242
* Possis Medical Inc. 17,570 241
* Information Holdings Inc. 13,199 241
* Kensey Nash Corp. 9,200 241
* PRG-Schultz International, Inc. 40,699 240
* Synaptics Inc. 17,800 240
* Houston Exploration Co. 6,900 239
* Quaker City Bancorp, Inc. 5,800 238
* Paxson Communications Corp. 39,600 237
The Nautilus Group, Inc. 19,115 237
* Concord Communications, Inc. 17,241 237
* Merit Medical Systems, Inc. 11,800 236
* ChipPAC, Inc. 30,600 235
* CuraGen Corp. 42,000 233
* Old Dominion Freight Line, Inc. 10,778 233
* RehabCare Group, Inc. 15,899 233
* Teledyne Technologies, Inc. 17,778 233
* Gart Sports Co. 8,200 233
* Noven Pharmaceuticals, Inc. 22,635 232
* PAREXEL International Corp. 16,599 232
* SeaChange International, Inc. 24,200 231
* Veridian Corp. 6,600 230
* Power-One, Inc. 32,100 230
* SafeNet, Inc. 8,200 229
Analogic Corp. 4,699 229
* Standard Microsystem Corp. 15,099 229
* Molecular Devices Corp. 14,300 228
* MemberWorks, Inc. 11,509 227
* Daktronics, Inc. 13,900 227
* infoUSA Inc. 28,000 227
S.Y. Bancorp, Inc. 6,400 226
* Sunrise Senior Living, Inc. 10,099 226
* Harris Interactive Inc. 34,200 225
CB Bancshares Inc. (HI) 3,620 225
* OraSure Technologies, Inc. 30,100 225
* Intuitive Surgical, Inc. 29,500 224
* Rainbow Technologies, Inc. 26,404 222
* General Communication, Inc. 25,499 221
* Microsemi Corp. 13,799 221
* Regent Communications, Inc. 37,300 220
* 4Kids Entertainment Inc. 11,831 220
* Silicon Graphics, Inc. 192,800 220
* Finisar Corp. 141,400 219
* West Marine, Inc. 12,500 219
* Computer Network
Technology Corp. 27,000 219
* Heidrick & Struggles
International, Inc. 17,282 218
* Sotheby's Holdings Class A 29,299 218
* Lightbridge, Inc. 24,800 217
* The Topps Co., Inc. 25,200 216
* EPIQ Systems, Inc. 12,600 216
* LookSmart, Ltd. 76,100 215
* Interwoven, Inc. 96,500 214
* Siliconix, Inc. 5,900 213
* Saga Communications, Inc. 10,900 212
* J & J Snack Foods Corp. 6,699 212
* Neoware Systems, Inc. 13,700 210
* White Electronic Designs Corp. 19,800 210
* Pacer International, Inc. 11,100 209
* Pixelworks, Inc. 35,200 209
* Digimarc Corp. 13,300 209
* At Road, Inc. 19,100 209
* American Management
Systems, Inc. 14,599 208
Bowne & Co., Inc. 15,999 208
* Anaren, Inc. 22,200 208
* CCC Information Services Group 14,277 207
* Insight Enterprises, Inc. 20,399 205
* Spherion Corp. 29,499 205
* Register.com, Inc. 34,900 205
* Renaissance Learning, Inc. 9,300 204
* Encore Acquisition Co. 10,600 203
* Gartner, Inc. Class B 26,899 202
* Energy Partners, Ltd. 17,400 201
GBC Bancorp 5,199 200
Advanced Marketing Services 15,356 200
* Westell Technologies, Inc. 23,050 199
* Drugstore.com, Inc. 34,100 199
* Triton PCS, Inc. 39,300 198
PFF Bancorp, Inc. 5,100 197
* Prima Energy Corp. 9,430 197
* Steiner Leisure Ltd. 13,474 197
* ESCO Technologies Inc. 4,466 197
Curtiss-Wright Corp. 3,100 196
* Pharmacopeia, Inc. 23,700 196
* Brooks Automation, Inc. 17,199 195
* Ribapharm Inc. 30,150 194
* Rudolph Technologies, Inc. 12,163 194
* PSS World Medical, Inc. 33,600 193
Virginia Financial Group, Inc. 6,900 193
* Palm Harbor Homes, Inc. 10,200 193
* NeoPharm, Inc. 13,940 193
* Presstek, Inc. 30,800 192
* IDine Rewards Network Inc. 13,900 191
* MTR Gaming Group Inc. 24,700 191
* Federal Agricultural
Mortgage Corp. Class C 8,500 190
Keithley Instruments Inc. 13,115 190
* Actuant Corp. 4,000 189
* Salix Pharmaceuticals, Ltd. 18,000 189
* Elizabeth Arden, Inc. 14,200 187
38
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Peet's Coffee & Tea Inc. 10,700 187
Peapack Gladstone Financial Corp. 5,700 183
* Citizens, Inc. 25,100 182
Bank of the Ozarks, Inc. 4,700 182
* Vastera, Inc. 30,500 182
* MSC.Software Corp. 26,900 181
* Integral Systems, Inc. 9,100 181
* Cross Country Healthcare, Inc. 13,700 181
* Concurrent Computer Corp. 61,800 180
* Salem Communications Corp. 9,000 180
* Intrado Inc. 11,400 180
* AAON, Inc. 9,700 180
* DuPont Photomasks, Inc. 9,499 179
* Monolithic System Technology, Inc. 19,700 178
* Verisity Ltd. 14,779 176
* Stamps.com Inc. 36,700 176
* FuelCell Energy, Inc. 21,500 176
* WFS Financial, Inc. 5,246 176
* Keynote Systems Inc. 16,700 175
* Genesee & Wyoming Inc. Class A 8,400 173
Helix Technology Corp. 13,034 172
* SureBeam Corp. 64,900 172
* 1-800-FLOWERS.COM, Inc. 20,868 172
* Kenneth Cole Productions, Inc. 8,800 172
* PEC Solutions, Inc. 10,500 169
* Inveresk Research Group Inc. 9,310 169
* ImmunoGen, Inc. 39,300 168
* Gene Logic Inc. 28,100 168
* Serologicals Corp. 12,300 168
Pennrock Financial Services Corp. 6,200 167
Gray Television, Inc. 13,486 167
CTS Corp. 15,999 167
Old Second Bancorp, Inc. 3,900 167
* Cirrus Logic 41,500 167
Lindsay Manufacturing Co. 7,175 167
* Cell Therapeutics, Inc. 16,900 164
* Universal Display Corp. 18,400 164
* P.A.M. Transportation Services, Inc. 6,750 163
* The Buckle, Inc. 8,400 162
* FreeMarkets, Inc. 23,200 161
Penn Engineering &
Manufacturing Corp. 11,800 161
* AMC Entertainment, Inc. 14,000 160
Bank Mutual Corp. 4,900 159
* Steel Dynamics, Inc. 11,599 159
Shenandoah
Telecommunications Co. 3,300 158
PrivateBancorp, Inc. 5,764 157
* Energy Conversion Devices, Inc. 17,100 156
* Tejon Ranch Co. 5,159 155
* Alexion Pharmaceuticals, Inc. 9,100 155
* Tesoro Petroleum Corp. 22,400 154
Westcorp, Inc. 5,500 154
* Young Innovations, Inc. 5,400 154
* Interland Inc. 155,600 152
* Drexler Technology Corp. 9,800 152
* Inet Technologies, Inc. 15,200 152
* IXYS Corp. 18,999 151
* Corvis Corp. 100,300 150
* Big 5 Sporting Goods Corp. 12,000 150
* MedQuist, Inc. 7,400 150
* Atwood Oceanics, Inc. 5,500 149
* Lexicon Genetics Inc. 22,200 149
Courier Corp. 2,890 149
* Learning Tree International, Inc. 9,500 148
The Trust Co. of New Jersey 4,900 148
* Impath, Inc. 10,499 148
* Entrust, Inc. 50,400 148
Stewart & Stevenson Services, Inc. 9,399 148
* Ixia 23,000 148
* PDF Solutions, Inc. 12,800 148
* Duane Reade Inc. 9,999 147
* Integrated Defense Technology, Inc. 9,500 147
* Pericom Semiconductor Corp. 15,699 146
Lawson Products, Inc. 5,299 146
* Riverstone Networks, Inc. 122,900 145
* 1-800 CONTACTS, Inc. 5,900 144
* Astec Industries, Inc. 16,499 144
* National Healthcare Corp. 7,300 144
BEI Technologies, Inc. 11,844 142
* Mobile Mini, Inc. 8,699 142
* Cerus Corp. 18,800 142
* Alloy, Inc. 21,900 141
* Boston Beer Co., Inc. Class A 9,800 141
* Microtune, Inc. 44,000 141
Max Re Capital Ltd. 9,400 141
* Finish Line, Inc. 6,300 140
* Fisher Communications, Inc. 2,858 140
* Adolor Corp. 11,300 139
* Lannett Company, Inc. 5,900 138
* OSI Systems Inc. 8,600 138
* Altiris, Inc. 6,800 136
* MTC Technologies, Inc. 5,800 136
* Plains Resources Inc. 9,508 135
Overseas Shipholding Group Inc. 6,100 134
Hudson River Bancorp. Inc. 4,800 134
* Champion Enterprises, Inc. 25,823 134
* Global Power Equipment Group Inc. 28,700 133
* Skechers U.S.A., Inc. 18,000 133
* Audiovox Corp. 11,899 133
* Remec, Inc. 19,000 132
* Startek, Inc. 4,996 131
* The Children's Place
Retail Stores, Inc. 6,599 131
39
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Charlotte Russe Holding Inc. 12,600 130
* CompuCredit Corp. 10,600 129
* Tyler Technologies, Inc. 30,300 129
* Avatar Holding, Inc. 4,262 129
* Local Financial Corp. 8,900 129
* Closure Medical Corp. 6,800 128
Churchill Downs, Inc. 3,346 128
World Fuel Services Corp. 5,203 128
Troy Financial Corp. 4,700 128
* Crown Media Holdings, Inc. 30,847 127
* The TriZetto Group, Inc. 21,000 127
* Mesa Air Group Inc. 15,799 126
* Net2Phone, Inc. 28,925 125
* Core Laboratories NV 11,587 125
* Opsware, Inc. 30,900 124
* William Lyon Homes, Inc. 3,900 124
* Exact Sciences Corp. 11,300 124
* bebe stores, inc 6,400 122
* Strattec Security Corp. 2,300 122
Partners Trust Financial Group, Inc. 6,400 122
* Silgan Holdings, Inc. 3,883 121
* Ulticom, Inc. 12,650 120
* Radiant Systems, Inc. 17,815 120
* Blue Rhino Corp. 10,000 120
* ON Semiconductor Corp. 44,000 119
* Arena Pharmaceuticals, Inc. 17,800 118
* Sapient Corp. 42,000 116
* Martha Stewart Living
Omnimedia, Inc. 12,300 115
* Internet Capital Group, Inc. 239,960 115
* Transkaryotic Therapies, Inc. 9,900 114
Valmont Industries, Inc. 5,861 114
* SeeBeyond Technology Corp. 49,300 114
CoBiz Inc. 8,500 113
* Party City Corp. 10,900 112
* Kyphon Inc. 7,400 112
* Plug Power, Inc. 23,900 112
* Terayon Communications
Systems, Inc. 40,800 111
* Loral Space &
Communications, Ltd. 36,345 111
Cohu, Inc. 6,999 109
* Playtex Products, Inc. 16,900 108
* CardioDynamics International Corp. 31,800 108
* FalconStor Software, Inc. 16,200 108
Action Performance Cos., Inc. 5,699 108
* Del Laboratories, Inc. 4,600 108
* Midway Games Inc. 29,725 108
* Hawthorne Financial Corp. 3,100 107
* Mothers Work, Inc. 4,000 107
* PC Connection, Inc. 15,688 107
* barnesandnoble.com inc 45,724 107
Franklin Financial Corp. 3,500 105
* Kirkland's, Inc. 6,500 105
* Therasense, Inc. 10,300 103
* Hudson Highland Group, Inc. 5,400 103
* Beasley Broadcast Group, Inc. 7,500 103
* WatchGuard Technologies, Inc. 22,300 103
* Dynacq International, Inc. 6,100 102
* Covenant Transport, Inc. 6,000 102
Coca-Cola Bottling Co. 1,859 102
* New Focus, Inc. 26,700 100
* Time Warner Telecom Inc. 15,600 99
* Galyan's Trading Co. 6,900 99
Kaneb Services LLC 3,375 99
* The Boyds Collection, Ltd. 20,700 97
Brookfield Homes Corp. 6,300 97
Computer Programs and
Systems, Inc. 4,800 96
WSFS Financial Corp. 2,500 96
* General Maritime Corp. 9,400 95
* Liquidmetal Technologies Inc. 18,450 95
Hanmi Financial Corp. 5,400 94
* Shoe Carnival, Inc. 6,300 93
* Gulf Island Fabrication, Inc. 5,491 93
* Syntel, Inc. 5,900 93
Deltic Timber Corp. 3,199 91
* Stratex Networks, Inc. 28,300 91
* Playboy Enterprises, Inc. Class B 6,600 90
Holly Corp. 3,200 88
* SPSS, Inc. 5,199 87
* Embarcadero Technologies, Inc. 12,350 86
Alico, Inc. 3,500 86
* RailAmerica, Inc. 10,200 86
* The Neiman Marcus Group, Inc.
Class A 2,343 86
* Teletech Holdings Inc. 20,200 85
* Virage Logic Corp. 11,700 85
* Semitool, Inc. 17,100 84
* Transmeta Corp. 52,600 84
* Dril-Quip, Inc. 4,599 84
* Turnstone Systems, Inc. 33,200 83
* PTEK Holdings, Inc. 16,791 81
Pioneer Standard Electronics Inc. 9,599 81
* Specialty Laboratories, Inc. 7,800 80
* Ultimate Electronics, Inc. 6,000 77
* RC2 Corp. 4,500 77
PXRE Group Ltd. 3,843 76
* FTD, Inc. 3,625 73
* Arden Group Inc. Class A 1,200 71
* Handspring, Inc. 62,600 71
* Mindspeed Technologies, Inc. 29,400 71
* NASSDA Corp. 9,100 70
* Bruker Daltonics, Inc. 13,000 69
40
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Vicor Corp. 7,199 69
* Zymogenetics, Inc. 5,854 68
Camden National Corp. 2,400 66
Lakeland Bancorp, Inc. 4,100 66
* Alliance Imaging, Inc. 14,600 64
* Asbury Automotive Group, Inc. 4,750 64
* Medical Staffing Network
Holdings, Inc. 9,100 64
Curtiss-Wright Corp. Class B 1,000 62
* Restoration Hardware, Inc. 13,200 59
* United Auto Group, Inc. 2,700 59
Standard Commercial Tobacco Co. 3,400 58
* Lydall, Inc. 5,399 58
Vital Signs, Inc. 2,199 57
Bel Fuse, Inc. Class B 2,400 55
World Wrestling
Entertainment, Inc. 5,300 55
* Stein Mart, Inc. 9,099 55
* Bioreliance Corp. 2,400 51
* Guess ?, Inc. 8,200 49
* Pegasystems Inc. 6,500 48
* Jo-Ann Stores, Inc. Class B 2,000 44
* Neoforma, Inc. 3,800 41
* General Binding Corp. 3,000 36
* Revlon, Inc. Class A 12,000 36
* On Assignment, Inc. 7,899 32
* ICT Group, Inc. 2,100 22
* Raytech Corp. 2,800 12
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $474,400) 525,065
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (3.4%)
Federal National Mortgage Assn.
1.14%, 7/30/2003 $ 1,000 999
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.16%, 7/1/2003 736 736
1.16%, 7/1/2003--Note E 16,080 16,080
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $17,815) 17,815
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (103.2%)
(Cost $492,215) 542,880
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-3.2%)
- --------------------------------------------------------------------------------
Other Assets--Note B 2,565
Security Lending Collateral Payable to Brokers--Note E (16,080)
Other Liabilities (3,384)
----------------
(16,899)
----------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $525,981
================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
REIT--Real Estate Investment Trust.
- --------------------------------------------------------------------------------
AT JUNE 30, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
AMOUNT
(000)
- --------------------------------------------------------------------------------
Paid-in Capital $598,163
Undistributed Net Investment Income 177
Accumulated Net Realized Losses (123,024)
Unrealized Appreciation 50,665
- --------------------------------------------------------------------------------
NET ASSETS $525,981
================================================================================
Investor Shares--Net Assets
Applicable to 48,013,410 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $504,365
================================================================================
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $10.50
================================================================================
Institutional Shares--Net Assets
Applicable to 2,055,886 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $21,616
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $10.51
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
41
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (100.0%)
- --------------------------------------------------------------------------------
* Providian Financial Corp. 767,807 7,110
* Calpine Corp. 1,016,433 6,708
* Humana Inc. 416,662 6,292
Mack-Cali Realty Corp. REIT 154,635 5,626
Developers Diversified
Realty Corp. REIT 193,651 5,507
Great Plains Energy, Inc. 186,170 5,377
National Fuel Gas Co. 205,868 5,363
United Dominion
Realty Trust REIT 301,187 5,186
Annaly Mortgage
Management Inc. REIT 249,700 4,971
Pentair, Inc. 126,100 4,925
The Macerich Co. REIT 139,900 4,915
* Maxtor Corp. 649,200 4,875
* PacifiCare Health Systems, Inc. 96,298 4,750
HCC Insurance Holdings, Inc. 159,400 4,713
* Big Lots Inc. 312,206 4,696
Alliant Energy Corp. 246,412 4,689
Chelsea Property Group REIT 115,800 4,668
BorgWarner, Inc. 72,400 4,663
Webster Financial Corp. 122,731 4,639
* AMR Corp. 419,300 4,612
Vectren Corp. 182,782 4,579
Sky Financial Group, Inc. 210,643 4,575
* Reliant Resources, Inc. 741,450 4,545
Snap-On Inc. 156,341 4,539
Philadelphia Suburban Corp. 185,655 4,526
United States Steel Corp. 276,432 4,525
Hawaiian Electric Industries Inc. 98,500 4,516
OGE Energy Corp. 211,269 4,515
Cabot Corp. 157,267 4,514
Precision Castparts Corp. 141,944 4,414
Martin Marietta Materials, Inc. 131,337 4,414
Arden Realty Group, Inc. REIT 169,757 4,405
NICOR Inc. 118,363 4,392
Colonial BancGroup, Inc. 315,883 4,381
First American Corp. 164,900 4,345
Washington Federal Inc. 186,916 4,323
Roslyn Bancorp, Inc. 200,900 4,317
Ryder System, Inc. 168,246 4,310
Crescent Real Estate, Inc. REIT 258,271 4,290
Lubrizol Corp. 138,333 4,287
* Quintiles Transnational Corp. 302,011 4,286
Cullen/Frost Bankers, Inc. 130,600 4,192
Federal Realty
Investment Trust REIT 130,100 4,163
Peoples Energy Corp. 96,039 4,119
BRE Properties Inc. Class A REIT 123,734 4,108
Hudson United Bancorp 120,140 4,103
StanCorp Financial Group, Inc. 78,162 4,082
AGL Resources Inc. 159,398 4,055
BancorpSouth, Inc. 189,643 3,954
Old National Bancorp 171,444 3,943
Harsco Corp. 108,823 3,923
Friedman, Billings, Ramsey
Group, Inc. 291,500 3,906
CarrAmerica Realty Corp. REIT 139,102 3,868
Westamerica Bancorporation 89,344 3,849
Mills Corp. REIT 114,600 3,845
CenterPoint Properties Corp. REIT 62,104 3,804
Pan Pacific Retail
Properties, Inc. REIT 96,000 3,778
F.N.B. Corp. 124,739 3,775
ICN Pharmaceuticals, Inc. 225,100 3,773
* Borders Group, Inc. 212,618 3,744
Thornburg Mortgage, Inc. REIT 149,700 3,698
Rayonier Inc. 111,929 3,694
Camden Property Trust REIT 105,306 3,680
Independence Community
Bank Corp. 128,400 3,623
Realty Income Corp. REIT 93,900 3,576
American Capital Strategies, Ltd. 143,300 3,574
* AmeriCredit Corp. 416,200 3,558
UGI Corp. Holding Co. 111,999 3,550
HRPT Properties Trust REIT 382,700 3,521
Trustmark Corp. 137,985 3,514
Lee Enterprises, Inc. 93,600 3,513
* Navistar International Corp. 107,192 3,498
WGL Holdings Inc. 130,798 3,492
IPC Holdings Ltd. 103,724 3,475
Piedmont Natural Gas, Inc. 89,472 3,472
Carlisle Co., Inc. 82,299 3,470
IKON Office Solutions, Inc. 388,981 3,462
* Zale Corp. 86,399 3,456
Cummins Inc. 95,031 3,411
The MONY Group Inc. 126,277 3,403
Park National Corp. 29,601 3,382
CNF Inc. 132,582 3,365
ONEOK, Inc. 170,699 3,351
ArvinMeritor, Inc. 164,500 3,320
Peabody Energy Corp. 98,699 3,315
Healthcare Realty Trust Inc. REIT 112,900 3,291
WPS Resources Corp. 81,699 3,284
* AGCO Corp. 192,100 3,281
First Industrial Realty Trust REIT 103,749 3,278
Whitney Holdings Corp. 102,526 3,278
* Kinder Morgan Management, LLC 87,484 3,277
First Midwest Bancorp, Inc. 113,475 3,269
CBL & Associates
Properties, Inc. REIT 76,000 3,268
* American Greetings Corp. Class A 164,695 3,235
Ventas, Inc. REIT 212,700 3,222
42
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Kennametal, Inc. 94,799 3,208
Health Care Inc. REIT 105,100 3,206
Shurgard Storage Centers, Inc.
Class A REIT 96,832 3,203
Highwood Properties, Inc. REIT 143,500 3,200
* Mirant Corp. 1,086,844 3,152
Cooper Tire & Rubber Co. 178,481 3,139
CMS Energy Corp. 387,519 3,139
Media General, Inc. Class A 54,714 3,130
* Service Corp. International 801,600 3,102
Pacific Capital Bancorp 88,300 3,095
Arch Coal, Inc. 133,999 3,079
* Crown Holdings, Inc. 428,500 3,059
Reader's Digest Association, Inc. 223,600 3,014
DQE Inc. 199,798 3,011
Prentiss Properties Trust REIT 99,600 2,987
Atmos Energy Corp. 120,153 2,980
AmerUs Group Co. 105,049 2,961
Westar Energy, Inc. 182,398 2,960
Dynegy, Inc. 702,480 2,950
Briggs & Stratton Corp. 58,260 2,942
* Flowserve Corp. 148,600 2,923
* R.H. Donnelley Corp. 79,900 2,914
United Bankshares, Inc. 101,599 2,911
Essex Property Trust, Inc. REIT 50,699 2,903
* Louisiana-Pacific Corp. 267,299 2,898
* Beazer Homes USA, Inc. 34,700 2,897
Crane Co. 127,586 2,887
Allegheny Energy, Inc. 340,313 2,876
Universal Corp. (VA) 67,799 2,868
Washington REIT 104,800 2,851
SL Green Realty Corp. REIT 81,700 2,851
IDEX Corp. 78,599 2,848
MDC Holdings, Inc. 58,889 2,843
HON Industries, Inc. 92,794 2,830
The South Financial Group, Inc. 120,817 2,819
PNM Resources Inc. 105,298 2,817
* BJ's Wholesale Club, Inc. 186,800 2,813
Skywest, Inc. 147,586 2,813
Sensient Technologies Corp. 120,998 2,782
* Hercules, Inc. 279,336 2,765
Trizec Properties, Inc. REIT 242,139 2,753
Cousins Properties, Inc. REIT 98,275 2,742
* The Neiman Marcus Group, Inc.
Class A 74,829 2,739
Corn Products International, Inc. 91,195 2,739
Airborne, Inc. 130,399 2,725
Community First Bankshares, Inc. 98,799 2,697
IDACORP, Inc. 101,900 2,675
Citizens Banking Corp. 99,549 2,665
Massey Energy Co. 202,516 2,663
Chittenden Corp. 97,299 2,661
Alexander & Baldwin, Inc. 100,298 2,661
Taubman Co. REIT 138,300 2,650
* Continental Airlines, Inc. Class B 177,000 2,650
Minerals Technologies, Inc. 53,898 2,623
The Timken Co. 149,675 2,621
The Toro Co. 65,799 2,616
Bob Evans Farms, Inc. 94,398 2,608
* Toll Brothers, Inc. 91,299 2,585
New Jersey Resources Corp. 72,799 2,584
Standard Pacific Corp. 77,867 2,582
Commercial Federal Corp. 121,588 2,578
Greater Bay Bancorp 125,400 2,576
* Allmerica Financial Corp. 142,419 2,562
Home Properties
of New York, Inc. REIT 72,100 2,541
Reckson Associates
Realty Corp. REIT 121,300 2,530
Staten Island Bancorp, Inc. 129,492 2,523
Nationwide Health
Properties, Inc. REIT 158,200 2,520
First BanCorp Puerto Rico 91,499 2,512
Albemarle Corp. 89,300 2,498
York International Corp. 106,441 2,491
Dillard's Inc. 184,524 2,486
Energen Corp. 74,355 2,476
Worthington Industries, Inc. 184,499 2,472
Brandywine Realty Trust REIT 100,300 2,469
Black Hills Corp. 80,399 2,468
* Alleghany Corp. 12,865 2,457
* Invitrogen Corp. 63,901 2,452
IndyMac Bancorp, Inc. REIT 96,100 2,443
Ferro Corp. 108,199 2,438
Callaway Golf Co. 182,900 2,418
Olin Corp. 139,999 2,394
Ryland Group, Inc. 34,492 2,394
Visteon Corp. 346,174 2,378
Post Properties, Inc. REIT 89,500 2,372
* Terex Corp. 121,300 2,368
Susquehanna Bancshares, Inc. 101,019 2,359
Hollinger International, Inc. 217,405 2,341
Great Lakes Chemical Corp. 114,600 2,338
* Sirius Satellite Radio, Inc. 1,381,400 2,335
Downey Financial Corp. 56,248 2,323
Delta Air Lines, Inc. 158,019 2,320
Colonial Properties Trust REIT 65,586 2,308
* Sybase, Inc. 165,900 2,308
Alpharma, Inc. Class A 106,044 2,290
Alexandria Real Estate
Equities, Inc. REIT 50,900 2,290
* Payless ShoeSource, Inc. 182,798 2,285
* United Rentals, Inc. 164,300 2,282
Federal Signal Corp. 129,399 2,274
43
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Thomas & Betts Corp. 157,300 2,273
* Adaptec, Inc. 288,558 2,245
* Corrections Corp. of America REIT 88,300 2,237
* Gateway, Inc. 611,935 2,234
The Goodyear Tire & Rubber Co. 424,291 2,228
Brookline Bancorp, Inc. 158,900 2,225
Capital Automotive REIT 79,435 2,223
PerkinElmer, Inc. 160,648 2,219
* Southern Union Co. 130,952 2,218
TrustCo Bank NY 199,899 2,215
LandAmerica Financial Group, Inc. 46,549 2,211
Banta Corp. 68,199 2,208
* Jack in the Box Inc. 98,246 2,191
Cleco Corp. 126,319 2,188
Boise Cascade Corp. 91,462 2,186
* Cytec Industries, Inc. 64,598 2,183
Commerce Group, Inc. 60,300 2,183
Kellwood Co. 68,820 2,177
W.P. Carey & Co. LLC 72,370 2,167
The Phoenix Cos., Inc. 239,910 2,166
Crompton Corp. 305,199 2,152
AptarGroup Inc. 59,741 2,151
* Tommy Hilfiger Corp. 232,000 2,144
Hughes Supply, Inc. 60,842 2,111
Wolverine World Wide, Inc. 108,933 2,098
* Dycom Industries, Inc. 128,399 2,093
* American Axle & Manufacturing
Holdings, Inc. 87,150 2,083
Impac Mortgage
Holdings, Inc. REIT 124,200 2,073
Delphi Financial Group, Inc. 44,262 2,071
* Neurocrine Biosciences, Inc. 41,200 2,058
* Ohio Casualty Corp. 154,799 2,040
Flowers Foods, Inc. 103,119 2,038
Tupperware Corp. 141,599 2,033
Kilroy Realty Corp. REIT 73,907 2,032
* Avnet, Inc. 160,100 2,030
Acuity Brands, Inc. 111,241 2,021
Liberty Corp. 47,400 2,015
The Brink's Co. 138,200 2,014
Provident Financial Group, Inc. 78,499 2,012
MAF Bancorp, Inc. 53,401 1,980
* OfficeMax, Inc. 301,700 1,976
* Kansas City Southern 163,978 1,973
Gables Residential Trust REIT 65,240 1,972
* ProAssurance Corp. 72,900 1,968
USF Corp. 72,846 1,965
Republic Bancorp, Inc. 146,299 1,963
Glimcher Realty Trust REIT 87,500 1,960
* The Titan Corp. 188,600 1,941
CH Energy Group, Inc. 43,124 1,941
Trinity Industries, Inc. 104,599 1,936
* Ralcorp Holdings, Inc. 77,467 1,934
* FMC Corp. 85,198 1,928
People's Bank 66,193 1,919
Owens & Minor, Inc. Holding Co. 85,799 1,918
Reinsurance Group of America, Inc. 59,658 1,915
American Financial Group, Inc. 83,411 1,902
R.L.I. Corp. 57,650 1,897
* MPS Group, Inc. 275,099 1,893
Southwest Gas Corp. 89,042 1,886
Potlatch Corp. 73,199 1,885
Northwest Natural Gas Co. 68,805 1,875
Chateau Communities, Inc. REIT 63,000 1,864
Horace Mann Educators Corp. 115,398 1,861
* Conexant Systems, Inc. 442,400 1,854
* SEACOR SMIT Inc. 50,813 1,854
Municipal Mortgage &
Equity, L.L.C 72,492 1,840
* Yellow Corp. 79,399 1,838
Sun Communities, Inc. REIT 46,500 1,827
GATX Corp. 111,600 1,825
Heritage Property
Investment Trust REIT 66,800 1,809
Selective Insurance Group 71,791 1,798
Commercial Net Lease
Realty REIT 103,200 1,779
The Pep Boys
(Manny, Moe & Jack) 131,540 1,777
Manufactured Home
Communities, Inc. REIT 50,300 1,766
Otter Tail Corp. 65,200 1,759
First Commonwealth
Financial Corp. 134,400 1,742
Brady Corp. Class A 52,099 1,738
Lincoln Electric Holdings, Inc. 85,100 1,737
Avista Corp. 122,583 1,734
ABM Industries Inc. 111,998 1,725
* Hovnanian Enterprises Inc.
Class A 29,200 1,721
Senior Housing
Properties Trust REIT 125,500 1,702
Granite Construction Co. 88,798 1,701
UniSource Energy Corp. 90,272 1,697
Casey's General Stores, Inc. 120,006 1,697
H.B. Fuller Co. 76,641 1,688
Novastar Financial, Inc. REIT 28,200 1,685
Kaydon Corp. 80,999 1,685
* Six Flags, Inc. 248,400 1,684
* La Quinta Corp. REIT 389,300 1,678
Provident Bankshares Corp. 65,926 1,675
Albany International Corp. 61,024 1,672
* Avaya Inc. 257,906 1,666
44
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Lexington Corporate
Properties Trust REIT 93,800 1,660
Lennox International Inc. 128,780 1,657
* El Paso Electric Co. 134,006 1,652
* Boyd Gaming Corp. 95,500 1,648
Blyth, Inc. 60,499 1,646
Redwood Trust, Inc. REIT 41,200 1,644
* Sierra Pacific Resources 276,098 1,640
* Viasys Healthcare Inc. 79,096 1,637
Ametek, Inc. 44,599 1,634
* Ryan's Family Steak Houses, Inc. 116,132 1,626
* Lattice Semiconductor Corp. 195,898 1,612
Millennium Chemicals, Inc. 169,100 1,608
S & T Bancorp, Inc. 57,300 1,572
* Aztar Corp. 96,945 1,562
* Genesis Health Ventures, Inc. 88,300 1,558
* Chiquita Brands International, Inc. 107,200 1,554
USEC Inc. 221,200 1,553
* USG Corp. 81,500 1,549
Georgia Gulf Corp. 78,199 1,548
* BankUnited Financial Corp. 76,822 1,548
Interstate Bakeries Corp. 121,099 1,538
NBT Bancorp, Inc. 79,200 1,533
* First Federal Financial Corp. 43,413 1,532
* Novell, Inc. 496,700 1,530
Cambrex Corp. 66,366 1,528
Chemical Financial Corp. 51,200 1,526
* US Oncology, Inc. 205,142 1,516
Waypoint Financial Corp. 83,992 1,515
* Charming Shoppes, Inc. 304,700 1,514
Nordson Corp. 63,399 1,512
Baldor Electric Co. 73,399 1,512
UIL Holdings Corp. 37,177 1,508
Summit Properties, Inc. REIT 72,900 1,505
Reliance Steel & Aluminum Co. 72,531 1,501
Landry's Restaurants, Inc. 63,578 1,500
Pacific Northwest Bancorp 43,000 1,495
* CSK Auto Corp. 103,200 1,491
Tecumseh Products Co. Class A 38,898 1,490
* Enterasys Networks, Inc. 491,800 1,490
National Penn Bancshares Inc. 52,800 1,483
* Hutchinson Technology, Inc. 44,881 1,476
R & G Financial Corp. Class B 49,700 1,476
First Niagara Financial Group, Inc. 105,400 1,471
Ruddick Corp. 93,599 1,471
* Atlantic Coast Airlines
Holdings Inc. 108,920 1,469
* Alaska Air Group, Inc. 68,099 1,461
Vintage Petroleum, Inc. 129,417 1,460
BankAtlantic Bancorp, Inc. Class A 122,100 1,452
Florida East Coast Industries, Inc.
Class A 56,800 1,451
* Province Healthcare Co. 130,607 1,446
CONSOL Energy, Inc. 63,450 1,443
Arkansas Best Corp. 60,499 1,439
* Arch Capital Group Ltd. 41,300 1,434
First Citizens BancShares Class A 14,200 1,432
MFA Mortgage
Investments, Inc. REIT 142,600 1,432
F & M Bancorp 29,000 1,430
* Sierra Health Services, Inc. 71,199 1,424
The Manitowoc Co., Inc. 63,799 1,423
Spartech Corp. 66,835 1,418
MGE Energy, Inc. 44,800 1,411
Modine Manufacturing Co. 72,599 1,406
Wausau-Mosinee Paper Corp. 125,399 1,404
First Charter Corp. 80,600 1,402
A.O. Smith Corp. 49,710 1,399
Amcore Financial, Inc. 59,900 1,394
Equity One, Inc. REIT 84,800 1,391
* Iomega Corp. 131,100 1,390
RAIT Investment Trust REIT 52,300 1,386
UMB Financial Corp. 32,500 1,378
Hancock Holding Co. 29,100 1,369
* Keane, Inc. 99,898 1,362
First Financial Bancorp 85,000 1,360
LNR Property Corp. 36,300 1,358
Glenborough Realty Trust, Inc. REIT 70,462 1,349
Seacoast Financial Services Corp. 67,930 1,345
* Andrew Corp. 146,031 1,343
Texas Industries, Inc. 56,434 1,343
Pennsylvania REIT 44,700 1,339
PS Business Parks, Inc. REIT 37,800 1,334
Anchor Bancorp Wisconsin Inc. 55,662 1,330
MB Financial, Inc. 33,200 1,329
* Stone Energy Corp. 31,707 1,329
* Saxon Capital Inc. 76,300 1,326
* Jones Lang Lasalle Inc. 83,700 1,322
Empire District Electric Co. 60,800 1,322
Harbor Florida Bancshares, Inc. 54,800 1,313
Anthracite Capital Inc. REIT 108,100 1,304
* Benchmark Electronics, Inc. 42,253 1,300
Anworth Mortgage
Asset Corp. REIT 84,200 1,298
The Laclede Group, Inc. 48,334 1,295
Longs Drug Stores, Inc. 77,899 1,293
Regal-Beloit Corp. 67,617 1,291
Quanex Corp. 43,423 1,291
Alabama National BanCorporation 26,500 1,285
A. Schulman Inc. 79,614 1,279
* Valassis Communications, Inc. 49,600 1,276
* Griffon Corp. 79,561 1,273
United National Bancorp 46,100 1,272
* Imagistics International Inc. 49,068 1,266
45
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* UICI 83,950 1,265
Aquila, Inc. 489,700 1,263
Flagstar Bancorp, Inc. 51,501 1,259
Imation Corp. 33,200 1,256
Community Bank System, Inc. 33,000 1,254
* Stewart Information Services Corp. 45,012 1,254
* Checkpoint Systems, Inc. 88,190 1,248
Corporate Office
Properties Trust, Inc. R 73,500 1,244
City Holding Co. 42,500 1,244
Sandy Spring Bancorp, Inc. 39,359 1,244
* Hain Celestial Group, Inc. 77,469 1,239
EastGroup Properties, Inc. REIT 45,800 1,237
Alfa Corp. 96,600 1,228
* Shaw Group, Inc. 101,821 1,227
* Dollar Thrifty Automotive
Group, Inc. 66,000 1,224
Mid-America Apartment
Communities, Inc. REIT 45,300 1,224
Glacier Bancorp, Inc. 49,439 1,217
South Jersey Industries, Inc. 32,800 1,209
Frontier Financial Corp. 42,400 1,205
WD-40 Co. 42,099 1,202
National Health Investors REIT 64,900 1,197
Mid-State Bancshares 60,300 1,191
Entertainment
Properties Trust REIT 41,400 1,190
Cabot Oil & Gas Corp. 42,999 1,187
Westbanco Inc. 48,800 1,186
* Triumph Group, Inc. 41,981 1,183
Ethan Allen Interiors, Inc. 33,613 1,182
Rock-Tenn Co. 69,316 1,175
* OMI Corp. 189,600 1,168
* Gaylord Entertainment Co. Class A 59,500 1,164
Commercial Metals Co. 65,177 1,159
* Stewart Enterprises, Inc. Class A 269,300 1,158
Irwin Financial Corp. 44,590 1,155
* Moog Inc. 33,200 1,154
Allegheny Technologies Inc. 174,482 1,152
* Sola International Inc. 65,923 1,147
Russell Corp. 60,230 1,144
* Genlyte Group, Inc. 32,700 1,144
* Veridian Corp. 32,700 1,141
* Perot Systems Corp. 99,552 1,131
Bedford Property
Investors, Inc. REIT 39,800 1,130
* Amkor Technology, Inc. 85,876 1,128
Parkway Properties Inc. REIT 26,800 1,127
Kelly Services, Inc. Class A 47,799 1,121
* NCO Group, Inc. 62,414 1,118
Thomas Industries, Inc. 41,251 1,116
Independent Bank Corp. (MI) 43,400 1,115
Lone Star Steakhouse &
Saloon, Inc. 51,158 1,114
Odyssey Re Holdings Corp. 52,700 1,112
OM Group, Inc. 75,383 1,110
American States Water Co. 40,585 1,108
Russ Berrie and Co., Inc. 30,138 1,100
Corus Bankshares Inc. 22,700 1,099
* Handleman Co. 68,700 1,099
Woodward Governor Co. 25,460 1,095
* Ciber, Inc. 155,527 1,092
Belden, Inc. 68,613 1,090
Arch Chemicals, Inc. 57,006 1,089
* Parametric Technology Corp. 355,100 1,083
Steelcase Inc. 92,096 1,083
* International Multifoods Corp. 46,886 1,074
ElkCorp 47,626 1,072
* Jacuzzi Brands, Inc. 202,200 1,070
The Stride Rite Corp. 107,121 1,067
* Central Garden and Pet Co. 44,500 1,061
* American Management
Systems, Inc. 74,290 1,061
* TierOne Corp. 54,363 1,058
New England Business Service, Inc. 34,899 1,047
PolyOne Corp. 234,907 1,045
Bandag, Inc. 28,018 1,044
* NetIQ Corp. 67,500 1,044
* Nautica Enterprises, Inc. 81,139 1,041
* Orthodontic Centers
of America, Inc. 129,860 1,040
First Merchants Corp. 42,722 1,039
First Financial Bankshares, Inc. 31,000 1,037
Glatfelter 70,099 1,034
* TBC Corp. 54,156 1,032
California Water Service Group 36,600 1,029
AMLI Residential
Properties Trust REIT 43,700 1,029
* Helen of Troy Ltd. 67,805 1,028
* Veritas DGC Inc. 89,185 1,026
Methode Electronics, Inc. Class A 95,300 1,024
Cornerstone Realty
Income Trust, Inc. REIT 140,000 1,023
Jefferies Group, Inc. 20,470 1,019
Keystone Property Trust REIT 55,000 1,018
* ShopKo Stores, Inc. 78,220 1,017
Airgas, Inc. 60,600 1,015
* Ionics, Inc. 45,242 1,012
* SOURCECORP, Inc. 46,788 1,011
* Stage Stores, Inc. 43,000 1,011
Central Pacific Financial Co. 36,400 1,008
Longview Fibre Co. 122,899 1,008
Texas Genco Holdings, Inc. 43,028 1,000
Gold Banc Corp., Inc. 94,900 997
46
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Datascope Corp. 33,538 996
Sovran Self Storage, Inc. REIT 31,600 995
* AK Steel Corp. 273,900 991
* Atmel Corp. 391,900 991
Landauer, Inc. 23,500 983
IMC Global Inc. 146,200 981
* Global Industries Ltd. 203,500 981
* Beverly Enterprises, Inc. 280,200 981
Koger Equity, Inc. REIT 56,900 980
* Esterline Technologies Corp. 55,858 972
* Bay View Capital Corp. 168,200 972
First Sentinel Bancorp Inc. 60,800 971
* Accredo Health, Inc. 44,500 970
Unizan Financial Corp. 55,100 968
* Pegasus Solutions Inc. 59,508 967
Schweitzer-Mauduit
International, Inc. 39,990 965
* ESCO Technologies Inc. 21,933 965
Kimball International, Inc. Class B 61,700 963
* Actuant Corp. 20,300 961
Getty Realty Holding Corp. REIT 43,000 960
Mid Atlantic Realty Trust REIT 45,800 959
Wellman, Inc. 85,121 953
Oriental Financial Group Inc. 37,100 953
Roto-Rooter, Inc. 24,849 949
* Ocular Sciences, Inc. 47,700 947
* Universal Compression
Holdings, Inc. 45,200 943
* Steak n Shake Co. 61,827 943
First Financial Holdings, Inc. 34,800 941
Cato Corp. Class A 44,318 934
* First Republic Bank 35,082 933
* URS Corp. 47,946 933
FelCor Lodging Trust, Inc. REIT 117,800 925
Tredegar Corp. 61,671 924
First Essex Bancorp, Inc. 19,600 924
Applied Industrial Technology, Inc. 43,642 921
New Century Financial Corp. 21,069 920
Perrigo Co. 58,500 915
Nu Skin Enterprises, Inc. 87,500 914
MCG Capital Corp. 62,700 909
Town & Country Trust REIT 39,100 909
Watts Industries Class A 50,900 909
Ramco-Gershenson
Properties Trust REIT 38,892 906
Walter Industries, Inc. 77,100 906
Watsco, Inc. 54,539 903
Barnes Group, Inc. 41,110 895
Kramont Realty Trust REIT 54,000 891
RFS Hotel Investors, Inc. REIT 72,300 891
First Federal Capital Corp. 44,800 889
Roadway Corp. 31,099 887
* Orbital Sciences Corp. 121,400 886
* Gardner Denver Inc. 43,262 885
Pulitzer, Inc. 17,900 885
* JAKKS Pacific, Inc. 66,357 882
* Range Resources Corp. 140,500 881
GenCorp, Inc. 99,062 881
Net.Bank, Inc. 66,500 875
* CDI Corp. 33,614 873
Investors Real Estate Trust REIT 80,800 872
* Trammell Crow Co. 82,000 870
Cash America International Inc. 65,716 869
West Pharmaceutical
Services, Inc. 35,400 867
Dimon Inc. 120,968 866
* Safeguard Scientifics, Inc. 319,100 862
Chesapeake Corp. of Virginia 39,257 858
Mine Safety Appliances Co. 19,600 855
Burlington Coat Factory
Warehouse Corp. 47,651 853
Fidelity Bankshares, Inc. 38,200 852
MacDermid, Inc. 32,299 849
* Transaction Systems
Architects, Inc. 94,799 849
Berry Petroleum Class A 47,300 849
* The Sports Authority, Inc. 79,300 849
* Unifi, Inc. 136,699 848
Gray Television, Inc. 68,013 843
Curtiss-Wright Corp. 13,340 843
* Pediatrix Medical Group, Inc. 23,565 840
Sterling Bancorp 30,050 838
Florida Rock Industries, Inc. 20,299 838
Phillips-Van Heusen Corp. 61,066 832
Harleysville Group, Inc. 36,000 829
LaSalle Hotel Properties REIT 55,700 823
* JDA Software Group, Inc. 73,507 823
Riggs National Corp. 53,500 814
* Boca Resorts, Inc. Class A 62,500 813
* SPS Technologies, Inc. 29,753 805
Tanger Factory Outlet
Centers, Inc. REIT 24,300 804
Zenith National Insurance Corp. 28,162 803
Universal Health Realty
Income REIT 29,700 802
* Swift Energy Co. 72,734 800
* WCI Communities, Inc. 41,600 800
The Marcus Corp. 53,305 797
* NCI Building Systems, Inc. 47,600 795
First Community Bancshares, Inc. 22,500 794
Carpenter Technology Corp. 50,798 792
* Steel Dynamics, Inc. 57,842 792
SWS Group, Inc. 39,257 791
Weis Markets, Inc. 25,500 791
47
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Centex Construction Products, Inc. 19,700 790
MTS Systems Corp. 53,500 789
Independent Bank Corp. (MA) 34,900 788
United Community Financial Corp. 84,800 784
Presidential Life Corp. 55,448 782
JLG Industries, Inc. 114,834 781
Crown American Realty Trust REIT 72,700 781
* Quanta Services, Inc. 109,699 779
* Systems & Computer
Technology Corp. 86,384 777
First Financial Corp. (IN) 14,600 772
* Tesoro Petroleum Corp. 112,200 772
Haverty Furniture Cos., Inc. 44,083 771
* Applied Films Corp. 29,800 771
* Prime Hospitality Corp. 114,899 771
* Bally Total Fitness Holding Corp. 85,158 769
Westcorp, Inc. 27,300 764
Texas Regional Bancshares, Inc. 22,000 763
Washington Trust Bancorp, Inc. 33,200 763
* Nuevo Energy Co. 43,613 761
* Newport Corp. 51,399 761
Libbey, Inc. 33,399 758
* Corvis Corp. 501,225 752
Stewart & Stevenson
Services, Inc. 47,599 750
* CKE Restaurants Inc. 133,700 747
IBERIABANK Corp. 15,300 747
Equity Inns, Inc. REIT 108,200 747
* K2 Inc. 60,886 746
West Coast Bancorp 40,900 744
* Savient Pharmaceuticals Inc. 158,885 737
PMA Capital Corp. Class A 58,600 737
* Knight Trading Group, Inc. 118,200 735
* Consolidated Graphics, Inc. 32,124 735
Community Trust Bancorp Inc. 28,000 732
NACCO Industries, Inc. Class A 12,400 731
* Hanover Compressor Co. 64,499 729
Allegiant Bancorp, Inc. 35,900 727
The Trust Co. of New Jersey 23,900 724
Tennant Co. 19,600 720
* Parker Drilling Co. 247,500 720
* School Specialty, Inc. 25,235 718
Gibraltar Steel 34,963 716
* Incyte Corp. 154,298 716
Integra Bank Corp. 41,501 714
* Credence Systems Corp. 84,298 714
* Fleetwood Enterprises, Inc. 95,975 710
Oxford Industries, Inc. 16,996 706
State Auto Financial Corp. 31,300 703
* Hologic, Inc. 53,181 701
Ameron International Corp. 20,100 699
Capitol Bancorp Ltd. 25,700 696
* SonicWALL, Inc. 144,000 691
* Finish Line, Inc. 30,900 686
Port Financial Corp. 12,700 684
Kaman Corp. Class A 58,427 683
* Orient-Express Hotel Ltd. 46,294 683
Simmons First National Corp. 34,100 682
Prosperity Bancshares, Inc. 35,400 681
Innkeepers USA Trust REIT 100,200 681
* Kadant Inc. 36,200 679
Umpqua Holdings Corp. 35,600 676
NUI Corp. 43,536 676
* Century Business Services, Inc. 207,500 674
* Kindred Healthcare, Inc. 37,800 674
Great Lakes, Inc. REIT 42,000 672
McGrath Rent Corp. 25,100 671
United Fire & Casualty Co. 20,600 669
Greif Inc. Class A 29,000 667
U.S. Restaurant
Properties, Inc. REIT 42,400 666
Hudson River Bancorp. Inc. 23,800 664
Omega Financial Corp. 19,400 663
Overseas Shipholding Group Inc. 29,998 660
* Input/Output, Inc. 122,416 659
* Arris Group Inc. 132,300 656
* Remec, Inc. 94,000 654
Community Banks, Inc. 21,900 651
* Robert Mondavi Corp. Class A 25,700 650
CIRCOR International, Inc. 36,400 649
Wabtec Corp. 46,500 647
Universal Forest Products, Inc. 30,692 643
* Houston Exploration Co. 18,500 642
* National Western
Life Insurance Co. Class 5,800 640
Columbia Banking System, Inc. 35,700 639
Capital City Bank Group, Inc. 17,625 638
Urstadt Biddle Properties
Class A REIT 49,600 638
Flushing Financial Corp. 28,700 636
OceanFirst Financial Corp. 26,000 635
Ennis Business Forms, Inc. 43,500 633
* ITLA Capital Corp. 15,500 627
* Core Laboratories NV 57,850 625
Firstfed America Bancorp, Inc. 18,100 624
Analogic Corp. 12,779 623
* Stillwater Mining Co. 121,115 623
St. Francis Capital Corp. 21,400 622
Saul Centers, Inc. REIT 24,300 622
* Quantum Corp. 153,500 622
* Insignia Financial Group, Inc. 55,900 621
Tompkins Trustco, Inc. 13,900 621
* Hanger Orthopedic Group, Inc. 54,100 619
MeriStar Hospitality Corp. REIT 120,400 619
48
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Grey Global Group Inc. 801 619
First Busey Corp. 25,500 618
Central Vermont Public
Service Corp. 31,394 614
* Electro Rent Corp. 56,755 612
* RTI International Metals, Inc. 56,476 612
* Power-One, Inc. 85,499 611
* MGI Pharma, Inc. 23,800 610
Solutia, Inc. 279,800 610
* Harvest Natural Resources, Inc. 94,900 605
* Inverness Medical Innovations, Inc. 31,300 604
Arrow Financial Corp. 18,000 601
* Caraustar Industries, Inc. 74,862 600
* Sunrise Senior Living, Inc. 26,662 597
BSB Bancorp, Inc. 24,000 596
Central Parking Corp. 48,105 595
Quaker Chemical Corp. 23,699 594
Peoples Holding Co. 13,400 593
Schnitzer Steel Industries, Inc.
Class A 13,400 591
* Silgan Holdings, Inc. 18,900 591
* Lithia Motors, Inc. 36,300 587
* Microsemi Corp. 36,563 585
* Herley Industries Inc. 34,400 584
Movado Group, Inc. 26,800 583
Valmont Industries, Inc. 29,799 580
First Source Corp. 31,200 579
* Mediacom Communications Corp. 58,600 578
Bank of Granite Corp. 33,700 575
Myers Industries, Inc. 60,472 574
* Buckeye Technology, Inc. 84,402 574
Standex International Corp. 27,311 574
Second Bancorp, Inc. 22,200 573
First Indiana Corp. 33,400 572
* Gentiva Health Services, Inc. 63,500 572
* Transkaryotic Therapies, Inc. 49,500 571
The Standard Register Co. 34,636 571
Skyline Corp. 18,998 570
Apogee Enterprises, Inc. 63,063 569
Sea Containers Ltd. Class A 49,823 567
Robbins & Myers, Inc. 30,595 566
Peoples Bancorp, Inc. 22,300 564
Cascade Natural Gas Corp. 29,387 561
CityBank Lynnwood WA 20,700 560
Union Bankshares Corp. 19,800 560
* Tower Automotive, Inc. 152,291 557
Banner Corp. 27,200 557
Midwest Banc Holdings, Inc. 28,600 555
* Insight Enterprises, Inc. 55,119 554
* Spherion Corp. 79,412 552
Bowne & Co., Inc. 42,357 552
First Bancorp (NC) 21,300 552
* MICROS Systems, Inc. 16,699 551
G & K Services, Inc. Class A 18,499 548
PolyMedica Corp. 11,958 548
Sturm, Ruger & Co., Inc. 54,106 541
Calgon Carbon Corp. 93,400 537
Cohu, Inc. 34,310 535
Argonaut Group, Inc. 43,300 534
* Westell Technologies, Inc. 61,400 531
Mission West Properties Inc. REIT 46,600 530
Financial Institutions, Inc. 22,500 529
First Place Financial Corp. 30,500 528
Midland Co. 23,745 527
Action Performance Cos., Inc. 27,709 526
Connecticut Water Services, Inc. 20,600 526
* Brooks Automation, Inc. 46,242 524
North Pittsburgh Systems, Inc. 34,713 523
PFF Bancorp, Inc. 13,500 522
UniFirst Corp. 23,800 521
* PSS World Medical, Inc. 90,600 521
Building Materials Holding Corp. 34,967 518
CSS Industries, Inc. 13,400 517
Seacoast Banking Corp. of Florida 29,900 509
CT Communications, Inc. 47,300 508
CCBT Financial Cos. Inc. 21,210 507
* Hudson Highland Group, Inc. 26,650 507
* InFocus Corp. 105,198 497
Farmers Capital Bank Corp. 15,500 495
Great Southern Bancorp, Inc. 12,800 493
* Ocwen Financial Corp. 108,000 490
* Time Warner Telecom Inc. 76,600 488
* Stoneridge, Inc. 35,700 487
SJW Corp. 5,700 486
* MRO Software Inc. 56,299 486
WSFS Financial Corp. 12,600 484
* UNOVA, Inc. 43,500 483
* Cleveland-Cliffs Inc. 27,031 483
First National Corp. 19,400 478
Brookfield Homes Corp. 30,700 473
NBC Capital Corp. 18,600 471
* Meritage Corp. 9,500 468
Riviana Foods, Inc. 17,200 463
* Tweeter Home
Entertainment Group, Inc 53,300 463
Helix Technology Corp. 34,699 459
Dime Community Bancshares 17,999 458
* Stratex Networks, Inc. 142,700 457
Coachmen Industries, Inc. 38,211 457
* Littelfuse, Inc. 20,400 456
Baldwin & Lyons, Inc. Class B 19,100 454
* TransMontaigne Inc. 69,980 453
United Industrial Corp. 27,800 453
Blair Corp. 20,400 453
49
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Interface, Inc. 97,469 452
CTS Corp. 43,236 452
CNA Surety Corp. 45,600 449
Holly Corp. 16,200 447
* Cirrus Logic 111,200 447
* SPSS, Inc. 26,687 447
LSI Industries Inc. 40,100 445
* Serologicals Corp. 32,500 443
Milacron Inc. 90,394 442
* Navigant International, Inc. 34,200 441
Deltic Timber Corp. 15,505 441
HEICO Corp. 35,900 438
Gorman-Rupp Co. 18,200 437
Apex Mortgage Capital, Inc. REIT 79,800 436
Capital Southwest Corp. 7,600 436
Lance, Inc. 47,491 434
Scottish Annuity &
Life Holdings, Ltd. 21,427 433
* Cole National Corp. Class A 34,500 432
Newcastle Investment Corp. REIT 22,050 432
Bel Fuse, Inc. Class B 18,819 431
Harleysville National Corp. 15,900 430
* AMC Entertainment, Inc. 37,600 430
NL Industries, Inc. 25,300 430
* Alexion Pharmaceuticals, Inc. 25,000 426
Pennfed Financial Services, Inc. 15,300 425
Bank Mutual Corp. 13,000 423
* RailAmerica, Inc. 49,700 420
Interpool, Inc. 25,540 419
* Dura Automotive Systems, Inc. 43,800 414
Advanta Corp. Class A 42,100 414
German American Bancorp 23,600 412
BancFirst Corp. 7,900 410
* Regeneron Pharmaceuticals, Inc. 25,999 409
* PTEK Holdings, Inc. 84,200 408
CFS Bancorp, Inc. 28,900 407
* Omnova Solutions Inc. 100,600 406
First Oak Brook Bancshares, Inc. 12,300 406
* Aftermarket Technology Corp. 38,600 406
* The Great Atlantic &
Pacific Tea Co., Inc. 46,089 406
* Mastec Inc. 70,200 404
* Universal American Financial Corp. 63,300 403
Pioneer Standard Electronics Inc. 47,455 402
National Presto Industries, Inc. 12,680 401
* RC2 Corp. 23,500 400
Citizens 1st Bancorp, Inc. 18,300 400
* Duane Reade Inc. 27,045 399
* Atwood Oceanics, Inc. 14,645 398
* Credit Acceptance Corp. 39,400 398
* LTX Corp. 46,000 397
Republic Bancshares, Inc. 15,800 395
Aaron Rents, Inc. Class B 15,178 392
Angelica Corp. 23,120 392
* Tanox, Inc. 24,400 392
Max Re Capital Ltd. 26,100 391
* InterCept, Inc. 46,600 390
* Tenneco Automotive, Inc. 106,800 384
* Fisher Communications, Inc. 7,800 381
Franklin Electric, Inc. 6,800 378
* Tier Technologies, Inc. 48,300 374
* Clark, Inc. 31,300 374
* McLeod USA Inc. 247,500 374
PXRE Group Ltd. 18,840 373
Stepan Co. 16,400 371
Pope & Talbot, Inc. 33,283 368
* Champion Enterprises, Inc. 70,799 367
* Vail Resorts Inc. 27,000 364
* Plains Resources Inc. 25,699 364
* Wackenhut Corrections Corp. 26,400 362
Sanderson Farms, Inc. 12,700 357
* Local Financial Corp. 24,600 355
Republic Bancorp, Inc. Class A 23,942 355
* Vicor Corp. 36,956 355
* Mindspeed Technologies, Inc. 147,466 354
The Nautilus Group, Inc. 28,499 353
* ChipPAC, Inc. 45,900 352
Lakeland Bancorp, Inc. 21,900 350
World Fuel Services Corp. 14,200 349
* Insurance Auto Auctions, Inc. 27,727 348
* Teledyne Technologies, Inc. 26,399 346
Camden National Corp. 12,400 341
Reckson Associates Realty Corp.
Class B REIT 15,940 340
Churchill Downs, Inc. 8,853 339
Capstead Mortgage Corp. REIT 29,900 337
* Mesa Air Group Inc. 42,011 336
* PAREXEL International Corp. 23,604 329
* MarineMax, Inc. 23,500 329
* Sapient Corp. 118,100 327
* The Topps Co., Inc. 37,700 324
* Infonet Services Corp. 203,000 323
* Asbury Automotive Group, Inc. 23,550 317
* General Communication, Inc. 36,507 316
* Graphic Packaging
International Corp. 69,955 315
Standard Commercial Tobacco Co. 18,400 313
* United Auto Group, Inc. 14,200 309
* Hawthorne Financial Corp. 8,900 308
Material Sciences Corp. 31,679 307
* CompuCom Systems, Inc. 67,900 307
* Volt Information Sciences Inc. 22,441 306
* Lydall, Inc. 27,993 300
* Playtex Products, Inc. 46,500 299
50
- --------------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Stein Mart, Inc. 49,029 294
Vital Signs, Inc. 11,241 292
GBC Bancorp 7,518 289
Pilgrim's Pride Corp. 29,500 285
Oneida Ltd. 41,600 281
* New Focus, Inc. 75,000 281
Kaneb Services LLC 9,327 272
* Cross Country Healthcare, Inc. 20,200 266
* Navigators Group, Inc. 8,900 265
* WFS Financial, Inc. 7,900 265
* FuelCell Energy, Inc. 32,200 264
Coca-Cola Bottling Co. 4,800 262
Dover Downs Gaming &
Entertainment, Inc. 27,900 258
Ingles Markets, Inc. 25,500 258
Royal Bancshares of
Pennsylvania, Inc. 12,000 256
* DuPont Photomasks, Inc. 13,452 253
Deb Shops, Inc. 13,100 246
* General Maritime Corp. 24,200 246
* Playboy Enterprises, Inc. Class B 18,000 245
* Genesee & Wyoming Inc. Class A 11,900 245
* Powell Industries, Inc. 16,700 244
* Cell Therapeutics, Inc. 25,100 244
* NetRatings, Inc. 26,400 241
* Teletech Holdings Inc. 56,600 239
* Inveresk Research Group Inc. 13,200 239
Lindsay Manufacturing Co. 10,199 237
Old Second Bancorp, Inc. 5,500 236
* FreeMarkets, Inc. 32,600 227
* Transmeta Corp. 141,700 227
* Sequa Corp. Class A 6,499 223
* Wesco International, Inc. 37,000 222
* Tejon Ranch Co. 7,340 221
* Impath, Inc. 15,167 214
* Pericom Semiconductor Corp. 22,748 212
Courier Corp. 4,100 211
* iGATE Corp. 60,400 210
* Lexicon Genetics Inc. 31,100 209
* Neoforma, Inc. 19,000 207
Florida East Coast Industries, Inc.
Class B 8,300 207
* Mobile Mini, Inc. 12,609 206
* Alloy, Inc. 30,700 198
* Ultimate Electronics, Inc. 15,428 198
* Adolor Corp. 15,900 195
* Audiovox Corp. 17,343 194
* Collins & Aikman Corp. 65,500 193
* OSI Systems Inc. 11,900 191
* Digitas Inc. 37,400 186
* Crown Media Holdings, Inc. 44,831 185
* Avatar Holding, Inc. 6,090 184
Acadia Realty Trust REIT 19,700 180
* CompuCredit Corp. 14,700 179
* Opsware, Inc. 44,336 178
* The TriZetto Group, Inc. 29,400 178
Troy Financial Corp. 6,500 176
* Strattec Security Corp. 3,300 176
* Jo-Ann Stores, Inc. Class B 7,900 175
* Zymogenetics, Inc. 15,000 175
Advanta Corp. Class B 16,600 167
* On Assignment, Inc. 41,090 164
* Terayon Communications
Systems, Inc. 56,800 155
* FalconStor Software, Inc. 22,900 153
World Wrestling
Entertainment, Inc. 14,300 147
Hanmi Financial Corp. 7,600 133
* Gulf Island Fabrication, Inc. 7,600 129
Urstadt Biddle Properties REIT 9,300 124
* Dril-Quip, Inc. 6,477 118
Pilgrim's Pride Corp. Class A 15,800 113
Crawford & Co. Class B 22,600 111
Tecumseh Products Co. Class B 2,900 107
* General Binding Corp. 8,000 96
Bandag, Inc. Class A 2,500 88
* Restoration Hardware, Inc. 19,300 87
* Pegasystems Inc. 9,500 70
* Raytech Corp. 14,200 60
* ICT Group, Inc. 5,700 60
HEICO Corp. Class A 3,800 34
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $1,282,602) 1,349,751
- --------------------------------------------------------------------------------
51
================================================================================
FACE MARKET
SMALL-CAP VALUE AMOUNT VALUE*
INDEX FUND (000) (000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (3.9%)
- --------------------------------------------------------------------------------
Federal National Mortgage Assn.
1.17%, 7/16/2003 $ 2,000 1,999
1.14%, 7/30/2003 1,500 1,499
Repurchase Agreement
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.16%, 7/1/2003--Note E 50,206 50,206
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $53,704) 53,704
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (103.9%)
(Cost $1,336,306) 1,403,455
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-3.9%)
- --------------------------------------------------------------------------------
Other Assets--Note B 6,470
Security Lending Collateral
Payable to Brokers--Note E (50,206)
Other Liabilities (9,406)
--------------
(53,142)
--------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $1,350,313
================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
REIT--Real Estate Investment Trust.
- --------------------------------------------------------------------------------
AMOUNT
(000)
- --------------------------------------------------------------------------------
AT JUNE 30, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $1,647,311
Undistributed Net Investment Income 9,974
Accumulated Net Realized Losses (374,121)
Unrealized Appreciation 67,149
- --------------------------------------------------------------------------------
NET ASSETS $1,350,313
================================================================================
Investor Shares--Net Assets
Applicable to 135,392,618 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,267,676
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $9.36
================================================================================
Institutional Shares--Net Assets
Applicable to 8,814,423 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $82,637
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $9.38
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
52
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.
- --------------------------------------------------------------------------------
SMALL-CAP SMALL-CAP
SMALL-CAP GROWTH INDEX VALUE INDEX
INDEX FUND FUND FUND
--------------------------------------------
SIX MONTHS ENDED JUNE 30, 2003
--------------------------------------------
(000) (000) (000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Dividends $ 25,117 $ 1,136 $ 11,525
Interest 301 12 35
Security Lending 1,606 108 205
Total Income 27,024 1,256 11,765
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 112 75 75
Management and Administrative
Investor Shares 3,621 434 1,258
Admiral Shares 490 -- --
Institutional Shares 253 8 43
Marketing and Distribution
Investor Shares 222 29 97
Admiral Shares 46 -- --
Institutional Shares 63 10 30
Custodian Fees 59 19 91
Shareholders' Reports
Investor Shares 112 18 48
Admiral Shares 1 -- --
Institutional Shares -- -- --
Trustees' Fees and Expenses 3 -- 1
Total Expenses 4,982 593 1,643
NET INVESTMENT INCOME 22,042 663 10,122
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (915,260) 26,360 (204,667)
Futures Contracts 12,574 476 1,361
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (902,686) 26,836 (203,306)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 1,590,984 36,785 300,903
Futures Contracts (293) -- --
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) 1,590,691 36,785 300,903
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 710,047 $64,284 $107,719
================================================================================
53
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.
- --------------------------------------------------------------------------------
SMALL-CAP SMALL-CAP GROWTH
INDEX FUND INDEX FUND
------------------------------ -----------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUNE 30, 2003 DEC. 31, 2002 JUNE 30, 2003 DEC. 31, 2002
(000) (000) (000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 22,042 $ 52,047 $ 663 $ 1,422
Realized NetGain(Loss)(902,686) (98,958) 26,836 (51,171)
Change in Unrealized Appreciation
(Depreciation) 1,590,691 (989,851) 36,785 (41,084)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting
from Operations 710,047 (1,036,762) 64,284 (90,833)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares -- (35,750) -- (1,051)
Admiral Shares -- (7,673) -- --
Institutional Shares -- (8,974) -- (460)
Realized Capital Gain
Investor Shares -- -- -- --
Admiral Shares -- -- -- --
Institutional Shares -- -- -- --
Total Distributions -- (52,397) -- (1,511)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--Note F
Investor Shares 79,073 194,844 54,162 98,555
Admiral Shares 56,548 187,727 -- --
Institutional Shares (1,854) 249,580 (84,001) 19,034
- --------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions 133,767 632,151 (29,839) 117,589
- --------------------------------------------------------------------------------
Total Increase
(Decrease) 843,814 (457,008) 34,445 25,245
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 4,219,145 4,676,153 491,536 466,291
- --------------------------------------------------------------------------------
End of Period $5,062,959 $4,219,145 $525,981 $491,536
================================================================================
54
- --------------------------------------------------------------------------------
SMALL-CAP VALUE INDEX FUND
---------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2003 DEC. 31, 2002
(000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 10,122 $ 16,319
Realized Net Gain (Loss) (203,306) (157,642)
Change in Unrealized Appreciation
(Depreciation) 300,903 (249,915)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting
from Operations 107,719 (391,238)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares -- (12,346)
Institutional Shares -- (4,083)
Realized Capital Gain*
Investor Shares -- (26,299)
Institutional Shares -- (11,401)
- --------------------------------------------------------------------------------
Total Distributions -- (54,129)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--Note F
Investor Shares (19,712) 713,241
Institutional Shares (252,189) 118,815
- --------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions (271,901) 832,056
- --------------------------------------------------------------------------------
Total Increase (Decrease) (164,182) 386,689
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 1,514,495 1,127,806
- --------------------------------------------------------------------------------
End of Period $1,350,313 $1,514,495
================================================================================
*Includes fiscal 2002 short-term gain distributions totaling $26,363,000.
Short-term gain distributions are treated as ordinary income dividends for tax
purposes.
55
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.
SMALL-CAP INDEX FUND INVESTOR SHARES
=================================================================================================================
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED ----------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $15.66 $19.82 $19.44 $23.60 $21.20 $23.75
- -----------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .08 .192 .217 .270 .256 .311
Net Realized and Unrealized Gain (Loss)
on Investments 2.53 (4.160) .388 (1.145) 4.491 (1.007)
- -----------------------------------------------------------------------------------------------------------------
Total from Investment Operations 2.61 (3.968) .605 (.875) 4.747 (.696)
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.192) (.225) (.260) (.267) (.304)
Distributions from Realized Capital Gains -- -- -- (3.025) (2.080) (1.550)
- -----------------------------------------------------------------------------------------------------------------
Total Distributions -- (.192) (.225) (3.285) (2.347) (1.854)
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $18.27 $15.66 $19.82 $19.44 $23.60 $21.20
=================================================================================================================
TOTAL RETURN* 16.67% -20.02% 3.10% -2.67% 23.13% -2.61%
=================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $3,516 $2,943 $3,545 $3,577 $3,553 $2,768
Ratio of Total Expenses to
Average Net Assets 0.27%** 0.27% 0.27% 0.27% 0.25% 0.24%
Ratio of Net Investment Income to
Average Net Assets 0.98%** 1.11% 1.16% 1.17% 1.25% 1.39%
Portfolio Turnover Rate 43%+ 32% 39% 49% 42% 35%
=================================================================================================================
*Total returns do not reflect the 0.5% transaction fee on purchases through
March 31, 2000, or the $10 annual account maintenance fee applied on balances
under $10,000.
**Annualized.
+Annualized; includes activity related to a change in the fund's target index.
56
SMALL-CAP INDEX FUND ADMIRAL SHARES
=====================================================================================================
YEAR ENDED
SIX MONTHS ENDED DECEMBER 31, NOV. 13* TO
JUNE 30, ------------------- DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $15.66 $19.82 $19.44 $22.40
- -----------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .09 .207 .231 .053
Net Realized and Unrealized Gain (Loss) on Investments 2.53 (4.160) .388 .062
- -----------------------------------------------------------------------------------------------------
Total from Investment Operations 2.62 (3.953) .619 .115
- -----------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.207) (.239) (.265)
Distributions from Realized Capital Gains -- -- -- (2.810)
- -----------------------------------------------------------------------------------------------------
Total Distributions -- (.207) (.239) (3.075)
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $18.28 $15.66 $19.82 $19.44
=====================================================================================================
TOTAL RETURN 16.73% -19.95% 3.17% 1.75%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $752 $591 $547 $252
Ratio of Total Expenses to Average Net Assets 0.18%** 0.18% 0.20% 0.20%**
Ratio of Net Investment Income to Average Net Assets 1.07%** 1.22% 1.24% 1.79%**
Portfolio Turnover Rate 43%+ 32% 39% 49%
=====================================================================================================
*Inception.
**Annualized.
+Annualized; includes activity related to a change in the fund's target index.
57
FINANCIAL HIGHLIGHTS (continued)
SMALL-CAP INDEX FUND INSTITUTIONAL SHARES
=================================================================================================================
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED -------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $15.66 $19.82 $19.44 $23.61 $21.20 $23.75
- -----------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .10 .219 .251 .292 .295 .336
Net Realized and Unrealized Gain (Loss)
on Investments 2.53 (4.160) .388 (1.145) 4.491 (1.007)
- -----------------------------------------------------------------------------------------------------------------
Total from Investment Operations 2.63 (3.941) .639 (.853) 4.786 (.671)
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.219) (.259) (.292) (.296) (.329)
Distributions from Realized Capital Gains -- -- -- (3.025) (2.080) (1.550)
- -----------------------------------------------------------------------------------------------------------------
Total Distributions -- (.219) (.259) (3.317) (2.376) (1.879)
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $18.29 $15.66 $19.82 $19.44 $23.61 $21.20
=================================================================================================================
TOTAL RETURN* 16.79% -19.89% 3.27% -2.56% 23.33% -2.50%
=================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $795 $686 $584 $490 $415 $264
Ratio of Total Expenses to
Average Net Assets 0.10%** 0.10% 0.10% 0.13% 0.12% 0.12%
Ratio of Net Investment Income to
Average Net Assets 1.15%** 1.32% 1.34% 1.32% 1.37% 1.53%
Portfolio Turnover Rate 43%+ 32% 39% 49% 42% 35%
=================================================================================================================
*Total returns do not reflect the 0.5% transaction fee on purchases through
March 31, 2000.
**Annualized.
+Annualized; includes activity related to a change in the fund's target index.
58
SMALL-CAP GROWTH INDEX FUND INVESTOR SHARES
=================================================================================================================
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, APR. 20* TO
JUNE 30, ------------------------------------------ DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 1998
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.17 $10.87 $10.97 $11.38 $ 9.53 $10.00
- -----------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .01 .027 .009 .009 .025 .03
Net Realized and Unrealized Gain (Loss)
on Investments 1.32 (1.702) (.094) .154 1.860 (.47)
- -----------------------------------------------------------------------------------------------------------------
Total from Investment Operations 1.33 (1.675) (.085) .163 1.885 (.44)
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.025) (.015) (.003) (.035) (.03)
Distributions from Realized Capital Gains -- -- -- (.570) -- --
- -----------------------------------------------------------------------------------------------------------------
Total Distributions -- (.025) (.015) (.573) (.035) (.03)
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $10.50 $ 9.17 $10.87 $10.97 $11.38 $ 9.53
=================================================================================================================
TOTAL RETURN** 14.50% -15.41% -.78% 1.59% 19.80% -4.77%
=================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $504 $388 $357 $356 $167 $90
Ratio of Total Expenses to
Average Net Assets 0.27%+ 0.27% 0.27% 0.27% 0.25% 0.25%+
Ratio of Net Investment Income to
Average Net Assets 0.24%+ 0.24% 0.11% 0.03% 0.33% 0.63%+
Portfolio Turnover Rate 127%++ 61% 74% 136% 82% 77%
=================================================================================================================
*Subscription period for the fund was April 20, 1998, to May 20, 1998, during
which time all assets were held in money market instruments. Performance
measurement begins May 21, 1998.
**Total returns do not reflect transaction fees on purchases (0.5% from March 1,
1999, through March 31, 2002; 1.0% from inception through February 28, 1999) or
the $10 annual account maintenance fee applied on balances under $10,000.
+Annualized.
++Annualized; includes activity related to a change in the fund's target index.
Portfolio turnover rate excluding in-kind redemptions was 100%.
59
FINANCIAL HIGHLIGHTS (continued)
SMALL-CAP GROWTH INDEX FUND INSTITUTIONAL SHARES
=====================================================================================================
YEAR ENDED
SIX MONTHS ENDED DECEMBER 31, MAY 24* TO
JUNE 30, ------------------ DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.17 $10.87 $10.97 $11.03
- -----------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .02 .043 .024 .009
Net Realized and Unrealized Gain (Loss) on Investments 1.32 (1.702) (.094) .513
- -----------------------------------------------------------------------------------------------------
Total from Investment Operations 1.34 (1.659) (.070) .522
- -----------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.041) (.030) (.012)
Distributions from Realized Capital Gains -- -- -- (.570)
- -----------------------------------------------------------------------------------------------------
Total Distributions -- (.041) (.030) (.582)
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $10.51 $ 9.17 $10.87 $10.97
=====================================================================================================
TOTAL RETURN** 14.61% -15.26% -.64% 4.90%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $22 $104 $109 $73
Ratio of Total Expenses to Averge Net Assets 0.10%+ 0.10% 0.10% 0.13%+
Ratio of Net Investment Income to Average Net Assets 0.48%+ 0.41% 0.28% 0.10%+
Portfolio Turnover Rate 127%++ 61% 74% 136%
=====================================================================================================
*Inception.
**Total returns do not reflect the 0.5% transaction fee on purchases through
March 31, 2002.
+Annualized.
++Annualized; includes activity related to a change in the fund's target index.
Portfolio turnover rate excluding in-kind redemptions was 100%.
60
SMALL-CAP VALUE INDEX FUND INVESTOR SHARES
=================================================================================================================
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, APR. 20* TO
FOR A SHARE OUTSTANDING JUNE 30, ------------------------------------------ DEC. 31,
THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 1998
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $8.52 $10.29 $ 9.65 $8.45 $8.74 $10.00
- -----------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .07 .090 .074 .084 .065 .045
Net Realized and Unrealized Gain (Loss)
on Investments .77 (1.494) 1.176 1.698 .210 (1.250)
- -----------------------------------------------------------------------------------------------------------------
Total from Investment Operations .84 (1.404) 1.250 1.782 .275 (1.205)
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.090) (.065) (.082) (.070) (.055)
Distributions from Realized Capital Gains -- (.276) (.545) (.500) (.495) --
- -----------------------------------------------------------------------------------------------------------------
Total Distributions -- (.366) (.610) (.582) (.565) (.055)
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $9.36 $ 8.52 $10.29 $9.65 $8.45 $ 8.74
=================================================================================================================
TOTAL RETURN** 9.86% -14.20% 13.70% 21.88% 3.35% -12.47%
=================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,268 $1,176 $802 $317 $204 $113
Ratio of Total Expenses to
Average Net Assets 0.27%+ 0.27% 0.27% 0.27% 0.25% 0.25%+
Ratio of Net Investment Income to
Average Net Assets 1.54%+ 0.93% 0.97% 1.16% 0.96% 1.13%+
Portfolio Turnover Rate 98%++ 57% 59% 82% 80% 53%
=================================================================================================================
*Subscription period for the fund was April 20, 1998, to May 20, 1998, during
which time all assets were held in money market instruments. Performance
measurement begins May 21, 1998.
**Total returns do not reflect transaction fees on purchases (0.5% from March 1,
1999, through March 31, 2002; 1.0% from inception through February 28, 1999) or
the $10 annual account maintenance fee applied on balances under $10,000.
+Annualized.
++Annualized; includes activity related to a change in the fund's target index.
61
FINANCIAL HIGHLIGHTS (continued)
SMALL-CAP VALUE INDEX FUND INSTITUTIONAL SHARES
=================================================================================================================
YEAR ENDED
SIX MONTHS ENDED DECEMBER 31, DEC. 7* TO
JUNE 30, ---------------------------- DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $8.53 $10.29 $ 9.65 $8.45 $8.74
- -----------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .08 .114 .089 .097 .009
Net Realized and Unrealized Gain (Loss) on Investments .77 (1.494) 1.176 1.698 .226
- -----------------------------------------------------------------------------------------------------------------
Total from Investment Operations .85 (1.380) 1.265 1.795 .235
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.104) (.080) (.095) (.070)
Distributions from Realized Capital Gains -- (.276) (.545) (.500) (.455)
- -----------------------------------------------------------------------------------------------------------------
Total Distributions -- (.380) (.625) (.595) (.525)
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $9.38 $ 8.53 $10.29 $9.65 $8.45
=================================================================================================================
TOTAL RETURN** 9.96% -13.96% 13.86% 22.04% 2.83%
=================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $83 $338 $325 $86 $10
Ratio of Total Expenses to Average Net Assets 0.10%+ 0.10% 0.10% 0.13% 0.13%+
Ratio of Net Investment Income to Average Net Assets 1.68%+ 1.08% 1.14% 1.36% 1.37%+
Portfolio Turnover Rate 98%++ 57% 59% 82% 80%
=================================================================================================================
*Inception.
**Total returns do not reflect the 0.5% transaction fee on purchases through
March 31, 2002.
+Annualized.
++Annualized; includes activity related to a change in the fund's target index.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
62
NOTES TO FINANCIAL STATEMENTS
Vanguard Small-Cap Index, Small-Cap Growth Index, and Small-Cap Value Index
Funds are registered under the Investment Company Act of 1940 as open-end
investment companies, or mutual funds. The Small-Cap Index Fund offers three
classes of shares: Investor Shares, Admiral Shares, and Institutional Shares.
The Small-Cap Growth Index and Small-Cap Value Index Funds each offer two
classes of shares, Investor Shares and Institutional Shares. Investor Shares are
available to any investor who meets the fund's 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.
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. 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 by methods deemed by the board of trustees to
represent fair value. Temporary cash investments acquired over 60 days to
maturity are valued using the latest bid prices or using valuations based on a
matrix system (which considers such factors as security prices, yields,
maturities, and ratings), both as furnished by independent pricing services.
Other temporary cash investments are valued at amortized cost, which
approximates market value.
2. FUTURES CONTRACTS: The Small-Cap Index Fund uses Russell 2000 Index and
S&P MidCap 400 Index futures contracts to a limited extent, with the objectives
of maintaining full exposure to the stock market, enhancing returns, maintaining
liquidity, and minimizing transaction costs. The Small-Cap Index and Small-Cap
Value Index Funds also used index futures contracts to a limited extent during
May 2003, in connection with the transition to their new benchmark indexes. A
fund may purchase futures contracts to immediately invest incoming cash in the
market, or sell futures in response to cash outflows, thereby simulating a fully
invested position in the underlying index while maintaining a cash balance for
liquidity. A fund may seek to enhance returns by using futures contracts instead
of the underlying securities when futures are believed to be priced more
attractively than the underlying securities. The primary risks associated with
the use of futures contracts are imperfect correlation between changes in market
values of stocks held by the fund and the prices of futures contracts, and the
possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
3. REPURCHASE AGREEMENTS: The funds, along with other members of The
Vanguard Group, transfer 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.
63
NOTES TO FINANCIAL STATEMENTS (continued)
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. Fees assessed on purchases of capital
shares through March 31, 2002, were 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 net assets in
capital contributions to Vanguard. At June 30, 2003, the funds had contributed
capital to Vanguard (included in Other Assets) of:
================================================================================
CAPITAL CONTRIBUTION PERCENTAGE PERCENTAGE OF
TO VANGUARD OF FUND VANGUARD'S
INDEX FUND (000) NET ASSETS CAPITALIZATION
- --------------------------------------------------------------------------------
Small-Cap $852 0.02% 0.85%
Small-Cap Growth 85 0.02 0.08
Small-Cap Value 230 0.02 0.23
================================================================================
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.
During the six months ended June 30, 2003, the Small-Cap Growth Index and
Small-Cap Value Index Funds realized $20,834,000 and $12,094,000, respectively,
of net capital gains resulting from in-kind redemptions--in which shareholders
exchanged fund shares for securities held by the fund rather than for cash.
Because such gains are not taxable to the funds, and are not distributed to
shareholders, they have been reclassified from accumulated net realized gains to
paid-in capital.
64
The funds' tax-basis capital gains and losses are determined only at the
end of each fiscal year. For tax purposes, at December 31, 2002, the following
funds had tax-basis capital losses available to offset future net capital gains:
================================================================================
CAPITAL LOSSES
-----------------------------------------
EXPIRATION: FISCAL
AMOUNT YEAR(S) ENDING
INDEX FUND (000) DECEMBER 31
- --------------------------------------------------------------------------------
Small-Cap $166,823 2009-2011
Small-Cap Growth 129,023 2009-2011
Small-Cap Value 154,432 2010-2011
================================================================================
The funds will use these capital losses to offset net taxable capital gains, if
any, realized during the year ending December 31, 2003; should the funds realize
net capital losses for the year, the losses will be added to the loss
carryforward balances above.
At June 30, 2003, net unrealized appreciation of investment securities for
tax purposes was:
================================================================================
(000)
----------------------------------------------------------
NET UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION
INDEX FUND SECURITIES SECURITIES (DEPRECIATION)
- --------------------------------------------------------------------------------
Small-Cap $957,137 $(413,719) $543,418
Small-Cap Growth 64,783 (14,118) 50,665
Small-Cap Value 107,573 (40,424) 67,149
================================================================================
At June 30, 2003, the aggregate settlement value of open futures contracts
expiring in September 2003 and the related unrealized depreciation were:
================================================================================
(000)
-------------------------------------------------
AGGREGATE UNREALIZED
NUMBER OF SETTLEMENT APPRECIATION
INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
Small-Cap/Russell 2000 Index 88 $19,730 $(377)
Small-Cap/S&P MidCap 400 Index 25 6,003 (147)
================================================================================
Unrealized depreciation on open futures contracts is required to be treated as
realized loss for tax purposes.
D. During the six months ended June 30, 2003, purchases and sales of investment
securities other than temporary cash investments were:
================================================================================
(000)
--------------------------------
INDEX FUND PURCHASES SALES
- --------------------------------------------------------------------------------
Small-Cap $1,851,804 $1,697,721
Small-Cap Growth 486,200 515,731
Small-Cap Value 1,161,026 1,423,990
================================================================================
65
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
E. The market value of securities on loan to broker/dealers at June 30, 2003,
and collateral received with respect to such loans were:
================================================================================
(000)
---------------------------------------
Market Value Cash
of Loaned Collateral
Index Fund Securities Received
- --------------------------------------------------------------------------------
Small-Cap $235,643 $258,161
Small-Cap Growth 14,148 16,080
Small-Cap Value 45,120 50,206
================================================================================
The funds invest cash collateral received in repurchase agreements, and record a
liability for the The 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, 2003 DECEMBER 31, 2002
------------------ ------------------
AMOUNT SHARES AMOUNT SHARES
INDEX FUND (000) (000) (000) (000)
- -----------------------------------------------------------------------------------------------------
SMALL-CAP
Investor Shares
Issued $ 405,017 24,769 $ 969,210 52,655
Issued in Lieu of Cash Distributions -- -- 32,957 2,099
Redeemed (325,944) (20,234) (807,323) (45,694)
------------------------------------------------
Net Increase (Decrease)--Investor Shares 79,073 4,535 194,844 9,060
------------------------------------------------
Admiral Shares
Issued 133,087 8,047 360,338 19,812
Issued in Lieu of Cash Distributions -- -- 6,353 405
Redeemed (76,539) (4,615) (178,964) (10,091)
------------------------------------------------
Net Increase (Decrease)--Admiral Shares 56,548 3,432 187,727 10,126
------------------------------------------------
Institutional Shares
Issued 76,428 4,667 350,815 20,013
Issued in Lieu of Cash Distributions -- -- 7,773 495
Redeemed (78,282) (4,959) (109,008) (6,203)
------------------------------------------------
Net Increase (Decrease)--Institutional Shares (1,854) (292) 249,580 14,305
- -----------------------------------------------------------------------------------------------------
SMALL-CAP GROWTH
Investor Shares
Issued $ 103,191 10,896 $ 186,828 18,562
Issued in Lieu of Cash Distributions -- -- 853 93
Redeemed (49,029) (5,200) (89,126) (9,205)
------------------------------------------------
Net Increase (Decrease)--Investor Shares 54,162 5,696 98,555 9,450
------------------------------------------------
Institutional Shares
Issued 30,314 3,101 67,564 6,452
Issued in Lieu of Cash Distributions -- -- 457 50
Redeemed (114,315) (12,334) (48,987) (5,246)
------------------------------------------------
Net Increase (Decrease)--Institutional Shares (84,001) (9,233) 19,034 1,256
- -----------------------------------------------------------------------------------------------------
66
=====================================================================================================
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
------------------ ------------------
AMOUNT SHARES AMOUNT SHARES
INDEX FUND (000) (000) (000) (000)
- -----------------------------------------------------------------------------------------------------
Small-Cap Value
Investor Shares
Issued $ 196,037 23,145 $1,192,018 113,003
Issued in Lieu of Cash Distributions -- -- 35,943 3,594
Redeemed (215,749) (25,761) (514,720) (56,570)
Net Increase (Decrease)--Investor Shares (19,712) (2,616) 713,241 60,027
Institutional Shares
Issued 71,324 8,567 278,790 25,926
Issued in Lieu of Cash Distributions -- -- 14,995 1,481
Redeemed (323,513) (39,399) (174,970) (19,366)
------------------------------------------------
Net Increase (Decrease)--Institutional Shares (252,189) (30,832) 118,815 8,041
=====================================================================================================
67
================================================================================
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68
================================================================================
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(R) 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
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 the funds.
Among board members' responsibilities are selecting investment advisers for
the funds; monitoring fund operations, performance, and costs; reviewing
contracts; nominating and selecting new trustees/directors; and electing
Vanguard officers. The dates in parentheses below show when each trustee was
initially elected.
- --------------------------------------------------------------------------------
JOHN J. BRENNAN* (1987)
Chairman of the Board, Chief Executive Officer, and Director/Trustee of The
Vanguard Group, Inc., and of each of the investment companies served by The
Vanguard Group.
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
CHARLES D. ELLIS (2001)
The Partners of '63 (pro bono ventures in education); Senior Adviser to
Greenwich Associates (international business strategy consulting); Successor
Trustee of Yale University; Overseer of the Stern School of Business at New York
University; Trustee of the Whitehead Institute for Biomedical Research.
RAJIV L. GUPTA (2001)
Chairman and Chief Executive Officer (since October 1999), Vice Chairman
(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 HEISEN (1998)
Vice President, Chief Information Officer, and Member of the Executive Committee
of Johnson & Johnson (pharmaceuticals/consumer products); Director of the
Medical Center at Princeton and Women's Research and Education Institute.
BURTON G. MALKIEL (1977)
Chemical Bank Chairman's Professor of Economics, Princeton University; Director
of Vanguard Investment Series plc (Irish investment fund) (since November 2001),
Vanguard Group (Ireland) Limited (Irish investment management firm) (since
November 2001), Prudential Insurance Co. of America, BKF Capital (investment
management firm), The Jeffrey Co. (holding company), and NeuVis, Inc. (software
company).
ALFRED M. RANKIN, JR. (1993)
Chairman, President, Chief Executive Officer, and Director of NACCO Industries,
Inc. (forklift trucks/housewares/lignite); Director of Goodrich Corporation
(industrial products/aircraft systems and services); Director until 1998 of
Standard Products Company (a supplier for the automotive industry).
J. LAWRENCE WILSON (1985)
Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (chemicals);
Director of Cummins Inc. (diesel engines), MeadWestvaco Corp. (paper products),
and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt
University.
- --------------------------------------------------------------------------------
EXECUTIVE OFFICERS*
R. GREGORY BARTON
Secretary; Managing Director and General Counsel of The Vanguard Group, Inc.
(since September 1997); Secretary of The Vanguard Group and of each of the
investment companies served by The Vanguard Group; Principal of The Vanguard
Group (prior to September 1997).
THOMAS J. HIGGINS
Treasurer; Principal of The Vanguard Group, Inc.; Treasurer of each of 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.
F. WILLIAM MCNABB, III, Client Relationship Group.
JAMES H. GATELY, Investment Programs and Services.
MICHAEL S. MILLER, Planning and Development.
KATHLEEN C. GUBANICH, Human Resources.
RALPH K. PACKARD, Finance.
IAN A. MACKINNON, Fixed Income Group.
GEORGE U. SAUTER, Quantitative Equity Group.
- --------------------------------------------------------------------------------
JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996.
THE VANGUARD GROUP (R)
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Q482 082003
VANGUARD(R) U.S. STOCK INDEX FUNDS
MID-CAPITALIZATION PORTFOLIOS
SEMIANNUAL REPORT
JUNE 30, 2003
[GRAPHIC]
VANGUARD(R) EXTENDED MARKET INDEX FUND
VANGUARD(R) MID-CAP INDEX FUND
[LOGO]
THE VANGUARD GROUP(R)
ETERNAL PRINCIPLES
Markets change, but the principles of successful investing do not. During
the past few years, radical upheaval in the stock market has displayed the power
of this simple truth to dramatic effect.
In the late 1990s, stocks experienced one of the greatest bull markets in
financial history. Then, in March 2000, the longest downturn since the Great
Depression began.
In both bull and bear markets, however, the principles of successful
investing are identical: balance, diversification, and attention to costs.
Balance among stock, bond, and money market funds allows you to pursue long-term
growth while moderating your risk. Diversification limits your exposure to the
disasters that can befall any one security or sector. Attention to costs means
you keep a larger share of any rewards produced by your investments.
These principles are timeless. In fact, they're the basis of our very first
mutual fund--Vanguard(R) Wellington(TM) Fund, a balanced portfolio established
in 1929. Over time, balance, diversification, and attention to costs have proven
to be the master keys to investment success.
================================================================================
SUMMARY
- --------------------------------------------------------------------------------
* During the first half of 2003, the Investor Shares of Vanguard Extended
Market Index Fund returned 17.3% and those of Vanguard Mid-Cap Index Fund
returned 11.1%.
* The Extended Market Index Fund outperformed the average mid-cap core fund
by a substantial margin, but the Mid-Cap Index Fund lagged the same peer
fund.
* The Extended Market Index Fund's exposure to small-capitalization stocks
enhanced its performance in the period.
- --------------------------------------------------------------------------------
CONTENTS
- --------------------------------------------------------------------------------
1 Letter from the Chairman
6 Fund Profiles
8 Glossary of Investment Terms
9 Performance Summaries
11 Financial Statements
- --------------------------------------------------------------------------------
[LOGO]
[INDEXED TO MSCI(R)
MID-CAP INDEX FUND
- --------------------------------------------------------------------------------
LETTER FROM THE CHAIRMAN
Fellow Shareholder,
The stock market surged during the first half of 2003, with small-capitalization
stocks generally faring best. In this environment, the Investor Shares of
Vanguard Extended Market Index Fund and Vanguard Mid-Cap Index Fund posted
six-month returns of 17.3% and 11.1%, respectively. The funds met their
objective of closely tracking their respective target indexes. In addition, the
Extended Market Index Fund outperformed the average mid-cap core mutual fund by
almost 4 percentage points, reflecting its exposure to the small-cap stocks that
led the market. The Mid-Cap Index Fund, however, lagged the same peer.
- --------------------------------------------
TOTAL RETURNS Six Months Ended
June 30, 2003
- --------------------------------------------
VANGUARD EXTENDED MARKET INDEX FUND
Investor Shares 17.3%
Admiral Shares 17.3
Institutional Shares 17.4
VIPER Shares
Market Price 17.2
Net Asset Value 17.3
Average Mid-Cap Core Fund* 13.6
Wilshire 4500 Completion Index 17.5
- --------------------------------------------
VANGUARD MID-CAP INDEX FUND
Investor Shares 11.1%
Admiral Shares 11.2
Institutional Shares 11.2
Average Mid-Cap Core Fund* 13.6
Spliced Mid Cap Index** 10.8
- --------------------------------------------
*Derived from data provided by Lipper Inc.
**S&P MidCap 400 Index until May 16, 2003;
MSCI US Mid Cap 450 Index thereafter.
The table at left shows the total returns for the funds' various share
classes, their target indexes, and the average mid-cap core fund. As you know,
as of mid-May, the Mid-Cap Index Fund started tracking the Morgan Stanley
Capital International (MSCI) US Mid Cap 450 Index instead of the Standard &
Poor's MidCap 400 Index. See page 3 for details on the reasons for the switch.
The "spliced" index in the table, which is made up of the fund's old and new
target indexes, reflects this change.
Each fund's total returns are based on the change in net asset value during
the half-year plus any income dividends. The table on page 5 provides details.
STOCKS RALLIED DESPITE WAR
The war with Iraq, a lackluster economy, and rising unemployment did little to
impede the U.S. stock market during the half-year ended June 30, 2003. Indeed,
the start of the war in mid-March marked the beginning of a sharp rally in
stocks. For the first half of 2003, the overall U.S. stock market, as
----
1
measured by the Wilshire 5000 Total Market Index, returned a stellar 12.9%.
The gain was virtually universal, with all market segments and industrial
sectors posting positive returns. Small-cap stocks outperformed large-caps. And
according to most (but not all) style-based indexes, growth stocks, whose prices
reflect expectations for above-average earnings growth, outpaced value stocks
(those that generally trade at below-average valuations relative to earnings,
book values, or other measures). Technology and consumer discretionary stocks
(such as retailers and restaurants) were among the biggest winners, with each
sector returning more than 17%.
- --------------------------------------------------------------------------------
MARKET BAROMETER TOTAL RETURNS
PERIODS ENDED JUNE 30, 2003
---------------------------
SIX ONE FIVE
MONTHS YEAR YEARS*
- --------------------------------------------------------------------------------
STOCKS
Russell 1000 Index (Large-caps) 12.3% 1.0% -1.2%
Russell 2000 Index (Small-caps) 17.9 -1.6 1.0
Wilshire 5000 Index (Entire market) 12.9 1.3 -1.3
MSCI All Country World Index Free
ex USA (International) 11.1 -4.2 -2.8
- --------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index 3.9% 10.4% 7.5%
(Broad taxable market)
Lehman Municipal Bond Index 3.8 8.7 6.3
Citigroup 3-Month Treasury Bill Index 0.6 1.4 3.9
================================================================================
CPI
Consumer Price Index 1.5% 2.1% 2.4%
- --------------------------------------------------------------------------------
*Annualized.
Almost without exception, markets overseas also contributed to the bounty.
The MSCI All Country World Index Free ex USA returned 11.1% in U.S. dollars,
with emerging markets posting the highest returns.
- --------------------------------------
ADMIRAL(TM) 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.
VIPER(R) SHARES
Traded on the American Stock
Exchange, VIPERs(R) are
available only through brokers.
The table on page 1 shows
VIPER returns based on both
the AMEX market price and
the net asset value for a share.
- -----------------------------------------
BONDS ALSO RALLIED; INTEREST RATES FELL TO 45-YEAR LOWS
In the fixed income arena, risk was rewarded during the six months. The lower
the credit rating of the bond issuer, the higher the return. The Lehman Brothers
High Yield Bond Index surged 18.5%--well above the still-respectable six-month
return of 3.9% for the overall bond market, as measured by the Lehman Aggregate
Bond Index. During the half-year, the yield of the 10-year U.S. Treasury note
fell 30 basis points (0.30 percentage point) to 3.51%, as bond prices rose.
Meanwhile, short-term interest rates fell to their lowest levels in 45
years. In late June, citing concerns about sustainable economic growth and
potential deflation, the Federal Reserve Board lowered the target for the
federal funds rate (the interest rate charged for overnight loans between banks)
by
- -----
2
25 basis points to 1.00%. It was the 13th rate cut in 21/2 years. The yield of
the 3-month Treasury bill--a fair proxy for money market yields, tracking Fed
moves with a lag--fell 34 basis points during the six months to 0.85%, well
below the inflation rate.
SMALLER, MORE SPECULATIVE STOCKS LED THE MARKET
Looking at the two Vanguard index funds, you would be hard-pressed to find a
sector that didn't do well.
Of the 12 sectors in the EXTENDED MARKET INDEX FUND, 9 posted double-digit
returns for the six months, with health care stocks--which gained almost
31%--turning in the best performance. While health care posted the highest
result, two other sectors--financial services and consumer discretionary, with
returns of 14% and 20%, respectively--had a greater impact on the fund's
performance because of their larger weightings in the index. (Financial services
stocks accounted for about one-quarter of the fund's assets on average during
the six months, and consumer discretionary stocks more than one-fifth.)
Technology stocks also provided a big boost with a 28% return. Because the
Extended Market Index Fund tracks the Wilshire 4500 Index, which includes
small-cap stocks as well as mid-caps, that fund had a leg up on both the Mid-Cap
Index Fund and the average peer fund during the past six months.
- --------------------------------------------------------------------------------
All sectors within the two funds rose during the six months, with health care
leading the pack.
- --------------------------------------------------------------------------------
In absolute terms, the MID-CAP INDEX FUND also had a stellar half-year,
with no sector turning in anything less than a 4% gain. Health care stocks again
posted the highest result (+25%), and four other sectors recorded double-digit
returns. However, the fund lagged not just its sibling fund, but also the
average mid-cap core fund. This shortfall partly reflects the makeup of the
fund's previous benchmark, as well as the average peer's tendency to hold
smaller stocks. As mentioned earlier, until recently, the Mid-Cap Index Fund
tracked the S&P MidCap 400 Index, which generally excludes companies with less
than four quarters of operating profits. That eliminated many of the more
speculative stocks that benefited most from the rebound during the half-year. We
should note that this "handicap" was a boon to the fund's performance relative
to its sibling and the average peer for much of the previous three years, when
those same speculative stocks were pummeled.
The Mid-Cap Index Fund is now tracking the MSCI US Mid Cap 450 Index, which
we feel has superior characteristics. Most notably, the MSCI index's turnover
should be even lower than that of the previous index, which means potentially
lower costs over the long run. Also, its adoption as the fund's target index
should result in the fund's return being more closely aligned with those of
actively managed mid-cap funds. The latter characteristic means that,
-----
3
in the future, costs rather than index methodology will play an even greater
role in the fund's results relative to competing funds. And when it comes to
costs, Vanguard has an advantage: The Investor Shares of the Mid-Cap Index Fund
had an annualized expense ratio (operating costs as a percentage of average net
assets) of 0.26% during the half-year--a mere fraction of the 1.39% charged by
the average competitor.
THE VALUE OF DIVERSIFICATION
The stock market's performance in the past several years--the height of the
dot-com boom, followed by the long bear market and the recent resurgence of
equities--reminds us of the value of diversification, both across and within
asset classes. Maintaining a balanced portfolio through such times can be a
struggle, as the returns of certain asset classes or market segments tend to
either tempt or repel investors. The balanced investor will never be at the top
of the heap at any one moment--after all, one asset class will always do better
than another--but he or she will likely still enjoy much of the gains of the
financial markets without plunging to their depths. The Extended Market and
Mid-Cap Index Funds can be valuable components of such a balanced portfolio,
providing low-cost exposure to smaller companies within the U.S. equity market.
Thank you for entrusting your hard-earned money to us.
Sincerely,
/S/ John J. Brennan
John J. Brennan
Chairman and Chief Executive Officer
July 14, 2003
- -----
4
================================================================================
YOUR FUND'S PERFORMANCE AT A GLANCE December 31, 2002-June 30, 2003
DISTRIBUTIONS PER SHARE
-------------------------
STARTING ENDING INCOME CAPITAL
SHARE PRICE SHARE PRICE DIVIDENDS GAINS
- --------------------------------------------------------------------------------
EXTENDED MARKET INDEX FUND
Investor Shares $18.74 $21.98 $0.002 $0.000
Admiral Shares 18.74 21.98 0.005 0.000
Institutional Shares 18.74 21.99 0.007 0.000
VIPER Shares 49.46 58.01 0.018 0.000
- --------------------------------------------------------------------------------
MID-CAP INDEX FUND
Investor Shares $ 9.88 $10.98 $0.000 $0.000
Admiral Shares 44.81 49.82 0.000 0.000
Institutional Shares 9.90 11.01 0.000 0.000
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
EXTENDED MARKET INDEX FUND VIPER SHARES
Premium/Discount: December 31, 2002-June 30, 2003
CLOSING PRICE
ABOVE OR EQUAL TO CLOSING PRICE BELOW
CLOSING NET ASSET VALUE CLOSING NET ASSET VALUE
----------------------- -----------------------
NUMBER PERCENTAGE OF NUMBER PERCENTAGE OF
BASIS POINT DIFFERENTIAL* OF DAYS TOTAL DAYS OF DAYS TOTAL DAYS
- --------------------------------------------------------------------------------
0-24.9 47 37.90% 63 50.80%
25-49.9 5 4.03 7 5.65
50-74.9 1 0.81 0 0.00
75-100.0 1 0.81 0 0.00
>100.0 0 0.00 0 0.00
- --------------------------------------------------------------------------------
Total 54 43.55% 70 56.45%
- --------------------------------------------------------------------------------
*1 basis point equals 1/100th of 1%.
----
5
- --------------------------------------------------------------------------------
FUND PROFILES As of June 30, 2003
These Profiles provide snapshots of each fund's characteristics, compared where
appropriate with an unmanaged target index and a broad market index. Key terms
are defined on page 8.
EXTENDED MARKET INDEX FUND
- ------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET BROAD
FUND INDEX* INDEX**
- ------------------------------------------------------------------
Number of Stocks 3,232 4,908 5,403
Median Market Cap $1.7B $1.7B $27.7B
Price/Earnings Ratio 27.4x 27.4x 21.8x
Price/Book Ratio 2.1x 2.1x 2.7x
Yield 1.2% 1.6%
Investor Shares 1.0%
Admiral Shares 1.0%
Institutional Shares 1.1%
VIPER Shares 1.0%
Return on Equity 11.7% 11.7% 20.5%
Earnings Growth Rate 8.2% 8.2% 8.6%
Foreign Holdings 0.3% 0.9% 0.9%
Turnover Rate 11%+ -- --
Expense Ratio -- --
Investor Shares 0.26%+
Admiral Shares 0.20%+
Institutional Shares 0.10%+
VIPER Shares 0.20%+
Cash Investments 0.0% -- --
- ------------------------------------------------------------------
- -----------------------------------------------------
TEN LARGEST HOLDINGS (% of total net assets)
Berkshire Hathaway Inc. Class A 3.5%
(financial services)
Liberty Media Corp. 1.2
(media)
InterActiveCorp 0.8
(retail)
Cox Communications, Inc. Class A 0.8
(telecommunications)
Genentech, Inc. 0.6
(biotechnology)
Amazon.com, Inc. 0.6
(retail)
General Motors Corp. Class H 0.6
(telecommunications)
Gilead Sciences, Inc. 0.5
(pharmaceuticals)
Fox Entertainment Group, Inc. Class A 0.4
(entertainment)
M & T Bank Corp. 0.4
(banking)
- -----------------------------------------------------
Top Ten 9.4%
- -----------------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- -------------------------------------------------------------------
VOLATILITY MEASURES
TARGET BROAD
FUND INDEX* FUND INDEX**
- --------------------------------------------------------------------
R-Squared 1.00 1.00 0.87 1.00
Beta 1.00 1.00 1.19 1.00
- --------------------------------------------------------------------
- ----------------------------
INVESTMENT FOCUS
[CHART]
Market Cap Medium
Style Blend
- ----------------------------
- ------------------------------------------------------------------
SECTOR DIVERSIFICATION (% of portfolio)
TARGET BROAD
FUND INDEX* INDEX**
- ------------------------------------------------------------------
Auto & Transportation 2.8% 2.8% 2.6%
Consumer Discretionary 21.9 21.9 15.7
Consumer Staples 2.8 2.8 6.9
Financial Services 24.9 24.9 22.3
Health Care 12.5 12.5 14.3
Integrated Oils 0.2 0.2 3.5
Other Energy 4.7 4.7 2.3
Materials & Processing 5.4 5.4 3.6
Producer Durables 4.9 4.9 4.0
Technology 10.5 10.5 13.5
Utilities 5.2 5.2 7.1
Other 4.2 4.2 4.2
- ------------------------------------------------------------------
*Wilshire 4500 Index.
**Wilshire 5000 Index.
+Annualized.
- ---
6
MID-CAP INDEX FUND
- ------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET BROAD
FUND INDEX* INDEX**
- ------------------------------------------------------------------
Number of Stocks 452 451 5,403
Median Market Cap $3.8B $3.8B $27.7B
Price/Earnings Ratio 21.8x 21.8x 21.8x
Price/Book Ratio 2.2x 2.2x 2.7x
Yield 1.5% 1.6%
Investor Shares 1.2%
Admiral Shares 1.3%
Institutional Shares 1.4%
Return on Equity 14.8% 14.8% 20.5%
Earnings Growth Rate 9.3% 9.3% 8.6%
Foreign Holdings 0.5% 0.5% 0.9%
Turnover Rate 86%+ -- --
Expense Ratio -- --
Investor Shares 0.26%++
Admiral Shares 0.18%++
Institutional Shares 0.10%++
Cash Investments 0.0% -- --
- ----------------------------------------------------
TEN LARGEST HOLDINGS (% of total net assets)
PG&E Corp. 0.6%
(electric utilities)
Xerox Corp. 0.6
(electronic business equipment)
AmerisourceBergen Corp. 0.6
(pharmaceuticals)
PPL Corp. 0.6
(electric utilities)
PACCAR, Inc. 0.5
(automotive and transport)
Apple Computer, Inc. 0.5
(computer technology)
TXU Corp. 0.5
(electric utilities)
Caremark Rx, Inc. 0.5
(health care)
CIGNA Corp. 0.5
(insurance)
CSX Corp. 0.5
(railroad)
- ----------------------------------------------------
Top Ten 5.4%
- ----------------------------------------------------
The "Ten Largest Holdings" excludes any temp orary cash investments and equity
index products.
- ------------------------------------------------------------------
VOLATILITY MEASURES
SPLICED BROAD
FUND INDEX+++ FUND INDEX**
- ------------------------------------------------------------------
R-Squared 1.00 1.00 0.86 1.00
Beta 1.00 1.00 0.98 1.00
- ------------------------------------------------------------------
- ----------------------------
INVESTMENT FOCUS
[CHART]
Market Cap Medium
Style Blend
- ----------------------------
- ------------------------------------------------------------------
SECTOR DIVERSIFICATION (% of portfolio)
TARGET BROAD
FUND INDEX* INDEX**
- ------------------------------------------------------------------
Auto & Transportation 2.8% 2.8% 2.6%
Consumer Discretionary 18.2 18.2 15.7
Consumer Staples 3.1 3.1 6.9
Financial Services 22.4 22.4 22.3
Health Care 9.5 9.5 14.3
Integrated Oils 0.6 0.6 3.5
Other Energy 5.8 5.8 2.3
Materials & Processing 6.4 6.4 3.6
Producer Durables 6.4 6.4 4.0
Technology 13.4 13.4 13.5
Utilities 9.4 9.4 7.1
Other 2.0 2.0 4.2
- ------------------------------------------------------------------
*MSCI US Mid Cap 450 Index.
**Wilshire 5000 Index.
+Annualized; includes activity related to a change in the fund's target index.
++Annualized.
+++S&P MidCap 400 Index until May 16, 2003; MSCI US Mid Cap 450 Index
thereafter.
Visit our website at
www.vanguard.com
for regularly updated fund information.
-----
7
- --------------------------------------------------------------------------------
GLOSSARY OF INVESTMENT TERMS
BETA. A measure of the magnitude of a fund's past share-price fluctuations in
relation to the ups and downs of the fund's target index or an overall market
index. Each 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%.
- --------------------------------------------------------------------------------
CASH INVESTMENTS. The percentage of a fund's net assets invested in "cash
equivalents"--highly liquid, short-term, interest-bearing securities. This
figure does not include cash invested in futures contracts or other equity index
products to simulate stock investment.
- --------------------------------------------------------------------------------
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 American Depositary Receipts of companies based outside the United States.
- --------------------------------------------------------------------------------
MEDIAN MARKET CAP. An indicator of the size of companies in which a fund
invests; the midpoint of market capitalization (market price x shares
outstanding) of a fund's stocks, weighted by the proportion of the fund's assets
invested in each stock. Stocks representing half of the fund's assets have
market capitalizations above the median, and the rest are below it.
- --------------------------------------------------------------------------------
PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book
value, per share. For a fund, the weighted average price/book ratio of the
stocks it holds.
- --------------------------------------------------------------------------------
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 the fund's target index
or by an overall market 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.
- --------------------------------------------------------------------------------
TURNOVER RATE. An indication of the fund's trading activity. Funds with high
turnover rates incur higher transaction costs and are more likely to distribute
capital gains (which are 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
dividends paid on stocks in the index.
- --------------------------------------------------------------------------------
- ---
8
PERFORMANCE SUMMARIES As of June 30, 2003
All of the returns in this report represent past performance, which cannot be
used to predict future returns that may be achieved by the funds. Note, too,
that both share price and return can fluctuate widely. An investor's shares,
when redeemed, 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 redemption of fund shares.
EXTENDED MARKET INDEX FUND
- --------------------------------------------------------------------------------
Fiscal-Year Total Returns (%) December 31, 1992-June 30, 2003
[BAR CHART]
EXTENDED MARKET
FISCAL INDEX FUND WILSHIRE 4500
YEAR INVESTOR SHARES INDEX
-------------------------------------------
1993 14.5 14.6
1994 -1.8 -2.7
1995 33.8 33.5
1996 17.6 17.2
1997 26.7 25.7
1998 8.3 8.6
1999 36.2 35.5
2000 -15.5 -15.8
2001 -9.1 -9.3
2002 -18.1 -17.8
2003* 17.3 17.5
- --------------------------------------------------------------------------------
*Six months ended June 30, 2003.
Note: See Financial Highlights tables on pages 54-57 for dividend and capital
gains information.
- ------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS for periods ended June 30, 2003
TEN YEARS
ONE FIVE ------------------------
INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL
- ------------------------------------------------------------------------------------------
EXTENDED MARKET INDEX FUND
Investor Shares* 12/21/1987 4.88% -0.05% 7.55% 1.21% 8.76%
Admiral Shares 11/13/2000 4.91 -6.56** -- -- --
Institutional Shares 7/7/1997 5.02 0.10 2.30** 1.17** 3.47**
VIPER Shares 12/27/2001 4.91 -2.51** -- -- --
- ------------------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Returns since inception.
----
9
PERFORMANCE SUMMARIES (continued)
MID-CAP INDEX FUND
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) May 21, 1998-June 30, 2003
[BAR CHART]
MID-CAP INDEX
FISCAL FUND SPLICED
YEAR INVESTOR SHARES MID CAP INDEX**
-------------------------------------------------
1998 8.6 7.8
1999 15.3 14.7
2000 18.1 17.5
2001 -0.5 -0.6
2002 -14.6 -14.5
2003** 11.1 10.8
- --------------------------------------------------------------------------------
*S&P MidCap 400 Index until May 16, 2003; MSCI US Mid Cap 450 Index thereafter.
**Six months ended June 30, 2003.
Note: See Financial Highlights tables on pages 58-60 for dividend and capital
gains information.
- ------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS for periods ended June 30, 2003
TEN YEARS
ONE FIVE ------------------------
INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL
- ------------------------------------------------------------------------------------------
MID-CAP INDEX FUND
Investor Shares* 5/21/1998 -1.90% 7.22% 6.06% 0.69% 6.75%
Admiral Shares 11/12/2001 -1.80 1.63** -- -- --
Institutional Shares 5/21/1998 -1.75 7.39 6.11 0.80 6.91
- ------------------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Return since inception.
- ---
10
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS June 30, 2003 (unaudited)
STATEMENT OF NET ASSETS
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. Common stocks
are listed in descending market-value order. Temporary cash investments and
other assets are added to, and liabilities are subtracted from, the value of
Total Common Stocks 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, 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.
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
COMMON STOCKS (98.2%)(1)
- -------------------------------------------------------------------------------------------------------
* Berkshire Hathaway Inc. Class A 2,387 173,058
* Liberty Media Corp. 5,055,175 58,438
* InterActiveCorp 1,073,473 42,477
* Cox Communications, Inc. Class A 1,216,845 38,817
* Genentech, Inc. 451,336 32,550
* Amazon.com, Inc. 805,136 29,379
* General Motors Corp. Class H 2,267,105 29,042
* Gilead Sciences, Inc. 410,852 22,835
* Fox Entertainment Group, Inc.Class A 722,143 20,783
M & T Bank Corp. 245,086 20,641
Kraft Foods Inc. 571,951 18,617
* EchoStar Communications Corp.Class A 500,984 17,344
E.W. Scripps Co. Class A 165,171 14,654
Washington Post Co. Class B 19,671 14,417
* Caremark Rx, Inc. 534,928 13,737
Mylan Laboratories, Inc. 375,508 13,056
UnionBanCal Corp. 307,699 12,730
* Affiliated Computer Services, Inc. Class A 272,383 12,456
* Weatherford International Ltd. 275,926 11,561
* CNA Financial Corp. 460,054 11,317
GlobalSantaFe Corp. 476,826 11,129
* Express Scripts Inc. 160,464 10,963
* IDEC Pharmaceuticals Corp. 319,562 10,865
CIT Group Inc. 434,901 10,720
* MGM Mirage, Inc. 312,264 10,673
Popular, Inc. 272,222 10,505
Microchip Technology, Inc. 419,331 10,328
Hudson City Bancorp, Inc. 394,056 10,076
ProLogis REIT 368,246 10,053
Vornado Realty Trust REIT 229,395 10,002
Green Point Financial Corp. 196,095 9,989
* Weight Watchers International, Inc. 219,174 9,970
Murphy Oil Corp. 188,758 9,929
* Millennium Pharmaceuticals, Inc. 612,270 9,631
* Juniper Networks, Inc. 778,066 9,625
* Synopsys, Inc. 154,258 9,541
Lennar Corp. Class A 131,290 9,387
* Cablevision Systems-NY Group Class A 451,011 9,363
National Commerce Financial Corp. 421,026 9,343
* DST Systems, Inc. 244,074 9,275
* Coach, Inc. 185,954 9,249
* BEA Systems, Inc. 850,726 9,239
Compass Bancshares Inc. 263,370 9,200
Royal Caribbean Cruises, Ltd. 396,789 9,190
* Laboratory Corp. of America Holdings 301,135 9,079
Total System Services, Inc. 403,098 8,989
Archstone-Smith Trust REIT 373,846 8,972
* Barr Laboratories, Inc. 136,522 8,942
* Dean Foods Co. 278,656 8,778
----
11
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
Public Storage, Inc. REIT 257,891 8,735
Legg Mason Inc. 133,567 8,675
Boston Properties, Inc. REIT 197,810 8,664
Estee Lauder Cos. Class A 254,951 8,549
* L-3 Communications Holdings, Inc. 196,546 8,548
Banknorth Group, Inc. 334,713 8,542
Valero Energy Corp. 234,828 8,531
Old Republic International Corp. 248,203 8,506
Fidelity National Financial, Inc. 275,816 8,484
D. R. Horton, Inc. 301,241 8,465
New York Community Bancorp, Inc. 288,930 8,405
Sovereign Bancorp, Inc. 536,599 8,398
ENSCO International, Inc. 306,843 8,254
Kimco Realty Corp. REIT 215,183 8,155
General Growth Properties Inc. REIT 129,289 8,073
* Varian Medical Systems, Inc. 140,044 8,062
* CDW Corp. 172,615 7,906
* Health Net Inc. 237,004 7,809
SCANA Corp. 227,072 7,784
Tyson Foods, Inc. 720,998 7,657
* Smith International, Inc. 208,259 7,651
Duke Realty Corp. REIT 277,724 7,651
* Republic Services, Inc. Class A 336,451 7,627
XTO Energy, Inc. 376,260 7,567
* Mohawk Industries, Inc. 135,679 7,534
* Intersil Corp. 282,344 7,513
* Dollar Tree Stores, Inc. 235,507 7,473
Transatlantic Holdings, Inc. 108,033 7,470
iStar Financial Inc. REIT 203,977 7,445
Expeditors International of Washington, Inc. 214,695 7,437
* Westwood One, Inc. 215,268 7,304
* Oxford Health Plans, Inc. 171,503 7,208
* Brinker International, Inc. 199,260 7,177
* IVAX Corp. 399,714 7,135
* SPX Corp. 161,532 7,117
* AdvancePCS 185,883 7,106
Radian Group, Inc. 191,840 7,031
Wisconsin Energy Corp. 239,679 6,951
Rouse Co. REIT 181,669 6,922
SEI Corp. 216,073 6,914
* Williams-Sonoma, Inc. 235,696 6,882
Omnicare, Inc. 203,011 6,860
* VeriSign, Inc. 492,909 6,817
* Lincare Holdings, Inc. 216,044 6,808
White Mountains Insurance Group Inc. 17,229 6,805
Ross Stores, Inc. 158,996 6,795
* WebMD Corp. 626,651 6,787
Hormel Foods Corp. 284,851 6,751
* Pixar, Inc. 109,467 6,660
Pepco Holdings, Inc. 347,275 6,654
DENTSPLY International Inc. 162,331 6,639
* Cadence Design Systems, Inc. 550,226 6,636
Doral Financial Corp. 148,354 6,624
ServiceMaster Co. 615,358 6,584
* Smurfit-Stone Container Corp. 504,846 6,578
* Career Education Corp. 95,971 6,566
* Iron Mountain, Inc. 175,851 6,522
* Ameritrade Holding Corp. 873,276 6,471
Diebold, Inc. 148,527 6,424
* Expedia Inc. 84,036 6,419
Hillenbrand Industries, Inc. 127,099 6,412
* CarMax, Inc. 212,644 6,411
* Patterson Dental Co. 140,109 6,358
* Level 3 Communications, Inc. 954,507 6,338
* The Dun & Bradstreet Corp. 153,879 6,324
* Pioneer Natural Resources Co. 240,512 6,277
* Metro-Goldwyn-Mayer Inc. 505,248 6,275
* Lear Corp. 135,974 6,258
* E*TRADE Group, Inc. 735,846 6,255
Energy East Corp. 300,458 6,237
First Virginia Banks, Inc. 144,324 6,223
* Lamar Advertising Co. Class A 176,226 6,205
C.H. Robinson Worldwide, Inc. 173,610 6,174
* ChoicePoint Inc. 177,544 6,129
* NVR, Inc. 14,832 6,096
Outback Steakhouse 155,438 6,062
W.R. Berkley Corp. 113,878 6,001
Telephone & Data Systems, Inc. 120,280 5,978
TCF Financial Corp. 149,912 5,972
Avalonbay Communities, Inc. REIT 139,241 5,937
Manpower Inc. 159,359 5,911
* Constellation Brands, Inc. Class A 187,822 5,898
Hibernia Corp. Class A 323,233 5,870
Bunge Ltd. 205,035 5,864
* Whole Foods Market, Inc. 122,628 5,828
Neuberger Berman Inc. 144,484 5,766
* SanDisk Corp. 142,771 5,761
* Storage Technology Corp. 222,569 5,729
* Abercrombie & Fitch Co. 201,637 5,729
* Hispanic Broadcasting Corp. 223,894 5,698
* PanAmSat Corp. 308,877 5,693
Questar Corp. 169,982 5,689
* Cooper Cameron Corp. 112,590 5,672
A.G. Edwards & Sons, Inc. 165,329 5,654
Erie Indemnity Co. Class A 136,614 5,635
Diamond Offshore Drilling, Inc. 268,359 5,633
* Park Place Entertainment Corp. 619,178 5,628
Associated Banc-Corp 152,582 5,627
* Energizer Holdings, Inc. 177,983 5,589
Mercantile Bankshares Corp. 141,829 5,585
- ----
12
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Coventry Health Care Inc. 120,851 5,578
Liberty Property Trust REIT 161,139 5,575
* JetBlue Airways Corp. 131,755 5,572
The McClatchy Co. Class A 94,639 5,453
* Rent-A-Center, Inc. 71,886 5,450
Pogo Producing Co. 127,374 5,445
* First Health Group Corp. 196,644 5,427
Allied Capital Corp. 233,647 5,397
* Patterson-UTI Energy, Inc. 165,353 5,357
Commerce Bancshares, Inc. 136,241 5,307
Fastenal Co. 156,188 5,301
Commerce Bancorp, Inc. 142,169 5,274
Harman International Industries, Inc. 66,503 5,263
* Michaels Stores, Inc. 137,690 5,240
Equitable Resources, Inc. 128,461 5,234
Health Care Properties Investors REIT 123,570 5,233
* Markel Corp. 20,362 5,213
Belo Corp. Class A 232,553 5,200
Nuveen Investments, Inc.Class A 190,328 5,185
* Entercom Communications Corp. 105,785 5,185
* Ceridian Corp. 305,242 5,180
Fair, Isaac, Inc. 100,674 5,180
* Smithfield Foods, Inc. 225,271 5,163
Student Loan Corp. 40,966 5,162
* Pride International, Inc. 274,006 5,157
Valley National Bancorp 195,201 5,144
Beckman Coulter, Inc. 125,840 5,114
MDU Resources Group, Inc. 152,663 5,113
Mercury General Corp. 111,896 5,108
* Mid Atlantic Medical Services, Inc. 97,126 5,080
* Celgene Corp. 166,798 5,071
Arthur J. Gallagher & Co. 185,042 5,033
Developers Diversified Realty Corp. REIT 176,016 5,006
* Host Marriott Corp. REIT 544,521 4,982
NSTAR 109,224 4,975
* 99 Cents Only Stores 144,599 4,963
* Hearst-Argyle Television Inc. 190,881 4,944
The PMI Group Inc. 183,890 4,936
* SICOR, Inc. 242,455 4,932
The St. Joe Co. 157,068 4,901
* Krispy Kreme Doughnuts, Inc. 118,761 4,891
* Zebra Technologies Corp. Class A 64,651 4,861
* PETsMART, Inc. 290,948 4,850
* Jacobs Engineering Group Inc. 114,406 4,822
* ImClone Systems, Inc. 151,932 4,804
Sonoco Products Co. 199,629 4,795
* Gentex Corp. 156,549 4,792
* Universal Health Services Class B 120,551 4,776
* Henry Schein, Inc. 91,232 4,775
AMB Property Corp. REIT 169,390 4,772
* LAM Research Corp. 261,084 4,754
Astoria Financial Corp. 170,055 4,750
* Rite Aid Corp. 1,061,114 4,722
* ICOS Corp. 128,309 4,715
American National Insurance Co. 54,572 4,715
Allete, Inc. 177,128 4,703
* Cephalon, Inc. 114,107 4,697
Northeast Utilities 279,484 4,679
* Getty Images, Inc. 112,094 4,629
Puget Energy, Inc. 193,126 4,610
* Endo Pharmaceuticals Holdings, Inc. 272,202 4,606
Wesco Financial Corp. 14,747 4,601
Brown & Brown, Inc. 141,556 4,601
* CheckFree Corp. 163,761 4,559
The Chicago Mercantile Exchange 65,476 4,559
* BISYS Group, Inc. 247,175 4,541
Leucadia National Corp. 121,593 4,514
* BOK Financial Corp. 116,996 4,513
Eaton Vance Corp. 142,589 4,506
* Amkor Technology, Inc. 342,749 4,504
* Integrated Circuit Systems, Inc. 143,153 4,499
Lyondell Chemical Co. 332,438 4,498
City National Corp. 100,932 4,498
Weingarten Realty Investors REIT 107,329 4,497
* U.S. Cellular Corp. 176,667 4,496
* Advance Auto Parts, Inc. 73,620 4,483
Noble Energy, Inc. 118,327 4,473
Chesapeake Energy Corp. 442,165 4,466
* GTECH Holdings Corp. 117,152 4,411
Lafarge North America Inc. 142,431 4,401
Valspar Corp. 103,923 4,388
* Corinthian Colleges, Inc. 90,287 4,385
* Vishay Intertechnology, Inc. 330,146 4,358
Waddell & Reed Financial, Inc. 169,567 4,353
National Fuel Gas Co. 166,919 4,348
International Speedway Corp. 109,436 4,324
Mack-Cali Realty Corp. REIT 118,783 4,321
Fulton Financial Corp. 217,181 4,315
* Newfield Exploration Co. 114,422 4,297
* Gemstar-TV Guide International, Inc. 843,077 4,291
New Plan Excel Realty Trust REIT 200,660 4,284
Bowater Inc. 113,938 4,267
---
13
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Apogent Technologies Inc. 213,002 4,260
Forest City Enterprise Class A 102,654 4,255
* Columbia Sportswear Co. 82,570 4,245
Capitol Federal Financial 151,002 4,245
* Western Digital Corp. 408,835 4,211
* Amylin Pharmaceuticals, Inc. 191,454 4,191
* Owens-Illinois, Inc. 303,865 4,184
* MEMC Electronic Materials, Inc. 425,084 4,166
* Agere Systems Inc. Class A 1,786,085 4,162
DPL Inc. 260,370 4,150
Bank of Hawaii Corp. 124,587 4,130
Regency Centers Corp. REIT 118,017 4,128
Harris Corp. 137,306 4,126
* Alliant Techsystems, Inc. 79,422 4,123
Great Plains Energy, Inc. 142,679 4,121
* Amphenol Corp. 87,606 4,102
J.M. Smucker Co. 102,698 4,097
* Network Associates, Inc. 322,065 4,084
Viad Corp. 182,177 4,079
First American Corp. 154,711 4,077
* Toll Brothers, Inc. 143,320 4,057
* Edwards Lifesciences Corp. 125,749 4,042
Hospitality Properties Trust REIT 128,949 4,030
Hubbell Inc. Class B 121,427 4,019
* National Instruments Corp. 106,245 4,014
* Packaging Corp. of America 216,057 3,982
* Catellus Development Corp. 180,992 3,982
CBRL Group, Inc. 102,431 3,980
Donaldson Co., Inc. 89,475 3,977
FirstMerit Corp. 173,873 3,975
Pentair, Inc. 101,722 3,973
Wilmington Trust Corp. 135,306 3,971
* ADTRAN Inc. 77,796 3,969
* Timberland Co. 74,859 3,957
United Dominion Realty Trust REIT 229,660 3,955
* Invitrogen Corp. 102,970 3,951
AVX Corp. 359,387 3,950
* Fisher Scientific International Inc. 112,940 3,942
Reynolds & Reynolds Class A 137,904 3,939
* Varco International, Inc. 200,263 3,925
* Community Health Systems, Inc. 202,691 3,910
* Education Management Corp. 73,509 3,909
Sky Financial Group, Inc. 179,458 3,898
Investors Financial Services Corp. 133,981 3,887
Mandalay Resort Group 121,972 3,885
* Emulex Corp. 170,366 3,879
PepsiAmericas, Inc. 308,581 3,876
* Aramark Corp. Class B 172,717 3,872
Foot Locker, Inc. 290,850 3,854
Annaly Mortgage Management Inc. REIT 193,349 3,850
* Triad Hospitals, Inc. 154,481 3,834
Dial Corp. 197,024 3,832
* BearingPoint, Inc. 395,892 3,820
HCC Insurance Holdings, Inc. 129,146 3,819
* National-Oilwell, Inc. 173,546 3,818
The Macerich Co. REIT 108,607 3,815
Protective Life Corp. 142,333 3,807
Pier 1 Imports Inc. 186,411 3,803
* Agere Systems Inc. Class B 1,650,000 3,795
* The Cheesecake Factory 105,700 3,794
* Del Monte Foods Co. 428,428 3,787
* Maxtor Corp. 504,283 3,787
* Certegy, Inc. 136,248 3,781
Unitrin, Inc. 139,132 3,773
Nationwide Financial Services, Inc. 115,539 3,755
* Chico's FAS, Inc. 177,347 3,733
* PacifiCare Health Systems, Inc. 75,447 3,722
HON Industries, Inc. 121,193 3,696
* O'Reilly Automotive, Inc. 110,587 3,693
CONSOL Energy, Inc. 162,278 3,690
* Reliant Resources, Inc. 601,685 3,688
Tidewater Inc. 124,800 3,665
People's Bank 126,432 3,665
Cabot Corp. 127,101 3,648
Alliant Energy Corp. 190,959 3,634
* West Corp. 136,310 3,633
Peabody Energy Corp. 108,018 3,628
* Foundry Networks, Inc. 251,539 3,622
* The Neiman Marcus Group, Inc. Class A 98,650 3,611
Applebee's International, Inc. 114,412 3,596
* Crown Castle International Corp. 460,190 3,576
Ryland Group, Inc. 51,372 3,565
Webster Financial Corp. 94,309 3,565
* International Rectifier Corp. 132,650 3,558
BorgWarner, Inc. 55,188 3,554
* J.D. Edwards & Co. 247,971 3,553
* NTL Inc. 104,100 3,552
* AMR Corp. 322,600 3,549
Colonial BancGroup, Inc. 255,237 3,540
Hawaiian Electric Industries Inc. 76,944 3,528
* Kinder Morgan Management, LLC 94,127 3,526
Vectren Corp. 140,632 3,523
Clayton Homes Inc. 280,348 3,518
Trizec Properties, Inc. REIT 309,435 3,518
* Renal Care Group, Inc. 99,855 3,516
* American Tower Corp. Class A 396,740 3,511
Talbots Inc. 118,611 3,493
Chelsea Property Group REIT 86,630 3,492
- ----
14
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
* 3Com Corp. 746,154 3,492
OGE Energy Corp. 163,131 3,486
Harte-Hanks, Inc. 183,422 3,485
* Kmart Holding Corp. 128,500 3,476
Roslyn Bancorp, Inc. 161,627 3,473
* McDATA Corp. Class A 236,133 3,464
Teleflex Inc. 81,376 3,463
* Performance Food Group Co. 93,445 3,457
* Sirius Satellite Radio, Inc. 2,042,259 3,451
* Ingram Micro, Inc. Class A 312,320 3,436
Lee Enterprises, Inc. 91,352 3,428
Philadelphia Suburban Corp. 140,063 3,415
Martin Marietta Materials, Inc. 101,400 3,408
Cullen/Frost Bankers, Inc. 105,955 3,401
Crescent Real Estate, Inc. REIT 204,589 3,398
Precision Castparts Corp. 109,263 3,398
Arden Realty Group, Inc. REIT 130,726 3,392
* Human Genome Sciences, Inc. 266,420 3,389
* DaVita, Inc. 126,356 3,384
* DeVry, Inc. 144,679 3,370
Raymond James Financial, Inc. 100,863 3,334
* Pharmaceutical Resources, Inc. 68,454 3,331
John Wiley & Sons Class A 127,085 3,330
* Rambus Inc. 200,941 3,330
BancorpSouth, Inc. 159,401 3,324
Washington Federal Inc. 143,662 3,323
Tootsie Roll Industries, Inc. 108,947 3,322
AGL Resources Inc. 130,352 3,316
* STERIS Corp. 143,427 3,312
* Pharmaceutical Product Development, Inc. 114,917 3,302
Reinsurance Group of America, Inc. 102,528 3,291
Lubrizol Corp. 106,018 3,285
RPM International, Inc. 238,697 3,282
American Financial Group, Inc. 143,822 3,279
Independence Community Bank Corp. 116,176 3,278
Ruby Tuesday, Inc. 131,666 3,256
Park National Corp. 28,468 3,252
* Stericycle, Inc. 84,349 3,246
Pan Pacific Retail Properties, Inc. REIT 82,367 3,241
* Neurocrine Biosciences, Inc. 64,702 3,231
Federal Realty Investment Trust REIT 100,878 3,228
Jack Henry & Associates Inc. 181,142 3,223
* Swift Transportation Co., Inc. 173,024 3,222
* Interactive Data Corp. 190,421 3,218
* Eon Labs, Inc. 91,136 3,203
Medicis Pharmaceutical Corp. 56,358 3,195
* The Corporate Executive Board Co. 78,026 3,185
Friedman, Billings,Ramsey Group, Inc. 236,381 3,168
* Scotts Co. 63,894 3,163
Hudson United Bancorp 92,565 3,161
* Arrow Electronics, Inc. 207,350 3,160
StanCorp Financial Group, Inc. 60,501 3,159
Trustmark Corp. 123,944 3,157
BRE Properties Inc. Class A REIT 94,820 3,148
* Westport Resources Corp. 138,115 3,142
* Sepracor Inc. 173,601 3,130
* Tech Data Corp. 117,104 3,128
* Avnet, Inc. 246,319 3,123
* Cypress Semiconductor Corp. 259,742 3,117
* Cognizant Technology Solutions Corp. 127,500 3,106
* Barnes & Noble, Inc. 134,424 3,098
* Fairchild Semiconductor International, Inc. 241,100 3,084
The Timken Co. 175,987 3,082
Mills Corp. REIT 91,446 3,068
FactSet Research Systems Inc. 69,578 3,065
* J.B. Hunt Transport Services, Inc. 81,019 3,058
Herman Miller, Inc. 151,264 3,057
Thornburg Mortgage, Inc. REIT 122,801 3,033
Helmerich & Payne, Inc. 103,639 3,026
* Cincinnati Bell Inc. 451,027 3,022
* Charles River Laboratories, Inc. 93,889 3,021
Harsco Corp. 83,738 3,019
ONEOK, Inc. 153,775 3,019
* Furniture Brands International Inc. 115,546 3,016
Old National Bancorp 130,929 3,011
Graco, Inc. 93,894 3,005
* Glamis Gold, Ltd. 260,543 2,988
CarrAmerica Realty Corp. REIT 107,423 2,987
Flagstar Bancorp, Inc. 121,974 2,982
* Station Casinos, Inc. 117,784 2,974
Fresh Del Monte Produce Inc. 115,646 2,971
Westamerica Bancorporation 68,835 2,965
* Andrx Group 148,123 2,948
* Alleghany Corp. 15,430 2,947
* Grant Prideco, Inc. 250,171 2,940
CenterPoint Properties Corp. REIT 47,802 2,928
ICN Pharmaceuticals, Inc. 173,212 2,903
* Hovnanian Enterprises Class A 49,215 2,901
MDC Holdings, Inc. 60,065 2,900
* NBTY, Inc. 137,567 2,897
* Bio-Rad Laboratories, Inc. Class A 52,265 2,893
* Brocade Communications Systems, Inc. 490,703 2,890
IndyMac Bancorp, Inc. REIT 113,685 2,890
* Key Energy Services, Inc. 267,649 2,869
Lancaster Colony Corp. 74,065 2,863
---
15
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Borders Group, Inc. 162,565 2,863
* FMC Technologies Inc. 135,602 2,854
* Advanced Fibre Communications, Inc. 175,288 2,852
ArvinMeritor, Inc. 141,314 2,852
* Saks Inc. 293,950 2,851
Rayonier Inc. 86,314 2,848
* Avocent Corp. 94,996 2,843
* Polycom, Inc. 205,052 2,842
* WFS Financial, Inc. 84,759 2,840
F.N.B. Corp. 93,837 2,840
International Bancshares Corp. 79,807 2,838
Camden Property Trust REIT 80,978 2,830
* Apria Healthcare Group Inc. 113,425 2,822
Odyssey Re Holdings Corp. 133,686 2,821
American Capital Strategies, Ltd. 113,083 2,820
Polaris Industries, Inc. 45,663 2,804
Werner Enterprises, Inc. 131,845 2,795
First Midwest Bancorp, Inc. 96,900 2,792
Imation Corp. 73,759 2,790
* Valassis Communications, Inc. 108,390 2,788
Cousins Properties, Inc. REIT 99,693 2,781
Media General, Inc. Class A 48,522 2,775
Jefferies Group, Inc. 55,683 2,772
* AmeriCredit Corp. 321,624 2,750
UGI Corp. Holding Co. 86,709 2,749
Realty Income Corp. REIT 71,958 2,740
Reader's Digest Association, Inc. 202,580 2,731
Global Payments Inc. 76,797 2,726
* Sybase, Inc. 195,748 2,723
* Cytec Industries, Inc. 80,402 2,718
Western Gas Resources, Inc. 68,597 2,716
Ethan Allen Interiors, Inc. 77,189 2,714
* Silicon Laboratories Inc. 101,859 2,714
Church & Dwight, Inc. 82,902 2,713
* Macromedia, Inc. 128,849 2,711
* ITT Educational Services, Inc. 92,644 2,710
* ResMed Inc. 69,058 2,707
* Protein Design Labs, Inc. 193,609 2,707
HRPT Properties Trust REIT 293,057 2,696
* Acxiom Corp. 178,537 2,694
* Interdigital Communications Corp. 115,098 2,690
WGL Holdings Inc. 100,622 2,687
Carlisle Co., Inc. 63,464 2,676
CBL & AssociatesProperties, Inc. REIT 62,168 2,673
* Red Hat, Inc. 353,032 2,672
WPS Resources Corp. 66,463 2,672
* American Eagle Outfitters, Inc. 147,297 2,669
AptarGroup Inc. 74,065 2,666
* AnnTaylor Stores Corp. 91,964 2,662
* Affiliated Managers Group, Inc. 43,668 2,662
IKON Office Solutions, Inc. 298,675 2,658
Piedmont Natural Gas, Inc. 68,454 2,657
* Activision, Inc. 205,495 2,655
* Zale Corp. 66,370 2,655
Seagate Technology 150,272 2,652
* AGCO Corp. 155,174 2,650
Valhi, Inc. 274,835 2,644
Whitney Holdings Corp. 82,633 2,642
* Extended Stay America, Inc. 194,447 2,623
La-Z-Boy Inc. 116,972 2,618
* Respironics, Inc. 69,755 2,617
* The Yankee Candle Co., Inc. 112,487 2,612
* DoubleClick Inc. 281,892 2,608
The MONY Group Inc. 96,723 2,607
Regis Corp. 89,576 2,602
* Nextel Partners, Inc. 356,263 2,601
CNF Inc. 102,334 2,597
* Techne Corp. 85,526 2,595
Blyth, Inc. 95,182 2,589
Provident Financial Group, Inc. 100,991 2,588
* Marvel Enterprises Inc. 135,000 2,579
* P.F. Chang's China Bistro, Inc. 52,296 2,573
Claire's Stores, Inc. 101,241 2,567
* Perot Systems Corp. 225,882 2,566
* Emmis Communications, Inc. 111,773 2,565
Atmos Energy Corp. 103,091 2,557
Health Care Inc. REIT 83,720 2,553
LaBranche & Co. Inc. 123,388 2,553
First Industrial Realty Trust REIT 80,780 2,553
* Hyperion Solutions Corp. 75,484 2,548
Healthcare Realty Trust Inc. REIT 86,997 2,536
* Cabot Microelectronics Corp. 50,200 2,534
21st Century Insurance Group 176,225 2,520
UCBH Holdings, Inc. 87,450 2,508
* Pacific Sunwear of
California, Inc. 103,886 2,503
* Forest Oil Corp. 99,372 2,496
Ametek, Inc. 68,089 2,495
Airgas, Inc. 148,938 2,495
* INAMED Corp. 46,448 2,494
* Earthlink, Inc. 315,357 2,488
Pacific Capital Bancorp 70,856 2,484
Arch Coal, Inc. 108,047 2,483
Essex Property Trust, Inc. REIT 43,366 2,483
United Bankshares, Inc. 86,575 2,480
* Veridian Corp. 70,920 2,474
* XM Satellite Radio Holdings, Inc. 223,775 2,473
Roper Industries Inc. 66,442 2,472
Kennametal, Inc. 73,027 2,471
* Cree, Inc. 151,535 2,467
* American Axle & Manufacturing Holdings, Inc. 103,149 2,465
- ----
16
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
Ventas, Inc. REIT 162,719 2,465
Highwood Properties, Inc. REIT 110,409 2,462
* United Stationers, Inc. 68,042 2,461
* Select Medical Corp. 98,966 2,457
IDEX Corp. 67,663 2,452
Shurgard Storage Centers, Inc.
Class A REIT 74,126 2,452
* Atmel Corp. 968,098 2,449
* Panera Bread Co. 61,144 2,446
* Cytyc Corp. 232,234 2,443
Staten Island Bancorp, Inc. 125,182 2,439
Florida Rock Industries, Inc. 59,020 2,436
Diagnostic Products Corp. 59,276 2,433
* Crown Holdings, Inc. 340,567 2,432
* Take-Two Interactive
Software, Inc. 85,775 2,431
Prentiss Properties Trust REIT 81,038 2,430
* Charter Communications, Inc. 610,332 2,423
* Varian, Inc. 69,880 2,423
* Scholastic Corp. 81,352 2,423
* OSI Pharmaceuticals, Inc. 75,075 2,418
Westar Energy, Inc. 148,958 2,418
* IDEXX Laboratories Corp. 71,542 2,410
Energen Corp. 72,313 2,408
Citizens Banking Corp. 89,662 2,400
Thor Industries, Inc. 58,798 2,400
Hilb, Rogal and Hamilton Co. 70,352 2,395
W Holding Co., Inc. 141,201 2,389
Polo Ralph Lauren Corp. 92,619 2,389
Downey Financial Corp. 57,833 2,389
* Service Corp. International 616,754 2,387
* Affymetrix, Inc. 121,087 2,387
Commerce Group, Inc. 65,881 2,385
Albemarle Corp. 85,243 2,384
* Overture Services, Inc. 131,294 2,380
* Premcor, Inc. 110,456 2,380
Speedway Motorsports, Inc. 87,967 2,358
* Meridian Gold Co. 204,960 2,355
* Integrated Device Technology Inc. 213,014 2,354
* Sonus Networks, Inc. 466,958 2,349
Superior Industries International, Inc. 56,171 2,342
* Southern Union Co. 138,268 2,342
Heritage Property Investment Trust REIT 86,212 2,335
* Conexant Systems, Inc. 556,604 2,332
* Martek Biosciences Corp. 54,214 2,328
DQE Inc. 154,093 2,322
* R.H. Donnelley Corp. 63,523 2,317
* Vertex Pharmaceuticals, Inc. 158,422 2,313
* Stone Energy Corp. 54,869 2,300
Alpharma, Inc. Class A 106,460 2,300
* 7-Eleven, Inc. 217,850 2,298
* Electronics for Imaging, Inc. 113,237 2,298
* Heartland Express, Inc. 103,219 2,297
* Cymer, Inc. 71,603 2,292
* Southwest Bancorporation of Texas, Inc. 70,501 2,292
* RF Micro Devices, Inc. 379,997 2,288
Patina Oil & Gas Corp. 71,147 2,287
* Covance, Inc. 126,332 2,287
AmerUs Group Co. 81,110 2,286
* Boyd Gaming Corp. 132,465 2,286
Regal Entertainment Group Class A 96,664 2,279
Alexander & Baldwin, Inc. 85,769 2,275
* Tom Brown, Inc. 81,732 2,271
Skywest, Inc. 119,034 2,269
First BanCorp Puerto Rico 82,628 2,268
The South Financial Group, Inc. 97,095 2,265
* Quest Software, Inc. 190,305 2,265
Westcorp, Inc. 80,845 2,264
First Citizens BancShares Class A 22,424 2,261
SL Green Realty Corp. REIT 64,778 2,260
Sensient Technologies Corp. 98,177 2,257
* Fossil, Inc. 95,750 2,256
* Radio One, Inc. Class D 126,800 2,253
Briggs & Stratton Corp. 44,498 2,247
* Flowserve Corp. 114,178 2,246
* Beazer Homes USA, Inc. 26,894 2,246
Perrigo Co. 143,391 2,243
* Kroll Inc. 82,571 2,234
Cooper Cos., Inc. 64,186 2,232
* GlobespanVirata, Inc. 270,391 2,231
Corn Products International, Inc. 74,132 2,226
* Siliconix, Inc. 61,629 2,225
Standard Pacific Corp. 67,055 2,224
* TIBCO Software Inc. 435,898 2,219
* Houston Exploration Co. 63,680 2,210
* United Rentals, Inc. 159,005 2,209
Greater Bay Bancorp 107,414 2,206
* RealNetworks, Inc. 325,383 2,206
Community First Bankshares, Inc. 80,566 2,199
* Tuesday Morning Corp. 83,611 2,199
Washington REIT 80,598 2,192
* Arbitron Inc. 61,249 2,187
Universal Corp. (VA) 51,624 2,184
* United Online, Inc. 86,146 2,183
* Evergreen Resources, Inc. 40,076 2,177
* Hollywood Entertainment Corp. 126,462 2,175
* BJ's Wholesale Club, Inc. 144,000 2,169
* Accredo Health, Inc. 99,175 2,162
PNM Resources Inc. 80,530 2,154
* FLIR Systems, Inc. 71,360 2,152
----
17
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Semtech Corp. 150,938 2,149
* Sycamore Networks, Inc. 561,124 2,149
* Linens 'n Things, Inc. 91,020 2,149
New Century Financial Corp. 49,166 2,146
Fremont General Corp. 156,610 2,146
Equity One, Inc. REIT 130,784 2,145
* Fidelity National Information Solutions, Inc. 81,804 2,133
* FTI Consulting, Inc. 85,178 2,127
Texas Regional Bancshares, Inc. 60,994 2,116
* Vitesse Semiconductor Corp. 428,400 2,108
* Varian Semiconductor Equipment Associates, Inc. 70,746 2,105
Airborne, Inc. 99,990 2,090
IDACORP, Inc. 79,568 2,089
Callaway Golf Co. 157,947 2,088
* CEC Entertainment Inc. 56,467 2,085
Oshkosh Truck Corp. 35,116 2,083
Alfa Corp. 163,801 2,082
* Kronos, Inc. 40,884 2,077
Reckson Associates Realty Corp. REIT 99,518 2,076
Chittenden Corp. 75,766 2,072
* Landstar System, Inc. 32,904 2,068
* Choice Hotel International, Inc. 75,717 2,068
* Sonic Corp. 81,137 2,063
Invacare Corp. 62,420 2,060
Massey Energy Co. 155,960 2,051
* Genta Inc. 153,870 2,050
* Waste Connections, Inc. 58,409 2,047
* Intergraph Corp. 95,169 2,046
Olin Corp. 119,562 2,045
* Avid Technology, Inc. 58,243 2,043
Minerals Technologies, Inc. 41,971 2,042
Post Properties, Inc. REIT 77,020 2,041
FIrst Niagara Financial Group, Inc. 146,185 2,041
* CACI International, Inc. 59,437 2,039
* Continental Airlines, Inc. Class B 136,093 2,037
The Toro Co. 51,204 2,035
* Legato Systems, Inc. 242,106 2,031
Grey Global Group Inc. 2,628 2,030
Hollinger International, Inc. 187,976 2,025
Home Properties of New York, Inc. REIT 57,427 2,024
* Trimeris, Inc. 44,241 2,021
* Mentor Graphics Corp. 139,510 2,020
* Gen-Probe Inc. 49,300 2,015
* Cimarex Energy Co. 84,782 2,014
* Arch Capital Group Ltd. 57,753 2,006
Black Hills Corp. 65,287 2,004
Bob Evans Farms, Inc. 72,483 2,003
* Ascential Software Corp. 121,497 1,997
* Northwest Airlines Corp. Class A 176,824 1,996
* Anteon International Corp. 71,464 1,995
* Macrovision Corp. 99,978 1,992
* Genencor International Inc. 120,912 1,991
* Documentum, Inc. 101,198 1,991
* ExpressJet Holdings, Inc. 131,724 1,989
Arrow International, Inc. 45,037 1,988
Fred's, Inc. 53,473 1,988
New Jersey Resources Corp. 55,998 1,988
* Ligand Pharmaceuticals Inc.Class B 146,061 1,985
* Entegris Inc. 147,561 1,983
Delphi Financial Group, Inc. 42,310 1,980
Clarcor Inc. 51,297 1,977
* Micrel, Inc. 190,276 1,977
* Cox Radio, Inc. 85,544 1,977
* Allmerica Financial Corp. 109,760 1,975
Taubman Co. REIT 103,034 1,974
* Ultra Petroleum Corp. 152,636 1,971
Commercial Federal Corp. 92,748 1,966
* Cognex Corp. 87,908 1,965
* K-V Pharmaceutical Co. Class A 70,589 1,962
* Catalina Marketing Corp. 110,622 1,952
* Skyworks Solutions, Inc. 287,874 1,949
* Plantronics, Inc. 89,598 1,942
* Terex Corp. 99,184 1,936
* Cumulus Media Inc. 102,221 1,935
* Silicon Valley Bancshares 81,234 1,934
* Alliance Gaming Corp. 101,908 1,927
* MKS Instruments, Inc. 106,602 1,926
* Sylvan Learning Systems, Inc. 84,329 1,926
* Knight Transportation, Inc. 77,276 1,924
* Mueller Industries Inc. 70,906 1,922
York International Corp. 81,860 1,916
UMB Financial Corp. 45,165 1,915
* Abgenix, Inc. 182,286 1,912
* Dade Behring Holdings Inc. 83,220 1,912
* Christopher & Banks Corp. 51,587 1,908
* American Financial Realty Trust REIT 127,900 1,907
* Lattice Semiconductor Corp. 231,587 1,906
Susquehanna Bancshares, Inc. 81,588 1,905
* Tetra Tech, Inc. 111,179 1,904
* Unit Corp. 90,686 1,896
Ferro Corp. 84,151 1,896
* The Medicines Co. 96,141 1,893
* Simpson Manufacturing Co. 51,474 1,884
* Exult Inc. 219,374 1,880
* Keane, Inc. 137,541 1,875
* Quiksilver, Inc. 112,986 1,863
* VISX Inc. 106,810 1,853
- ----
18
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Sybron Dental Specialties, Inc. 78,438 1,851
Mentor Corp. 95,448 1,850
* Tractor Supply Co. 38,700 1,848
* Investment Technology Group, Inc. 99,136 1,844
Flowers Foods, Inc. 93,282 1,843
Albany International Corp. 67,226 1,842
Colonial Properties Trust REIT 52,068 1,832
* ADVO, Inc. 41,262 1,832
Cabot Oil & Gas Corp. 66,307 1,831
* Mediacom Communications Corp. 185,127 1,827
State Auto Financial Corp. 81,332 1,826
* United Auto Group, Inc. 83,674 1,822
Brandywine Realty Trust REIT 74,011 1,822
* Odyssey Healthcare, Inc. 49,238 1,822
* Commonwealth Telephone Enterprises, Inc. 41,417 1,821
* Philadelphia Consolidated Holding Corp. 44,975 1,817
* CNET Networks, Inc. 291,565 1,816
* KEMET Corp. 179,770 1,816
Capital Automotive REIT 64,844 1,815
LandAmerica Financial Group, Inc. 38,208 1,815
* Spinnaker Exploration Co. 69,257 1,815
East West Bancorp, Inc. 49,909 1,804
* Anixter International Inc. 76,952 1,803
* Copart, Inc. 190,638 1,802
Chateau Communities, Inc. REIT 60,811 1,799
* Men's Wearhouse, Inc. 82,313 1,799
* NetIQ Corp. 115,718 1,789
MAF Bancorp, Inc. 48,150 1,785
* NPS Pharmaceuticals Inc. 73,241 1,783
* Cobalt Corp. 86,603 1,780
* WCI Communities, Inc. 92,228 1,774
Trinity Industries, Inc. 95,794 1,773
Strayer Education, Inc. 22,279 1,770
MacDermid, Inc. 67,203 1,767
Weis Markets, Inc. 56,841 1,763
Alexandria Real Estate Equities, Inc. REIT 39,161 1,762
* National Processing, Inc. 109,416 1,759
CVB Financial Corp. 90,115 1,759
Rollins, Inc. 93,181 1,756
Lincoln Electric Holdings, Inc. 85,940 1,754
* SERENA Software, Inc. 83,817 1,750
* Payless ShoeSource, Inc. 139,893 1,749
The Phoenix Cos., Inc. 193,642 1,749
* Entravision Communications Corp. 153,976 1,748
* BlackRock, Inc. 38,796 1,747
* Hot Topic, Inc. 64,924 1,747
Federal Signal Corp. 99,356 1,746
* CV Therapeutics, Inc. 58,848 1,745
Delta & Pine Land Co. 79,203 1,741
* Priceline.com, Inc. 77,722 1,740
* Dionex Corp. 43,757 1,739
* Hutchinson Technology, Inc. 52,691 1,733
Kelly Services, Inc. Class A 73,868 1,732
* Pediatrix Medical Group, Inc. 48,561 1,731
TrustCo Bank NY 156,183 1,731
* Adaptec, Inc. 221,992 1,727
* Western Wireless Corp. Class A 149,734 1,726
* LifePoint Hospitals, Inc. 82,395 1,725
R.L.I. Corp. 52,261 1,719
* CTI Molecular Imaging, Inc. 90,820 1,717
Hughes Supply, Inc. 49,406 1,714
Kellwood Co. 54,104 1,711
* Thoratec Corp. 114,547 1,707
* Quanta Services, Inc. 239,534 1,701
* Cal Dive International, Inc. 77,998 1,700
* Cerner Corp. 74,049 1,699
Banta Corp. 52,435 1,697
Liberty Corp. 39,905 1,696
Impac Mortgage Holdings, Inc. REIT 101,390 1,692
* OfficeMax, Inc. 258,306 1,692
* SCP Pool Corp. 49,160 1,691
Cleco Corp. 97,614 1,691
A.O. Smith Corp. 59,970 1,688
* USG Corp. 88,635 1,684
* Penn National Gaming, Inc. 81,932 1,684
* The Titan Corp. 163,458 1,682
* Priority Healthcare Corp. Class B 90,441 1,678
* Jack in the Box Inc. 75,164 1,676
LNR Property Corp. 44,808 1,676
Brookline Bancorp, Inc. 119,685 1,676
Nordson Corp. 70,211 1,675
N L Industries, Inc. 98,336 1,672
* Maverick Tube Corp. 87,278 1,671
Cathay Bancorp, Inc. 37,454 1,670
* Ohio Casualty Corp. 126,671 1,670
GATX Corp. 101,960 1,667
* FMC Corp. 73,427 1,662
Crompton Corp. 235,489 1,660
* Ariba, Inc. 557,633 1,656
Burlington Coat Factory Warehouse Corp. 92,509 1,656
Granite Construction Co. 86,252 1,653
* Oakley, Inc. 140,111 1,649
* Leapfrog Enterprises, Inc. 51,800 1,648
Matthews International Corp. 66,459 1,646
* VCA Antech, Inc. 83,633 1,637
Manufactured Home Communities, Inc. REIT 46,579 1,635
* PRIMEDIA Inc. 535,848 1,634
----
19
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
Senior Housing Properties Trust REIT 120,441 1,633
The Brink's Co. 111,910 1,631
* Borland Software Corp. 166,428 1,626
* Dycom Industries, Inc. 99,274 1,618
Nationwide Health Properties, Inc. REIT 101,212 1,612
* ProAssurance Corp. 59,551 1,607
Brady Corp. Class A 48,127 1,605
Glimcher Realty Trust REIT 71,551 1,603
* ATMI, Inc. 64,169 1,602
* Alaris Medical, Inc. 123,700 1,602
Wolverine World Wide, Inc. 83,100 1,601
* Radio One, Inc. 89,479 1,598
* Cost Plus, Inc. 44,790 1,597
IMC Global Inc. 237,629 1,594
Republic Bancorp, Inc. 118,643 1,592
* Aeropostale, Inc. 73,944 1,588
Northwest Bancorp, Inc. 99,227 1,588
First Commonwealth Financial Corp. 122,374 1,586
* AMERIGROUP Corp. 42,500 1,581
Kilroy Realty Corp. REIT 57,364 1,578
Owens & Minor, Inc. Holding Co. 70,579 1,577
* Manhattan Associates, Inc. 60,603 1,574
* MedQuist, Inc. 77,730 1,573
* Watson Wyatt & Co. Holdings 67,780 1,571
Acuity Brands, Inc. 86,411 1,570
St. Mary Land & Exploration Co. 57,367 1,566
Overseas Shipholding Group Inc. 71,093 1,565
* Benchmark Electronics, Inc. 50,803 1,563
* AirTran Holdings, Inc. 149,029 1,560
* Hanover Compressor Co. 137,410 1,553
* Wilson Greatbatch Technologies, Inc. 42,946 1,550
ABM Industries Inc. 100,640 1,550
PS Business Parks, Inc. REIT 43,876 1,549
* IGEN International, Inc. 49,314 1,548
* EMCOR Group, Inc. 31,365 1,548
Russ Berrie and Co., Inc. 42,348 1,546
Lennox International Inc. 119,982 1,544
* Corrections Corp. of America REIT 60,957 1,544
* Regeneron Pharmaceuticals, Inc. 97,967 1,543
* American Italian Pasta Co. 37,037 1,543
* WilTel Communications, Inc. 104,341 1,538
Potlatch Corp. 59,642 1,536
* Journal Register Co. 84,680 1,532
Hugoton Royalty Trust 83,084 1,529
Hancock Holding Co. 32,476 1,528
* CSG Systems International, Inc. 107,912 1,525
* Kansas City Southern 126,546 1,522
Centex Construction Products, Inc. 37,973 1,522
Gables Residential Trust REIT 50,344 1,522
* Applera Corp.-Celera Genomics Group 147,305 1,520
John H. Harland Co. 57,881 1,514
USF Corp. 56,107 1,513
* Group 1 Automotive, Inc. 46,617 1,511
* Grey Wolf, Inc. 373,852 1,510
* OmniVision Technologies, Inc. 48,378 1,509
* UICI 99,887 1,505
* Ralcorp Holdings, Inc. 60,302 1,505
The Pep Boys (Manny, Moe & Jack) 111,257 1,503
Ruddick Corp. 95,598 1,503
S & T Bancorp, Inc. 54,776 1,503
* ChipPAC, Inc. 195,874 1,502
* Rare Hospitality International Inc. 45,948 1,502
* Trimble Navigation Ltd. 65,422 1,500
* Denbury Resources, Inc. 111,620 1,499
* ProQuest Co. 58,085 1,499
* Biosite Inc. 31,104 1,496
* SEACOR SMIT Inc. 40,994 1,496
* Align Technology, Inc. 119,063 1,494
* EGL, Inc. 98,249 1,493
Irwin Financial Corp. 57,611 1,492
CH Energy Group, Inc. 33,119 1,490
* Genesis Health Ventures, Inc. 84,391 1,490
* Internet Security Systems, Inc. 102,723 1,488
Vintage Petroleum, Inc. 131,867 1,487
Bandag, Inc. 39,759 1,482
Chemical Financial Corp. 49,594 1,478
* Price Communications Corp. 114,457 1,478
First Financial Bancorp 92,332 1,477
Sun Communities, Inc. REIT 37,507 1,474
Southwest Gas Corp. 69,585 1,474
* Integra LifeSciences Holdings 55,494 1,464
MB Financial, Inc. 36,543 1,463
* THQ Inc. 81,057 1,459
* Pacer International, Inc. 77,284 1,458
* Power Integrations, Inc. 59,905 1,457
* Joy Global Inc. 98,590 1,456
* TiVo Inc. 119,522 1,456
* MPS Group, Inc. 211,562 1,456
Harleysville Group, Inc. 63,049 1,451
Winnebago Industries, Inc. 38,273 1,451
* Tanox, Inc. 90,373 1,450
Baldor Electric Co. 70,407 1,450
Casey's General Stores, Inc. 102,276 1,446
Otter Tail Corp. 53,597 1,446
* Too Inc. 71,375 1,445
* Urban Outfitters, Inc. 40,204 1,443
- ---
20
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Superior Energy Services, Inc. 152,206 1,443
Northwest Natural Gas Co. 52,917 1,442
* Quantum Corp. 355,982 1,442
Commercial Net Lease Realty REIT 83,556 1,441
* Knight Trading Group, Inc. 231,534 1,440
* Progress Software Corp. 69,471 1,440
Black Box Corp. 39,747 1,439
* Coherent, Inc. 60,752 1,439
Bank Mutual Corp. 44,260 1,438
* Barra, Inc. 40,284 1,438
Redwood Trust, Inc. REIT 35,965 1,435
* Alkermes, Inc. 133,319 1,433
* Sierra Pacific Resources 241,221 1,433
Santander BanCorp 87,510 1,432
* Renaissance Learning, Inc. 65,239 1,429
* Yellow Corp. 61,716 1,429
Horace Mann Educators Corp. 88,550 1,428
* Kirby Corp. 50,396 1,421
* Tekelec 125,615 1,419
Avista Corp. 99,390 1,406
Corus Bankshares Inc. 29,003 1,405
* Guitar Center, Inc. 48,300 1,401
* Pinnacle Systems, Inc. 130,651 1,398
* Vicuron Pharmaceuticals Inc. 98,435 1,396
Selective Insurance Group 55,602 1,393
Engineered Support Systems, Inc. 33,272 1,392
* Insight Communications Co., Inc. 105,460 1,390
* Gaylord Entertainment Co. Class A 70,910 1,388
IHOP Corp. 43,698 1,380
* WellChoice Inc. 47,000 1,376
* US Oncology, Inc. 186,085 1,375
* Advanced Neuromodulation Systems, Inc. 26,558 1,375
Reliance Steel & Aluminum Co. 66,402 1,375
* MGI Pharma, Inc. 53,552 1,373
* La Quinta Corp. REIT 318,026 1,371
* Technical Olympic USA, Inc. 57,933 1,369
* UNOVA, Inc. 122,828 1,363
* Inveresk Research Group Inc. 75,100 1,359
Novastar Financial, Inc. REIT 22,748 1,359
* CMGI Inc. 813,871 1,359
Dime Community Bancshares 53,392 1,359
* ILEX Oncology, Inc. 69,880 1,356
* FileNET Corp. 75,101 1,355
Farmer Brothers, Inc. 3,993 1,355
* CSK Auto Corp. 93,723 1,354
Modine Manufacturing Co. 69,916 1,354
Vector Group Ltd. 77,336 1,353
* Steel Dynamics, Inc. 98,578 1,351
Glatfelter 91,191 1,345
* Maguire Properties, Inc. REIT 69,800 1,344
National Penn Bancshares Inc. 47,837 1,343
Landry's Restaurants, Inc. 56,815 1,341
* Universal Compression Holdings, Inc. 64,164 1,338
* URS Corp. 68,677 1,336
* FormFactor Inc. 75,500 1,336
Georgia Gulf Corp. 67,476 1,336
Analogic Corp. 27,384 1,335
First Financial Bankshares, Inc. 39,856 1,334
* Lexar Media, Inc. 139,626 1,332
Boston Private Financial Holdings, Inc. 63,099 1,330
* Meritage Corp. 26,900 1,325
* Enzo Biochem, Inc. 61,552 1,325
* Offshore Logistics, Inc. 60,826 1,323
NDCHealth Corp. 72,062 1,322
Longs Drug Stores, Inc. 79,513 1,320
Kaydon Corp. 63,164 1,314
Net.Bank, Inc. 99,696 1,312
BankAtlantic Bancorp, Inc. Class A 110,133 1,309
NBT Bancorp, Inc. 67,631 1,309
* Exar Corp. 82,426 1,305
* Triarc Cos., Inc. Class A 43,496 1,304
* Oceaneering International, Inc. 50,942 1,302
UniSource Energy Corp. 69,154 1,300
* Ciber, Inc. 184,857 1,298
* Lin TV Corp. 55,076 1,297
* Wright Medical Group, Inc. 68,229 1,296
* Extreme Networks, Inc. 244,542 1,296
* Six Flags, Inc. 191,130 1,296
* FEI Co. 69,056 1,295
* Digene Corp. 47,544 1,295
* Sonic Automotive, Inc. 59,044 1,294
* MSC Industrial Direct Co., Inc. Class A 72,270 1,294
* DRS Technologies, Inc. 46,312 1,293
M/I Schottenstein Homes, Inc. 30,276 1,292
* AmSurg Corp. 42,359 1,292
* BioMarin Pharmaceutical Inc. 132,331 1,292
* Checkpoint Systems, Inc. 91,183 1,290
* RSA Security Inc. 119,993 1,290
H.B. Fuller Co. 58,444 1,287
* Corvis Corp. 857,387 1,286
* Syntel, Inc. 81,727 1,286
Provident Bankshares Corp. 50,578 1,285
* Hydrill Co. 47,128 1,284
* El Paso Electric Co. 104,137 1,284
WD-40 Co. 44,971 1,284
Spartech Corp. 60,519 1,284
----
21
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Digital Insight Corp. 67,047 1,277
* Advanced Digital Information Corp. 127,739 1,276
G & K Services, Inc. Class A 43,080 1,275
* Ask Jeeves, Inc. 92,700 1,275
* Argosy Gaming Co. 60,936 1,274
FelCor Lodging Trust, Inc. REIT 162,085 1,272
* Enterasys Networks, Inc. 419,820 1,272
PFF Bancorp, Inc. 32,900 1,272
K-Swiss, Inc. 36,780 1,270
Russell Corp. 66,705 1,267
GBC Bancorp 32,995 1,267
* Wynn Resorts Ltd. 71,600 1,267
Waypoint Financial Corp. 70,176 1,266
* United Surgical Partners International, Inc. 56,033 1,266
* Packeteer, Inc. 81,010 1,261
* Axcelis Technologies, Inc. 206,003 1,261
* Verint Systems Inc. 49,419 1,256
Wabtec Corp. 90,260 1,256
* Financial Federal Corp. 51,445 1,255
MCG Capital Corp. 86,400 1,253
* Ryan's Family Steak Houses, Inc. 89,463 1,252
Blockbuster Inc. Class A 74,328 1,252
* American Management Systems, Inc. 87,692 1,252
* Credit Acceptance Corp. 124,090 1,252
Independent Bank Corp. (MI) 48,727 1,252
* CUNO Inc. 34,654 1,252
* Aeroflex, Inc. 161,530 1,250
* Technitrol, Inc. 83,060 1,250
* Steak n Shake Co. 81,918 1,249
Millennium Chemicals, Inc. 131,341 1,249
* The Warnaco Group, Inc. 92,850 1,249
* Micromuse Inc. 156,153 1,248
Franklin Electric, Inc. 22,400 1,247
* Atlantic Coast Airlines Holdings Inc. 92,266 1,245
* Sola International Inc. 71,498 1,244
* Lone Star Technologies, Inc. 58,711 1,243
* First Federal Financial Corp. 35,225 1,243
Hudson River Bancorp. Inc. 44,475 1,242
Alabama National BanCorporation 25,592 1,241
* Movie Gallery, Inc. 67,244 1,241
Cubic Corp. 55,583 1,235
* eSPEED, Inc. Class A 62,476 1,235
Kimball International, Inc. Class B 79,107 1,234
* The Advisory Board Co. 30,412 1,232
Royal Gold, Inc. 57,336 1,232
The Manitowoc Co., Inc. 55,236 1,232
* Wireless Facilities, Inc. 103,467 1,231
* BankUnited Financial Corp. 61,094 1,231
* aQuantive, Inc. 117,175 1,230
South Jersey Industries, Inc. 33,344 1,229
Cambrex Corp. 53,348 1,228
* Navigant Consulting, Inc. 103,598 1,228
Oriental Financial Group Inc. 47,668 1,225
* Oil States International, Inc. 101,193 1,224
UIL Holdings Corp. 30,181 1,224
Arkansas Best Corp. 51,400 1,223
* DSP Group Inc. 56,786 1,223
Bowne & Co., Inc. 93,779 1,222
* MAXIMUS, Inc. 44,222 1,222
Empire District Electric Co. 56,147 1,221
* TBC Corp. 63,966 1,219
* Albany Molecular Research, Inc. 80,430 1,214
Anchor Bancorp Wisconsin Inc. 50,836 1,214
Pacific Northwest Bancorp 34,904 1,213
United Community Banks, Inc. 48,529 1,212
Harbor Florida Bancshares, Inc. 50,567 1,212
Anthracite Capital Inc. REIT 100,304 1,210
Rock-Tenn Co. 71,360 1,210
Sterling Bancshares, Inc. 92,405 1,209
USEC Inc. 172,094 1,208
Wausau-Mosinee Paper Corp. 107,763 1,207
* Bright Horizons Family Solutions, Inc. 35,959 1,207
* Encore Acquisition Co. 62,882 1,204
* Aztar Corp. 74,744 1,204
* Impax Laboratories, Inc. 100,049 1,200
Tredegar Corp. 80,012 1,199
Thomas Industries, Inc. 44,300 1,198
CARBO Ceramics Inc. 32,169 1,198
* Trex Co., Inc. 30,495 1,197
* Viasys Healthcare Inc. 57,796 1,196
Amcore Financial, Inc. 51,381 1,196
R & G Financial Corp. Class B 40,255 1,196
* Akamai Technologies, Inc. 245,848 1,195
PolyMedica Corp. 26,084 1,194
* Pegasus Solutions Inc. 73,469 1,194
* Photronics Inc. 68,343 1,193
* Kyphon Inc. 78,681 1,190
Interstate Bakeries Corp. 93,637 1,189
* Atrix Laboratories, Inc. 54,041 1,188
* Telik, Inc. 73,876 1,187
* Silgan Holdings, Inc. 37,951 1,187
* Alaska Air Group, Inc. 55,268 1,185
* Scientific Games Corp. 125,785 1,182
* Electronics Boutique Holdings Corp. 51,160 1,182
* WebEx Communications, Inc. 84,718 1,182
The Stride Rite Corp. 118,530 1,181
* MICROS Systems, Inc. 35,791 1,180
- ----
22
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
* CommScope, Inc. 124,215 1,180
* Photon Dynamics, Inc. 42,685 1,179
Holly Corp. 42,723 1,179
* Newport Corp. 79,570 1,178
* Newpark Resources, Inc. 214,769 1,177
Sanderson Farms, Inc. 41,873 1,177
* American Healthways Inc. 32,550 1,176
Charter Financial Corp. 41,604 1,175
* Westell Technologies, Inc. 135,840 1,175
* Hecla Mining Co. 277,524 1,174
Getty Realty Holding Corp. REIT 52,547 1,173
* Chiquita Brands International, Inc. 82,962 1,172
* Charming Shoppes, Inc. 235,862 1,172
Zenith National Insurance Corp. 41,106 1,172
MFA Mortgage Investments, Inc. REIT 116,519 1,170
Roadway Corp. 40,984 1,169
American States Water Co. 42,808 1,169
MGE Energy, Inc. 37,076 1,168
* Veritas DGC Inc. 101,474 1,167
* Alexander's, Inc. REIT 13,968 1,166
* Kos Pharmaceuticals, Inc. 49,600 1,164
* ESCO Technologies Inc. 26,311 1,158
* LendingTree, Inc. 47,291 1,158
* Informatica Corp. 167,399 1,157
* Sharper Image Corp. 42,417 1,157
* CompuCredit Corp. 95,091 1,155
BancFirst Corp. 22,258 1,154
* Trammell Crow Co. 108,747 1,154
Lexington Corporate Properties Trust REIT 65,100 1,152
The Trust Co. of New Jersey 37,977 1,151
Summit Properties, Inc. REIT 55,670 1,150
Great American Financial Resources, Inc. 87,665 1,149
* Actuant Corp. 24,277 1,149
* Tularik, Inc. 115,336 1,146
Gold Banc Corp., Inc. 109,072 1,146
* Digital River, Inc. 59,327 1,145
* Echelon Corp. 83,114 1,144
Applied Industrial Technology, Inc. 54,223 1,144
New England Business Service, Inc. 38,129 1,144
* TriQuint Semiconductor, Inc. 274,681 1,143
* Identix, Inc. 179,859 1,142
* Powerwave Technologies, Inc. 182,007 1,141
Longview Fibre Co. 139,074 1,140
Mine Safety Appliances Co. 26,140 1,140
RAIT Investment Trust REIT 42,956 1,138
* First Republic Bank 42,768 1,138
* American Medical Systems Holdings, Inc. 67,375 1,137
Datascope Corp. 38,244 1,135
* Sierra Health Services, Inc. 56,766 1,135
* InfoSpace, Inc. 83,539 1,134
* Iomega Corp. 106,896 1,133
* aaiPharma Inc. 56,969 1,133
Aaron Rents, Inc. Class B 43,800 1,132
Sovran Self Storage, Inc. REIT 35,927 1,132
* ICU Medical, Inc. 36,329 1,132
EastGroup Properties, Inc. REIT 41,906 1,131
* Nautica Enterprises, Inc. 88,031 1,129
* United Defense Industries Inc. 43,450 1,127
* Triad Guaranty, Inc. 29,669 1,126
First Sentinel Bancorp Inc. 70,452 1,125
* Forward Air Corp. 44,330 1,125
Texas Genco Holdings, Inc. 48,300 1,123
PolyOne Corp. 252,328 1,123
* Hain Celestial Group, Inc. 70,187 1,122
* Enzon Pharmaceuticals, Inc. 89,627 1,122
* UnitedGlobalCom Inc. Class A 217,019 1,122
* InVision Technologies, Inc. 44,680 1,121
Glenborough Realty Trust, Inc. REIT 58,515 1,121
Umpqua Holdings Corp. 58,969 1,120
Gray Television, Inc. 90,200 1,118
* Zoran Corp. 58,105 1,116
* Tejon Ranch Co. 37,023 1,114
Main Street Banks, Inc. 44,035 1,114
AMLI Residential Properties Trust REIT 47,300 1,114
* Ameristar Casinos, Inc. 52,160 1,114
Frontier Financial Corp. 39,196 1,114
* The Sports Authority, Inc. 104,023 1,113
* Advent Software, Inc. 65,793 1,113
* Magma Design Automation, Inc. 64,845 1,112
* Province Healthcare Co. 100,411 1,112
* Agile Software Corp. 115,131 1,111
Cato Corp. Class A 52,703 1,111
Florida East Coast Industries, Inc. Class A 43,468 1,111
* Portfolio Recovery Associates, Inc. 35,595 1,110
* Rogers Corp. 33,339 1,110
FBL Financial Group, Inc. Class A 55,068 1,110
* eFunds Corp. 96,199 1,109
* United Natural Foods, Inc. 39,400 1,109
Brown Shoe Co., Inc. 37,201 1,109
* MicroStrategy Inc. 30,426 1,108
First Federal Capital Corp. 55,789 1,107
* Remec, Inc. 159,094 1,107
Penn Virginia Corp. 25,740 1,107
----
23
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Magnum Hunter Resources Inc. 138,300 1,105
* Wabash National Corp. 78,688 1,104
* Moog Inc. 31,764 1,104
* Zymogenetics, Inc. 94,798 1,103
* AtheroGenics, Inc. 73,908 1,103
* Credence Systems Corp. 130,253 1,103
* Resources Connection, Inc. 46,199 1,102
American Home Mortgage Holdings, Inc. 56,210 1,101
Frontier Oil Corp. 72,266 1,098
* Griffon Corp. 68,556 1,097
* W-H Energy Services, Inc. 56,223 1,095
F & M Bancorp 22,203 1,095
Inter-Tel, Inc. 51,560 1,094
* Select Comfort Corp. 66,700 1,093
Roto-Rooter, Inc. 28,607 1,093
* CONMED Corp. 59,751 1,091
* At Road, Inc. 99,900 1,091
* SurModics, Inc. 35,743 1,090
* Dendrite International, Inc. 84,586 1,089
* Southwestern Energy Co. 72,554 1,089
Berry Petroleum Class A 60,580 1,087
Methode Electronics, Inc. Class A 101,104 1,087
* Vignette Corp. 522,427 1,087
* NetFlix.com, Inc. 42,495 1,086
First Charter Corp. 62,372 1,085
Seacoast Financial Services Corp. 54,808 1,085
Town & Country Trust REIT 46,665 1,085
Wintrust Financial Corp. 36,651 1,085
* AMN Healthcare Services, Inc. 85,413 1,085
* USI Holdings Corp. 92,100 1,083
* Antigenics, Inc. 93,860 1,081
* ArthroCare Corp. 64,487 1,081
* Adolor Corp. 88,030 1,080
United National Bancorp 39,092 1,079
* II-VI, Inc. 46,628 1,076
* School Specialty, Inc. 37,796 1,076
* Cray Inc. 136,100 1,075
* Hibbett Sporting Goods, Inc. 32,628 1,075
Walter Industries, Inc. 91,423 1,074
* Gart Sports Co. 37,865 1,074
* The Children's Place Retail Stores, Inc. 54,069 1,074
* Nuevo Energy Co. 61,523 1,074
Harleysville National Corp. 39,670 1,073
CNA Surety Corp. 108,915 1,073
Phillips-Van Heusen Corp. 78,707 1,073
* Global Imaging Systems, Inc. 46,312 1,073
* Littelfuse, Inc. 47,914 1,071
Churchill Downs, Inc. 27,887 1,068
Greif Inc. Class A 46,403 1,067
* NCO Group, Inc. 59,583 1,067
Saul Centers, Inc. REIT 41,622 1,066
Kansas City Life Insurance Co. 24,851 1,065
* Diversa Corp. 108,192 1,064
* Atwood Oceanics, Inc. 39,148 1,063
* Nektar Therapeutics 115,117 1,063
Anworth Mortgage Asset Corp. REIT 68,800 1,061
* Boca Resorts, Inc. Class A 81,533 1,060
* Quicksilver Resources, Inc. 44,241 1,060
Mid Atlantic Realty Trust REIT 50,600 1,060
* Plains Resources Inc. 74,786 1,058
* Shuffle Master, Inc. 36,000 1,058
* InterMune Inc. 65,643 1,058
* Allen Telecom Inc. 64,008 1,057
* ValueClick, Inc. 175,148 1,056
* Medarex, Inc. 160,247 1,056
* Ocular Sciences, Inc. 53,196 1,056
The Laclede Group, Inc. 39,342 1,054
* Plexus Corp. 91,301 1,053
First Essex Bancorp, Inc. 22,317 1,052
* CDI Corp. 40,519 1,052
Sauer-Danfoss, Inc. 97,754 1,051
Woodward Governor Co. 24,430 1,050
Prosperity Bancshares, Inc. 54,563 1,050
* Sinclair Broadcast Group, Inc. 90,444 1,050
Bedford Property Investors, Inc. REIT 36,968 1,050
* TransMontaigne Inc. 161,572 1,047
* CorVel Corp. 29,060 1,046
* Symyx Technologies, Inc. 64,101 1,046
* Sunrise Senior Living, Inc. 46,729 1,046
* PEC Solutions, Inc. 64,925 1,045
ElkCorp 46,389 1,044
Aquila, Inc. 404,124 1,043
* Imagistics International Inc. 40,255 1,039
* UTStarcom, Inc. 29,165 1,037
National Health Investors REIT 56,210 1,037
* Stewart Information Services Corp. 37,204 1,036
Koger Equity, Inc. REIT 60,131 1,036
* Comstock Resources, Inc. 75,700 1,036
* Papa John's International, Inc. 36,880 1,034
Commercial Metals Co. 58,126 1,034
* Veeco Instruments, Inc. 60,704 1,034
* Tesoro Petroleum Corp. 149,958 1,032
Brookfield Homes Corp. 66,900 1,032
* Brooks Automation, Inc. 90,952 1,031
Steelcase Inc. 87,696 1,031
* Forrester Research, Inc. 62,944 1,030
Texas Industries, Inc. 43,200 1,028
* Regeneration Technologies, Inc. 77,219 1,026
* Central Garden and Pet Co. 42,949 1,024
- ----
24
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
Pennsylvania REIT 34,176 1,024
Entertainment Properties Trust REIT 35,600 1,024
* Paxar Corp. 92,970 1,023
Cash America International Inc. 77,350 1,023
Corporate Office Properties Trust, Inc. REIT 60,378 1,022
Coca-Cola Bottling Co. 18,692 1,021
* Actel Corp. 49,784 1,021
Community Bank System, Inc. 26,855 1,020
* World Acceptance Corp. 62,653 1,020
* Artisan Components, Inc. 45,103 1,020
* Saxon Capital Inc. 58,657 1,019
Suffolk Bancorp 31,645 1,019
First Financial Holdings, Inc. 37,667 1,019
* The Gymboree Corp. 60,607 1,017
* Primus Telecommunications Group, Inc. 197,720 1,016
* Jones Lang Lasalle Inc. 64,279 1,016
SWS Group, Inc. 50,295 1,013
* Itron, Inc. 46,998 1,013
* bebe stores, inc 52,961 1,013
* Remington Oil & Gas Corp. 55,100 1,013
Value Line, Inc. 20,619 1,013
* Integrated Electrical Services, Inc. 139,631 1,012
Watts Industries Class A 56,698 1,012
CTS Corp. 96,785 1,011
* ValueVision Media, Inc. 74,148 1,011
Tecumseh Products Co. Class A 26,371 1,010
City Holding Co. 34,509 1,010
Westbanco Inc. 41,517 1,009
* Infonet Services Corp. 633,877 1,008
* Saga Communications, Inc. 51,806 1,008
Infinity Property & Casualty Corp. 42,562 1,006
* Dick's Sporting Goods, Inc. 27,400 1,005
* Tradestation Group Inc. 97,880 1,004
* Cyberonics, Inc. 46,669 1,004
Baldwin & Lyons, Inc. Class B 42,258 1,004
* United Therapeutics Corp. 46,079 1,004
* Global Industries Ltd. 208,188 1,003
* Talk America Holdings, Inc. 91,880 1,002
* WMS Industries, Inc. 64,276 1,002
* Jo-Ann Stores, Inc. Class A 39,600 1,002
Glacier Bancorp, Inc. 40,503 997
Regal-Beloit Corp. 52,202 997
* FuelCell Energy, Inc. 121,630 996
Quanex Corp. 33,479 995
* Systems & Computer Technology Corp. 110,462 994
A. Schulman Inc. 61,787 992
* Horizon Organic Holding Corp. 41,606 991
* Bay View Capital Corp. 171,448 991
* Per-Se Technologies, Inc. 88,172 990
* Stage Stores, Inc. 42,094 989
Newcastle Investment Corp. REIT 50,500 989
Mid-America Apartment Communities, Inc. REIT 36,600 989
* Orbital Sciences Corp. 135,411 989
Midwest Banc Holdings, Inc. 50,804 987
* Kensey Nash Corp. 37,688 986
* Penwest Pharmaceuticals Co. 40,384 984
Schweitzer-Mauduit International, Inc. 40,706 983
* PAREXEL International Corp. 70,416 982
Wellman, Inc. 87,688 982
* Asbury Automotive Group, Inc. 72,800 981
* The Topps Co., Inc. 114,208 981
* Eclipsys Corp. 93,829 980
* Plains Exploration & Production Co. 90,532 979
* Century Business Services, Inc. 301,038 978
OceanFirst Financial Corp. 40,020 978
Barnes Group, Inc. 44,925 978
Sterling Bancorp 35,010 976
* Columbia Laboratories Inc. 86,728 976
Pulitzer, Inc. 19,719 975
First Community Bancorp 31,000 973
* Startek, Inc. 36,981 973
* Gulfmark Offshore, Inc. 57,580 972
* Connetics Corp. 64,715 969
* Genlyte Group, Inc. 27,703 969
* Input/Output, Inc. 179,687 967
* Swift Energy Co. 87,835 966
* Charles River Associates Inc. 34,169 966
* Inet Technologies, Inc. 96,696 964
* Advanced Medical Optics, Inc. 56,400 962
* Sotheby's Holdings Class A 129,244 962
IBERIABANK Corp. 19,702 961
* Verity, Inc. 75,931 961
* General Maritime Corp. 94,631 961
West Pharmaceutical Services, Inc. 39,139 959
Mid-State Bancshares 48,388 956
Valmont Industries, Inc. 49,092 955
The Standard Register Co. 57,958 955
* Alliance Data Systems Corp. 40,789 954
* Esterline Technologies Corp. 54,760 953
* j2 Global Communications, Inc. 20,727 953
* Avatar Holding, Inc. 31,540 953
* Gartner, Inc. Class A 125,636 952
Community Trust Bancorp Inc. 36,377 951
* AFC Enterprises, Inc. 58,528 950
Connecticut Bancshares, Inc. 24,197 950
* IDX Systems Corp. 61,039 947
Flushing Financial Corp. 42,728 947
* Epicor Software Corp. 157,412 943
----
25
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Electro Scientific Industries, Inc. 62,185 943
Independent Bank Corp. (MA) 41,722 943
Lone Star Steakhouse & Saloon, Inc. 43,061 937
* Haemonetics Corp. 50,122 937
Interpool, Inc. 57,012 936
* Dollar Thrifty Automotive Group, Inc. 50,418 935
* Intuitive Surgical, Inc. 122,957 932
* Insituform Technologies Inc.Class A 52,697 932
* Advanced Energy Industries, Inc. 65,264 930
* Palm, Inc. 57,099 929
Sandy Spring Bancorp, Inc. 29,376 928
* PETCO Animal Supplies, Inc. 42,544 925
* Triumph Group, Inc. 32,793 924
* Shaw Group, Inc. 76,603 923
* Plug Power, Inc. 197,357 922
* Microsemi Corp. 57,424 919
* California Pizza Kitchen, Inc. 42,702 918
* SonoSite, Inc. 45,978 917
* K2 Inc. 74,794 916
* Hewitt Associates, Inc. 38,900 916
WSFS Financial Corp. 23,845 916
St. Francis Capital Corp. 31,481 915
Firstfed America Bancorp, Inc. 26,522 915
Universal Health Realty Income REIT 33,878 915
Cohu, Inc. 58,625 915
Stewart & Stevenson Services, Inc. 58,038 914
Arch Chemicals, Inc. 47,854 914
* Intrado Inc. 57,795 913
Surewest Communications 30,168 913
* Pre-Paid Legal Services, Inc. 37,192 912
United Community Financial Corp. 98,436 910
Port Financial Corp. 16,863 909
* American Pharmaceuticals Partners, Inc. 26,800 909
* Isle of Capri Casinos, Inc. 54,938 908
First Financial Corp.-Indiana 17,109 905
* ON Semiconductor Corp. 334,383 903
* Handleman Co. 56,321 901
OM Group, Inc. 60,986 898
Central Pacific Financial Co. 32,420 898
* Ulticom, Inc. 94,387 897
Simmons First National Corp. 44,738 895
* Genesee & Wyoming Inc. Class A 43,458 894
Lennar Corp. Class B 12,999 893
Capital City Bank Group, Inc. 24,636 892
* Interpore International 70,037 892
California Water Service Group 31,700 891
CIRCOR International, Inc. 49,888 890
* Monaco Coach Corp. 57,972 889
* Labor Ready, Inc. 123,581 886
* International Multifoods Corp. 38,664 886
World Fuel Services Corp. 36,015 886
* DuPont Photomasks, Inc. 47,023 885
RFS Hotel Investors, Inc. REIT 71,841 885
* F5 Networks, Inc. 52,488 884
Hancock Fabrics, Inc. 54,732 884
The Marcus Corp. 59,000 882
* Parker Drilling Co. 302,964 882
First Merchants Corp. 36,262 882
* OPNET Technologies, Inc. 72,270 881
* Rayovac Corp. 68,018 881
* Cross Country Healthcare, Inc. 66,654 879
Republic Bancshares, Inc. 35,141 879
* Stewart Enterprises, Inc. Class A 204,221 878
* Manugistics Group, Inc. 213,220 876
Metris Cos., Inc. 157,557 874
Curtiss-Wright Corp. 13,805 872
Riggs National Corp. 57,318 872
* i2 Technologies, Inc. 871,811 872
* Headwaters Inc. 59,311 871
* XOMA Ltd. 163,230 870
Central Parking Corp. 70,370 870
* Exelixis, Inc. 125,218 869
* webMethods, Inc. 106,878 869
* RadiSys Corp. 65,726 868
* Tweeter Home Entertainment Group, Inc. 99,899 867
Ameron International Corp. 24,924 867
* General Communication, Inc. 99,941 865
* Keynote Systems Inc. 82,345 863
Vital Signs, Inc. 33,157 861
* 1-800 CONTACTS, Inc. 35,158 861
* Aviall Inc. 75,640 860
* Silicon Image, Inc. 154,028 859
* Teledyne Technologies, Inc. 65,579 859
* Ciphergen Biosystems, Inc. 83,791 859
* Boston Communications Group, Inc. 50,068 858
Columbia Banking System, Inc. 47,887 858
* Insight Enterprises, Inc. 85,085 856
* O'Charley's Inc. 39,680 854
* Pegasystems Inc. 115,902 854
* Fisher Communications, Inc. 17,400 851
* Datastream Systems, Inc. 80,338 851
Lindsay Manufacturing Co. 36,603 850
Omega Financial Corp. 24,838 849
* Tollgrade Communications, Inc. 45,519 849
The Nautilus Group, Inc. 68,448 849
* Indevus Pharmaceuticals, Inc. 135,973 848
- ----
26
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Bombay Co. 79,762 848
* Mykrolis Corp. 83,533 848
* Gabelli Asset Management Inc. 23,474 847
* JAKKS Pacific, Inc. 63,755 847
* P.A.M. Transportation Services, Inc. 35,001 847
SJW Corp. 9,900 844
EDO Corp. 47,589 842
Lawson Products, Inc. 30,565 842
Great Southern Bancorp, Inc. 21,839 842
* LabOne, Inc. 38,989 841
* Prima Energy Corp. 40,153 838
* Cirrus Logic 208,423 838
* NeoPharm, Inc. 60,255 835
* Hawthorne Financial Corp. 24,026 833
* Kopin Corp. 135,935 832
* William Lyon Homes, Inc. 26,053 830
* Serologicals Corp. 60,871 830
* ESS Technology, Inc. 84,987 829
* Orthodontic Centers of America, Inc. 103,301 827
D&K Healthcare Resources, Inc. 51,254 827
U.S.B. Holding Co., Inc. 46,599 827
* Omega Healthcare Investors, Inc. REIT 157,278 826
Advanta Corp. Class A 83,905 826
Washington Trust Bancorp, Inc. 35,900 825
* Armor Holdings, Inc. 61,556 825
* LTX Corp. 95,556 824
Integra Bank Corp. 47,514 818
Cornerstone Realty Income Trust, Inc. REIT 111,800 817
BSB Bancorp, Inc. 32,917 817
* RailAmerica, Inc. 96,571 816
* Coinstar, Inc. 43,210 815
* PC-Tel, Inc. 68,500 812
* BioLase Technology, Inc. 75,700 812
* Right Management Consultants, Inc. 64,147 811
* CCC Information Services Group 55,946 811
* Arris Group Inc. 163,273 810
* QAD Inc. 109,040 809
Cascade Bancorp 46,638 808
LaSalle Hotel Properties REIT 54,655 808
* Lifeline Systems, Inc. 28,432 807
* Jacuzzi Brands, Inc. 152,242 805
Dimon Inc. 112,206 803
* USANA Health Sciences, Inc. 18,166 803
* Playtex Products, Inc. 125,054 803
* Harvest Natural Resources, Inc. 125,900 802
* Closure Medical Corp. 42,436 801
Florida East Coast Industries, Inc. Class B 32,159 801
* TriPath Imaging, Inc. 117,150 800
* Ultratech, Inc. 43,245 800
* KFX, Inc. 206,050 799
Chesapeake Corp. of Virginia 36,467 797
* Mesa Air Group Inc. 99,457 796
Kaman Corp. Class A 67,985 795
* SPSS, Inc. 47,443 794
* Esperion Therapeutics, Inc. 40,539 794
* IDT Corp. Class B 45,100 794
* Kadant Inc. 42,324 794
* Mobile Mini, Inc. 48,544 793
* Teletech Holdings Inc. 187,299 792
* PTEK Holdings, Inc. 163,140 791
* Metrologic Instruments, Inc. 23,791 791
* MemberWorks, Inc. 39,995 790
* AK Steel Corp. 218,041 789
* Palm Harbor Homes, Inc. 41,639 789
Correctional Properties Trust REIT 28,100 787
* National Beverage Corp. 56,492 785
* Learning Tree International, Inc. 50,179 784
* PSS World Medical, Inc. 136,248 783
* Mercury Computer Systems, Inc. 42,980 781
* Rudolph Technologies, Inc. 48,899 780
* Concord Camera Corp. 109,864 779
Sterling Financial Corp. (PA) 33,494 779
* Citizens, Inc. 107,099 779
* Old Dominion Freight Line, Inc. 36,000 778
* Kenneth Cole Productions, Inc. 39,886 777
* ITLA Capital Corp. 19,213 777
* ActivCard Corp. 82,575 776
AAR Corp. 109,940 776
Hooper Holmes, Inc. 120,523 776
* Websense, Inc. 49,529 776
* Young Broadcasting Inc. 36,665 775
Cascade Natural Gas Corp. 40,500 774
PMA Capital Corp. Class A 61,513 773
* Sterling Financial Corp. (Spokane) 31,738 773
* Information Holdings Inc. 42,319 772
* Advanced Magnetics, Inc. 75,300 772
* Goody's Family Clothing 89,219 772
Presidential Life Corp. 54,576 770
Unizan Financial Corp. 43,813 770
* Oak Technology, Inc. 123,854 769
* Spanish Broadcasting System, Inc. 93,941 766
Standex International Corp. 36,416 765
Apogee Enterprises, Inc. 84,777 765
* Ribapharm Inc. 118,400 764
* Therasense, Inc. 76,351 764
* NS Group Inc. 78,300 763
* J & J Snack Foods Corp. 24,125 763
* Centene Corp. 19,600 762
* SafeNet, Inc. 27,225 762
----
27
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
* The Buckle, Inc. 39,607 762
* PRG-Schultz International, Inc. 129,034 761
* Spherion Corp. 109,524 761
S.Y. Bancorp, Inc. 21,510 761
First Place Financial Corp. 43,895 760
Capitol Bancorp Ltd. 27,999 759
Aceto Corp. 41,070 758
* W.R. Grace & Co. 171,256 755
First Source Corp. 40,671 755
* ViaSat, Inc. 52,420 752
GenCorp, Inc. 84,508 751
* Callon Petroleum Co. 105,500 751
* Network Equipment Technologies, Inc. 89,147 751
General Cable Corp. 138,898 750
* Osteotech, Inc. 55,050 748
* Trans World Entertainment Corp. 145,822 747
* ImmunoGen, Inc. 174,832 747
* Netscreen Technologies, Inc. 33,100 746
* PracticeWorks Inc. 38,624 745
* Molecular Devices Corp. 46,825 745
Bel Fuse, Inc. Class B 32,500 744
* VistaCare, Inc. 30,596 744
* Helen of Troy Ltd. 48,962 742
* The Dress Barn, Inc. 58,560 742
Nu Skin Enterprises, Inc. 70,900 741
C & D Technologies, Inc. 51,595 741
* Galyan's Trading Co. 51,587 740
* Transkaryotic Therapies, Inc. 64,045 739
* Elizabeth Arden, Inc. 56,098 739
Instinet Group Inc. 158,381 738
* Ionics, Inc. 32,961 737
Banner Corp. 35,952 737
* Salem Communications Corp. 36,806 737
Resource America, Inc. 71,156 736
* Silicon Storage Technology, Inc. 175,663 736
Parkway Properties Inc. REIT 17,500 736
* A.C. Moore Arts & Crafts, Inc. 36,700 735
Deb Shops, Inc. 39,091 735
Seacoast Banking Corp. of Florida 43,026 733
Lance, Inc. 79,835 729
* Vicor Corp. 75,925 729
* Ixia 112,871 726
* Tyler Technologies, Inc. 170,732 726
* Insignia Financial Group, Inc. 65,241 725
* Local Financial Corp. 50,166 724
* Openwave Systems Inc. 369,858 721
* Noven Pharmaceuticals, Inc. 70,303 720
* Vail Resorts Inc. 53,417 720
* MatrixOne, Inc. 125,340 719
* Applica Inc. 84,546 719
* Genesco, Inc. 40,601 719
* Accredited Home Lenders Holding Co. 36,600 718
* CIMA Labs Inc. 26,691 718
RPC Inc. 65,170 717
Advanced Marketing Services 55,134 717
Belden, Inc. 45,086 716
Keithley Instruments Inc. 49,502 715
* Frontier Airlines, Inc. 78,725 715
Park Electrochemical Corp. 35,820 715
* Cell Therapeutics, Inc. 73,262 713
* Stratex Networks, Inc. 222,631 712
* Concur Technologies, Inc. 70,700 712
NYMAGIC, Inc. 35,100 711
Skyline Corp. 23,700 711
Keystone Property Trust REIT 38,300 709
* Sigma Designs, Inc. 65,000 706
McMoRan Exploration Co. 63,290 705
* Sun Bancorp, Inc. (NJ) 35,427 705
* MarineMax, Inc. 50,168 702
* ShopKo Stores, Inc. 54,023 702
* 1-800-FLOWERS.COM, Inc. 85,214 702
* Anaren, Inc. 74,911 702
* Sykes Enterprises, Inc. 143,414 701
National Presto Industries, Inc. 22,163 700
* Artesyn Technologies, Inc. 124,755 700
* IXYS Corp. 87,690 699
* Guess ?, Inc. 116,279 698
* Casella Waste Systems, Inc. 77,222 697
* Microtune, Inc. 217,870 697
* Mobius Management Systems, Inc. 93,200 696
* Kirkland's, Inc. 43,100 696
* Orthologic Corp. 151,618 696
* Immunomedics Inc. 110,263 696
* Clayton Williams Energy, Inc. 37,629 695
* A.S.V., Inc. 47,925 694
* Herley Industries Inc. 40,776 692
Medallion Financial Corp. 98,700 692
* Presstek, Inc. 111,050 692
American Woodmark Corp. 14,855 692
* Inspire Pharmaceuticals, Inc. 63,928 690
* Consolidated Graphics, Inc. 30,116 689
Interface, Inc. 148,130 687
* Pemstar Inc. 163,852 687
Scope Industries 8,800 686
* Healthcare Services Group, Inc. 47,753 686
Pioneer Standard Electronics Inc. 80,757 685
* Martha Stewart Living Omnimedia, Inc. 72,904 685
* ANSYS, Inc. 22,000 684
Lufkin Industries 28,090 684
* E-LOAN, Inc. 117,300 684
- ----
28
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Beverly Enterprises, Inc. 194,950 682
* Dril-Quip, Inc. 37,421 681
Central Vermont Public Service Corp. 34,800 680
* Central EuropeanDistribution Corp. 33,750 680
Met-Pro Corp. 47,046 679
* Department 56 Inc. 44,289 679
Ampco-Pittsburgh Corp. 50,665 679
Myers Industries, Inc. 71,371 678
Pennfed Financial Services, Inc. 24,426 678
* FindWhat.com 35,957 676
* Oxigene, Inc. 68,261 675
* Concord Communications, Inc. 49,034 673
* Mapics Inc. 81,969 672
* Centennial Communications Corp. Class A 167,877 672
* Audiovox Corp. 59,840 670
Libbey, Inc. 29,449 668
BEI Technologies, Inc. 55,543 667
* Robert Mondavi Corp. Class A 26,320 666
Action Performance Cos., Inc. 35,033 666
* Regent Communications, Inc. 112,790 665
* PC Connection, Inc. 97,798 665
Southern Financial Bancorp, Inc. 21,758 665
Blair Corp. 29,884 663
* PICO Holdings, Inc. 50,977 663
* Bruker Daltonics, Inc. 123,961 661
Innkeepers USA Trust REIT 97,028 660
TriCo Bancshares 25,931 659
* SPS Technologies, Inc. 24,371 659
* Rainbow Technologies, Inc. 78,323 659
* Sequa Corp. Class A 19,194 658
* Computer Network Technology Corp. 81,275 658
* Ultralife Batteries, Inc. 65,800 658
* Capital Corp. of the West 25,946 658
* Wild Oats Markets Inc. 60,309 657
* Duane Reade Inc. 44,566 657
Calgon Carbon Corp. 114,286 657
First Mutual Bancshares, Inc. 32,842 657
NACCO Industries, Inc. Class A 11,139 657
Mission West Properties Inc. REIT 57,728 656
* Vivus, Inc. 127,431 655
* 4Kids Entertainment Inc. 35,174 654
* M&F Worldwide Corp. 90,860 654
* Maxygen Inc. 59,628 654
* SangStat Medical Corp. 49,864 653
Pacific Crest Capital Inc. 30,990 651
* Rimage Corp. 52,000 650
* Criimi Mae, Inc. REIT 59,235 649
* EPIQ Systems, Inc. 37,764 648
Merchants Bancshares, Inc. 24,900 647
Carpenter Technology Corp. 41,427 646
* Candela Corp. 56,010 645
* LCA-Vision Inc. 71,623 643
Helix Technology Corp. 48,511 642
Oshkosh B' Gosh, Inc. Class A 23,767 642
* E.piphany Inc. 124,872 638
* Integral Systems, Inc. 32,046 637
* Corixa Corp. 82,230 636
* The Pantry, Inc. 80,500 635
* Drexler Technology Corp. 40,973 635
* The Great Atlantic & Pacific Tea Co., Inc. 72,160 635
Yardville National Bancorp 32,485 633
* SOURCECORP, Inc. 29,258 632
Southwest Water Co. 45,216 632
BHA Group Holdings Inc. 31,796 630
Kramont Realty Trust REIT 38,106 629
Capstead Mortgage Corp. REIT 55,772 629
* Opsware, Inc. 156,167 628
* eResearch Technology, Inc. 28,300 627
* Fleetwood Enterprises, Inc. 84,507 625
* SciClone Pharmaceuticals, Inc. 72,932 624
CPI Corp. 35,359 624
Second Bancorp, Inc. 24,179 624
Peoples Holding Co. 14,089 623
* Paxson Communications Corp. 104,010 623
* General Binding Corp. 51,904 623
* Lexicon Genetics Inc. 92,780 623
Heritage Financial Corp. 29,400 622
* US Physical Therapy, Inc. 49,564 622
* Blount International, Inc. 109,037 622
* ATP Oil & Gas Corp. 98,374 620
* EXCO Resources, Inc. 34,600 620
* Horizon Offshore, Inc. 124,305 619
* Retek Inc. 96,648 619
Todd Shipyards Corp. 37,675 618
* Florida Banks, Inc. 52,988 617
Bank of Granite Corp. 36,170 617
CT Communications, Inc. 57,229 615
Abington Bancorp Inc. 24,200 615
* S1 Corp. 152,128 615
NUI Corp. 39,600 615
* America Service Group Inc. 34,300 614
* OMI Corp. 99,600 614
* Unifi, Inc. 98,756 612
* CoStar Group, Inc. 20,484 612
* Peet's Coffee & Tea Inc. 35,024 612
* Jarden Corp. 22,100 612
* Merit Medical Systems, Inc. 30,538 610
* Ace Cash Express, Inc. 56,042 609
North Valley Bancorp 40,600 609
----
29
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Ultimate Electronics, Inc. 47,400 608
Argonaut Group, Inc. 49,127 606
* Repligen Corp. 116,700 605
* The Wet Seal, Inc. Class A 56,573 604
UNITILI Corp. 25,000 603
* Petroleum Development Corp. 65,546 602
Frisch's Restaurants, Inc. 33,464 602
PVF Capital Corp. 43,131 602
* Myriad Genetics, Inc. 44,234 602
CFS Bancorp, Inc. 42,664 602
* MTC Technologies, Inc. 25,600 601
Pope & Talbot, Inc. 54,345 601
* Portal Software, Inc. 300,242 600
Marine Products Corp. 55,296 600
* Ambassadors International, Inc. 49,870 599
* Kulicke & Soffa Industries, Inc. 93,633 598
* Trico Marine Services, Inc. 152,606 598
* NetRatings, Inc. 65,439 598
Horizon Financial Corp. 37,862 597
* MTR Gaming Group Inc. 77,371 597
* J. Jill Group, Inc. 35,463 597
* Neose Technologies, Inc. 59,616 597
* Cellegy Pharmaceuticals, Inc. 118,425 596
* Pericom Semiconductor Corp. 63,995 595
Maine Public Service Co. 18,300 595
* Stein Mart, Inc. 99,224 594
* Concurrent Computer Corp. 203,376 594
* Safeguard Scientifics, Inc. 219,906 594
Flexsteel Industry 36,000 594
* The Middleby Corp. 42,346 593
* Centillium Communications, Inc. 59,808 593
HMN Financial, Inc. 30,400 590
* Interwoven, Inc. 265,278 589
Craftmade International, Inc. 32,639 588
* Ambassadors Group, Inc. 42,070 588
* IDine Rewards Network Inc. 42,674 586
Watsco, Inc. 35,400 586
* Research Frontiers, Inc. 41,865 586
* Matria Healthcare, Inc. 33,204 586
TF Financial Corp. 19,012 585
* Wind River Systems Inc. 153,212 584
First of Long Island Corp. 14,625 584
* OraSure Technologies, Inc. 78,145 583
* Kindred Healthcare, Inc. 32,608 582
* Hi-Tech Pharmacal Co., Inc. 14,300 582
* Wesco International, Inc. 96,876 581
Coachmen Industries, Inc. 48,551 580
* Cleveland-Cliffs Inc. 32,500 580
* Cell Genesys, Inc. 67,142 580
* Caraustar Industries, Inc. 72,388 580
* Aether Systems, Inc. 118,271 580
LSB Bancshares, Inc. 33,448 579
Penn Engineering & Manufacturing Corp. 42,369 578
* The Sportsman's Guide Inc. 52,300 578
* CKE Restaurants Inc. 103,372 578
* InterVoice, Inc. 116,951 578
BostonFed Bancorp, Inc. 21,401 576
* Crown Media Holdings, Inc. 139,157 575
* CardioDynamics International Corp. 168,424 574
* Time Warner Telecom Inc. 90,057 574
State Financial Services Corp. Class A 25,900 573
Summit Bancshares, Inc. 24,420 573
* SBS Technologies, Inc. 58,203 572
* Factual Data Corp. 32,900 572
World Wrestling Entertainment, Inc. 55,497 571
* Ventana Medical Systems, Inc. 21,001 571
* Integrated Defense Technology, Inc. 36,791 571
Progress Financial Corp. 41,642 569
* Ethyl Corp. 57,140 569
Columbia Bancorp 23,647 568
United Fire & Casualty Co. 17,459 567
* GrafTech International Ltd. 104,080 567
* Red Robin Gourmet Burgers 29,900 567
* JDA Software Group, Inc. 50,640 567
* Cable Design Technologies Corp. 79,253 567
* Impath, Inc. 40,038 566
* Prime Hospitality Corp. 84,342 566
* Radiant Systems, Inc. 83,927 566
* Bluegreen Corp. 118,940 565
* Pegasus Communications Corp. 19,025 563
Boykin Lodging Co. REIT 72,100 562
* Navigant International, Inc. 43,564 562
* SonicWALL, Inc. 117,075 562
* Dave & Busters, Inc. 51,453 561
* Ditech Communications Corp. 112,400 560
* Bally Total Fitness Holding Corp. 61,963 560
* Insurance Auto Auctions, Inc. 44,539 559
Parkvale Financial Corp. 22,710 558
* Bone Care International, Inc. 40,140 558
* Administaff, Inc. 54,141 558
* Wiser Oil Co. 96,800 558
* Finisar Corp. 359,000 556
* Atari, Inc. 124,970 556
* Wilsons The Leather Experts Inc. 77,085 556
Associated Estates Realty Corp. REIT 84,223 553
* Volt Information Sciences Inc. 40,519 553
* Cepheid, Inc. 111,677 552
* MarketWatch.com, Inc. 65,900 551
- ----
30
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Chalone Wine Group Ltd. 70,898 551
* Ocwen Financial Corp. 121,292 551
* Big 5 Sporting Goods Corp. 43,924 550
* The Boyds Collection, Ltd. 116,817 550
* iManage, Inc. 109,800 549
MutualFirst Financial Inc. 23,489 548
* Korn/Ferry International 67,642 548
* Champion Enterprises, Inc. 105,771 548
Central Bancorp, Inc. 15,700 548
* Avanex Corp. 136,774 547
Bassett Furniture Industries, Inc. 41,135 546
* Incyte Corp. 117,591 546
* Coldwater Creek Inc. 44,231 545
* Universal Display Corp. 61,000 544
Financial Institutions, Inc. 23,108 543
* Isis Pharmaceuticals, Inc. 102,451 543
* Harmonic, Inc. 133,224 542
* Beasley Broadcast Group, Inc. 39,630 542
Angelica Corp. 31,900 541
* Oplink Communications, Inc. 288,916 540
* Alexion Pharmaceuticals, Inc. 31,669 540
* TETRA Technologies, Inc. 18,200 540
* Triton PCS, Inc. 106,802 539
* Tarragon Realty Investors Inc. REIT 36,967 539
* Universal Electronics, Inc. 42,325 537
* EMS Technologies, Inc. 41,014 536
* Entrust, Inc. 182,354 536
* Spherix Inc. 76,100 536
* Medical Action Industries Inc. 32,792 535
Guaranty Federal Bancshares, Inc. 33,000 535
* Cubist Pharmaceuticals, Inc. 50,106 534
* U.S. Energy Corp. 102,670 534
* LifeCell Corp. 104,500 533
Pilgrim's Pride Corp. 55,113 533
* Autobytel Inc. 85,406 533
* AmericanWest Bancorporation 32,809 532
* Gadzooks, Inc. 93,700 532
* Brigham Exploration Co. 104,300 532
* KVH Industries, Inc. 21,500 532
* FreeMarkets, Inc. 76,326 531
* Gerber Scientific, Inc. 79,344 528
* A.T. Cross Co. Class A 88,920 528
* Rocky Shoes & Boots, Inc. 58,600 528
* Collins & Aikman Corp. 178,501 527
* Group 1 Software, Inc. 28,698 526
* Mediware Information Systems, Inc. 52,000 526
Newmil Bancorp, Inc. 23,900 523
JLG Industries, Inc. 76,937 523
Arctic Cat, Inc. 27,300 523
* Alloy, Inc. 81,079 523
* Rentrak Corp. 76,400 522
American Land Lease, Inc. REIT 31,014 521
ABC Bancorp 36,350 521
* ePlus Inc. 48,900 521
* Footstar Inc. 40,057 521
* Hector Communications Corp. 41,650 521
* Mesaba Holdings, Inc. 84,300 520
* Aspect Medical Systems, Inc. 70,476 520
* PDI, Inc. 51,105 519
* Maxxam Inc. 35,800 519
* Guilford Pharmaceuticals, Inc. 114,269 519
* Digi International, Inc. 90,153 518
* Altiris, Inc. 25,800 517
* America West Holdings Corp. Class B 76,000 517
* SRA International, Inc. 16,128 516
* Central Coast Bancorp 30,717 515
* Specialty Laboratories, Inc. 50,188 514
* MRV Communications Inc. 254,781 512
* Young Innovations, Inc. 17,961 512
United Mobile Homes, Inc. REIT 33,700 511
Fidelity Bankshares, Inc. 22,900 511
* GSI Commerce, Inc. 76,381 510
* Insignia Systems, Inc. 81,400 509
* Natus Medical Inc. 111,800 509
* APAC Teleservices, Inc. 199,365 508
* BioSphere Medical Inc. 84,506 507
* Playboy Enterprises, Inc. Class B 37,191 506
HEICO Corp. 41,423 505
* Waste Industries USA, Inc. 70,950 505
Ohio Valley Banc Corp. 21,725 505
* Energy Partners, Ltd. 43,600 504
Greater Delaware Valley Savings Bank 22,132 502
Nature's Sunshine Inc. 62,164 498
* BWC Financial Corp. 25,422 498
* LoJack Corp. 100,500 497
Semco Energy Inc. 85,400 497
* Escalade, Inc. 30,636 497
* CuraGen Corp. 89,183 495
* Water Pik Technologies, Inc. 63,700 495
* GameStop Corp. 38,302 495
Redwood Empire Bancorp 17,350 495
* Monolithic System Technology, Inc. 54,522 494
* Matrix Bancorp, Inc. 48,200 494
* Secure Computing Corp. 56,507 493
* AMC Entertainment, Inc. 43,100 493
* KCS Energy, Inc. 91,300 492
MOCON, Inc. 67,862 492
* Gundle/SLT Environmental, Inc. 36,100 492
* NYFIX, Inc. 77,398 491
----
31
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Maxim Pharmaceuticals, Inc. 85,464 491
* Mastec Inc. 85,205 491
* Orphan Medical, Inc. 53,200 491
Landmark Bancorp Inc. 18,052 490
* Benihana Inc. Class A 37,074 489
* New Focus, Inc. 130,707 489
* Charlotte Russe Holding Inc. 47,293 488
California Independent Bancorp 16,816 488
* Blue Rhino Corp. 40,634 487
Solutia, Inc. 223,222 487
* Hexcel Corp. 151,931 486
* Revlon, Inc. Class A 162,034 486
Gevity HR, Inc. 41,100 486
* Interlink Electronics Inc. 79,450 485
* Greka Energy Corp. 83,835 485
Oregon Trail Financial Corp. 19,410 485
* OneSource Information Services, Inc. 64,800 483
* The TriZetto Group, Inc. 79,889 483
* Encysive Pharmaceuticals, Inc. 100,364 482
BNP Residential Properties, Inc. REIT 44,600 482
* FTD, Inc. 23,843 481
* Astec Industries, Inc. 55,152 481
* Colorado MEDtech, Inc. 102,203 480
* Stifel Financial Corp. 39,800 480
* C-COR Electronics, Inc. 97,931 480
* Symmetricom Inc. 109,055 480
Investors Real Estate Trust REIT 44,460 480
Klamath First Bancorp 28,908 480
* Vans, Inc. 53,255 478
* American Science & Engineering, Inc. 48,200 478
* VitalWorks Inc. 121,000 478
* Metro One Telecommunications, Inc. 92,451 477
* Netopia, Inc. 122,606 477
* UQM Technologies, Inc. 158,500 476
MGP Ingredients, Inc. 54,466 476
* Finish Line, Inc. 21,400 475
* Asyst Technologies, Inc. 71,042 475
Midland Co. 21,309 473
* Lightbridge, Inc. 53,897 472
Curtiss-Wright Corp. Class B 7,558 471
* Capital Crossing Bank 19,552 471
* Hanger Orthopedic Group, Inc. 41,105 471
* Dot Hill Systems Corp. 35,900 470
* Drugstore.com, Inc. 80,527 470
HEICO Corp. Class A 52,526 470
Communications Systems, Inc. 59,700 470
* US LEC Corp. Class A 122,900 469
* Aftermarket Technology Corp. 44,652 469
* IMCO Recycling, Inc. 70,671 469
* Source Interlink Companies, Inc. 61,300 465
* Standard Microsystem Corp. 30,531 463
* Steven Madden, Ltd. 21,188 463
Coastal Bancorp, Inc. 16,270 462
Badger Meter, Inc. 17,900 461
* Park-Ohio Holdings Corp. 93,294 461
* Intermagnetics General Corp. 23,215 461
* Micronetics Inc. 63,700 460
* Savient Pharmaceuticals Inc. 99,154 460
Cavalry Bancorp, Inc. 27,200 459
* Captaris Inc. 134,100 459
* Nashua Corp. 51,300 457
* Heidrick & Struggles International, Inc. 36,161 456
* SeeBeyond Technology Corp. 197,140 455
* ResortQuest International, Inc. 103,200 455
Riviana Foods, Inc. 16,888 454
* Able Laboratories, Inc. 22,900 453
Green Mountain Power Corp. 22,655 453
* Neoforma, Inc. 41,466 453
* Brush Engineered Materials Inc. 54,190 452
Penford Corp. 40,506 452
* Nastech Pharmaceutical Co., Inc. 45,221 452
* Switchboard Inc. 125,207 451
* Progenics Pharmaceuticals, Inc. 29,868 450
* Midas Inc. 37,072 449
* Allied Healthcare International Inc. 119,445 449
* FalconStor Software, Inc. 67,092 449
* iPayment Holdings, Inc. 18,700 449
* Theragenics Corp. 104,169 448
* Tower Automotive, Inc. 122,169 447
* Rent-Way, Inc. 96,031 447
* Stillwater Mining Co. 86,793 446
Crawford & Co. Class B 90,829 446
* PRAECIS Pharmaceuticals Inc. 90,969 446
* Mindspeed Technologies, Inc. 185,534 445
* Zoll Medical Corp. 13,257 445
* Factory 2-U Stores Inc. 89,156 444
* Novavax, Inc. 79,711 444
* LCC International, Inc. Class A 162,000 444
Safety Insurance Group, Inc. 30,200 444
* Friendly Ice Cream Corp. 70,000 442
* Pharmacopeia, Inc. 53,574 442
* SCS Transportation, Inc. 34,989 442
* RehabCare Group, Inc. 30,158 442
Apex Mortgage Capital, Inc. REIT 80,629 441
Tecumseh Products Co. Class B 11,900 440
Bairnco Corp. 73,100 440
* Pathmark Stores, Inc. 57,437 439
Sanders Morris Harris Group Inc. 49,050 439
- ----
32
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
Dover Downs Gaming & Entertainment, Inc. 47,292 437
* infoUSA Inc. 53,875 436
Landauer, Inc. 10,400 435
* Pixelworks, Inc. 72,963 433
Spartan Motors, Inc. 52,350 433
MeriStar Hospitality Corp. REIT 84,029 432
* Infinity, Inc. 71,306 431
* Commercial Capital Bancorp, Inc. 28,100 431
Intermet Corp. 127,833 431
Haverty Furniture Cos., Inc. 24,600 431
Universal Forest Products, Inc. 20,500 429
* SeaChange International, Inc. 44,953 429
* Transaction Systems Architects, Inc. 47,862 429
* Chattem, Inc. 22,800 429
* Rainbow Rentals, Inc. 77,000 428
* Gentiva Health Services, Inc. 47,438 427
* Aspect Communications Corp. 110,245 427
* Strategic Distribution, Inc. 26,230 427
* Torch Offshore, Inc. 62,815 427
* Viisage Technology, Inc. 83,220 426
* Abaxis, Inc. 65,800 424
* Key Tronic Corp. 167,700 424
* Genome Therapeutics Corp. 165,673 422
* Netegrity, Inc. 72,207 422
* LookSmart, Ltd. 148,941 422
* Acmat Corp. Class A 45,600 421
* Medical Staffing Network Holdings, Inc. 60,008 420
* Modtech Holdings, Inc. 45,657 420
* Onyx Acceptance Corp. 64,400 419
* Syntroleum Corp. 157,164 418
* Liquidmetal Technologies Inc. 81,432 418
* E-Z-EM, Inc. 49,700 417
* Biopure Corp. 68,220 417
* Vastera, Inc. 69,740 416
* Maxcor Financial Group Inc. 41,175 416
* Range Resources Corp. 66,300 416
* Smart & Final Inc. 89,700 415
* American Software, Inc. Class A 94,350 415
* Petrocorp, Inc. 37,223 415
* Buckeye Technology, Inc. 61,009 415
* ScanSoft, Inc. 76,400 415
* Edge Petroleum Corp. 73,159 415
* Universal American Financial Corp. 65,042 414
* Capital Title Group, Inc. 92,000 414
* Silicon Graphics, Inc. 362,143 413
* Digitas Inc. 83,069 412
* SONUS Pharmaceuticals, Inc. 110,319 411
* Jos. A. Bank Clothiers, Inc. 12,300 411
* Neoware Systems, Inc. 26,800 411
Liberty Homes, Inc. Class A 84,500 410
* RTI International Metals, Inc. 37,800 409
Dover Motorsports, Inc. 99,818 409
* Clean Harbors Inc. 42,933 409
* Valence Technology Inc. 136,300 408
* National Western Life Insurance Co. Class A 3,690 407
Rock of Ages Corp. 62,200 407
* Q-Med, Inc. 53,100 407
* SupportSoft, Inc. 62,746 407
* Transmeta Corp. 253,505 406
Knape & Vogt Manufacturing Co. 39,168 405
* Lawson Software Inc. 52,018 404
* Skechers U.S.A., Inc. 54,611 404
* Aphton Corp. 48,816 402
* NATCO Group Inc. 58,832 402
* Worldwide Restaurant Concepts Inc. 136,050 401
* Garden Fresh Restaurant Corp. 44,500 401
* First Consulting Group, Inc. 85,558 400
* Continental Materials Corp. 17,100 397
* Republic First Bancorp, Inc. 49,930 396
* Neurobiological Technologies, Inc. 113,316 395
First Oak Brook Bancshares, Inc. 11,946 394
Connecticut Water Services, Inc. 15,408 394
* Aksys, Ltd. 30,250 392
* Integrated Silicon Solution, Inc. 56,173 390
* SuperGen, Inc. 71,928 388
Timberline Software Corp. 69,233 388
Urstadt Biddle Properties REIT 29,200 388
* DJ Orthopedics Inc. 35,400 388
* MSC.Software Corp. 57,353 387
* IMPAC Medical Systems, Inc. 18,500 386
* Alliance Imaging, Inc. 87,781 386
* ADE Corp. 44,944 386
First Bell Bancorp, Inc. 15,230 385
* SureBeam Corp. 144,941 384
* Salton, Inc. 42,504 383
* Nobility Homes, Inc. 39,000 383
* JNI Corp. 77,736 383
* Harvard Bioscience, Inc. 100,777 383
The First Years Inc. 31,400 382
* Synovis Life Technologies, Inc. 19,200 382
* Fargo Electronics 39,200 381
* ScanSource, Inc. 14,200 380
* Luminex Corp. 73,597 380
United Guardian, Inc. 54,600 379
* Dobson Communications Corp. 69,600 379
* NCI Building Systems, Inc. 22,700 379
* Glacier Water Services, Inc. 24,400 378
* Harris Interactive Inc. 57,162 377
----
33
- -------------------------------------------------------------------------------------------------------
Market
EXTENDED MARKET Value*
INDEX FUND Shares (000)
- -------------------------------------------------------------------------------------------------------
Mystic Financial, Inc. 17,100 376
* Cysive, Inc. 116,800 375
* Berkshire Hathaway Inc. Class B 154 374
Community Capital Corp. 23,210 373
Home Federal Bancorp 15,350 373
* Sapient Corp. 134,300 372
* West Marine, Inc. 21,200 371
* Tumbleweed Communications Corp. 143,817 371
Virco Manufacturing Corp. 58,141 370
Crown American Realty Trust REIT 34,400 369
* Zomax Inc. 112,894 369
* Meta Group, Inc. 86,605 368
Old Second Bancorp, Inc. 8,537 366
* Enesco Group, Inc. 49,400 366
* Famous Dave's of America, Inc. 88,400 365
* Magnatek, Inc. 143,669 365
* CryoLife Inc. 35,257 365
* Multimedia Games Inc. 14,300 365
* Fairchild Corp. 90,300 364
* BroadVision, Inc. 63,828 363
* Geron Corp. 49,311 363
* USA Truck, Inc. 40,288 363
Republic Bancorp, Inc. Class A 24,415 362
* Graphic Packaging International Corp. 80,250 362
* TechTeam Global, Inc. 56,547 361
Tanger Factory Outlet Centers, Inc. REIT 10,900 361
* Alliance Semiconductor Corp. 74,374 360
* ARIAD Pharmaceuticals, Inc. 80,100 360
* Casual Male Retail Group, Inc. 69,200 359
* Stamps.com Inc. 74,741 359
Acadia Realty Trust REIT 39,200 359
Humphrey Hospitality Trust, Inc. REIT 137,900 359
Middlesex Water Co. 14,548 358
Provident Bancorp, Inc. 11,167 358
* I-STAT Corp. 39,864 358
* Arena Pharmaceuticals, Inc. 53,856 358
L.S. Starrett Co. Class A 27,600 357
* Perini Corp. 44,880 357
First Busey Corp. 14,700 356
Raven Industries, Inc. 17,983 356
* Brightpoint, Inc. 28,870 355
Sound Federal Bancorp Inc. 25,985 353
* Possis Medical Inc. 25,735 353
Deltic Timber Corp. 12,400 353
Oneida Ltd. 52,188 352
* Evans & Sutherland Computer Corp. 61,997 352
* Nuvelo, Inc. 176,556 351
* Huttig Building Products, Inc. 129,626 351
* Party City Corp. 34,166 351
Peoples Bancorp, Inc. 13,885 351
* Zila, Inc. 121,800 350
Ameriserv Financial Inc. 92,100 350
* Pumatech, Inc. 102,921 350
* Gardner Denver Inc. 17,100 350
D&E Communications, Inc. 30,528 350
* Superconductor Technologies Inc. 151,854 349
First Bancorp (NC) 13,452 349
* Celadon Group Inc. 38,400 348
* InFocus Corp. 73,597 347
* Team, Inc. 43,300 346
* TSR, Inc. 38,500 346
Covest Bankshares, Inc. 13,950 345
Allegiant Bancorp, Inc. 17,037 345
* DHB Industries, Inc. 84,124 344
Gibraltar Steel 16,800 344
Tompkins Trustco, Inc. 7,700 344
* Carrier Access Corp. 157,503 343
* eCollege.com Inc. 29,900 343
Applied Signal Technology, Inc. 20,300 342
* Quaker City Bancorp, Inc. 8,338 342
Oxford Industries, Inc. 8,200 340
* Commonwealth Telephone Enterprises Class B 7,400 340
* Embarcadero Technologies, Inc. 48,619 340
* HomeStore, Inc. 191,922 340
* Whitman Education Group, Inc. 22,100 339
* Mechanical Technology Inc. 109,400 339
* MRO Software Inc. 39,294 339
* Bottomline Technologies, Inc. 42,000 339
* Steinway Musical Instruments Inc. 21,890 337
* Firstwave Technologies, Inc. 43,119 336
* Terayon Communications Systems, Inc. 123,095 336
* Inverness Medical Innovations, Inc. 17,406 336
* Royale Energy, Inc. 43,610 335
* SITEL Corp. 216,320 335
* North American Scientific, Inc. 43,770 335
Nash-Finch Co. 20,129 335
PMC Capital, Inc. 69,100 335
McGrath Rent Corp. 12,520 335
* SteelCloud Inc. 97,800 334
* hi/fn, inc 37,467 334
* NCO Portfolio Management, Inc. 56,696 333
* Clarus Corp. 53,000 333
* AstroPower, Inc. 101,141 333
* TransTechnology Corp. 61,100 332
* Novoste Corp. 55,310 332
Donegal Group Inc. 26,400 331
- ----
34
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
* WatchGuard Technologies, Inc. 71,901 331
* Nu Horizons Electronics Corp. 55,038 330
* Actuate Software Corp. 118,759 330
* Sipex Corp. 67,236 329
* AVANT Immunotherapeutics, Inc. 110,272 329
* Vitria Technology, Inc. 57,316 328
* Belmont Bancorp 65,640 328
* GTC Biotherapeutics, Inc. 95,600 328
* Bioreliance Corp. 15,453 328
* Value City Department Stores, Inc. 148,004 327
Tennant Co. 8,900 327
* Centra Software, Inc. 105,477 327
* Penn Octane Corp. 102,170 326
* Foodarama Supermarkets, Inc. 13,000 325
* Gartner, Inc. Class B 43,327 325
Noble International, Ltd. 38,000 325
Ryerson Tull, Inc. 36,961 325
* Daktronics, Inc. 19,800 324
* MedAmicus, Inc. 39,900 323
Superior Financial Corp. 13,460 323
* Alteon, Inc. 66,500 323
* Olympic Steel, Inc. 78,700 322
Merchants Group, Inc. 15,700 321
* Lydall, Inc. 29,983 321
* Aspen Technologies, Inc. 66,781 321
German American Bancorp 18,288 319
Northwestern Corp. 158,899 318
* Net2Phone, Inc. 73,100 317
* PriceSmart, Inc. 23,802 316
* PC Mall, Inc. 78,915 316
* Dendreon Corp. 53,000 315
MFB Corp. 12,400 314
* Virginia Commerce Bancorp, Inc. 16,100 314
* Image Entertainment, Inc. 137,600 314
* Peregrine Pharmaceuticals, Inc. 210,149 313
American Mortgage Acceptance Co. REIT 18,000 312
* The Meridian Resource Corp. 66,000 312
* Energy Conversion Devices, Inc. 34,284 312
* Telular Corp. 64,525 311
* Cardinal Financial Corp. 46,042 311
* NIC Inc. 106,183 310
* SpeechWorks International Inc. 65,912 310
* Third Wave Technologies 68,839 310
* TransPro Inc. 69,110 310
* Exactech, Inc. 21,500 310
* Nuance Communications Inc. 57,190 309
* Stellent Inc. 57,136 309
* Jupitermedia Corp. 77,100 308
* Emerson Radio Corp. 45,800 308
U.S. Restaurant Properties, Inc. REIT 19,600 308
* Convera Corp. 77,250 307
Vulcan International Corp. 8,600 307
Milacron Inc. 62,769 307
* Quality Systems, Inc. 11,110 307
Talx Corp. 13,542 306
* Overland Storage, Inc. 15,000 305
* barnesandnoble.com inc 130,749 305
* RCN Corp. 153,616 304
* Biosource International Inc. 43,900 303
Chesapeake Utilities Corp. 13,400 303
* The Greenbrier Cos., Inc. 27,900 303
* Sanchez Computer Associates, Inc. 58,160 302
* Insmed Inc. 112,383 302
* SM&A Corp. 26,565 302
Union Community Bancorp 17,200 301
* Natural Alternatives International, Inc. 60,700 300
* Planar Systems, Inc. 15,356 300
* Synaptics Inc. 22,300 300
First M&F Corp. 9,153 299
* Rofin-Sinar Technologies Inc. 21,300 299
FNB Financial Services Corp. 15,000 299
Ramco-Gershenson Properties Trust REIT 12,800 298
Capital Trust Class A 16,033 297
* Network Engines, Inc. 78,210 297
* Gene Logic Inc. 49,779 297
* Kforce Inc. 61,521 297
* Universal Stainless & Alloy Products, Inc. 45,200 297
* Dyax Corp. 72,655 296
* Amerco, Inc. 41,617 296
Oak Hill Financial, Inc. 11,746 294
* BE Aerospace, Inc. 88,663 293
Citizens First Financial Corp. 12,500 292
* GRIC Communications, Inc. 75,050 292
* Midway Games Inc. 80,381 292
* Omnova Solutions Inc. 72,047 291
* RC2 Corp. 17,100 291
* Stoneridge, Inc. 21,300 291
* Oregon Steel Mills, Inc. 100,089 290
* ManTech International Corp. 15,100 290
* Franklin Electronic Publishers, Inc. 72,300 289
Astro-Med, Inc. 41,850 289
* Aclara Biosciences, Inc. 68,181 288
* Millennium Cell Inc. 158,276 288
* Handspring, Inc. 254,467 288
* Sonic Solutions, Inc. 33,290 287
* PDF Solutions, Inc. 24,800 286
Shore Bancshares, Inc. 9,300 286
* Euronet Worldwide, Inc. 26,446 286
----
35
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Innovex, Inc. 28,200 285
Provident Financial Holdings, Inc. 9,700 285
* Proxim Corp. Class A 194,782 284
* A.M. Castle & Co. 43,408 284
* Sports Resorts International, Inc. 58,201 284
* Three-Five Systems, Inc. 41,055 283
Movado Group, Inc. 13,000 283
* Ventiv Health, Inc. 68,933 283
MTS Systems Corp. 19,120 282
Timberland Bancorp, Inc. 12,400 281
* Mattson Technology, Inc. 90,973 281
* PetroQuest Energy, Inc. 119,238 280
Boston Acoustics, Inc. 29,000 280
* Digital Generation Systems 145,795 280
CCBT Financial Cos. Inc. 11,700 280
* Liberte Investors, Inc. REIT 51,400 279
* American Dental Partners, Inc. 31,100 279
Bank of the Ozarks, Inc. 7,189 279
* Bell Microproducts Inc. 65,136 278
Psychemedics Corp. 34,114 278
FFLC Bancorp, Inc. 10,700 278
* Conceptus, Inc. 19,748 277
* Internap Network Services Corp. 269,300 277
* Zoltek Cos., Inc. 96,600 275
* Brio Software, Inc. 118,700 274
* Playboy Enterprises Inc. Class A 22,850 274
* InterCept, Inc. 32,703 273
* Psychiatric Solutions, Inc. 28,183 273
* Darling International, Inc. 113,500 272
* AP Pharma Inc. 163,100 272
* iGATE Corp. 78,151 271
* United PanAm Financial Corp. 22,112 271
* Coeur D'Alene Mines Corp. 194,704 271
* Heritage Commerce Corp. 22,200 271
* V.I. Technologies, Inc. 109,952 269
* Restoration Hardware, Inc. 59,833 269
* Onyx Pharmaceuticals, Inc. 21,825 269
* Verisity Ltd. 22,428 268
FNB Corp./North Carolina 10,700 268
* ABIOMED, Inc. 48,890 267
* Wackenhut Corrections Corp. 19,400 266
* U.S. Home Systems, Inc. 30,420 266
* Seabulk International, Inc. 29,963 266
* TheStreet.com, Inc. 56,450 265
* Raindance Communications, Inc. 106,404 265
* Netsmart Technologies, Inc. 48,033 265
* Zygo Corp. 33,046 264
* Willis Lease Finance Corp. 56,600 264
Meridian Bioscience Inc. 28,950 264
* Nanogen, Inc. 89,500 263
Community Banks, Inc. 8,846 263
Delta Apparel, Inc. 16,180 263
* SoundView Technology Group, Inc. 25,960 263
Commercial Bankshares, Inc. 8,800 262
Mainsource Financial Group, Inc. 10,728 261
Penn-America Group, Inc. 23,200 261
* Delphax Technologies, Inc. 83,700 259
* Unity Bancorp, Inc. 25,520 259
GA Financial, Inc. 10,300 259
* SFBC International, Inc. 14,300 259
* DigitalThink, Inc. 82,163 259
* FPIC Insurance Group, Inc. 18,600 258
* Redback Networks Inc. 286,212 258
* Ansoft Corp. 24,222 257
* Rush Enterprises, Inc. Class B 53,300 257
Seaboard Corp. 1,240 257
* BioCryst Pharmaceuticals, Inc. 70,360 256
* Trident Microsystems, Inc. 28,100 256
FloridaFirst Bancorp, Inc. 10,691 255
* Virbac Corp. 42,085 255
* Riverstone Networks, Inc. 216,110 255
CSS Industries, Inc. 6,600 254
* Cholestech Corp. 25,748 254
* Allscripts Healthcare Solutions, Inc. 69,137 254
* CYTOGEN Corp. 30,409 253
Union Bankshares Corp. 8,947 253
* Immucor Inc. 11,600 253
* Sequenom, Inc. 92,556 252
* Manufacturers' Services Ltd. 51,847 251
* Zix Corp. 66,650 251
* First Horizon Pharmaceutical Corp. 63,599 251
* Titanium Metals Corp. 7,823 251
First United Corp. 11,800 251
Sturm, Ruger & Co., Inc. 25,000 250
* STAAR Surgical Co. 21,400 248
* Dynamics Research Corp. 16,222 248
* Infocrossing, Inc. 35,200 248
* Kendle International Inc. 39,941 248
Equity Inns, Inc. REIT 35,738 247
* Lakes Entertainment, Inc. 30,800 246
* Internet Capital Group, Inc. 511,581 246
* COMARCO, Inc. 34,550 245
* American Superconductor Corp. 42,020 245
* Danielson Holdings Corp. 153,080 245
Northern States Financial Corp. 8,600 245
* Keystone Automotive Industries, Inc. 13,400 245
* Perry Ellis International Corp. 12,500 244
* Plumtree Software, Inc. 59,316 243
Quaker Chemical Corp. 9,700 243
* Chronimed Inc. 24,700 243
- ---
36
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
* The Smith & Wollensky Restaurant Group, Inc. 47,410 242
Stepan Co. 10,700 242
* Omega Protein Corp. 47,400 242
* DVI, Inc. 51,741 242
* FSI International, Inc. 61,952 242
* Nobel Learning Communities, Inc. 65,800 241
Patriot Bank Corp. 13,398 241
* Excel Technology, Inc. 10,500 240
* Terremark Worldwide, Inc. 275,424 240
BancTrust Financial Group, Inc. 15,200 240
* EMCORE Corp. 73,010 239
* Pozen Inc. 21,738 239
* Workflow Management, Inc. 69,145 239
* Standard Management Corp. 64,400 238
Maritrans Inc. 16,200 237
* Rush Enterprises, Inc. Class A 52,100 237
* Art Technology Group, Inc. 148,014 237
Citizens South Banking Corp. 17,928 237
First Indiana Corp. 13,774 236
Great Lakes, Inc. REIT 14,700 235
* Electro Rent Corp. 21,800 235
* Nabi Biopharmaceuticals 34,167 234
Camco Financial Corp. 15,000 234
Winston Hotels, Inc. REIT 28,600 234
* QRS Corp. 44,047 233
BRT Realty Trust REIT 14,500 233
* Visual Networks, Inc. 169,500 232
* Spectrum Control, Inc. 41,242 232
* Information Resources, Inc. 58,569 231
Partners Trust Financial Group, Inc. 12,121 231
Center Bancorp, Inc. 15,200 230
* Saba Software, Inc. 50,435 229
* Array BioPharma Inc. 72,800 229
* Roxio, Inc. 34,179 229
Troy Financial Corp. 8,409 228
* Illumina, Inc. 76,069 228
* Reading International Inc. Class A 40,976 227
* MIPS Technologies, Inc. Class B 92,033 227
* Witness Systems, Inc. 43,935 227
* UbiquiTel Inc. 150,910 226
* Navigators Group, Inc. 7,564 226
* SBA Communications Corp. 74,016 225
* RF Monolithics, Inc. 46,200 225
* Maxwell Technologies, Inc. 38,900 224
* Bio-logic Systems, Corp. 46,400 223
Courier Corp. 4,312 222
* Carrington Labs Inc. 90,572 222
* Caliper Technologies Corp. 48,757 222
Bowl America, Inc. Class A 18,876 222
* Ducommun, Inc. 15,700 221
* Management Network Group Inc. 113,226 221
* MapInfo Corp. 30,186 220
* Niku Corp. 48,264 220
* Res-Care, Inc. 48,038 220
* Cerus Corp. 29,151 220
* Merix Corp. 28,772 219
Westwood Holdings Group, Inc. 11,515 219
West Coast Bancorp 12,010 219
* Meade Instruments Corp. 68,200 218
* OAO Technology Solutions, Inc. 103,620 218
* Applied Films Corp. 8,400 217
* Northfield Laboratories, Inc. 28,200 217
Robbins & Myers, Inc. 11,700 216
* Natrol, Inc. 93,100 216
* XETA Technologies Inc. 56,500 216
* Carreker Corp. 47,015 215
* Digimarc Corp. 13,700 215
Ohio Art Co. 14,800 215
* The Immune Response Corp. 67,795 215
* Overstock.com, Inc. 14,800 215
Greater Community Bancorp 13,900 214
First Colonial Group, Inc. 4,400 214
* Computer Task Group, Inc. 75,008 213
Cooperative Bankshares, Inc. 10,900 213
* PLX Technology, Inc. 53,692 212
* Genzyme Corp.- General Division 5,056 211
* Virage Logic Corp. 29,164 211
* Tellium, Inc. 225,327 210
CityBank Lynnwood WA 7,700 208
* Digital Impact, Inc. 112,400 208
* Turnstone Systems, Inc. 82,680 208
Kentucky First Bancorp, Inc. 11,600 206
* TTM Technologies, Inc. 43,810 205
* Comfort Systems USA, Inc. 78,103 205
FLAG Financial Corp. 14,981 205
* Kana Software, Inc. 67,585 205
Vesta Insurance Group, Inc. 89,028 205
* EntreMed, Inc. 49,320 205
* Durect Corp. 84,922 205
* Pharmacyclics, Inc. 43,153 205
* Wilshire Enterprises, Inc. 41,200 204
Nitches Inc. 33,141 203
Interchange Financial Services Corp. 10,257 203
* Microvision, Inc. 32,686 203
* Ciprico Inc. 33,200 203
Hawkins, Inc. 20,200 202
* OSI Systems Inc. 12,600 202
* Industrial Distribution Group, Inc. 69,200 202
* Hub Group, Inc. 23,000 202
* ACT Teleconferencing, Inc. 107,300 202
---
37
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
Penn Engineering & Manufacturing Corp. Class A 16,600 202
* Emisphere Technologies, Inc. 55,944 201
* ANADIGICS, Inc. 61,210 201
* TranSwitch Corp. 147,921 201
* Selectica, Inc. 63,336 201
* Consumer Portfolio Services, Inc. 71,600 200
* Systemax Inc. 58,546 199
* Barrett Business Services, Inc. 62,300 199
* Syms Corp. 30,900 199
* American Independence Corp. 18,533 198
* Dura Automotive Systems, Inc. 20,838 197
* Brass Eagle Inc. 23,600 196
* Superior Consultant Holdings Corp. 65,400 196
Capital Bank Corp. 13,100 195
* Ceres Group, Inc. 67,800 195
Steel Technologies, Inc. 19,300 195
* Comtech Telecommunications Corp. 6,900 195
* CompuCom Systems, Inc. 43,100 195
* Glenayre Technologies, Inc. 141,812 194
* Media 100 Inc. 162,889 194
Arrow Financial Corp. 5,800 194
* Packaging Dynamics Corp. 26,675 193
* Luby's, Inc. 85,775 193
* DiamondCluster International, Inc. 51,946 193
* Loral Space & Communications, Ltd. 63,165 193
* Raytech Corp. 45,300 193
ESB Financial Corp. 14,218 192
* On Assignment, Inc. 47,957 192
CB Bancshares Inc. (HI) 3,080 191
* VA Software Corp. 88,440 191
The Washington Savings Bank 18,000 191
Fidelity Bancorp, Inc. 5,900 191
* Avici Systems Inc. 31,208 190
* Prime Group Realty Trust REIT 32,800 190
* Paul-Son Gaming Corp. 35,500 190
* Computer Horizons Corp. 41,808 190
* Zonagen, Inc. 115,700 190
* E. Gottschalk & Co., Inc. 93,300 189
* Layne Christensen Co. 23,426 189
* NMS Communications Corp. 95,600 188
* Globecomm Systems, Inc. 57,300 188
Foothill Independent Bancorp 10,135 188
* Endocare, Inc. 45,730 187
* Hologic, Inc. 14,200 187
* Commerce One, Inc. 79,500 187
Eastern Virginia Bankshares, Inc. 8,130 186
* National R. V. Holdings, Inc. 35,773 185
* Dynacq International, Inc. 11,010 185
* Alcide Corp. 17,200 185
* Register.com, Inc. 31,470 184
* Equinix, Inc. 23,472 184
* Sirna Therapeutics, Inc. 20,900 184
Urstadt Biddle Properties Class A REIT 14,300 184
* Neurogen Corp. 40,135 183
* Merge Technologies, Inc. 14,000 183
* RMH Teleservices, Inc. 42,000 182
Hanmi Financial Corp. 10,409 182
Fedders Corp. 58,700 180
* Simula, Inc. 69,300 180
* Vical, Inc. 41,390 180
* Cellstar Corp. 45,751 180
* Eden Bioscience Corp. 111,290 179
* Mail-Well, Inc. 71,060 179
Golden Enterprises Inc. 75,900 178
* Genaera Corp. 105,500 178
Exchange National Bancshares, Inc. 3,200 178
* Qualstar Corp. 32,200 177
* Traffix, Inc. 57,400 176
* Interpharm Holdings, Inc. 60,000 176
* Federal Agricultural Mortgage Corp. Class A 10,523 176
* Docucorp International, Inc. 26,493 176
* John B. Sanfilippo & Son, Inc. 10,855 175
* Capstone Turbine Corp. 160,578 175
* Terra Industries, Inc. 163,141 175
* Duratek, Inc. 22,225 174
* Mitcham Industries, Inc. 113,700 174
* Lipid Sciences, Inc. 87,748 174
* Applied Molecular Evolution, Inc. 40,548 174
* Sunrise Telecom Inc. 97,942 173
* ChromaVision Medical Systems, Inc. 109,600 173
* Pemco Aviation Group, Inc. 7,360 173
* Crossroads Systems, Inc. 102,400 173
* Exponent, Inc. 11,093 172
* Questcor Pharmaceuticals, Inc. 171,500 172
Proton Energy Systems, Inc. 80,032 171
* The SCO Group, Inc. 17,875 171
* U.S. Xpress Enterprises, Inc. 15,952 170
* American Physicians Capital, Inc. 7,000 170
* Sonic Innovations, Inc. 46,917 169
* SCM Microsystems, Inc. 30,954 169
* ITXC Corp. 64,741 169
First Federal Financial Corp. of Kentucky 5,170 169
* Chordiant Software, Inc. 90,617 169
Standard Commercial Tobacco Co. 9,900 168
- ---
38
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
* MCK Communications, Inc. 65,000 168
* Inforte Corp. 21,257 168
* Embrex, Inc. 16,412 167
* CyberSource Corp. 61,000 167
* Interland Inc. 170,346 167
* NASSDA Corp. 21,604 167
* Titan Pharmaceuticals, Inc. 70,659 167
Bush Industries, Inc. 55,310 166
Pilgrim's Pride Corp. Class A 23,100 166
* Catalytica Energy Systems, Inc. 61,219 165
* Covansys Corp. 53,783 165
* Aware, Inc. 73,900 165
* Copper Mountain Networks, Inc. 15,014 162
* Discovery Laboratories, Inc. 25,489 162
Computer Programs and Systems, Inc. 8,100 162
* Medtox Scientific, Inc. 25,412 162
* Lionbridge Technologies, Inc. 31,800 162
* Segue Software, Inc. 73,800 162
Quaker Fabric Corp. 24,416 161
* Somera Communications, Inc. 110,299 161
* Netro Corp. 55,802 161
* Latitude Communications, Inc. 86,400 161
Harrodsburg First Financial Bancorp, Inc. 9,800 159
* The Med-Design Corp. 32,300 159
* Foster Wheeler Ltd. 74,154 159
* Answerthink Consulting Group, Inc. 82,189 159
* Alamosa Holdings, Inc. 103,397 158
Commercial National Financial Corp. 6,000 158
* Salix Pharmaceuticals, Ltd. 15,053 158
Lakeland Financial Corp. 5,166 157
* Lithia Motors, Inc. 9,700 157
Farmers Capital Bank Corp. 4,910 157
* ParkerVision, Inc. 23,926 157
Franklin Financial Corp. 5,214 157
* Gaiam, Inc. 26,127 155
* La Jolla Pharmaceutical Co. 47,300 155
* Protection One, Inc. 157,582 154
* Epimmune Inc. 109,500 154
* Corio, Inc. 96,158 154
* Edison Schools Inc. 102,174 153
* American Medical Security Group, Inc. 8,000 153
* Home Products International Inc. 67,520 153
Community Bank of Northern Virginia 13,088 152
* NTN Communications, Inc. 75,300 151
* Mercator Software, Inc. 101,251 151
* Medialink Worldwide, Inc. 44,400 151
* HealthExtras, Inc. 19,200 150
* Option Care, Inc. 13,000 150
* Clark, Inc. 12,500 149
Peoples BancTrust Co., Inc. 9,900 149
* Monterey Pasta Co. 29,943 148
* Z-Tel Technologies, Inc. 57,865 148
* Exact Sciences Corp. 13,500 148
* Applied Innovation Inc. 42,600 147
* Foamex International, Inc. 47,924 147
CoBiz Inc. 11,001 147
* Data Systems & Software, Inc. 57,200 146
* BioTime, Inc. 72,900 146
* Monro Muffler Brake, Inc. 5,158 146
* Peerless Systems Corp. 57,500 145
Southern Peru Copper Corp. 9,500 145
Chester Valley Bancorp 7,600 145
Peoples Bancorp of North Carolina 8,471 145
* Covenant Transport, Inc. 8,530 145
* Technology Solutions Co. 144,896 145
* Vyyo Inc. 47,600 144
* Paradyne Networks, Inc. 80,074 144
Ennis Business Forms, Inc. 9,900 144
* National Healthcare Corp. 7,300 144
* MetaSolv, Inc. 73,236 144
Consolidated-Tomoka Land Co. 5,700 143
NASB Financial Inc. 4,900 142
* Landec Corp. 38,900 142
* EPIX Medical, Inc. 9,976 141
Royal Bancshares of Pennsylvania, Inc. 6,554 140
* First Virtual Communications, Inc. 31,480 140
* Tier Technologies, Inc. 18,032 140
* Interstate Hotels & Resorts, Inc. 29,688 140
* ParthusCeva Inc. 17,095 139
* Active Power, Inc. 82,658 139
* MTI Technology Corp. 140,400 139
* Sangamo BioSciences, Inc. 48,650 139
* ShoLodge, Inc. 39,333 139
* AAON, Inc. 7,464 138
* McLeod USA Inc. 91,429 138
* Urologix, Inc. 53,480 137
Outlook Group Corp. 23,700 137
* Gulf Island Fabrication, Inc. 8,100 137
Friedman's, Inc. Class A 12,000 136
* SAVVIS Communications Corp. 151,444 136
* BindView Development Corp. 67,000 135
PFS Bancorp, Inc. 7,700 135
* Tut Systems, Inc. 34,200 135
Warwick Community Bancorp, Inc. 4,600 135
National Health Realty Inc. REIT 8,400 134
---
39
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
Saucony Inc. 11,100 134
* Mod-Pac Corp. 20,130 134
North Pittsburgh Systems, Inc. 8,869 134
* Applix, Inc. 83,479 134
* Sirenza Microdevices, Inc. 65,174 132
EMC Insurance Group, Inc. 7,063 131
Schawk, Inc. 12,500 131
* On2 Technologies, Inc. 104,600 131
* Astronics Corp. 40,260 131
* SPEEDUS Corp. 110,500 130
* Franklin Covey Co. 74,300 130
Andersons, Inc. 10,575 130
EnergySouth, Inc. 3,945 129
* Hypercom Corp. 31,100 129
Thistle Group Holdings, Co. 8,105 128
* Westmoreland Coal Company 7,100 128
* NetManage, Inc. 42,822 128
* Wyndham International, Inc.Class A 288,869 127
United Capital Corp. 3,600 127
* MPW Industrial Services Group, Inc. 63,200 126
* Critical Path, Inc. 127,326 126
* Collagenex Pharmaceuticals, Inc. 9,200 125
* Acclaim Entertainment Inc. 183,159 125
* Arden Group Inc. Class A 2,110 124
* Micro Therapeutics, Inc. 29,300 124
* Cypress Bioscience, Inc. 28,412 123
* Tor Minerals International, Inc. 40,700 122
Camden National Corp. 4,400 121
United Industrial Corp. 7,400 121
* Bentley Pharmaceuticals, Inc. 9,100 120
* Supertex, Inc. 6,499 119
Schnitzer Steel Industries, Inc. Class A 2,700 119
* AXS-One Inc. 125,300 119
* Curative Health Services Inc. 7,000 119
* JLM Industries, Inc. 91,500 119
CNB Florida Bancshares, Inc. 7,600 119
* Applied Extrusion Technologies, Inc. 48,600 118
Citizens 1st Bancorp, Inc. 5,284 115
* Lifeway Foods, Inc. 14,500 115
Wainwright Bank & Trust Co. 11,410 115
* Marimba, Inc. 39,600 115
* ICT Group, Inc. 11,000 115
* Extended Systems Inc. 29,100 113
* Lexent Inc. 80,972 113
* Avigen, Inc. 32,654 113
* Del Laboratories, Inc. 4,800 113
* Covalent Group, Inc. 49,900 112
Agree Realty Corp. REIT 4,600 112
* Petroleum Helicopters, Inc. 3,700 112
* Atlas Air Worldwide Holdings, Inc. 75,872 112
* BNCCORP, Inc. 8,900 111
Coastal Financial Corp. 8,582 111
AMCOL International Corp. 13,800 110
* Cosine Communications, Inc. 18,023 110
Peapack Gladstone Financial Corp. 3,400 109
* Allied Holdings, Inc. 32,800 109
* Omnicell, Inc. 10,600 109
* Powell Industries, Inc. 7,400 108
* Rubio's Restaurants, Inc. 21,200 107
* Click2learn, Inc. 61,100 106
* Hanover Direct, Inc. 374,676 105
* Radiologix Inc. 24,926 105
* Curon Medical Inc. 92,567 105
* Intelli-Check Inc. 14,700 104
* White Electronic Designs Corp. 9,804 104
PrivateBancorp, Inc. 3,800 104
Pamrapo Bancorp, Inc. 5,980 103
* Seneca Foods Corp. 5,903 103
* Checkers Drive-In Restaurants, Inc. 9,005 103
* WJ Communications, Inc. 100,820 103
* California Micro Devices Corp. 47,600 102
* Global Power Equipment Group Inc. 21,800 101
* Double Eagle Petroleum Co. 12,900 101
* EXE Technologies, Inc. 20,117 101
X-Rite Inc. 10,193 101
* Microtek Medical Holdings, Inc. 48,100 101
* Gallery of History, Inc. 25,900 100
Berkshire Bancorp Inc. 2,785 99
Building Materials Holding Corp. 6,700 99
* Docent, Inc. 28,950 98
* MIM Corp. 15,015 98
* Large Scale Biology Corp. 97,583 98
* Pinnacor Inc. 50,667 97
* Competitive Technologies, Inc. 60,300 96
* Semitool, Inc. 19,552 96
* Diodes Inc. 5,055 96
* Intraware, Inc. 76,500 96
* Blue Coat Systems, Inc. 15,925 96
* ONYX Software Corp. 98,295 95
* Clearone Communications Inc. 42,784 95
* Immersion Corp. 49,700 94
* AVI BioPharma, Inc. 15,380 94
* Novadigm, Inc. 36,330 94
* Braun Consulting, Inc. 55,300 94
* Communication Intelligence Corp. 251,600 93
Monmouth Real Estate Investment Corp. REIT 13,250 93
* Viewpoint Corp. 81,650 92
LSI Industries Inc. 8,300 92
* TRC Cos., Inc. 6,200 92
- ---
40
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Orchid Biosciences, Inc. 76,253 92
* ACTV, Inc. 92,901 91
* Shoe Carnival, Inc. 6,166 91
* Zones, Inc. 88,100 91
* Digital Lightwave, Inc. 83,824 91
* eLoyalty Corp. 23,189 90
* SSP Solutions, Inc. 94,700 90
* Midwest Express Holdings, Inc. 33,937 89
* Applied Digital Solutions, Inc. 147,916 89
First Midwest Financial, Inc. 4,750 88
* Tenneco Automotive, Inc. 24,400 88
* Allied Motion Technologies, Inc. 58,200 87
* Hungarian Telephone and Cable Corp. 9,500 87
* Allou Health Care, Inc. 81,200 87
Pennrock Financial Services Corp. 3,204 87
* Earthshell Corp. 211,042 87
* Argonaut Technologies Inc. 69,700 86
Gorman-Rupp Co. 3,600 86
* Vasomedical, Inc. 69,444 86
* Carmike Cinemas, Inc. 3,783 86
Bryn Mawr Bank Corp. 2,317 86
* Evercel, Inc. 47,164 86
* Optical Cable Corp. 12,268 86
* American Access Technologies Inc. 80,800 85
* VIA NET.WORKS, Inc. 85,472 85
* Encore Medical Corp. 22,900 85
* Lightspan Inc. 124,178 84
* ViroPharma Inc. 32,367 84
* IDT Corp. 4,695 84
* FairMarket, Inc. 50,100 84
* The Allied Defense Group, Inc. 4,500 83
* Star Scientific, Inc. 24,100 83
* Hawk Corp. Class A 24,000 83
* SportsLine.com, Inc. 39,000 82
* Nanometrics Inc. 11,503 81
* National Research Corp. 7,200 81
* Hollywood Media Corp. 62,300 81
* Nutraceutical International Corp. 7,500 81
* I-many, Inc. 79,783 81
* Phoenix Technologies Ltd. 14,195 80
Security Bank Corp. 2,300 80
* Blue Martini Software, Inc. 21,616 80
* Maxwell Shoe Co. Inc. 5,472 79
West Essex Bancorp, Inc. 2,200 77
* iVillage Inc. 51,079 77
* Food Technology Service, Inc. 77,050 76
* Strattec Security Corp. 1,400 74
* Somanetics Corp. 21,650 74
* Merisel, Inc. 16,131 74
* Hollis-Eden Pharmaceuticals, Inc. 5,800 73
* Lesco, Inc. 8,200 73
* Electric Fuel Corp. 91,100 73
* IGI, Inc. 68,500 72
* Catalina Lighting, Inc. 7,160 72
Presidential Realty Corp. REIT 9,000 72
* Stratos Lightwave, Inc. 14,381 71
* Delta Woodside Industries, Inc 24,475 70
First SecurityFed Financial, Inc. 2,800 70
* Rainmaker Systems, Inc. 87,500 69
* Universal Access Global Holdings Inc. 163,184 69
* CyberOptics Corp. 10,200 68
* VaxGen, Inc. 13,200 68
* BMC Industries, Inc. 126,104 68
UniFirst Corp. 3,100 68
* Cardiac Science, Inc. 24,900 67
* Cole National Corp. Class A 5,300 66
* Wave Systems Corp. 75,400 66
* SEEC, Inc. 47,900 66
* HyperFeed Technologies, Inc. 137,300 66
* BSQUARE Corp. 80,300 66
* Lowrance Electronics, Inc. 7,700 66
* SS&C Technologies, Inc. 4,100 65
Alico, Inc. 2,600 64
* Versant Corp. 105,400 64
* Obie Media Corp. 33,210 64
* Tripath Technology Inc. 82,722 64
* Pac-West Telecom, Inc. 86,070 64
* EnPro Industries, Inc. 5,900 63
Cascade Corp. 3,600 63
* StorageNetworks, Inc. 45,000 63
Noland Co. 1,750 62
NN, Inc. 4,900 62
* Ramtron International Corp. 27,300 62
* Alpine Group, Inc. 77,479 62
* Loudeye Corp. 76,385 61
* Airnet Communications Corp. 56,290 61
* TippingPoint Technologies Inc. 7,659 61
Ecology and Environment, Inc. 6,925 60
* DSL.Net, Inc. 115,398 60
* Net Perceptions, Inc. 37,400 60
* MediaBay, Inc. 82,700 60
* SRI/Surgical Express, Inc. 8,600 59
* Hemispherx Biopharma, Inc. 31,600 59
* Celeritek, Inc. 8,000 59
First State Bancorporation 2,100 58
MicroFinancial Inc. 31,100 57
* Meadowbrook Insurance Group, Inc. 17,800 56
* Stratasys, Inc. 1,600 56
* Perficient, Inc. 50,931 56
* Evergreen Solar, Inc. 41,020 55
---
41
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Kaiser Ventures LLC Class A 36,800 55
* Electroglas, Inc. 41,975 55
Willow Grove Bancorp, Inc. 3,200 54
* i3 Mobile, Inc. 113,078 54
* Aurora Foods Inc. 154,145 54
* SIGA Technologies, Inc. 32,500 54
* Mothers Work, Inc. 2,000 54
* Primus Knowledge Solutions, Inc. 39,300 51
* The Leather Factory, Inc. 15,600 51
McRae Industries, Inc. 8,300 51
* U.S. Concrete, Inc. 13,207 51
* eGain Communications Corp. 107,882 51
* Navarre Corp. 24,100 51
* Correctional Services Corp. 17,800 51
* Pinnacle Entertainment, Inc. 7,400 50
* Tarantella, Inc. 23,780 50
* Targeted Genetics Corp. 27,300 50
* Malan Realty Investors, Inc. REIT 11,200 49
* Bitstream Inc. 21,300 49
* Amcast Industrial Corp. 55,400 48
Shenandoah Telecommunications Co. 1,000 48
* Ault Inc. 22,500 48
Standard Motor Products, Inc. 4,300 48
* eXegenics Inc. 90,800 47
* SpectraLink Corp. 4,750 47
* InsWeb Corp. 9,866 47
Material Sciences Corp. 4,800 47
* Medis Technology Ltd. 6,521 46
* MedSource Technologies, Inc. 10,900 46
* BayCorp Holdings, Ltd. 3,314 46
* Chicago Pizza & Brewery, Inc. 4,590 46
* eMerge Interactive, Inc. 59,348 46
* BioSpecifics Technology 40,800 46
* Cornell Companies, Inc. 3,000 45
FNB Corp. VA 1,657 45
* New Century Equity Holdings Corp. 133,672 44
Quixote Corp. 1,722 44
* E Com Ventures, Inc. 5,800 43
Sizeler Property Investors, Inc. REIT 4,200 43
* SOS Staffing Services, Inc. 111,500 41
* Quidel Corp. 6,600 41
Nara Bancorp, Inc. 2,141 41
* Precision Optics Corp., Inc. 17,201 40
* Allos Therapeutics Inc. 13,100 39
* Hampshire Group, Ltd. 1,300 39
American Vanguard Corp. 2,100 39
* Internet Pictures Corp. 9,043 38
* Dominion Homes, Inc. 1,600 38
* American Power Technology, Inc. 4,900 38
* Penton Media, Inc. Class A 64,108 38
* Vornado Operating Inc. REIT 55,529 37
* NeoRx Corp. 11,000 37
Woodhead Industries, Inc. 2,951 37
* Books-a-Million Inc. 13,400 37
* Toreador Resources Corp. 12,200 37
* Peoples Community Bancorp 1,500 36
* GMX Resources Inc. 18,700 36
* Lynx Therapeutics, Inc. 9,417 36
* First Advantage Corp. Class A 2,132 35
* MedCath Corp. 5,900 35
* En Pointe Technologies, Inc. 49,300 35
* Lynch Corp. 3,500 34
* MIPS Technologies, Inc. 13,267 34
Northeast Indiana Bancorp, Inc. 1,800 33
* WHX Corp. 15,855 33
* Boston Beer Co., Inc. Class A 2,300 33
Stanley Furniture Co., Inc. 1,200 33
* PW Eagle, Inc. 8,300 33
First Federal Bancorp, Inc. 4,300 32
* Mayor's Jeweler's, Inc. 138,600 32
* CPI Aerostructures, Inc. 3,600 32
* Multilink Technology Corp. Class A 11,212 30
Westfield Financial, Inc. 1,700 30
* Beta Oil & Gas, Inc. 22,600 30
* Atlanta Sosnoff Capital Corp. 2,200 30
* Rita Medical Systems, Inc. 8,500 30
* Cognitronics Corp. 13,800 30
* U S Liquids Inc. 112,700 29
* Beacon Power Corp. 102,935 29
One Liberty Properties, Inc. REIT 1,700 29
Falmouth Bancorp, Inc. 1,100 28
* 24/7 Real Media, Inc. 34,100 28
Independence Holding Co. 1,300 27
* LogicVision, Inc. 9,150 27
* Weider Nutritional International, Inc. 12,100 27
* GlycoGenesys, Inc. 32,100 27
* Baltek Corp. 1,800 27
* Mestek, Inc. 1,500 27
* Andrea Radio Corp. 85,700 27
* Retractable Technologies, Inc. 3,100 26
* Persistence Software, Inc. 7,110 26
* Summit Financial Corp. 1,544 26
* Drew Industries, Inc. 1,400 25
* Miltope Group Inc. 8,370 25
BIW Limited 1,400 25
* Kosan Biosciences, Inc. 4,200 25
* Endologix, Inc. 7,200 25
Warwick Valley Telephone Co. 300 25
APCO Argentina Inc. 1,100 24
* SimpleTech, Inc. 6,000 24
- ---
42
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Peco II, Inc. 38,190 24
* Verticalnet, Inc. 15,130 24
* eUniverse, Inc. 6,500 24
Nevada Chemicals, Inc. 6,000 23
* MAI Systems Corp. 150,575 23
* Ag Services of America, Inc. 3,800 23
Click Commerce, Inc. 15,356 22
* Global ePoint, Inc. 11,600 22
Aaron Rents, Inc. 900 22
Liquid Audio, Inc. 61,700 22
* FirePond, Inc. 6,795 22
* WorldGate Communications, Inc. 63,500 22
* Shoe Pavilion, Inc. 21,100 22
* Versata, Inc. 12,200 21
* Pain Therapeutics, Inc. 3,300 21
Ingles Markets, Inc. 2,100 21
* Verso Technologies, Inc. 11,700 21
Comdisco Holding Co., Inc.Contingent Value Rights 66,976 21
Bandag, Inc. Class A 600 21
* Newtek Business Services, Inc. 3,800 20
* Virage, Inc. 23,902 20
* Bel Fuse, Inc. Class A 977 20
* Mesa Laboratories, Inc. 2,800 20
* Bioanalytical Systems, Inc. 7,000 20
* Zapata Corp. 400 19
* IntraBiotics Pharmaceuticals, Inc. 4,802 19
* Diedrich Coffee, Inc. 6,000 19
* LightPath Technologies, Inc.Class A 6,262 19
* Miller Exploration Co. 2,660 19
* Artisoft, Inc. 11,633 19
* Private Business Inc. 26,134 19
* Cornerstone Realty Income Trust, Inc. REIT Cvt. Pfd. 2,610 19
* Oglebay Norton Co. 6,000 18
* Touch America Holdings, Inc. 274,423 18
* Serrento Networks Corp. 6,875 18
* MakeMusic! Inc. 7,540 18
Providence and Worcester Railroad Co. 2,500 18
* SciQuest, Inc. 4,506 17
* Cortex Pharmaceuticals, Inc. 9,800 17
* Fischer Imaging Corp. 3,470 17
ILX Resorts Inc. 2,000 17
* Nematron Corp. 63,000 17
* NaviSite, Inc. 6,180 17
* America Online Latin America, Inc. 27,901 17
* Applied Graphics Technologies, Inc. 20,280 17
Hubbell Inc. Class A 500 16
* Horizon Medical Products, Inc. 28,200 16
* Adams Golf, Inc. 47,100 16
* Sagent Technology, Inc. 103,300 15
* NexPrise, Inc. 4,740 15
* Novatel Wireless, Inc. 6,026 15
* Spectranetics Corp. 4,400 13
* Digital Angel Corp. 5,000 13
* Iridex Corp. 3,500 13
* Charles & Colvard Ltd. 3,200 13
* Five Star Quality Care, Inc. 8,338 13
* Hoenig Group, Inc. Contingent Value Rights 54,300 12
* DiaSys Corp. 15,600 12
* Horizon Group Properties, Inc. REIT 3,415 12
* HPSC, Inc. 1,200 12
* Aetrium, Inc. 7,801 11
* Captiva Software Corp. 2,300 11
* Allegiance Telecom, Inc. 205,405 11
* Datalink Corp. 2,400 11
* Hudson Technology, Inc. 5,600 11
* Lantronix, Inc. 14,277 11
* BAM! Entertainment Inc. 22,100 10
* Made2Manage Systems, Inc. 1,800 10
* Ampex Corp. Class A 2,890 10
* Applied Imaging Corp. 6,500 10
* Procom Technology, Inc. 32,000 10
* VASCO Data Security International, Inc. 8,000 10
* Almost Family Inc. 1,200 9
* Maui Land & Pineapple Co., Inc. 400 9
* PerfectData Corp. 9,800 9
* Advanced Nutraceuticals, Inc. 11,225 8
* Advantage Marketing Systems, Inc. 6,600 8
* Bruker Axs Inc. 2,600 8
* CardioTech International, Inc. 2,700 8
Weyco Group, Inc. 173 8
* Capital Properties, Inc. Class A 900 8
* Introgen Therapeutics, Inc. 1,400 8
* Catapult Communications Corp. 700 7
* Barrister Information Systems Corp. 18,000 7
* LMI Aerospace, Inc. 3,600 7
Fidelity Southern Corp. 600 7
* American Pacific Bank 880 7
* Aradigm Corp. 3,500 6
* Sunlink Health Systems, Inc. 2,600 6
* CoActive Marketing Group, Inc. 2,000 6
* Hauppage Digital, Inc. 1,900 6
* Cogent Communications Group, Inc. 2,779 6
----
43
- -------------------------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
* Onvia.com, Inc. 1,580 6
* CenterSpan Communications Corp. 41,600 6
* The 3DO Co. 14,900 6
L. S. Starrett Co. Class B 400 5
Century Aluminum Co. 700 5
* Encore Wire Corp. 517 5
* Katy Industries, Inc. 1,000 5
* VCampus Corp. 2,030 5
* Shiloh Industries, Inc. 1,500 5
* General Bearing Corp. 1,200 5
* Comshare Inc. 1,000 5
* Landenburg Thalmann Financial Services, Inc. 18,943 4
* Optika Inc. 2,900 4
* Magnum Hunter Resources Inc.Warrants Exp. 3/21/2005 12,046 4
* Calton, Inc. 15,400 4
* Emeritus Corp. 1,000 4
* Manchester Technologies, Inc. 1,700 4
* OMNI Energy Services Corp. 2,466 4
* Vista Medical Technologies, Inc. 1,300 4
* Koala Corp. 79,000 4
* Advanced Lighting Technologies, Inc. 41,620 4
* Analytical Surveys, Inc. 2,531 4
* Sento Corporation 1,675 3
* Radview Software Ltd. 9,000 3
* Prime Medical Services, Inc. 700 3
* Microstrategy Inc.Warrants Exp. 6/24/2007 16,080 3
* Read-Rite Corp. 41,795 3
* P-Com, Inc. 27,920 3
* Investors Capital Holdings, Ltd. 900 3
* Olympic Cascade Financial Corp. 2,900 2
* FiberMark, Inc. 500 2
State Bancorp, Inc. 105 2
* Paradigm Medical Industries, Inc. 6,700 2
* CRYO-CELL International, Inc. 2,000 2
* GoAmerica, Inc. 5,000 2
Merrill Merchants Bancshares, Inc. 106 2
* Physiometrix, Inc. 1,100 2
* Nucentrix Broadband Networks 1,700 1
Financial Industries Corp. 100 1
* Valley Forge Scientific Corp. 1,100 1
* EasyLink Services Corp. 1,838 1
* Corrpro Cos., Inc. 2,400 1
* Continucare Corp. 3,000 1
* Bluefly, Inc. 900 1
* J. Alexander's Corp. 200 1
* Diamond Hill Investment Group 200 1
* FiberNet Telecom Group, Inc. 780 1
* Fiberstars, Inc. 200 1
* Capital Properties, Inc. Class B 90 1
* NTELOS Inc. 41,468 1
* Travis Boats & Motors, Inc. 700 1
* ARTISTdirect, Inc. 688 --
* Pinnacle Holdings Inc. REIT 80,200 --
* Alterra Healthcare Corp. 59,200 --
* Evolve Software, Inc. 1,495 --
* ProcureNet, Inc. 21,000 --
- -------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $5,510,342) 4,922,263
- -------------------------------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- -------------------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (5.2%)(1)
- -------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.
(2) 1.168%, 7/2/2003 $ 5,500 5,500
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.16%, 7/1/2003 92,360 92,360
1.16%, 7/1/2003--Note E 163,715 163,715
- -------------------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $261,575) 261,575
- -------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (103.4%)
(Cost $5,771,917) 5,183,838
- -------------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-3.4%)
- -------------------------------------------------------------------------------------------------------
Other Assets--Note B 36,294
Security Lending Collateral Payable to
Brokers--Note E (163,715)
Other Liabilities (44,250)
-----------
(171,671)
-----------
- --------------------------------------------------------------------------------------------------------
NET ASSETS (100%) $5,012,167
========================================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
(1)The fund invests a portion of its cash reserves in equity markets through the
use of index futures contracts. After giving effect to futures investments, the
fund's effective common stock and temporary cash investment positions represent
100.0% and 3.4%, respectively, of net assets. See Note C in Notes to Financial
Statements.
(2)Security segregated as initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
- ----
44
- --------------------------------------------------------------------------------------------------------
AMOUNT
(000)
- --------------------------------------------------------------------------------------------------------
AT JUNE 30, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------------------------------
Paid-in Capital $6,076,924
Undistributed Net Investment Income 14,989
Accumulated Net Realized Losses (490,116)
Unrealized Depreciation
Investment Securities (588,079)
Futures Contracts (1,551)
- --------------------------------------------------------------------------------------------------------
NET ASSETS $5,012,167
========================================================================================================
Investor Shares--Net Assets
Applicable to 144,220,977 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $3,169,483
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $21.98
========================================================================================================
Admiral Shares--Net Assets
Applicable to 36,193,404 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $795,544
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $21.98
========================================================================================================
Institutional Shares--Net Assets
Applicable to 45,742,089 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,005,869
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $21.99
========================================================================================================
VIPER Shares--Net Assets
Applicable to 711,401 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $41,271
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
VIPER SHARES $58.01
========================================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
----
45
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
COMMON STOCKS (99.7%)(1)
- -------------------------------------------------------------------------------------------------------
* PG&E Corp. 1,206,238 25,512
* Xerox Corp. 2,318,113 24,549
AmerisourceBergen Corp. 326,173 22,620
PPL Corp. 518,169 22,281
PACCAR, Inc. 326,461 22,056
* Apple Computer, Inc. 1,067,000 20,401
TXU Corp. 905,715 20,333
* Caremark Rx, Inc. 775,087 19,904
CIGNA Corp. 413,113 19,392
CSX Corp. 635,474 19,121
* Computer Sciences Corp. 498,724 19,011
Mylan Laboratories, Inc. 543,992 18,915
* Altera Corp. 1,131,049 18,549
Union Planters Corp. 587,981 18,245
Cinergy Corp. 493,482 18,155
Xcel Energy, Inc. 1,180,140 17,749
Jefferson-Pilot Corp. 422,645 17,523
Family Dollar Stores, Inc. 458,136 17,478
* BJ Services Co. 467,029 17,448
UST, Inc. 496,614 17,396
* Nabors Industries, Inc. 428,320 16,940
Starwood Hotels & Resorts Worldwide, Inc. 591,206 16,903
Monsanto Co. 773,747 16,744
Constellation Energy Group, Inc. 487,638 16,726
Knight Ridder 241,476 16,645
Genuine Parts Co. 516,909 16,546
Eaton Corp. 209,445 16,464
KeySpan Corp. 461,475 16,359
* Weatherford International Ltd. 388,520 16,279
North Fork Bancorp, Inc. 477,945 16,279
* Novellus Systems, Inc. 442,700 16,212
ITT Industries, Inc. 244,528 16,007
* Flextronics International Ltd. 1,536,300 15,962
Sempra Energy 548,926 15,661
First Tennessee National Corp. 353,468 15,521
CIT Group Inc. 625,921 15,429
* IDEC Pharmaceuticals Corp. 452,891 15,398
Dollar General Corp. 838,594 15,313
Interpublic Group of Cos., Inc. 1,140,433 15,259
* Broadcom Corp. 603,500 15,033
Cincinnati Financial Corp. 405,154 15,027
* Quest Diagnostics, Inc. 233,480 14,896
Microchip Technology, Inc. 602,174 14,832
Kinder Morgan, Inc. 270,631 14,790
Parker Hannifin Corp. 349,645 14,682
* Network Appliance, Inc. 903,924 14,653
MeadWestvaco Corp. 593,112 14,650
Synovus Financial Corp. 670,724 14,421
ProLogis REIT 527,362 14,397
* Edison International 867,992 14,261
Centex Corp. 182,592 14,204
Textron, Inc. 362,052 14,127
Plum Creek Timber Co. Inc. REIT 543,330 14,099
Tiffany & Co. 429,572 14,038
NiSource, Inc. 736,717 13,998
CenturyTel, Inc. 400,919 13,972
MGIC Investment Corp. 296,698 13,838
SAFECO Corp. 388,613 13,710
* Synopsys, Inc. 221,423 13,695
GlobalSantaFe Corp. 585,594 13,668
* Noble Corp. 395,387 13,562
Hilton Hotels Corp. 1,058,164 13,534
* QLogic Corp. 277,700 13,421
J.C. Penney Co., Inc. (Holding Co.) 794,166 13,382
* American Standard Cos., Inc. 180,919 13,375
Kerr-McGee Corp. 297,105 13,310
* Coach, Inc. 266,662 13,264
* Office Depot, Inc. 913,547 13,256
* JDS Uniphase Corp. 3,770,777 13,235
* Laboratory Corp. of America Holdings 437,496 13,191
RadioShack Corp. 498,575 13,118
* Harrah's Entertainment, Inc. 325,295 13,090
Rockwell Collins, Inc. 531,365 13,088
* Siebel Systems, Inc. 1,371,491 13,084
Torchmark Corp. 350,582 13,059
Health Management Associates Class A 706,615 13,037
IMS Health, Inc. 723,231 13,011
Archstone-Smith Trust REIT 536,633 12,879
Popular, Inc. 333,627 12,875
Whirlpool Corp. 201,996 12,867
Murphy Oil Corp. 244,118 12,841
National Commerce Financial Corp. 578,298 12,832
Delphi Corp. 1,486,885 12,832
EOG Resources, Inc. 306,180 12,811
Huntington Bancshares Inc. 654,852 12,783
* Dean Foods Co. 404,866 12,753
Everest Re Group, Ltd. 165,236 12,641
Georgia Pacific Group 666,208 12,625
* Express Scripts Inc. 184,390 12,598
Compass Bancshares Inc. 354,853 12,395
Banknorth Group, Inc. 485,143 12,381
T. Rowe Price Group Inc. 325,801 12,299
* L-3 Communications Holdings, Inc. 282,242 12,275
* Millennium Pharmaceuticals, Inc. 778,788 12,250
Valero Energy Corp. 337,174 12,250
Zions Bancorp 241,677 12,231
* Sprint PCS 2,114,940 12,161
* Watson Pharmaceuticals, Inc. 300,700 12,139
- ----
46
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
Sovereign Bancorp, Inc. 773,224 12,101
Williams Cos., Inc. 1,529,506 12,083
* Health Net Inc. 366,495 12,076
* Unisys Corp. 969,041 11,900
* BEA Systems, Inc. 1,093,700 11,878
Legg Mason Inc. 182,061 11,825
Boston Properties, Inc. REIT 269,653 11,811
Rockwell Automation, Inc. 494,646 11,792
Applera Corp.-Applied Biosystems Group 619,472 11,789
Green Point Financial Corp. 231,105 11,773
Amerada Hess Corp. 237,583 11,684
Old Republic International Corp. 339,063 11,620
* Varian Medical Systems, Inc. 201,687 11,611
Cooper Industries, Inc. Class A 276,012 11,399
Nucor Corp. 231,376 11,303
ENSCO International, Inc. 419,258 11,278
* BMC Software, Inc. 690,561 11,277
* Sealed Air Corp. 235,977 11,247
SCANA Corp. 327,826 11,238
Vornado Realty Trust REIT 257,315 11,219
Leggett & Platt, Inc. 544,078 11,154
Liz Claiborne, Inc. 316,254 11,148
* Waters Corp. 382,269 11,135
Vulcan Materials Co. 300,390 11,135
Estee Lauder Cos. Class A 330,010 11,065
* Cablevision Systems NY Group Class A 532,300 11,051
* Smith International, Inc. 300,579 11,043
* Juniper Networks, Inc. 891,100 11,023
Duke Realty Corp. REIT 400,009 11,020
General Growth Properties Inc. REIT 176,431 11,016
* Republic Services, Inc. Class A 484,983 10,995
Equifax, Inc. 421,062 10,948
Sigma-Aldrich Corp. 201,543 10,920
C.R. Bard, Inc. 152,717 10,890
UnumProvident Corp. 809,200 10,851
Scientific-Atlanta, Inc. 452,414 10,786
* Citizens Communications Co. 835,508 10,770
W.W. Grainger, Inc. 230,082 10,759
Expeditors International of Washington, Inc. 308,497 10,686
Fidelity National Financial, Inc. 345,977 10,642
* National Semiconductor Corp. 537,780 10,605
* Oxford Health Plans, Inc. 247,889 10,419
Sabre Holdings Corp. 422,302 10,410
* Jabil Circuit, Inc. 469,293 10,371
* AES Corp. 1,632,520 10,367
D. R. Horton, Inc. 368,855 10,365
* Brinker International, Inc. 287,045 10,339
* SPX Corp. 234,640 10,338
New York Community Bancorp, Inc. 354,544 10,314
* Citrix Systems, Inc. 506,300 10,308
XTO Energy, Inc. 510,217 10,260
* Barr Laboratories, Inc. 155,960 10,215
Kimco Realty Corp. REIT 268,869 10,190
* Dollar Tree Stores, Inc. 321,050 10,187
* Thermo Electron Corp. 484,062 10,175
Radian Group, Inc. 276,647 10,139
Black & Decker Corp. 232,294 10,093
* Phelps Dodge Corp. 263,166 10,090
* Jones Apparel Group, Inc. 343,133 10,040
McCormick & Co., Inc. 368,141 10,013
Pinnacle West Capital Corp. 267,162 10,005
* King Pharmaceuticals, Inc. 676,652 9,987
Wisconsin Energy Corp. 343,712 9,968
Omnicare, Inc. 293,798 9,927
Sherwin-Williams Co. 368,537 9,906
* Lincare Holdings, Inc. 312,923 9,860
Ross Stores, Inc. 229,533 9,810
Rouse Co. REIT 257,135 9,797
* Mercury Interactive Corp. 252,400 9,745
* NVIDIA Corp. 420,000 9,664
* Intersil Corp. 362,903 9,657
Pepco Holdings, Inc. 503,436 9,646
* Cadence Design Systems, Inc. 796,540 9,606
Apartment Investment & Management Co. Class A REIT 277,613 9,605
ServiceMaster Co. 892,082 9,545
* Sanmina-SCI Corp. 1,507,939 9,515
Pulte Homes, Inc. 153,647 9,474
Lennar Corp. Class A 131,446 9,398
* Teradyne, Inc. 541,769 9,378
Engelhard Corp. 378,079 9,365
* Career Education Corp. 136,687 9,352
R.J. Reynolds Tobacco Holdings, Inc. 250,703 9,329
Wendy's International, Inc. 321,054 9,301
Diebold, Inc. 213,563 9,237
* VeriSign, Inc. 667,821 9,236
* Pactiv Corp. 468,251 9,229
* Robert Half International, Inc. 486,452 9,213
* CarMax, Inc. 305,262 9,204
Janus Capital Group Inc. 559,829 9,181
* Solectron Corp. 2,445,553 9,146
Darden Restaurants Inc. 480,682 9,123
iStar Financial Inc. REIT 249,450 9,105
* WebMD Corp. 834,459 9,037
* The Dun & Bradstreet Corp. 219,705 9,030
* Smurfit-Stone Container Corp. 686,891 8,950
* Lear Corp. 194,271 8,940
---
47
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
Freeport-McMoRan Copper & Gold, Inc. Class B 363,975 8,917
Energy East Corp. 428,405 8,894
Symbol Technologies, Inc. 682,253 8,876
First Virginia Banks, Inc. 204,885 8,835
* ChoicePoint Inc. 253,704 8,758
* AutoNation, Inc. 556,739 8,752
* AdvancePCS 228,453 8,734
* Mohawk Industries, Inc. 157,217 8,730
VF Corp. 256,826 8,724
* Pioneer Natural Resources Co. 329,811 8,608
Avalonbay Communities, Inc.REIT 201,431 8,589
* E*TRADE Group, Inc. 1,004,963 8,542
* Williams-Sonoma, Inc. 292,217 8,533
* CDW Corp. 186,270 8,531
DENTSPLY International Inc. 208,379 8,523
Manpower Inc. 228,623 8,480
* Expedia Inc. 110,800 8,463
RenaissanceRe Holdings Ltd. 185,773 8,456
* Westwood One, Inc. 249,128 8,453
SuperValu Inc. 395,519 8,432
* Lamar Advertising Co. Class A 239,044 8,417
* Comverse Technology, Inc. 555,624 8,351
R.R. Donnelley & Sons Co. 318,146 8,316
* First Health Group Corp. 299,795 8,274
Public Storage, Inc. REIT 243,080 8,233
* SanDisk Corp. 203,747 8,221
* Convergys Corp. 513,698 8,219
* Whole Foods Market, Inc. 172,481 8,198
Deluxe Corp. 182,725 8,186
* Storage Technology Corp. 317,967 8,184
Pall Corp. 363,480 8,178
* Abercrombie & Fitch Co. 287,432 8,166
* Cooper Cameron Corp. 161,297 8,126
Sunoco, Inc. 215,281 8,125
A.G. Edwards & Sons, Inc. 236,360 8,084
Doral Financial Corp. 180,500 8,059
Hasbro, Inc. 460,537 8,055
* DST Systems, Inc. 211,955 8,054
Hibernia Corp. Class A 441,860 8,024
Mercantile Bankshares Corp. 203,716 8,022
PartnerRe Ltd. 156,250 7,986
Fluor Corp. 237,393 7,986
* Marvell Technology Group Ltd. 230,800 7,933
Allied Capital Corp. 343,000 7,923
Liberty Property Trust REIT 228,094 7,892
* UTStarcom, Inc. 221,400 7,875
Hillenbrand Industries, Inc. 155,328 7,836
* MGM Mirage, Inc. 228,750 7,819
TCF Financial Corp. 195,596 7,793
* LSI Logic Corp. 1,098,757 7,779
W.R. Berkley Corp. 146,901 7,742
* IVAX Corp. 431,270 7,698
Questar Corp. 229,993 7,698
* Agere Systems Inc. Class A 3,300,500 7,690
* American Power Conversion Corp. 492,619 7,680
Telephone & Data Systems, Inc. 154,016 7,655
* Toys R Us, Inc. 627,805 7,609
* Tellabs, Inc. 1,156,558 7,599
* Michaels Stores, Inc. 199,614 7,597
* Constellation Brands, Inc. Class A 241,487 7,583
International Flavors & Fragrances, Inc. 236,974 7,567
C.H. Robinson Worldwide, Inc. 212,712 7,564
Fair, Isaac, Inc. 146,467 7,536
SEI Corp. 235,390 7,532
Equitable Resources, Inc. 184,103 7,500
KB HOME 120,751 7,484
Health Care Properties Investors REIT 176,400 7,471
Commerce Bancorp, Inc. 200,747 7,448
* Ceridian Corp. 438,620 7,443
* Iron Mountain, Inc. 200,648 7,442
Outback Steakhouse 190,377 7,425
Beckman Coulter, Inc. 181,244 7,366
* NVR, Inc. 17,900 7,357
* NCR Corp. 286,527 7,341
White Mountains Insurance Group Inc. 18,542 7,324
* Energizer Holdings, Inc. 232,687 7,306
Associated Banc-Corp 197,786 7,294
Ball Corp. 160,159 7,289
* Patterson-UTI Energy, Inc. 224,888 7,286
* Park Place Entertainment Corp. 799,290 7,266
Eastman Chemical Co. 228,622 7,240
* Celgene Corp. 237,200 7,211
The Stanley Works 261,219 7,210
Harman International Industries, Inc. 90,593 7,170
The PMI Group Inc. 266,795 7,161
NSTAR 156,963 7,150
Arthur J. Gallagher & Co. 261,726 7,119
Valley National Bancorp 268,231 7,068
Tyson Foods, Inc. 664,901 7,061
* Level 3 Communications, Inc. 1,061,628 7,049
* Manor Care, Inc. 278,870 6,975
Bemis Co., Inc. 148,823 6,965
Goodrich Corp. 330,260 6,935
Federated Investors, Inc. 251,913 6,907
* PETsMART, Inc. 411,944 6,867
* Patterson Dental Co. 150,989 6,852
- ----
48
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------------------------------
* LAM Research Corp. 372,774 6,788
* Cephalon, Inc. 163,300 6,721
* Markel Corp. 26,150 6,694
Brunswick Corp. 267,072 6,682
Puget Energy, Inc. 277,660 6,628
CenterPoint Energy Inc. 811,722 6,616
MDU Resources Group, Inc. 197,209 6,605
Pogo Producing Co. 153,761 6,573
* Gentex Corp. 214,298 6,560
* Advanced Micro Devices, Inc. 1,021,502 6,548
Commerce Bancshares, Inc. 167,696 6,532
Sonoco Products Co. 271,785 6,528
* CIENA Corp. 1,254,797 6,512
* BISYS Group, Inc. 354,358 6,510
* Host Marriott Corp. REIT 708,330 6,481
* Henry Schein, Inc. 123,627 6,471
Fastenal Co. 190,584 6,468
* Compuware Corp. 1,119,025 6,457
* ICOS Corp. 174,800 6,424
AMB Property Corp. REIT 227,534 6,410
* Millipore Corp. 143,460 6,365
* Pride International, Inc. 338,151 6,364
Astoria Financial Corp. 225,842 6,308
Northeast Utilities 376,797 6,308
Molex, Inc. 233,502 6,302
TECO Energy, Inc. 521,097 6,248
Dow Jones & Co., Inc. 144,789 6,230
Fulton Financial Corp. 312,552 6,210
* Rowan Cos., Inc. 276,882 6,202
* Universal Health Services Class B 155,653 6,167
* Jacobs Engineering Group Inc. 146,091 6,158
Temple-Inland Inc. 143,031 6,137
Bowater Inc. 163,700 6,131
New Plan Excel Realty Trust REIT 286,802 6,123
Noble Energy, Inc. 161,333 6,098
* Zebra Technologies Corp. Class A 80,796 6,075
Allete, Inc. 227,875 6,050
Belo Corp. Class A 270,554 6,050
Valspar Corp. 141,640 5,980
DPL Inc. 374,365 5,967
Bank of Hawaii Corp. 179,873 5,963
* Corinthian Colleges, Inc. 122,578 5,954
* Smithfield Foods, Inc. 259,185 5,941
Bausch & Lomb, Inc. 158,015 5,926
* Alliant Techsystems, Inc. 113,678 5,901
Harris Corp. 196,291 5,899
Ashland, Inc. 191,891 5,887
* Network Associates, Inc. 462,969 5,870
Nordstrom, Inc. 300,567 5,867
* CheckFree Corp. 210,214 5,852
* Rent-A-Center, Inc. 76,960 5,834
Viad Corp. 260,438 5,831
City National Corp. 130,426 5,812
Weingarten Realty Investors REIT 138,474 5,802
* Garmin Ltd. 143,600 5,725
* Weight Watchers International, Inc. 125,700 5,718
Reynolds & Reynolds Class A 199,578 5,700
* Apogent Technologies Inc. 284,432 5,689
* Vishay Intertechnology, Inc. 427,202 5,639
Pier 1 Imports Inc. 274,777 5,605
* Entercom Communications Corp. 113,746 5,575
Brown & Brown, Inc. 171,336 5,568
Investors Financial Services Corp. 191,819 5,565
* Tektronix, Inc. 257,314 5,558
Foot Locker, Inc. 417,500 5,532
* Emulex Corp. 242,900 5,531
* ADC Telecommunications, Inc. 2,374,325 5,527
Dial Corp. 282,510 5,495
Hospitality Properties Trust REIT 175,774 5,493
* Krispy Kreme Doughnuts, Inc. 132,713 5,465
FirstMerit Corp. 237,652 5,433
Nationwide Financial Services, Inc. 165,703 5,385
Maytag Corp. 220,041 5,373
Hormel Foods Corp. 225,015 5,333
* Allied Waste Industries, Inc. 526,461 5,291
J.M. Smucker Co. 132,569 5,288
Mandalay Resort Group 165,915 5,284
* SICOR, Inc. 259,547 5,279
* Triad Hospitals, Inc. 210,024 5,213
Circuit City Stores, Inc. 592,085 5,210
* National-Oilwell, Inc. 236,767 5,209
Protective Life Corp. 193,080 5,165
Eaton Vance Corp. 163,228 5,158
* Hispanic Broadcasting Corp. 202,230 5,147
Hudson City Bancorp, Inc. 199,352 5,097
Dana Corp. 439,806 5,084
* The Cheesecake Factory 140,795 5,053
Lyondell Chemical Co. 372,476 5,040
* Chico's FAS, Inc. 238,701 5,025
* 3Com Corp. 1,069,255 5,004
* Del Monte Foods Co. 557,600 4,929
Tidewater Inc. 167,313 4,914
Meredith Corp. 111,451 4,904
Unitrin, Inc. 180,042 4,883
Wilmington Trust Corp. 165,181 4,848
Hubbell Inc. Class B 146,432 4,847
* Reebok International Ltd. 141,547 4,760
RPM International, Inc. 342,185 4,705
---
49
- -------------------------------------------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------------------------------
Molex, Inc. Class A 201,900 4,680
Neuberger Berman Inc. 113,520 4,531
* Owens-Illinois, Inc. 327,200 4,506
* Advance Auto Parts, Inc. 73,940 4,503
Brown-Forman Corp. Class B 56,700 4,458
* Tech Data Corp. 166,728 4,453
Teleflex Inc. 104,608 4,451
Seagate Technology 251,740 4,443
Alberto-Culver Co. Class B 83,754 4,280
Transatlantic Holdings, Inc. 61,805 4,274
* 99 Cents Only Stores 124,017 4,256
Regency Centers Corp. REIT 115,800 4,051
Diamond Offshore Drilling, Inc. 192,180 4,034
* National Instruments Corp. 105,437 3,983
Leucadia National Corp. 106,218 3,943
The St. Joe Co. 124,519 3,885
Clayton Homes Inc. 301,142 3,779
* Ameritrade Holding Corp. 508,300 3,767
* Fairchild Semiconductor International, Inc. 293,310 3,751
* Pixar, Inc. 60,700 3,693
Mercury General Corp. 80,350 3,668
* Agere Systems Inc. Class B 1,590,900 3,659
Adolph Coors Co. Class B 72,552 3,554
Harte-Hanks, Inc. 186,163 3,537
* Cree, Inc. 215,778 3,513
Erie Indemnity Co. Class A 84,983 3,506
* Packaging Corp. of America 185,230 3,414
* Aramark Corp. Class B 151,750 3,402
PepsiAmericas, Inc. 266,990 3,353
Winn-Dixie Stores, Inc. 270,201 3,326
The McClatchy Co. Class A 57,581 3,318
* Saks Inc. 337,362 3,272
* Amphenol Corp. 68,877 3,225
International Speedway Corp. 81,008 3,201
* Metro-Goldwyn-Mayer Inc. 257,375 3,197
Carolina Group 117,840 3,182
* Community Health Systems, Inc. 160,379 3,094
* RF Micro Devices, Inc. 513,176 3,089
* Scholastic Corp. 99,681 2,969
* Ingram Micro, Inc. Class A 266,750 2,934
Polo Ralph Lauren Corp. 113,007 2,914
LaBranche & Co. Inc. 140,478 2,906
Alberto-Culver Co. Class A 57,434 2,859
Lafarge North America Inc. 91,513 2,828
* Cox Radio, Inc. 116,588 2,694
* BOK Financial Corp. 68,323 2,635
* Radio One, Inc. Class D 146,300 2,600
Total System Services, Inc. 116,345 2,594
Regal Entertainment Group Class A 98,963 2,334
* BlackRock, Inc. 51,693 2,328
Talbots Inc. 76,400 2,250
* Montpelier Re Holdings Ltd. 69,400 2,193
Lennar Corp. Class B 31,764 2,182
* Columbia Sportswear Co. 40,922 2,104
AVX Corp. 179,877 1,977
Capitol Federal Financial 64,825 1,822
* WellChoice Inc. 61,700 1,807
Blockbuster Inc. Class A 105,240 1,773
* Radio One, Inc. 85,494 1,527
Student Loan Corp. 11,800 1,487
Nuveen Investments, Inc. Class A 49,797 1,356
* Hearst-Argyle Television Inc. 52,350 1,356
* Hewitt Associates, Inc. 56,800 1,338
* U.S. Cellular Corp. 45,750 1,164
- -------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $3,688,455) 4,013,965
- -------------------------------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- -------------------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.1%)(1)
- -------------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP.
(2) 1.15%, 7/15/2003 $10,000 9,996
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 1.168%, 7/2/2003 1,500 1,500
(2) 1.173%, 7/16/2003 1,000 1,000
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.16%, 7/1/2003--Note E 30,988 30,988
- -------------------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $43,470) 43,484
- -------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.8%)
(Cost $3,731,925) 4,057,449
- -------------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.8%)
- -------------------------------------------------------------------------------------------------------
Other Assets--Note B 24,174
Liabilities--Note E (55,062)
-----------
(30,888)
-----------
- --------------------------------------------------------------------------------------------------------
NET ASSETS (100%) $4,026,561
========================================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
(1)The fund invests a portion of its cash reserves in equity markets through the
use of index futures contracts. After giving effect to futures investments, the
fund's effective common stock and temporary cash investment positions represent
100.0% and 0.8%, respectively, of net assets. See Note C in Notes to Financial
Statements.
(2)Securities with an aggregate value of $12,496,000 have been segregated as
initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
- ----
50
- ---------------------------------------------------------------------------------------------------------
AMOUNT
(000)
- ---------------------------------------------------------------------------------------------------------
AT JUNE 30, 2003, NET ASSETS CONSISTED OF:
Paid-in Capital $4,259,941
Undistributed Net Investment Income 16,987
Accumulated Net Realized Losses (575,618)
Unrealized Appreciation (Depreciation)
Investment Securities 325,524
Futures Contracts (273)
- --------------------------------------------------------------------------------------------------------
NET ASSETS $4,026,561
========================================================================================================
Investor Shares--Net Assets
Applicable to 242,122,154 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $2,659,250
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $10.98
========================================================================================================
Admiral Shares--Net Assets
Applicable to 11,041,443 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $550,092
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $49.82
========================================================================================================
Institutional Shares--Net Assets
Applicable to 74,229,951 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $817,219
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $11.01
========================================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
----
51
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.
- --------------------------------------------------------------------------------
EXTENDED MARKET MID-CAP
INDEX FUND INDEX FUND
------------------------------------
SIX MONTHS ENDED JUNE 30, 2003
------------------------------------
(000) (000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Dividends $ 22,454 $ 22,965
Interest 667 193
Security Lending 946 129
- --------------------------------------------------------------------------------
Total Income 24,067 23,287
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 112 75
Management and Administrative
Investor Shares 3,049 2,587
Admiral Shares 549 351
Institutional Shares 322 247
VIPER Shares 35 --
Marketing and Distribution
Investor Shares 195 204
Admiral Shares 41 34
Institutional Shares 69 63
VIPER Shares 3 --
Custodian Fees 160 94
Shareholders' Reports
Investor Shares 108 145
Admiral Shares 1 1
Institutional Shares -- --
VIPER Shares -- --
Trustees' Fees and Expenses 3 3
Total Expenses 4,647 3,804
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 19,420 19,483
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (237,575) (575,123)
Futures Contracts 13,333 554
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (224,242) (574,569)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 927,908 952,750
Futures Contracts (739) (112)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 927,169 952,638
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $722,347 $397,552
================================================================================
- ---
52
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.
- --------------------------------------------------------------------------------------------------------------
EXTENDED MARKET INDEX FUND MID-CAP INDEX FUND
--------------------------- ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUNE 30, 2003 DEC. 31, 2002 JUNE 30, 2003 DEC. 31, 2002
(000) (000) (000) (000)
- --------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 19,420 $ 39,014 $ 19,483 $ 29,619
Realized Net Gain (Loss) (224,242) (168,168) (574,569) 40,337
Change in Unrealized Appreciation (Depreciation) 927,169 (742,468) 952,638 (643,379)
- --------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 722,347 (871,622) 397,552 (573,423)
- --------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (281) (24,109) -- (20,612)
Admiral Shares (162) (6,195) -- (3,979)
Institutional Shares (335) (7,231) -- (6,440)
VIPER Shares (13) (327) -- --
Realized Capital Gain*
Investor Shares -- -- -- (25,635)
Admiral Shares -- -- -- (4,240)
Institutional Shares -- -- -- (7,402)
VIPER Shares -- -- -- --
- --------------------------------------------------------------------------------------------------------------
Total Distributions (791) (37,862) -- (68,308)
- --------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--Note F
Investor Shares 79,391 122,033 128,067 661,714
Admiral Shares 77,839 21,721 86,327 261,445
Institutional Shares 214,235 49,773 83,940 127,670
VIPER Shares 4,709 28,082 -- --
- --------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 376,174 221,609 298,334 1,050,829
- --------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 1,097,730 (687,875) 695,886 409,098
- --------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 3,914,437 4,602,312 3,330,675 2,921,577
- --------------------------------------------------------------------------------------------------------------
End of Period $5,012,167 $3,914,437 $4,026,561 $3,330,675
==============================================================================================================
*Includes fiscal 2003 and 2002 short-term gain distributions by the Mid-Cap
Index Fund totaling $0 and $3,244,000, respectively. Short-term gain
distributions are treated as ordinary income dividends for tax purposes.
-----
53
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.
EXTENDED MARKET INDEX FUND INVESTOR SHARES
- --------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING JUNE 30, ------------------------------------------------
THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 1998
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $18.74 $23.09 $26.61 $37.07 $30.63 $30.76
- --------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .082 .19 .203 .274 .297 .388
Net Realized and Unrealized Gain (Loss
on Investments 3.160 (4.36) (2.703) (6.041) 10.101 2.025
- --------------------------------------------------------------------------------------------------------
Total from Investment Operations 3.242 (4.17) (2.500) (5.767) 10.398 2.413
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.002) (.18) (.210) (.263) (.318) (.373)
Distributions from Realized Capital Gains -- -- (.810) (4.430) (3.640) (2.170)
- --------------------------------------------------------------------------------------------------------
Total Distributions (.002) (.18) (1.020) (4.693) (3.958) (2.543)
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $21.98 $18.74 $23.09 $26.61 $37.07 $30.63
========================================================================================================
TOTAL RETURN* 17.30% -18.06% -9.13% -15.55% 36.22% 8.32%
========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period(Millions) $3,169 $2,629 $3,115 $3,881 $4,221 $2,939
Ratio of Total Expenses to
Average Net Assets 0.26%** 0.26% 0.25% 0.25% 0.25% 0.23%
Ratio of net Investment Income to
Average Net Assets 0.86%** 0.88% 0.88% 0.81% 1.04% 1.21%
Portfolio Turnover Rate 11%** 17% 20% 33% 26% 27%
========================================================================================================
*Total returns do not reflect the 0.25% transaction fee on purchases through
March 31, 2000, or the $10 annual account maintenance fee applied on balances
under $10,000.
**Annualized.
- ---
54
EXTENDED MARKET INDEX FUND ADMIRAL SHARES
- --------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED DEC. 31, NOV. 13* TO
JUNE 30, ------------------- DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $18.74 $23.09 $26.61 $31.89
- --------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .085 .201 .213 .050
Net Realized and Unrealized Gain (Loss) on Investments 3.160 (4.360) (2.703) (1.736)
- --------------------------------------------------------------------------------------------------------
Total from Investment Operations 3.245 (4.159) (2.490) (1.686)
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.005) (.191) (.220) (.274)
Distributions from Realized Capital Gains -- -- (.810) (3.320)
- --------------------------------------------------------------------------------------------------------
Total Distributions (.005) (.191) (1.030) (3.594)
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $21.98 $18.74 $23.09 $26.61
========================================================================================================
TOTAL RETURN 17.32% -18.02% -9.09% -4.30%
========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $796 $611 $735 $441
Ratio of Total Expenses to Average Net Assets 0.20%** 0.20% 0.20% 0.20%**
Ratio of Net Investment Income to Average Net Assets 0.91%** 0.94% 0.94% 1.23%**
Portfolio Turnover Rate 11%** 17% 20% 33%
=======================================================================================================
*Inception.
**Annualized.
----
55
FINANCIAL HIGHLIGHTS (continued)
EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING JUNE 30, ------------------------------------------------
THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 1998
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $18.74 $23.09 $26.62 $37.09 $30.63 $30.76
- --------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .097 .22 .228 .313 .363 .427
Net Realized and Unrealized Gain (Loss)
on Investments 3.160 (4.36) (2.703) (6.041) 10.101 2.025
- --------------------------------------------------------------------------------------------------------
Total from Investment Operations 3.257 (4.14) (2.475) (5.728) 10.464 2.452
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.007) (.21) (.245) (.312) (.364) (.412)
Distributions from Realized Capital Gains -- -- (.810) (4.430) (3.640) (2.170)
- --------------------------------------------------------------------------------------------------------
Total Distributions (.007) (.21) (1.055) (4.742) (4.004) (2.582)
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $21.99 $18.74 $23.09 $26.62 $37.09 $30.63
========================================================================================================
TOTAL RETURN* 17.39% -17.93% -9.03% -15.41% 36.45% 8.45%
========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,006 $644 $746 $954 $870 $456
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 1.04%** 1.05% 1.02% 0.96% 1.18% 1.34%
Portfolio Turnover Rate 11%** 17% 20% 33% 26% 27%
========================================================================================================
*Total returns do not reflect the 0.25% transaction fee on purchases through
March 31, 2000.
**Annualized.
- ---
56
EXTENDED MARKET INDEX FUND VIPER SHARES
- --------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED DEC. 27* TO
JUNE 30, DEC. 31, DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $49.46 $60.99 $60.94
- --------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .234 .566 --
Net Realized and Unrealized Gain (Loss) on Investments 8.334 (11.561) .05
-------------------------------------------------------------------------------------------------------
Total from Investment Operations 8.568 (10.995) .05
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.018) (.535) --
Distributions from Realized Capital Gains -- -- --
- --------------------------------------------------------------------------------------------------------
Total Distributions (.018) (.535) --
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $58.01 $49.46 $60.99
========================================================================================================
TOTAL RETURN 17.33% -18.04% 0.08%
========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $41 $30 $6
Ratio of Total Expenses to Average Net Assets 0.20%** 0.20% 0.20%**
Ratio of Net Investment Income to Average Net Assets 0.93%** 1.04% 0.54%**
Portfolio Turnover Rate 11%** 17% 20%**
========================================================================================================
*Inception.
**Annualized.
---
57
FINANCIAL HIGHLIGHTS (continued)
MID-CAP INDEX FUND INVESTOR SHARES
- ---------------------------------------------------------------------------------------------------------
APR. 20*
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, TO
FOR A SHARE OUTSTANDING JUNE 30, -------------------------------------- DEC.31,
THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 1998
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $9.88 $11.81 $12.21 $11.30 $10.79 $10.00
- --------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .05 .088 .081 .071 .073 .053
Net Realized and Unrealized Gain (Loss)
on Investments 1.05 (1.798) (.166) 1.897 1.448 .840
- --------------------------------------------------------------------------------------------------------
Total from Investment Operations 1.10 (1.710) (.085) 1.968 1.521 .893
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.093) (.070) (.078) (.076) (.053)
Distributions from Realized Capital Gains -- (.127) (.245) (.980) (.935) (.050)
- ---------------------------------------------------------------------------------------------------------
Total Distributions -- (.220) (.315) (1.058) (1.011) (.103)
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $10.98 $ 9.88 $11.81 $12.21 $11.30 $10.79
========================================================================================================
TOTAL RETURN** 11.13% -14.61% -0.50% 18.10% 15.32% 8.55%
=========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,659 $2,267 $2,049 $1,614 $605 $206
Ratio of Total Expenses to
Average Net Assets 0.26%+ 0.26% 0.25% 0.25% 0.25% 0.25%+
Ratio of Net Investment Income to
Average Net Assets 1.08%+ 0.85% 0.83% 0.90% 0.99% 1.19%+
Portfolio Turnover Rate 86%++ 20%+++ 24% 51% 38% 44%
=========================================================================================================
*Subscription period for the fund was April 20, 1998, to May 20, 1998, during
which time all assets were held in money market instruments. Performance
measurement begins May 21, 1998.
**Total returns do not reflect the 0.25% transaction fee on purchases from
inception through February 28, 1999, or the $10 annual account maintenance fee
applied on balances under $10,000.
+Annualized.
++Annualized. Includes activity related to a change in the fund's target index.
+++The portfolio turnover rate excluding in-kind redemptions was 18%.
- ---
58
MID-CAP INDEX FUND ADMIRAL SHARES
- --------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED NOV. 12* TO
JUNE 30, DEC. 31, DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $44.81 $53.56 $50.00
- --------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .25 .431 .056
Net Realized and Unrealized Gain (Loss) on Investments 4.76 (8.154) 3.982
- --------------------------------------------------------------------------------------------------------
Total from Investment Operations 5.01 (7.723) 4.038
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.451) (.320)
Distributions from Realized Capital Gains -- (.576) (.158)
- --------------------------------------------------------------------------------------------------------
Total Distributions -- (1.027) (.478)
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $49.82 $44.81 $53.56
========================================================================================================
TOTAL RETURN 11.18% -14.55% 8.06%
========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $550 $411 $223
Ratio of Total Expenses to
Average Net Assets 0.18%** 0.18% 0.20%**
Ratio of Net Investment Income to
Average Net Assets 1.16%** 0.94% 0.86%**
Portfolio Turnover Rate 86%+ 20%++ 24%
========================================================================================================
*Inception.
**Annualized.
+Annualized. Includes activity related to a change in the fund's target index.
++The portfolio turnover rate excluding in-kind redemptions was 18%.
---
59
FINANCIAL HIGHLIGHTS (continued)
MID-CAP INDEX FUND INSTITUTIONAL SHARES
- ---------------------------------------------------------------------------------------------------------
MAY 20*
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, TO
FOR A SHARE OUTSTANDING JUNE 30, -------------------------------------- DEC.31,
THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 1998
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $9.90 $11.83 $12.23 $11.30 $10.79 $10.03
- --------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .06 .103 .097 .081 .083 .055
Net Realized and Unrealized Gain (Loss)
on Investments 1.05 (1.798) (.166) 1.918 1.448 .814
- --------------------------------------------------------------------------------------------------------
Total from Investment Operations 1.11 (1.695) (.069) 1.999 1.531 .869
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.108) (.086) (.089) (.086) (.059)
Distributions from Realized Capital Gains -- (.127) (.245) (.980) (.935) (.050)
- --------------------------------------------------------------------------------------------------------
Total Distributions -- (.235) (.331) (1.069) (1.021) (.109)
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $11.01 $ 9.90 $11.83 $12.23 $11.30 $10.79
========================================================================================================
TOTAL RETURN** 11.21% -14.45% -0.37% 18.39% 15.41% 8.61%
========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $817 $653 $650 $307 $143 $39
Ratio of Total Expenses to
Average Net Assets 0.10%+ 0.10% 0.10% 0.12% 0.12% 0.12%+
Ratio of Net Investment Income to
Average Net Assets 1.24%+ 1.01% 1.00% 1.03% 1.11% 1.30%+
Portfolio Turnover Rate 86%++ 20%+++ 24% 51% 38% 44%
========================================================================================================
*Initial share purchase date. Subscription period for the fund was April 20,
1998, to May 20, 1998, during which time all assets were held in money market
instruments. Performance measurement begins May 21, 1998.
**Total returns do not reflect the 0.25% transaction fee on purchases from
inception through February 28, 1999.
+Annualized.
++Annualized. Includes activity related to a change in the fund's target index.
+++The portfolio turnover rate excluding in-kind redemptions was 18%.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
- ---
60
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
Vanguard Extended Market Index and Mid-Cap Index Funds are registered under the
Investment Company Act of 1940 as open-end investment companies, or mutual
funds. The Extended Market Index Fund offers four classes of shares: Investor
Shares, Admiral Shares, Institutional Shares, and VIPER Shares. The Mid-Cap
Index Fund offers three classes of shares: Investor Shares, Admiral Shares, and
Institutional Shares. Investor Shares are available to any investor who meets
the fund's 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. VIPER
Shares are listed for trading on the American Stock Exchange; they can be
purchased and sold through a broker.
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. 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 by methods deemed by the board of trustees to
represent fair value. Temporary cash investments acquired over 60 days to
maturity are valued using the latest bid prices or using valuations based on a
matrix system (which considers such factors as security prices, yields,
maturities, and ratings), both as furnished by independent pricing services.
Other temporary cash investments are valued at amortized cost, which
approximates market value.
2. FUTURES CONTRACTS: The funds use index futures contracts to a limited
extent, with the objectives of maintaining full exposure to the stock market,
enhancing returns, maintaining liquidity, and minimizing transaction costs. Both
funds use E-mini S&P MidCap 400 Index and S&P MidCap 400 Index futures
contracts; the Extended Market Index Fund also uses Russell 2000 Index futures
contracts. A fund may purchase futures contracts to immediately invest incoming
cash in the market, or sell futures in response to cash outflows, thereby
simulating a fully invested position in the underlying index while maintaining a
cash balance for liquidity. A fund may seek to enhance returns by using futures
contracts instead of the underlying securities when futures are believed to be
priced more attractively than the underlying securities. The primary risks
associated with the use of futures contracts are imperfect correlation between
changes in market values of stocks held by the fund and the prices of futures
contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
3. REPURCHASE AGREEMENTS: The funds, along with other members of The
Vanguard Group, transfer 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.
---
61
NOTES TO FINANCIAL STATEMENTS (continued)
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.
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 realized and unrealized
gains and losses on investments are allocated to each class of shares based on
its relative net assets.
B. The Vanguard Group 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 net assets in
capital contributions to Vanguard. At June 30, 2003, the funds had contributed
capital to Vanguard (included in Other Assets) of:
- --------------------------------------------------------------------------------
CAPITAL CONTRIBUTION PERCENTAGE PERCENTAGE OF
TO VANGUARD OF FUND VANGUARD'S
INDEX FUND (000) NET ASSETS CAPITALIZATION
- --------------------------------------------------------------------------------
EXTENDED MARKET $839 0.02% 0.84%
MID-CAP 688 0.02 0.69
- --------------------------------------------------------------------------------
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.
The funds' tax-basis capital gains and losses are determined only at the
end of each fiscal year. For tax purposes, at December 31, 2002, the Extended
Market Index Fund had available realized losses of $264,519,000 to offset future
net capital gains of $96,297,000 through December 31, 2009, $142,262,000 through
December 31, 2010, and $25,960,000 through December 31, 2011. The fund will use
these capital losses to offset net taxable capital gains, if any, realized
during the year ending December 31, 2003; should the fund realize net capital
losses for the year, the losses will be added to the loss carryforward balances
above.
- ---
62
At June 30, 2003, net unrealized appreciation (depreciation) of investment
securities for tax purposes was:
- --------------------------------------------------------------------------------
(000)
-------------------------------------------------------
NET UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION
INDEX FUND SECURITIES SECURITIES (DEPRECIATION)
- --------------------------------------------------------------------------------
EXTENDED MARKET $1,282,567 $(1,870,646) $(588,079)
MID-CAP 417,427 (91,903) 325,524
- --------------------------------------------------------------------------------
At June 30, 2003, the aggregate settlement value of open futures contracts
expiring in September 2003 and the related unrealized depreciation were:
- --------------------------------------------------------------------------------
(000)
----------------------------------
AGGREGATE UNREALIZED
NUMBER OF SETTLEMENT APPRECIATION
INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
Extended Market/
E-mini S&P MidCap 400 Index 197 $ 9,460 $ (216)
S&P MidCap 400 Index 169 40,577 (727)
Russell 2000 Index 173 38,786 (608)
Mid-Cap/
E-mini S&P MidCap 400 Index 6 288 (7)
S&P MidCap 400 Index 49 11,765 (266)
- --------------------------------------------------------------------------------
Unrealized depreciation on open futures contracts is required to be treated as
realized loss for tax purposes.
D. During the six months ended June 30, 2003, purchases and sales of investment
securities other than temporary cash investments were:
- --------------------------------------------------------------------------------
(000)
---------------------------------------
INDEX FUND PURCHASES SALES
- --------------------------------------------------------------------------------
EXTENDED MARKET $ 609,568 $ 240,504
MID-CAP 3,100,793 2,774,661
- --------------------------------------------------------------------------------
E. The market value of securities on loan to broker/dealers at June 30, 2003,
and collateral received with respect to such loans were:
- --------------------------------------------------------------------------------
(000)
------------------------------------------
MARKET VALUE CASH
OF LOANED COLLATERAL
INDEX FUND SECURITIES RECEIVED
- --------------------------------------------------------------------------------
EXTENDED MARKET $139,646 $163,715
MID-CAP 29,337 30,988
- --------------------------------------------------------------------------------
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.
---
63
NOTES TO FINANCIAL STATEMENTS (continued)
F. Capital share transactions for each class of shares were:
- ---------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
------------------- ------------------
AMOUNT SHARES AMOUNT SHARES
INDEX FUND (000) (000) (000) (000)
- ---------------------------------------------------------------------------------------------
EXTENDED MARKET
Investor Shares
Issued $ 312,658 15,954 $ 699,391 33,544
Issued in Lieu of Cash Distributions 266 15 22,749 1,208
Redeemed (233,533) (12,076) (600,107) (29,319)
----------------------------------------------
Net Increase (Decrease)--Investor Shares 79,391 3,893 122,033 5,433
----------------------------------------------
Admiral Shares
Issued 159,243 7,878 217,397 10,455
Issued in Lieu of Cash Distributions 134 7 5,147 273
Redeemed (81,538) (4,277) (200,823) (9,993)
----------------------------------------------
Net Increase (Decrease)--Admiral Shares 77,839 3,608 21,721 735
----------------------------------------------
Institutional Shares
Issued 370,430 19,178 265,407 12,612
Issued in Lieu of Cash Distributions 296 16 6,005 319
Redeemed (156,491) (7,822) (221,639) (10,859)
----------------------------------------------
Net Increase (Decrease)--Institutional Shares 214,235 11,372 49,773 2,072
----------------------------------------------
VIPER Shares
Issued 4,695 100 28,082 511
Issued in Lieu of Cash Distributions 14 -- -- --
Redeemed -- -- -- --
----------------------------------------------
Net Increase (Decrease)--VIPER Shares 4,709 100 28,082 511
- ---------------------------------------------------------------------------------------------
MID-CAP
Investor Shares
Issued $ 434,668 43,222 $1,263,770 111,624
Issued in Lieu of Cash Distributions -- -- 42,143 3,986
Redeemed (306,601) (30,515) (644,199) (59,639)
----------------------------------------------
Net Increase (Decrease)--Investor Shares 128,067 12,707 661,714 55,971
----------------------------------------------
Admiral Shares
Issued 137,185 2,995 406,131 7,971
Issued in Lieu of Cash Distributions -- -- 6,949 147
Redeemed (50,858) (1,116) (151,635) (3,124)
----------------------------------------------
Net Increase (Decrease)--Admiral Shares 86,327 1,879 261,445 4,994
----------------------------------------------
Institutional Shares
Issued 145,785 14,411 343,553 31,481
Issued in Lieu of Cash Distributions -- -- 11,623 1,094
Redeemed (61,845) (6,162) (227,506) (21,501)
----------------------------------------------
Net Increase (Decrease)--Institutional Shares 83,940 8,249 127,670 11,074
- ---------------------------------------------------------------------------------------------
- ---
64
================================================================================
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(R) 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
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 the funds.
Among board members' responsibilities are selecting investment advisers for
the funds; monitoring fund operations, performance, and costs; reviewing
contracts; nominating and selecting new trustees/directors; and electing
Vanguard officers. The dates in parentheses below show when each trustee was
initially elected.
=========================================================================================================================
JOHN J. BRENNAN* Chairman of the Board, Chief Executive Officer, and Director/Trustee of The Vanguard Group, Inc.,
(1987) and of each of the investment companies served by The Vanguard Group.
- -------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
CHARLES D. ELLIS The Partners of '63 (pro bono ventures in education); Senior Adviser to Greenwich Associates
(2001) (international business strategy consulting); Successor Trustee of Yale University; Overseer of
the Stern School of Business at New York University; Trustee of the Whitehead Institute for
Biomedical Research.
RAJIV L. GUPTA Chairman and Chief Executive Officer (since October 1999), Vice Chairman (January-September 1999),
(2001) 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 HEISEN Vice President, Chief Information Officer, and Member of the Executive Committee of Johnson &
(1998) Johnson (pharmaceuticals/consumer products); Director of the Medical Center at Princeton and
Women's Research and Education Institute.
BURTON G. MALKIEL Chemical Bank Chairman's Professor of Economics, Princeton University; Director of Vanguard
(1977) Investment Series plc (Irish investment fund) (since November 2001), Vanguard Group (Ireland)
Limited (Irish investment management firm) (since November 2001), Prudential Insurance Co. of
America, BKF Capital (investment management firm), The Jeffrey Co. (holding company), and
NeuVis, Inc. (software company).
ALFRED M. RANKIN, JR. Chairman, President, Chief Executive Officer, and Director of NACCO Industries, Inc. (forklift
(1993) trucks/housewares/lignite); Director of Goodrich Corporation (industrial products/aircraft
systems and services); Director until 1998 of Standard Products Company (a supplier for the
automotive industry).
J. LAWRENCE WILSON Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (chemicals); Director of
(1985) Cummins Inc. (diesel engines), MeadWestvaco Corp. (paper products), and AmerisourceBergen Corp.
(pharmaceutical distribution); Trustee of Vanderbilt University.
- -------------------------------------------------------------------------------------------------------------------------
EXECUTIVE OFFICERS*
R. GREGORY BARTON Secretary; Managing Director and General Counsel of The Vanguard Group, Inc. (since September
1997); Secretary of The Vanguard Group and of each of the investment companies served by The
Vanguard Group; Principal of The Vanguard Group (prior to September 1997).
THOMAS J. HIGGINS Treasurer; Principal of The Vanguard Group, Inc.; Treasurer of each of 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.
F. WILLIAM MCNABB, III, Client Relationship Group.
JAMES H. GATELY, Investment Programs and Services.
MICHAEL S. MILLER, Planning and Development.
KATHLEEN C. GUBANICH, Human Resources.
RALPH K. PACKARD, Finance.
IAN A. MACKINNON, Fixed Income Group.
GEORGE U. SAUTER, Quantitative Equity Group.
- --------------------------------------------------------------------------------
JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996.
[SHIP LOGO]
THE VANGUARD GROUP(R)
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Vanguard Marketing
Corporation, Distributor.
Q982 082003
VANGUARD(R) U.S. STOCK INDEX FUNDS
LARGE-CAPITALIZATION PORTFOLIOS
SEMIANNUAL REPORT
[GRAPHICS]
JUNE 30, 2003
VANGUARD(R) GROWTH INDEX FUND
VANGUARD(R) VALUE INDEX FUND
VANGUARD(R) TOTAL STOCK MARKET INDEX FUND
THE VANGUARD GROUP INC.(R)
ETERNAL PRINCIPLES
Markets change, but the principles of successful investing do not. During the
past few years, radical upheaval in the stock market has displayed the power of
this simple truth to dramatic effect.
In the late 1990s, stocks experienced one of the greatest bull markets in
financial history. Then, in March 2000, the longest downturn since the Great
Depression began.
In both bull and bear markets, however, the principles of successful
investing are identical: balance, diversification, and attention to costs.
Balance among stock, bond, and money market funds allows you to pursue long-term
growth while moderating your risk. Diversification limits your exposure to the
disasters that can befall any one security or sector. Attention to costs means
you keep a larger share of any rewards produced by your investments.
These principles are timeless. In fact, they're the basis of our very first
mutual fund--Vanguard(R) Wellington(TM) Fund, a balanced portfolio established
in 1929. Over time, balance, diversification, and attention to costs have proven
to be the master keys to investment success.
- --------------------------------------------------------------------------------
SUMMARY
* During the first half of 2003, the Investor Shares of Vanguard's large-cap
index funds produced strong returns: 12.8% for the Total Stock Market Index
Fund, 13.5% for the Value Index Fund, and 10.6% for the Growth Index Fund.
* With the 13th rate cut by the Federal Reserve Board in 21/2 years,
short-term interest rates fell to their lowest levels in 45 years.
* Long-depressed technology stocks led the market's rebound.
- --------------------------------------------------------------------------------
CONTENT
1 Letter from the Chairman
6 Fund Profiles
10 Glossary of Investment Terms
11 Performance Summaries
13 Financial Statements
43 Advantages of Vanguard.com
- --------------------------------------------------------------------------------
INDEXED TO MSCI
Growth Index Fund
Value Index Fund
LETTER FROM THE CHAIRMAN
Fellow Shareholder,
The broad U.S. stock market turned in a strong performance during the first half
of 2003, with stocks of all sizes and valuations participating in the rally.
Vanguard Value Index Fund produced the highest returns of Vanguard's three
large-capitalization index funds, as the economically sensitive stocks that make
up the fund's portfolio rose on investors' hopes of a recovery in corporate
spending. Although Vanguard Growth Index Fund had the lowest returns in the
period, it still produced very respectable double-digit gains. The returns of
Vanguard Total Stock Market Index Fund, which includes growth and value stocks
as well as those of small and large companies, fell in between.
All three funds hewed closely to their benchmarks, though for two of the
funds, these benchmarks changed during the half-year. On May 16, the Value Index
Fund's target index changed from the Standard & Poor's 500/Barra Value Index to
the Morgan Stanley Capital International (MSCI) US Prime Market Value Index, and
the Growth Index Fund's target changed from the S&P 500/Barra Growth Index to
the MSCI US Prime Market Growth Index. The funds' trustees, who were authorized
by the shareholders in December to make such a change, believe that the MSCI
indexes better reflect the performance of value- and growth-oriented stocks. In
particular, the board decided that the new indexes are the best representation
of Vanguard's beliefs about the characteristics of an "ideal" index. For
example,
- ---------------------------------------------------------
TOTAL RETURNS SIX MONTHS ENDED
JUNE 30, 2003
- ---------------------------------------------------------
VANGUARD GROWTH INDEX FUND
Investor Shares 10.6%
Admiral Shares 10.6
Institutional Shares 10.6
Average Large-Cap Growth Fund* 12.3
Spliced Growth Index** 10.6
- ---------------------------------------------------------
VANGUARD VALUE INDEX FUND
Investor Shares 13.5%
Admiral Shares 13.6
Institutional Shares 13.6
Average Large-Cap Value Fund* 10.8
Spliced Value Index+ 13.5
- ---------------------------------------------------------
VANGUARD TOTAL STOCK MARKET INDEX FUND
Investor Shares 12.8%
Admiral Shares 12.8
Institutional Shares 12.9
VIPER Shares
Market Price 12.7
Net Asset Value 12.8
Average Multi-Cap Core Fund* 12.0
Wilshire 5000 Index 12.9
- ---------------------------------------------------------
*Derived from data provided by Lipper Inc.
**S&P 500/Barra Growth Index until May 16, 2003; MSCI US Prime Market Growth
Index thereafter.
+S&P 500/Barra Value Index until May 16, 2003; MSCI US Prime Market Value Index
thereafter.
1
the MSCI indexes are constructed according to objective rules, they reflect only
shares freely traded in the open market, they assess a variety of factors to
identify "growth" and "value" stocks, and they rebalance their holdings
gradually.
- --------------------------------------------------------------------------------
MARKET BAROMETER TOTAL RETURNS
PERIODS ENDED JUNE 30, 2003
-------------------------------
SIX ONE FIVE
MONTHS YEAR YEARS*
- --------------------------------------------------------------------------------
STOCKS
Russell 1000 Index (Large-caps) 12.3% 1.0% -1.2%
Russell 2000 Index (Small-caps) 17.9 -1.6 1.0
Wilshire 5000 Index (Entire market) 12.9 1.3 -1.3
MSCI All Country World Index Free
ex USA (International) 11.1 -4.2 -2.8
- --------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index 3.9% 10.4% 7.5%
(Broad taxable market)
Lehman Municipal Bond Index 3.8 8.7 6.3
Citigroup 3-Month Treasury Bill Index 0.6 1.4 3.9
================================================================================
CPI
Consumer Price Index 1.5% 2.1% 2.4%
- --------------------------------------------------------------------------------
*Annualized.
The table on page 1 presents the returns of each fund's various share
classes, as well as the returns of the funds' comparative standards, including
the "spliced" benchmarks made up of the new and old target indexes for the Value
and Growth Index Funds.
The components of the funds' total returns--capital appreciation and income
distributions--appear in the top table on page 5.
STOCKS RALLIED DESPITE WAR
The war with Iraq, a lackluster economy, and rising unemployment did little to
impede the U.S. stock market during the half-year ended June 30, 2003.
Indeed, the start of the war in mid-March marked the beginning of a sharp
rally in stocks. For the first half of 2003, the overall U.S. stock market, as
measured by the Wilshire 5000 Total Market Index, returned a stellar 12.9%. The
gain was virtually universal, with all market segments and industrial sectors
posting positive returns. Small-cap stocks outperformed large-caps. And
according to the S&P/BARRA indexes, which your funds tracked for most of the
period, value stocks outpaced growth stocks.
- --------------------------------------------------------------------------------
ADMIRAL(TM) 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.
VIPER(R) Shares
Traded on the American Stock Exchange, VIPERs(R) are available only through
brokers. The table on page 1 shows VIPER returns based on both the AMEX market
price and the net asset value for a share.
- --------------------------------------------------------------------------------
BONDS ALSO RALLIED; INTEREST RATES FELL TO 45-YEAR LOWS
In the fixed income arena, risk was rewarded during the six months. The lower
the credit rating of the bond issuer, the higher the return. The Lehman Brothers
High Yield Bond Index surged 18.5%--well above the still-respectable six-month
2
return of 3.9% for the overall bond market, as measured by the Lehman Aggregate
Bond Index. During the half-year, the yield of the 10-year U.S. Treasury note
fell 30 basis points (0.30 percentage point) to 3.51%, as bond prices rose.
Meanwhile, short-term interest rates fell to their lowest levels in 45
years. In late June, citing concerns about sustainable economic growth and
potential deflation, the Federal Reserve Board reduced the target for the
federal funds rate (the interest rate charged for overnight loans between banks)
by 25 basis points to 1.00%. It was the 13th rate cut in 21/2 years. The yield
of the 3-month Treasury bill--a fair proxy for money market yields, tracking Fed
moves with a lag--fell 34 basis points during the six months to 0.85%, well
below the inflation rate.
- --------------------------------------------------------------------------------
At the end of June, the Fed cut short-term interest rates to their lowest levels
in 45 years.
- --------------------------------------------------------------------------------
TECHNOLOGY STOCKS BOUNCED BACK, BOOSTING FUNDS
All three large-cap index funds performed strongly during the six months, fueled
by a rebound in technology stocks, which had delivered some of the market's
worst returns during the past few years. For the six months, however, they were
some of the best performers, benefiting from investors' anticipation of a thaw
in corporate America's long freeze on capital spending. Overall, the sector
returned 17.9%, contributing 2.4 percentage points to the 12.8% return of the
Total Stock Market Index Fund's Investor Shares. The Growth Index Fund's tech
shares rose 14.9%, adding 3.3 percentage points to the 10.6% return of the
fund's Investor Shares.
Technology stocks were also important contributors to the performance of
the Value Index Fund, as many once high-flying growth stocks that had been
repriced as value stocks during the long bear market (and thus moved from the
S&P 500/Barra Growth Index to the S&P 500/Barra Value Index) rebounded. The
fund's tech stocks returned 24.5%, contributing 1.3 percentage points to the
Investor Shares' 13.5% return.
Consumer discretionary stocks--the retailers, restaurants, and
entertainment purveyors that can be expected to benefit in better economic
times--also generated strong double-digit returns for each of the funds.
No sector recorded a loss, but auto & transportation (+0.2%) was a notably
weak performer for the Growth Index Fund, as was consumer staples (+0.8%). In
the Value Index Fund, the weakest sectors were consumer staples (+3.7%) and
"other" (+4.6%)--a grab bag of industrial- and service-oriented conglomerates
such as General Electric. The Total Stock Market Index Fund's weakest groups
were consumer staples (+5.1%) and materials & processing (+5.7%).
3
For the record, the returns of the Value and Total Stock Market Index Funds
surpassed those of their peer group averages, while the returns of the Growth
Index Fund fell short. Six-month comparisons reveal little about the benefits of
indexing, but over time, the broad diversification, rock-bottom operating costs,
and inherent tax efficiency of an indexing strategy have provided our funds with
a substantial edge over their peer groups. Our cost advantage is especially
noteworthy. The table above shows the annualized expense ratios of our funds and
the most recent average expense ratios of their peer groups.
- --------------------------------------------------------
EXPENSE RATIOS--INVESTOR SHARES AS OF
JUNE 30, 2003
- --------------------------------------------------------
Growth Index Fund* 0.23%
Average Large-Cap Growth Fund** 1.57
- --------------------------------------------------------
Value Index Fund* 0.23%
Average Large-Cap Value Fund** 1.41
- --------------------------------------------------------
Total Stock Market Index Fund* 0.20%
Average Multi-Cap Core Fund** 1.38
- --------------------------------------------------------
*Annualized expense ratio based on the six months ended June 30, 2003.
**Derived from data provided by Lipper Inc.
GOOD TIMES REINFORCE THE VALUE OF A PLAN
The past six months delivered the first piece of sustained good news for stock
fund investors in more than three years. Oddly enough, you would have benefited
from this change of fortune by sticking to the same approach that provided some
shelter during the market's long storm: holding a portfolio of stock, bond, and
money market funds in proportions that reflect your unique goals, time horizon,
risk tolerance, and financial circumstances. Vanguard's stock index funds can be
an important component of such a sensibly diversified plan, offering broad
exposure to the whole market, or to discrete sections, at exceptionally low
cost.
The time-tested principles of balance and diversification allow you to
participate in periods of strong performance for any one asset class, while
reducing your vulnerability in periods of weakness.
Thank you for entrusting your assets to us.
Sincerely,
/S/JOHN J. BRENNAN
John J. Brennan
Chairman and Chief Executive Officer
July 11, 2003
4
- --------------------------------------------------------------------------------
YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-JUNE 30, 2003
DISTRIBUTIONS PER SHARE
------------------------
STARTING ENDING INCOME CAPITAL
SHARE PRICE SHARE PRICE DIVIDENDS GAINS
- --------------------------------------------------------------------------------
Growth Index Fund
Investor Shares $19.95 $21.94 $0.110 $0.000
Admiral Shares 19.95 21.94 0.118 0.000
Institutional Shares 19.95 21.94 0.123 0.000
- --------------------------------------------------------------------------------
Value Index Fund
Investor Shares $14.65 $16.49 $0.130 $0.000
Admiral Shares 14.65 16.49 0.136 0.000
Institutional Shares 14.65 16.49 0.140 0.000
- --------------------------------------------------------------------------------
Total Stock Market Index Fund
Investor Shares $20.07 $22.49 $0.140 $0.000
Admiral Shares 20.07 22.49 0.145 0.000
Institutional Shares 20.07 22.49 0.152 0.000
VIPER Shares 82.47 92.39 0.600 0.000
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND VIPER SHARES
PREMIUM/DISCOUNT: DECEMBER 31, 2002-JUNE 30, 2003
CLOSING PRICE
ABOVE OR EQUAL TO CLOSING PRICE BELOW
CLOSING NET ASSET VALUE CLOSING NET ASSET VALUE
------------------------- -----------------------
NUMBER PERCENTAGE OF NUMBER PERCENTAGE OF
BASIS POINT DIFFERENTIAL* OF DAYS TOTAL DAYS OF DAYS TOTAL DAYS
- --------------------------------------------------------------------------------
0-24.9 60 48.39% 64 51.61%
25-49.9 0 0.00 0 0.00
50-74.9 0 0.00 0 0.00
75-100.0 0 0.00 0 0.00
>100.0 0 0.00 0 0.00
- --------------------------------------------------------------------------------
Total 60 48.39% 64 51.61%
- --------------------------------------------------------------------------------
*One basis point equals 1/100th of 1%.
5
FUND PROFILES AS OF JUNE 30, 2003
These Profiles provide snapshots of the funds' characteristics, compared where
indicated with the appropriate target index and a broad market index. Key terms
are defined on page 10.
GROWTH INDEX FUND
- --------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET BROAD
FUND INDEX* INDEX**
- --------------------------------------------------------------------
Number of Stocks 409 409 5,403
Median Market Cap $54.2B $54.2B $27.7B
Price/Earnings Ratio 29.8x 29.8x 21.8x
Price/Book Ratio 4.2x 4.2x 2.7x
Yield 0.7% 1.6%
Investor Shares 0.5%
Admiral Shares 0.6%
Institutional Shares 0.6%
Return on Equity 23.6% 23.6% 20.5%
Earnings Growth Rate 11.7% 11.7% 8.6%
Foreign Holdings 0.2% 0.2% 0.9%
Turnover Rate 42%+ -- --
Expense Ratio -- --
Investor Shares 0.23%++
Admiral Shares 0.15%++
Institutional Shares 0.10%++
Cash Investments 0.0% -- --
- --------------------------------------------------------------------
- --------------------------------------------------------
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
Pfizer Inc. 5.9%
(pharmaceuticals)
Microsoft Corp. 5.1
(software)
Wal-Mart Stores, Inc. 3.4
(retail)
Johnson & Johnson 3.3
(pharmaceuticals)
Intel Corp. 3.0
(electronics)
Merck & Co., Inc. 3.0
(pharmaceuticals)
American International Group, Inc. 2.7
(insurance)
Cisco Systems, Inc. 2.6
(computer hardware)
The Procter & Gamble Co. 2.4
(consumer products)
International Business Machines Corp. 2.0
(computer hardware)
- --------------------------------------------------------
Top Ten 33.4%
- --------------------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- -----------------------------------------------------------------
VOLATILITY MEASURES
SPLICED BROAD
FUND INDEX+ FUND INDEX**
- -----------------------------------------------------------------
R-Squared 1.00 1.00 0.90 1.00
Beta 1.00 1.00 0.99 1.00
- -----------------------------------------------------------------
- ---------------------------
INVESTMENT FOCUS
MARKET CAP Large
STYLE Growth
- ---------------------------
*MSCI US Prime Market Growth Index.
**Wilshire 5000 Index.
+Annualized; includes activity related to a change in the fund's target index.
++Annualized.
+S&P 500/Barra Growth Index until May 16, 2003; MSCI US Prime Market Growth
Index thereafter.
6
- --------------------------------------------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
TARGET BROAD
FUND INDEX* INDEX**
- --------------------------------------------------------------------------------
Auto & Transportation 1.7% 1.7% 2.6%
Consumer Discretionary 19.5 19.5 15.7
Consumer Staples 8.1 8.1 6.9
Financial Services 10.9 10.9 22.3
Health Care 25.6 25.6 14.3
Integrated Oils 0.1 0.1 3.5
Other Energy 2.3 2.3 2.3
Materials & Processing 1.2 1.2 3.6
Producer Durables 3.2 3.2 4.0
Technology 23.0 23.0 13.5
Utilities 2.9 2.9 7.1
Other 1.5 1.5 4.2
- --------------------------------------------------------------------------------
*MSCI US Prime Market Growth Index.
**Wilshire 5000 Index.
7
FUND PROFILES (CONTINUED)
VALUE INDEX FUND
- ------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET BROAD
FUND INDEX* INDEX**
- ------------------------------------------------------------------
Number of Stocks 412 412 5,403
Median Market Cap $37.2B $37.2B $27.7B
Price/Earnings Ratio 16.5x 16.5x 21.8x
Price/Book Ratio 2.2x 2.2x 2.7x
Yield 2.6% 1.6%
Investor Shares 2.4%
Admiral Shares 2.5%
Institutional Shares 2.6%
Return on Equity 20.1% 20.1% 20.5%
Earnings Growth Rate 5.4% 5.4% 8.6%
Foreign Holdings 0.0% 0.0% 0.9%
Turnover Rate 46%+ -- --
Expense Ratio -- --
Investor Shares 0.23%++
Admiral Shares 0.15%++
Institutional Shares 0.10%++
Cash Investments 0.0% -- --
- ------------------------------------------------------------------
- ----------------------------------------------------
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
General Electric Co. 6.1%
(conglomerate)
ExxonMobil Corp. 5.2
(oil)
Citigroup, Inc. 4.7
(banking)
Bank of America Corp. 2.5
(banking)
Verizon Communications 2.3
(telecommunications)
Altria Group, Inc. 2.0
(tobacco)
SBC Communications Inc. 1.8
(telecommunications)
Wells Fargo & Co. 1.8
(banking)
ChevronTexaco Corp. 1.7
(oil)
AOL Time Warner Inc. 1.5
(media)
- ----------------------------------------------------
Top Ten 29.6%
- ----------------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- ------------------------------------------------------------------
VOLATILITY MEASURES
SPLICED BROAD
FUND INDEX+ FUND INDEX**
- ------------------------------------------------------------------
R-Squared 1.00 1.00 0.88 1.00
Beta 1.00 1.00 0.94 1.00
- ------------------------------------------------------------------
- --------------------------
INVESTMENT FOCUS
MARKET CAP Large
STYLE Value
- --------------------------
- --------------------------------------------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
TARGET BROAD
FUND INDEX* INDEX**
- --------------------------------------------------------------------------------
Auto & Transportation 2.2% 2.2% 2.6%
Consumer Discretionary 8.5 8.5 15.7
Consumer Staples 7.0 7.0 6.9
Financial Services 33.8 33.8 22.3
Health Care 5.1 5.1 14.3
Integrated Oils 8.3 8.3 3.5
Other Energy 1.6 1.6 2.3
Materials & Processing 4.9 4.9 3.6
Producer Durables 4.0 4.0 4.0
Technology 4.5 4.5 13.5
Utilities 12.1 12.1 7.1
Other 8.0 8.0 4.2
- --------------------------------------------------------------------------------
*MSCI US Prime Market Value Index.
**Wilshire 5000 Index.
+Annualized; includes activity related to a change in the fund's target index.
++Annualized.
+S&P 500/Barra Value Index until May 16, 2003; MSCI US Prime Market Value Index
thereafter.
8
TOTAL STOCK MARKET INDEX FUND
- ----------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET
FUND INDEX*
- ----------------------------------------------------------
Number of Stocks 3,709 5,403
Median Market Cap $27.7B $27.7B
Price/Earnings Ratio 21.8x 21.8x
Price/Book Ratio 2.7x 2.7x
Yield 1.6%
Investor Shares 1.4%
Admiral Shares 1.5%
Institutional Shares 1.5%
VIPER Shares 1.5%
Return on Equity 20.5% 20.5%
Earnings Growth Rate 8.6% 8.6%
Foreign Holdings 1.0% 0.9%
Turnover Rate 2%** --
Expense Ratio --
Investor Shares 0.20%**
Admiral Shares 0.15%**
Institutional Shares 0.08%**
VIPER Shares 0.15%**
Cash Investments 0.0% --
- ----------------------------------------------------------
- --------------------------------------------
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
General Electric Co. 2.5%
(conglomerate)
Microsoft Corp. 2.4
(software)
Pfizer Inc. 2.4
(pharmaceuticals)
ExxonMobil Corp. 2.1
(oil)
Wal-Mart Stores, Inc. 2.1
(retail)
Citigroup, Inc. 1.9
(banking)
Johnson & Johnson 1.4
(pharmaceuticals)
American International Group, Inc. 1.3
(insurance)
International Business Machines Corp. 1.3
(computer hardware)
Intel Corp. 1.2
(electronics)
- --------------------------------------------
Top Ten 18.6%
- --------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- -------------------------------------------
VOLATILITY MEASURES
TARGET
FUND INDEX*
- -------------------------------------------
R-Squared 1.00 1.00
Beta 1.00 1.00
- -------------------------------------------
- ----------------------------
INVESTMENT FOCUS
Market Cap Large
Style Blend
- ----------------------------
- ----------------------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
TARGET
FUND INDEX*
- ----------------------------------------------------------
Auto & Transportation 2.6% 2.6%
Consumer Discretionary 15.7 15.7
Consumer Staples 6.9 6.9
Financial Services 22.3 22.3
Health Care 14.3 14.3
Integrated Oils 3.5 3.5
Other Energy 2.3 2.3
Materials & Processing 3.6 3.6
Producer Durables 4.0 4.0
Technology 13.5 13.5
Utilities 7.1 7.1
Other 4.2 4.2
- ----------------------------------------------------------
VISIT OUR WEBSITE AT
WWW.VANGUARD.COM
FOR REGULARLY UPDATED FUND INFORMATION.
*Wilshire 5000 Index.
**Annualized.
9
- --------------------------------------------------------------------------------
GLOSSARY OF INVESTMENT TERMS
BETA. A measure of the magnitude of a fund's past share-price fluctuations in
relation to the ups and downs of the fund's target index or an overall market
index. Each 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%.
- --------------------------------------------------------------------------------
CASH INVESTMENTS. The percentage of a fund's net assets invested in "cash
equivalents"--highly liquid, short-term, interest-bearing securities. This
figure does not include cash invested in futures contracts or other equity index
products to simulate stock investment.
- --------------------------------------------------------------------------------
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 American Depositary Receipts of companies based outside the United States.
- --------------------------------------------------------------------------------
MEDIAN MARKET CAP. An indicator of the size of companies in which a fund
invests; the midpoint of market capitalization (market price x shares
outstanding) of a fund's stocks, weighted by the proportion of the fund's assets
invested in each stock. Stocks representing half of the fund's assets have
market capitalizations above the median, and the rest are below it.
- --------------------------------------------------------------------------------
PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book
value, per share. For a fund, the weighted average price/book ratio of the
stocks it holds.
- --------------------------------------------------------------------------------
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 the fund's target index
or by an overall market 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.
- --------------------------------------------------------------------------------
TURNOVER RATE. An indication of the fund's trading activity. Funds with high
turnover rates incur higher transaction costs and are more likely to distribute
capital gains (which are 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
dividends paid on stocks in the index.
- --------------------------------------------------------------------------------
10
PERFORMANCE SUMMARIES AS OF JUNE 30, 2003
All of the returns in this report represent past performance, which cannot be
used to predict future returns that may be achieved by the funds. Note, too,
that both share price and return can fluctuate widely. An investor's shares,
when redeemed, 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 redemption of fund shares.
GROWTH INDEX FUND
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1992-JUNE 30, 2003
FISCAL YEAR GROWTH INDEX SPLICED GROWTH
FUND INVESTOR SHARES INDEX*
- --------------------------------------------------------------------------------
1993 1.5 1.7
1994 2.9 3.1
1995 38.1 38.1
1996 23.7 24.0
1997 36.3 36.5
1998 42.2 42.2
1999 28.8 28.2
2000 -22.2 -22.1
2001 -12.9 -12.7
2002 -23.7 -23.6
2003* 10.6 10.6
- --------------------------------------------------------------------------------
*S&P 500/Barra Growth Index until May 16, 2003, MSCI US Prime Market Growth
Index thereafter.
**Six months ended June 30, 2003.
Note: See Financial Highlights tables on pages 28-30 for dividend and capital
gains information.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED JUNE 30, 2003
TEN YEARS
ONE FIVE ----------------------
INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------
Growth Index Fund
Investor Shares* 11/2/1992 1.70% -3.17% 8.85% 1.24% 10.09%
Admiral Shares 11/13/2000 1.78 -13.65** -- -- --
Institutional Shares 5/14/1998 1.83 -3.07 -3.03** 0.86** -2.17**
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Returns since inception.
11
PERFORMANCE SUMMARIES (CONTINUED)
VALUE INDEX FUND
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1992-JUNE 30, 2003
VALUE INDEX SPLICED VALUE
FISCAL YEAR FUND INVESTOR SHARES INDEX*
- --------------------------------------------------------------------------------
1993 18.3 18.6
1994 -0.7 -0.6
1995 36.9 37.0
1996 21.9 22.0
1997 29.8 30.0
1998 14.6 14.7
1999 12.6 12.7
2000 6.1 6.1
2001 -11.9 -11.7
2002 -20.9 -20.9
2003* 13.5 13.5
- --------------------------------------------------------------------------------
*S&P 500/Barra Value Index until May 16, 2003, MSCI US Prime Market Value Index
thereafter.
**Six months ended June 30, 2003.
Note: See Financial Highlights tables on pages 31-33 for dividend and capital
gains information.
TOTAL STOCK MARKET INDEX FUND
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1992-JUNE 30, 2003
TOTAL STOCK MARKET WILSHIRE 5000
Fiscal Year INDEX FUND INVESTOR SHARES INDEX
- --------------------------------------------------------------------------------
1993 10.6 11.3
1994 -0.2 -0.1
1995 35.8 36.4
1996 21.0 21.2
1997 31.0 31.3
1998 23.3 23.4
1999 23.8 23.6
2000 -10.6 -10.9
2001 -11.0 -11.0
2002 -21.0 -20.9
2003* 12.8 12.9
- --------------------------------------------------------------------------------
*Six months ended June 30, 2003.
Note: See Financial Highlights tables on pages 34-37 for dividend and capital
gains information.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED JUNE 30, 2003
TEN YEARS
ONE FIVE ------------------------
INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------
VALUE INDEX FUND
Investor Shares* 11/2/1992 -0.77% -0.68% 7.06% 2.35% 9.41%
Admiral Shares 11/13/2000 -0.69 -7.39** -- -- --
Institutional Shares 7/2/1998 -0.64 -0.89** -- -- --
- --------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND
Investor Shares* 4/27/1992 1.14% -1.25% 7.73% 1.68% 9.41%
Admiral Shares 11/13/2000 1.19 -9.27** -- -- --
Institutional Shares 7/7/1997 1.25 -1.14 1.45** 1.40** 2.85**
- --------------------------------------------------------------------------------
VIPER Shares
Market Price 5/24/2001 0.58 -9.89** -- -- --
Net Asset Value 5/24/2001 1.17 -9.84** -- -- --
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Returns since inception.
12
FINANCIAL STATEMENTS JUNE 30, 2003 (UNAUDITED)
The Statement of Net Assets--an integral part of the Financial Statements for
Vanguard Total Stock Market Index Fund--is included as an insert to this report.
The Growth Index and Value Index Funds' Statements of Net Assets are provided
below.
STATEMENT OF NET ASSETS
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. Common stocks
are listed in descending market-value order. Temporary cash investments and
other assets are added to, and liabilities are subtracted from, the value of
Total Common Stocks 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, 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.
- --------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (100.0%)
- --------------------------------------------------------------------------------
Pfizer Inc. 14,324,480 $ 489,181
Microsoft Corp. 16,343,955 418,569
Wal-Mart Stores, Inc. 5,155,074 276,673
Johnson & Johnson 5,336,370 275,890
Intel Corp. 11,758,162 244,382
Merck & Co., Inc. 4,034,741 244,304
American International
Group, Inc. 3,984,034 219,839
* Cisco Systems, Inc. 12,778,538 213,274
The Procter & Gamble Co. 2,206,914 196,813
International Business
Machines Corp. 2,016,099 166,328
* Amgen, Inc. 2,321,961 154,271
Home Depot, Inc. 4,178,846 138,403
* Dell Computer Corp. 4,170,785 133,298
Eli Lilly & Co. 1,816,596 125,291
* Viacom Inc. Class B 2,773,848 121,106
Medtronic, Inc. 2,191,161 105,110
The Coca-Cola Co. 2,004,449 93,026
PepsiCo, Inc. 2,007,163 89,319
American Express Co. 2,109,691 88,206
3M Co. 665,610 85,850
* Oracle Corp. 7,100,607 85,349
Anheuser-Busch Cos., Inc. 1,537,859 78,508
* Comcast Corp. Special Class A 2,114,316 60,956
Target Corp. 1,552,981 58,765
Abbott Laboratories 1,334,255 58,387
Lowe's Cos., Inc. 1,333,018 57,253
United Parcel Service, Inc. 897,550 57,174
* Comcast Corp. Class A 1,894,422 57,174
Colgate-Palmolive Co. 967,061 56,041
First Data Corp. 1,345,290 55,749
Walgreen Co. 1,841,499 55,429
UnitedHealth Group Inc. 1,094,056 54,976
Texas Instruments, Inc. 3,109,100 54,720
Cardinal Health, Inc. 812,420 52,239
QUALCOMM Inc. 1,417,453 50,674
Fifth Third Bancorp 877,136 50,295
Schlumberger Ltd. 1,046,010 49,759
* Applied Materials, Inc. 2,974,038 47,168
Fannie Mae 621,895 41,941
* EMC Corp. 3,927,539 41,121
* Clear Channel
Communications, Inc. 937,451 39,739
Gillette Co. 1,158,527 36,911
Automatic Data Processing, Inc. 1,077,343 36,479
* Forest Laboratories, Inc. 652,168 35,706
Sysco Corp. 1,174,519 35,283
* eBay Inc. 332,758 34,667
13
- --------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* AT&T Wireless Services Inc. 4,139,075 $ 33,982
* Boston Scientific Corp. 549,586 33,580
Illinois Tool Works, Inc. 497,069 32,732
* Liberty Media Corp. 2,815,385 32,546
SLM Corp. 822,442 32,215
* Costco Wholesale Corp. 819,308 29,987
* Genentech, Inc. 414,400 29,887
* Berkshire Hathaway Inc. Class B 12,053 29,289
The Boeing Co. 841,200 28,870
AFLAC Inc. 924,121 28,417
* Kohl's Corp. 545,495 28,028
* Yahoo! Inc. 849,746 27,838
Progressive Corp. of Ohio 372,630 27,239
* NEXTEL Communications, Inc. 1,500,373 27,127
* InterActiveCorp 679,820 26,900
* Sun Microsystems, Inc. 5,742,800 26,417
Avon Products, Inc. 422,772 26,296
Guidant Corp. 551,569 24,484
Omnicom Group Inc. 338,041 24,238
Newmont Mining Corp.
(Holding Company) 722,098 23,439
State Street Corp. 584,535 23,031
* Analog Devices, Inc. 654,750 22,798
* WellPoint Health Networks Inc.
Class A 267,408 22,542
Freddie Mac 432,500 21,958
Harley-Davidson, Inc. 544,019 21,685
Southwest Airlines Co. 1,256,508 21,612
* Best Buy Co., Inc. 491,627 21,592
The McGraw-Hill Cos., Inc. 344,619 21,366
* Veritas Software Corp. 739,900 21,213
The Gap, Inc. 1,112,143 20,864
FedEx Corp. 331,300 20,551
* Bed Bath & Beyond, Inc. 528,603 20,515
Baker Hughes, Inc. 605,569 20,329
Maxim Integrated Products, Inc. 580,872 19,860
* Gilead Sciences, Inc. 356,899 19,836
* Anthem, Inc. 249,003 19,211
* Electronic Arts Inc. 257,296 19,037
* St. Jude Medical, Inc. 319,180 18,353
Charles Schwab Corp. 1,811,408 18,277
Linear Technology Corp. 562,420 18,116
Allergan, Inc. 233,234 17,982
Paychex, Inc. 608,753 17,843
* Amazon.com, Inc. 488,500 17,825
TJX Cos., Inc. 944,330 17,791
HCA Inc. 544,781 17,455
* Starbucks Corp. 696,751 17,084
* Corning, Inc. 2,244,526 16,587
* MedImmune Inc. 452,102 16,443
* Lexmark International, Inc. 228,069 16,140
* Genzyme Corp.-General Division 385,700 16,122
* Cendant Corp. 879,600 16,114
Stryker Corp. 231,774 16,078
* Staples, Inc. 875,158 16,059
* KLA-Tencor Corp. 341,951 15,897
* Zimmer Holdings, Inc. 351,885 15,852
* Intuit, Inc. 351,337 15,645
* International Game Technology 152,753 15,631
* Yum! Brands, Inc. 527,348 15,588
* General Motors Corp. Class H 1,205,600 15,444
* Xilinx, Inc. 606,550 15,352
* EchoStar Communications Corp.
Class A 436,200 15,101
* Lucent Technologies, Inc. 7,436,249 15,096
MBNA Corp. 723,500 15,078
* Xerox Corp. 1,407,290 14,903
Mattel, Inc. 785,426 14,860
Wm. Wrigley Jr. Co. 264,123 14,852
Danaher Corp. 205,700 13,998
AmerisourceBergen Corp. 198,115 13,739
* Apollo Group, Inc. Class A 219,351 13,547
* Concord EFS, Inc. 914,447 13,461
Adobe Systems, Inc. 415,596 13,328
H & R Block, Inc. 305,850 13,228
* SunGard Data Systems, Inc. 509,010 13,188
Capital One Financial Corp. 264,500 13,008
Burlington Resources, Inc. 235,700 12,744
Biomet, Inc. 442,199 12,673
* Qwest Communications
International Inc. 2,590,271 12,381
New York Times Co. Class A 272,043 12,378
* Fiserv, Inc. 345,208 12,293
Moody's Corp. 230,916 12,172
* Caremark Rx, Inc. 471,151 12,099
Computer Associates
International, Inc. 537,200 11,969
* Cox Communications, Inc. Class A 372,800 11,892
* Symantec Corp. 265,526 11,646
* Computer Sciences Corp. 302,883 11,546
McKesson Corp. 322,600 11,530
Mylan Laboratories, Inc. 329,999 11,474
* Micron Technology, Inc. 983,000 11,432
* Altera Corp. 686,934 11,266
Family Dollar Stores, Inc. 278,267 10,616
* BJ Services Co. 283,653 10,597
* Affiliated Computer Services, Inc.
Class A 226,399 10,353
* Nabors Industries, Inc. 259,878 10,278
* Biogen, Inc. 268,915 10,219
* AutoZone Inc. 131,388 9,982
* Weatherford International Ltd. 235,699 9,876
* Novellus Systems, Inc. 268,900 9,847
ITT Industries, Inc. 148,321 9,709
14
- --------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Flextronics International Ltd. 931,924 $ 9,683
* Agilent Technologies, Inc. 495,000 9,677
* IDEC Pharmaceuticals Corp. 275,099 9,353
Dollar General Corp. 508,649 9,288
* Broadcom Corp. 366,100 9,120
* Fox Entertainment Group, Inc.
Class A 316,400 9,106
* Quest Diagnostics, Inc. 141,620 9,035
Waste Management, Inc. 373,900 9,007
Microchip Technology, Inc. 365,299 8,997
Kinder Morgan, Inc. 164,450 8,987
Ecolab, Inc. 350,434 8,971
* PeopleSoft, Inc. 505,700 8,895
* Network Appliance, Inc. 548,325 8,888
* Chiron Corp. 201,670 8,817
Synovus Financial Corp. 406,817 8,747
Tiffany & Co. 260,631 8,517
* Univision Communications Inc. 273,210 8,306
* Noble Corp. 240,199 8,239
Hilton Hotels Corp. 641,801 8,209
* QLogic Corp. 168,424 8,140
* American Standard Cos., Inc. 110,015 8,133
Cintas Corp. 229,239 8,124
The Clorox Co. 190,207 8,112
* Coach, Inc. 161,699 8,043
* JDS Uniphase Corp. 2,287,200 8,028
* Laboratory Corp. of
America Holdings 265,389 8,001
RadioShack Corp. 302,374 7,955
Rockwell Collins, Inc. 322,948 7,954
* Harrah's Entertainment, Inc. 197,514 7,948
* Siebel Systems, Inc. 831,810 7,935
IMS Health, Inc. 439,505 7,907
Health Management Associates
Class A 428,489 7,906
* Accenture Ltd. 435,000 7,869
Murphy Oil Corp. 148,299 7,801
EOG Resources, Inc. 185,728 7,771
* Dean Foods Co. 246,298 7,758
* Express Scripts Inc. 112,049 7,655
* L-3 Communications
Holdings, Inc. 171,499 7,458
* Sprint PCS 1,282,774 7,376
* Watson Pharmaceuticals, Inc. 182,400 7,363
* Health Net Inc. 222,299 7,325
* BEA Systems, Inc. 663,300 7,203
Legg Mason Inc. 110,699 7,190
Applera Corp.-
Applied Biosystems Group 376,838 7,171
* Varian Medical Systems, Inc. 122,599 7,058
Anadarko Petroleum Corp. 156,400 6,955
ENSCO International, Inc. 254,299 6,841
* Sealed Air Corp. 143,468 6,838
Liz Claiborne, Inc. 192,179 6,774
* Waters Corp. 232,315 6,767
Estee Lauder Cos. Class A 200,060 6,708
* Cablevision Systems NY Group
Class A 323,100 6,708
* Smith International, Inc. 182,299 6,698
* Juniper Networks, Inc. 540,500 6,686
Equifax, Inc. 255,383 6,640
Sigma-Aldrich Corp. 122,544 6,639
The Pepsi Bottling Group, Inc. 327,307 6,553
Tribune Co. 135,500 6,545
* Citizens Communications Co. 506,736 6,532
Expeditors International of
Washington, Inc. 187,099 6,481
* National Semiconductor Corp. 326,152 6,432
E.W. Scripps Co. Class A 71,750 6,366
* Oxford Health Plans, Inc. 150,599 6,330
* Jabil Circuit, Inc. 284,668 6,291
* Brinker International, Inc. 174,399 6,282
* Citrix Systems, Inc. 307,063 6,252
XTO Energy, Inc. 309,399 6,222
* Barr Laboratories, Inc. 94,699 6,203
* Dollar Tree Stores, Inc. 195,099 6,191
* Thermo Electron Corp. 294,214 6,184
McCormick & Co., Inc. 223,909 6,090
* Lincare Holdings, Inc. 189,799 5,981
Ross Stores, Inc. 139,499 5,962
* Mercury Interactive Corp. 153,030 5,908
* NVIDIA Corp. 255,350 5,876
* Sanmina-SCI Corp. 916,745 5,785
* Teradyne, Inc. 329,558 5,705
* Career Education Corp. 83,199 5,692
* Pactiv Corp. 285,128 5,620
* Robert Half International, Inc. 296,208 5,610
* VeriSign, Inc. 405,155 5,603
* CarMax, Inc. 185,599 5,596
Janus Capital Group Inc. 340,402 5,583
* Solectron Corp. 1,486,605 5,560
Darden Restaurants Inc. 291,578 5,534
* WebMD Corp. 508,433 5,506
* The Dun & Bradstreet Corp. 133,799 5,499
* Smurfit-Stone Container Corp. 417,788 5,444
Freeport-McMoRan Copper &
Gold, Inc. Class B 221,631 5,430
Franklin Resources Corp. 138,600 5,415
Symbol Technologies, Inc. 415,483 5,405
* ChoicePoint Inc. 154,499 5,333
* Mohawk Industries, Inc. 95,599 5,309
* AdvancePCS 138,599 5,299
* Pioneer Natural Resources Co. 200,599 5,236
* Williams-Sonoma, Inc. 177,899 5,195
15
- --------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
DENTSPLY International Inc. 126,597 $ 5,178
* Agere Systems Inc. Class A 2,221,300 5,176
* CDW Corp. 112,999 5,175
Manpower Inc. 138,999 5,155
* Westwood One, Inc. 151,799 5,151
* Expedia Inc. 67,400 5,148
* Lamar Advertising Co. Class A 145,440 5,121
* Comverse Technology, Inc. 337,035 5,066
* First Health Group Corp. 182,600 5,040
* SanDisk Corp. 124,099 5,007
* Convergys Corp. 312,473 5,000
* Whole Foods Market, Inc. 104,999 4,991
Deluxe Corp. 111,068 4,976
* Abercrombie & Fitch Co. 175,099 4,975
* Cooper Cameron Corp. 98,099 4,942
* DST Systems, Inc. 129,099 4,906
Doral Financial Corp. 109,625 4,895
* Marvell Technology Group Ltd. 140,500 4,829
* UTStarcom, Inc. 134,900 4,798
* MGM Mirage, Inc. 139,050 4,753
TCF Financial Corp. 119,199 4,749
* LSI Logic Corp. 669,479 4,740
* IVAX Corp. 262,799 4,691
* Tellabs, Inc. 704,530 4,629
* Michaels Stores, Inc. 121,499 4,624
* Constellation Brands, Inc. Class A 147,099 4,619
Washington Post Co. Class B 6,299 4,617
Lennar Corp. Class A 64,499 4,612
C.H. Robinson Worldwide, Inc. 129,452 4,603
Fair, Isaac, Inc. 89,199 4,589
SEI Corp. 143,199 4,582
Equitable Resources, Inc. 112,099 4,567
Commerce Bancorp, Inc. 122,099 4,530
* Iron Mountain, Inc. 122,109 4,529
Outback Steakhouse 115,899 4,520
Beckman Coulter, Inc. 110,299 4,483
* NVR, Inc. 10,900 4,480
* BMC Software, Inc. 272,974 4,458
Ball Corp. 97,495 4,437
* Patterson-UTI Energy, Inc. 136,899 4,436
* Celgene Corp. 144,200 4,384
Harman International
Industries, Inc. 55,200 4,369
Arthur J. Gallagher & Co. 159,299 4,333
* Level 3 Communications, Inc. 646,857 4,295
Scientific-Atlanta, Inc. 179,004 4,267
Avery Dennison Corp. 84,011 4,217
Federated Investors, Inc. 153,418 4,207
White Mountains Insurance
Group Inc. 10,609 4,191
* PETsMART, Inc. 250,486 4,176
Hershey Foods Corp. 59,910 4,173
* Patterson Dental Co. 91,799 4,166
* Synopsys, Inc. 67,299 4,162
* LAM Research Corp. 226,799 4,130
* Cephalon, Inc. 99,400 4,091
* Markel Corp. 15,906 4,072
Pogo Producing Co. 93,599 4,001
* Gentex Corp. 130,299 3,988
Molex, Inc. 147,172 3,972
* Jones Apparel Group, Inc. 135,606 3,968
* BISYS Group, Inc. 215,599 3,961
Fastenal Co. 116,199 3,944
* Henry Schein, Inc. 75,299 3,941
Omnicare, Inc. 116,299 3,930
* Millipore Corp. 87,447 3,880
* Pride International, Inc. 205,799 3,873
* Intersil Corp. 143,599 3,821
* Rowan Cos., Inc. 168,284 3,770
* Universal Health Services Class B 94,599 3,748
* Jacobs Engineering Group Inc. 88,799 3,743
T. Rowe Price Group Inc. 99,028 3,738
* Millennium Pharmaceuticals, Inc. 236,899 3,726
Noble Energy, Inc. 98,199 3,712
* Zebra Technologies Corp. Class A 49,226 3,701
Valspar Corp. 86,099 3,635
* Corinthian Colleges, Inc. 74,598 3,623
* Unisys Corp. 294,961 3,622
* Alliant Techsystems, Inc. 69,209 3,593
* Network Associates, Inc. 281,799 3,573
* CheckFree Corp. 127,999 3,564
* Rent-A-Center, Inc. 46,780 3,546
Knight Ridder 51,413 3,544
* Garmin Ltd. 87,260 3,479
* Weight Watchers International, Inc. 76,400 3,475
Reynolds & Reynolds Class A 121,399 3,467
* Apogent Technologies Inc. 173,199 3,464
Alberto-Culver Co. Class B 67,528 3,451
Pier 1 Imports Inc. 167,199 3,411
* Entercom Communications Corp. 69,299 3,396
Investors Financial Services Corp. 116,899 3,391
Brown & Brown, Inc. 104,299 3,390
* Tektronix, Inc. 156,666 3,384
* Emulex Corp. 147,900 3,368
Dial Corp. 171,699 3,340
* Krispy Kreme Doughnuts, Inc. 80,999 3,336
C.R. Bard, Inc. 46,482 3,315
W.W. Grainger, Inc. 70,027 3,274
* Allied Waste Industries, Inc. 320,371 3,220
* SICOR, Inc. 158,199 3,218
Mandalay Resort Group 100,999 3,217
New York Community
Bancorp, Inc. 110,565 3,216
* National-Oilwell, Inc. 144,199 3,172
16
- --------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Eaton Vance Corp. 99,499 $ 3,144
* Hispanic Broadcasting Corp. 123,099 3,133
* The Cheesecake Factory 85,799 3,079
Black & Decker Corp. 70,854 3,079
* Chico's FAS, Inc. 145,099 3,054
* King Pharmaceuticals, Inc. 205,979 3,040
Centex Corp. 38,919 3,028
Meredith Corp. 67,956 2,990
* Cadence Design Systems, Inc. 242,299 2,922
* Energizer Holdings, Inc. 92,199 2,895
Neuberger Berman Inc. 69,299 2,766
* Advance Auto Parts, Inc. 45,040 2,743
Seagate Technology 153,600 2,711
* 99 Cents Only Stores 75,799 2,601
* CIENA Corp. 495,310 2,571
Pall Corp. 110,909 2,495
* Storage Technology Corp. 96,899 2,494
Molex, Inc. Class A 105,400 2,443
* National Instruments Corp. 64,499 2,437
Leucadia National Corp. 64,799 2,405
The St. Joe Co. 76,034 2,372
* American Power
Conversion Corp. 150,134 2,341
* Ameritrade Holding Corp. 310,300 2,299
* Fairchild Semiconductor
International, Inc. 178,899 2,288
* Pixar, Inc. 37,100 2,257
D. R. Horton, Inc. 78,599 2,209
* SPX Corp. 49,999 2,203
* ADC Telecommunications, Inc. 939,284 2,187
Harte-Hanks, Inc. 113,699 2,160
* Cree, Inc. 131,780 2,145
* Packaging Corp. of America 112,999 2,083
* Aramark Corp. Class B 92,500 2,074
* Advanced Micro Devices, Inc. 311,506 1,997
* Amphenol Corp. 42,273 1,979
* Host Marriott Corp. REIT 215,789 1,974
International Speedway Corp. 49,399 1,952
Dow Jones & Co., Inc. 44,080 1,897
* Community Health Systems, Inc. 97,999 1,890
* RF Micro Devices, Inc. 313,599 1,888
* Scholastic Corp. 60,799 1,811
RenaissanceRe Holdings Ltd. 39,657 1,805
Polo Ralph Lauren Corp. 69,045 1,781
* Agere Systems Inc. Class B 748,600 1,722
Fluor Corp. 50,741 1,707
* Cox Radio, Inc. 71,301 1,648
International Flavors &
Fragrances, Inc. 50,665 1,618
KB HOME 25,772 1,597
* Ceridian Corp. 93,699 1,590
Total System Services, Inc. 71,000 1,583
* Radio One, Inc. Class D 82,000 1,457
* BlackRock, Inc. 31,515 1,419
Talbots Inc. 46,700 1,375
* ICOS Corp. 37,201 1,367
Brown-Forman Corp. Class B 17,288 1,359
* Montpelier Re Holdings Ltd. 42,550 1,345
* Columbia Sportswear Co. 24,900 1,280
* Metro-Goldwyn-Mayer Inc. 102,445 1,272
AVX Corp. 109,867 1,207
* 3Com Corp. 228,299 1,068
The McClatchy Co. Class A 17,593 1,014
* Radio One, Inc. 51,100 913
Student Loan Corp. 7,233 911
Alberto-Culver Co. Class A 17,562 874
Nuveen Investments, Inc. Class A 30,406 828
* Hewitt Associates, Inc. 34,600 815
* BOK Financial Corp. 20,889 806
Regal Entertainment Group
Class A 30,208 712
* WellChoice Inc. 13,200 386
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $7,334,263) $ 8,238,070
- --------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.1%)
- --------------------------------------------------------------------------------
FEDERAL HOME LOAN BANK
1.17%, 7/16/2003 $ 1,500 1,499
FEDERAL NATIONAL MORTGAGE ASSN.
1.15%, 7/23/2003 3,500 3,498
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.16%, 7/1/2003--Note E 2,239 2,239
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $7,236) 7,236
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.1%)
(Cost $7,341,499) 8,245,306
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.1%)
- --------------------------------------------------------------------------------
Other Assets--Note B 19,453
Liabilities--Note E (26,536)
----------------
$ (7,083)
----------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $ 8,238,223
================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
REIT--Real Estate Investment Trust.
17
- --------------------------------------------------------------------------------
AMOUNT
GROWTH INDEX FUND (000)
- --------------------------------------------------------------------------------
AT JUNE 30, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $ 10,954,023
Overdistributed Net Investment Income (11,312)
Accumulated Net Realized Losses (3,608,295)
Unrealized Appreciation 903,807
- --------------------------------------------------------------------------------
NET ASSETS $ 8,238,223
================================================================================
Investor Shares--Net Assets
Applicable to 305,169,120 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 6,694,421
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 21.94
================================================================================
Admiral Shares--Net Assets
Applicable to 40,792,045 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 894,900
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 21.94
================================================================================
Institutional Shares--Net Assets
Applicable to 29,577,368 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 648,902
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 21.94
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
18
- --------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
General Electric Co. 7,405,800 $ 212,398
ExxonMobil Corp. 4,998,989 179,514
Citigroup, Inc. 3,812,538 163,177
Bank of America Corp. 1,116,131 88,208
Verizon Communications 2,039,900 80,474
Altria Group, Inc. 1,510,700 68,646
SBC Communications Inc. 2,466,623 63,022
Wells Fargo & Co. 1,247,319 62,865
ChevronTexaco Corp. 793,607 57,298
* AOL Time Warner Inc. 3,193,771 51,388
J.P. Morgan Chase & Co. 1,484,788 50,750
Hewlett-Packard Co. 2,154,318 45,887
Wyeth 984,900 44,862
Wachovia Corp. 999,482 39,939
Bristol-Myers Squibb Co. 1,439,000 39,069
The Coca-Cola Co. 828,800 38,465
International Business
Machines Corp. 448,800 37,026
BellSouth Corp. 1,382,561 36,818
U.S. Bancorp 1,424,140 34,891
Fannie Mae 477,500 32,203
Bank One Corp. 861,817 32,042
Morgan Stanley 728,771 31,155
E.I. du Pont de Nemours & Co. 738,949 30,770
The Walt Disney Co. 1,517,303 29,967
Washington Mutual, Inc. 697,847 28,821
Merrill Lynch & Co., Inc. 610,064 28,478
Tyco International Ltd. 1,482,892 28,145
ConocoPhillips 477,446 26,164
United Technologies Corp. 349,461 24,752
Abbott Laboratories 551,700 24,142
FleetBoston Financial Corp. 780,012 23,174
Dow Chemical Co. 679,414 21,035
McDonald's Corp. 942,537 20,792
Marsh & McLennan Cos., Inc. 398,900 20,372
Schering-Plough Corp. 1,091,000 20,293
PepsiCo, Inc. 446,800 19,883
Kimberly-Clark Corp. 379,400 19,782
Allstate Corp. 496,062 17,685
The Goldman Sachs Group, Inc. 210,274 17,610
Freddie Mac 331,927 16,852
Southern Co. 533,390 16,620
The Bank of New York Co., Inc. 569,203 16,365
Honeywell International Inc. 603,806 16,212
Motorola, Inc. 1,709,385 16,120
Alcoa Inc. 627,673 16,006
Metropolitan Life Insurance Co. 564,697 15,992
Emerson Electric Co. 312,700 15,979
Dominion Resources, Inc. 238,303 15,316
Gannett Co., Inc. 199,218 15,302
National City Corp. 454,234 14,858
Ford Motor Co. 1,307,724 14,372
Exelon Corp. 240,123 14,362
Caterpillar, Inc. 255,766 14,236
Prudential Financial, Inc. 420,507 14,150
Lockheed Martin Corp. 287,742 13,688
Duke Energy Corp. 662,373 13,214
BB&T Corp. 359,751 12,339
International Paper Co. 337,870 12,072
General Motors Corp. 333,102 11,992
MBNA Corp. 555,289 11,572
Baxter International, Inc. 443,500 11,531
AT&T Corp. 581,733 11,198
SunTrust Banks, Inc. 188,707 11,198
ALLTEL Corp. 219,494 10,584
Northrop Grumman Corp. 122,390 10,561
The Hartford Financial Services
Group Inc. 207,855 10,468
Sara Lee Corp. 552,400 10,391
Union Pacific Corp. 179,085 10,391
General Mills, Inc. 219,100 10,388
PNC Financial Services Group 210,300 10,265
Raytheon Co. 301,501 9,901
Carnival Corp. 303,433 9,865
Sprint Corp. 665,996 9,590
Lehman Brothers Holdings, Inc. 144,044 9,576
Occidental Petroleum Corp. 280,767 9,420
ConAgra Foods, Inc. 398,924 9,415
General Dynamics Corp. 126,875 9,198
* The Kroger Co. 538,596 8,984
Mellon Financial Corp. 320,600 8,897
Weyerhaeuser Co. 164,325 8,874
Entergy Corp. 166,220 8,773
Masco Corp. 362,654 8,649
American Electric Power Co., Inc. 288,806 8,615
FPL Group, Inc. 128,798 8,610
H.J. Heinz Co. 261,000 8,608
FirstEnergy Corp. 221,078 8,500
XL Capital Ltd. Class A 101,001 8,383
Travelers Property Casualty Corp.
Class B 528,340 8,332
The Chubb Corp. 137,581 8,255
Equity Office Properties
Trust REIT 305,418 8,249
Gillette Co. 257,900 8,217
Devon Energy Corp. 153,858 8,216
CVS Corp. 292,372 8,195
Deere & Co. 177,729 8,122
Burlington Northern Santa Fe Corp. 277,635 7,896
Golden West Financial Corp. 96,856 7,749
Apache Corp. 118,749 7,726
Electronic Data Systems Corp. 354,403 7,602
19
- --------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
KeyCorp 299,206 $ 7,561
Sears, Roebuck & Co. 223,519 7,519
Halliburton Co. 324,186 7,456
Progress Energy, Inc. 167,954 7,373
Becton, Dickinson & Co. 189,163 7,349
Kraft Foods Inc. 225,600 7,343
Praxair, Inc. 120,800 7,260
* Liberty Media Corp. 626,516 7,243
Consolidated Edison Inc. 165,792 7,175
Air Products & Chemicals, Inc. 168,708 7,018
SouthTrust Corp. 256,646 6,981
Public Service Enterprise
Group, Inc. 165,139 6,977
Waste Management, Inc. 287,212 6,919
Aetna Inc. 111,648 6,721
* Safeway, Inc. 327,686 6,704
Pitney Bowes, Inc. 174,200 6,691
Ace, Ltd. 195,128 6,691
Countrywide Financial Corp. 95,752 6,661
* Cendant Corp. 363,419 6,658
NIKE, Inc. Class B 123,779 6,621
John Hancock Financial
Services, Inc. 213,819 6,571
The Principal Financial Group, Inc. 202,223 6,522
The Boeing Co. 187,133 6,422
PPG Industries, Inc. 126,210 6,404
* PG&E Corp. 302,762 6,403
Kellogg Co. 183,100 6,293
St. Paul Cos., Inc. 168,456 6,150
Marathon Oil Corp. 230,127 6,064
Comerica, Inc. 129,726 6,032
Ingersoll-Rand Co. 125,916 5,958
Eastman Kodak Co. 212,298 5,806
AmSouth Bancorp 262,565 5,734
Newell Rubbermaid, Inc. 203,900 5,709
Fortune Brands, Inc. 108,894 5,684
Marriott International, Inc. Class A 147,581 5,670
Johnson Controls, Inc. 66,159 5,663
PPL Corp. 129,939 5,587
Norfolk Southern Corp. 288,896 5,547
PACCAR, Inc. 82,036 5,542
Unocal Corp. 191,571 5,496
Northern Trust Corp. 131,302 5,487
Anadarko Petroleum Corp. 120,334 5,351
Regions Financial Corp. 156,147 5,275
Ameren Corp. 119,516 5,271
MBIA, Inc. 107,935 5,262
Archer-Daniels-Midland Co. 407,540 5,245
Equity Residential REIT 201,785 5,236
Ambac Financial Group, Inc. 78,652 5,211
Charter One Financial, Inc. 167,074 5,209
* Transocean Inc. 237,047 5,208
Federated Department Stores, Inc. 141,266 5,206
Albertson's, Inc. 267,420 5,135
* Apple Computer, Inc. 267,652 5,118
Limited Brands, Inc. 330,159 5,117
TXU Corp. 227,207 5,101
Bear Stearns Co., Inc. 70,126 5,079
Tribune Co. 104,036 5,025
CIGNA Corp. 103,820 4,873
DTE Energy Co. 124,572 4,813
CSX Corp. 159,720 4,806
Simon Property Group, Inc. REIT 122,323 4,774
Aon Corp. 195,550 4,709
Lincoln National Corp. 131,914 4,700
FedEx Corp. 73,839 4,580
Union Planters Corp. 147,528 4,578
Cinergy Corp. 124,053 4,564
Loews Corp. 96,385 4,558
May Department Stores Co. 203,356 4,527
Dover Corp. 150,599 4,512
M & T Bank Corp. 52,999 4,464
Xcel Energy, Inc. 296,137 4,454
Jefferson-Pilot Corp. 106,252 4,405
Marshall & Ilsley Corp. 142,935 4,371
UST, Inc. 124,647 4,366
Starwood Hotels &
Resorts Worldwide, Inc. 148,648 4,250
Monsanto Co. 194,385 4,207
Constellation Energy Group, Inc. 122,365 4,197
Genuine Parts Co. 129,634 4,150
Eaton Corp. 52,521 4,129
KeySpan Corp. 116,049 4,114
Campbell Soup Co. 167,800 4,111
* Tenet Healthcare Corp. 352,331 4,105
North Fork Bancorp, Inc. 120,099 4,091
Sempra Energy 137,865 3,933
First Tennessee National Corp. 88,595 3,890
HCA Inc. 121,100 3,880
CIT Group Inc. 156,990 3,870
Interpublic Group of Cos., Inc. 286,388 3,832
Cincinnati Financial Corp. 101,882 3,779
Parker Hannifin Corp. 87,794 3,686
MeadWestvaco Corp. 148,775 3,675
ProLogis REIT 132,444 3,616
El Paso Corp. 444,757 3,594
* Edison International 217,759 3,578
Textron, Inc. 90,981 3,550
Plum Creek Timber Co. Inc. REIT 136,630 3,546
NiSource, Inc. 184,843 3,512
CenturyTel, Inc. 100,708 3,510
MGIC Investment Corp. 74,560 3,477
SAFECO Corp. 97,719 3,448
GlobalSantaFe Corp. 147,136 3,434
20
- --------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
J.C. Penney Co., Inc. (Holding Co.) 199,311 $ 3,358
Kerr-McGee Corp. 74,481 3,337
Coca-Cola Enterprises, Inc. 183,536 3,331
* Office Depot, Inc. 229,173 3,325
Rohm & Haas Co. 106,714 3,311
Torchmark Corp. 87,947 3,276
Popular, Inc. 83,735 3,231
Archstone-Smith Trust REIT 134,592 3,230
Whirlpool Corp. 50,686 3,229
Delphi Corp. 373,144 3,220
National Commerce Financial Corp. 145,099 3,220
Huntington Bancshares Inc. 164,300 3,207
Hershey Foods Corp. 45,900 3,197
Georgia Pacific Group 167,571 3,175
Everest Re Group, Ltd. 41,399 3,167
Compass Bancshares Inc. 89,099 3,112
Banknorth Group, Inc. 121,699 3,106
Valero Energy Corp. 84,599 3,074
Zions Bancorp 60,706 3,072
Williams Cos., Inc. 384,766 3,040
Sovereign Bancorp, Inc. 193,999 3,036
Boston Properties, Inc. REIT 67,602 2,961
Rockwell Automation, Inc. 124,099 2,959
Green Point Financial Corp. 57,999 2,954
Amerada Hess Corp. 59,734 2,938
Old Republic International Corp. 84,999 2,913
Capital One Financial Corp. 58,774 2,891
Cooper Industries, Inc. Class A 69,199 2,858
Nucor Corp. 58,173 2,842
Burlington Resources, Inc. 52,416 2,834
SCANA Corp. 82,399 2,825
Vornado Realty Trust REIT 64,547 2,814
Leggett & Platt, Inc. 136,477 2,798
Vulcan Materials Co. 75,376 2,794
Duke Realty Corp. REIT 100,307 2,763
General Growth Properties Inc. REIT 44,252 2,763
* Republic Services, Inc. Class A 121,599 2,757
UnumProvident Corp. 202,866 2,720
Knight Ridder 39,388 2,715
Fidelity National Financial, Inc. 86,673 2,666
Computer Associates International, Inc. 119,439 2,661
Sabre Holdings Corp. 105,979 2,612
* AES Corp. 409,569 2,601
McKesson Corp. 71,886 2,569
Kimco Realty Corp. REIT 67,659 2,564
Radian Group, Inc. 69,399 2,543
* Phelps Dodge Corp. 65,979 2,530
Pinnacle West Capital Corp. 67,097 2,513
Wisconsin Energy Corp. 86,199 2,500
Sherwin-Williams Co. 92,380 2,483
Rouse Co. REIT 64,647 2,463
Pepco Holdings, Inc. 126,699 2,428
Apartment Investment & Management
Co. Class A REIT 69,625 2,409
ServiceMaster Co. 224,501 2,402
Pulte Homes, Inc. 38,581 2,379
Engelhard Corp. 95,195 2,358
R.J. Reynolds Tobacco Holdings, Inc. 62,990 2,344
Wendy's International, Inc. 80,655 2,337
Diebold, Inc. 53,599 2,318
Centex Corp. 29,765 2,315
Travelers Property Casualty Corp. Class A 144,300 2,294
iStar Financial Inc. REIT 62,580 2,284
* Lear Corp. 48,799 2,246
Franklin Resources Corp. 57,319 2,239
Energy East Corp. 107,599 2,234
First Virginia Banks, Inc. 51,499 2,221
* AutoNation, Inc. 140,022 2,201
VF Corp. 64,771 2,200
Avalonbay Communities, Inc. REIT 50,545 2,155
* Agilent Technologies, Inc. 110,210 2,155
* E*TRADE Group, Inc. 252,599 2,147
SuperValu Inc. 99,207 2,115
R.R. Donnelley & Sons Co. 80,013 2,092
Public Storage, Inc. REIT 61,059 2,068
Sunoco, Inc. 53,972 2,037
Hasbro, Inc. 116,107 2,031
A.G. Edwards & Sons, Inc. 59,299 2,028
Hibernia Corp. Class A 110,999 2,016
Mercantile Bankshares Corp. 51,099 2,012
PartnerRe Ltd. 39,250 2,006
Allied Capital Corp. 86,000 1,987
Liberty Property Trust REIT 57,199 1,979
Hillenbrand Industries, Inc. 38,999 1,969
W.R. Berkley Corp. 37,000 1,950
Questar Corp. 57,999 1,941
Telephone & Data Systems, Inc. 38,599 1,918
* Toys R Us, Inc. 157,722 1,912
Health Care Properties
Investors REIT 44,300 1,876
* NCR Corp. 71,867 1,841
Associated Banc-Corp. 49,599 1,829
* Park Place Entertainment Corp. 201,099 1,828
Eastman Chemical Co. 57,431 1,819
The Stanley Works 65,589 1,810
The Clorox Co. 42,300 1,804
NSTAR 39,499 1,799
The PMI Group Inc. 66,999 1,798
Valley National Bancorp 67,435 1,777
21
- --------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Tyson Foods, Inc. 167,299 $ 1,777
* Manor Care, Inc. 70,222 1,756
Bemis Co., Inc. 37,430 1,752
Avery Dennison Corp. 34,800 1,747
Goodrich Corp. 83,061 1,744
* Synopsys, Inc. 27,900 1,726
* SPX Corp. 38,400 1,692
D. R. Horton, Inc. 60,100 1,689
Brunswick Corp. 67,048 1,678
Puget Energy, Inc. 69,599 1,661
MDU Resources Group, Inc. 49,599 1,661
CenterPoint Energy Inc. 203,756 1,661
Commerce Bancshares, Inc. 42,314 1,648
Sonoco Products Co. 68,199 1,638
UnionBanCal Corp. 39,300 1,626
* Compuware Corp. 280,948 1,621
AMB Property Corp. REIT 57,099 1,608
Astoria Financial Corp. 56,799 1,586
Northeast Utilities 94,699 1,585
Fulton Financial Corp. 78,935 1,568
TECO Energy, Inc. 130,803 1,568
T. Rowe Price Group Inc. 40,983 1,547
Temple-Inland Inc. 36,021 1,546
* Millennium Pharmaceuticals, Inc. 98,200 1,545
Bowater Inc. 41,199 1,543
New Plan Excel Realty Trust REIT 71,899 1,535
Belo Corp. Class A 68,199 1,525
Allete, Inc. 57,399 1,524
* Unisys Corp. 121,951 1,498
DPL Inc. 93,899 1,497
Bank of Hawaii Corp. 45,099 1,495
* Smithfield Foods, Inc. 65,199 1,494
Bausch & Lomb, Inc. 39,719 1,490
Harris Corp. 49,499 1,487
Ashland, Inc. 48,282 1,481
Nordstrom, Inc. 75,604 1,476
Viad Corp. 65,599 1,469
City National Corp. 32,899 1,466
Weingarten Realty Investors REIT 34,690 1,454
* Vishay Intertechnology, Inc. 107,399 1,418
Foot Locker, Inc. 104,900 1,390
RenaissanceRe Holdings Ltd. 30,416 1,385
Hospitality Properties Trust REIT 44,299 1,384
C.R. Bard, Inc. 19,273 1,374
FirstMerit Corp. 59,799 1,367
Nationwide Financial Services, Inc. 41,807 1,359
Maytag Corp. 55,356 1,352
Hormel Foods Corp. 56,799 1,346
W.W. Grainger, Inc. 28,732 1,344
J.M. Smucker Co. 33,399 1,332
* Triad Hospitals, Inc. 52,999 1,315
Circuit City Stores, Inc. 149,245 1,313
Fluor Corp. 38,923 1,309
New York Community Bancorp, Inc. 44,666 1,299
Protective Life Corp. 48,399 1,295
Hudson City Bancorp, Inc. 50,147 1,282
Dana Corp. 110,740 1,280
Lyondell Chemical Co. 93,699 1,268
Black & Decker Corp. 29,076 1,263
* King Pharmaceuticals, Inc. 85,176 1,257
International Flavors & Fragrances, Inc. 38,846 1,240
* Del Monte Foods Co. 140,300 1,240
Tidewater Inc. 42,199 1,239
Unitrin, Inc. 45,399 1,231
Hubbell Inc. Class B 36,899 1,221
Wilmington Trust Corp. 41,599 1,221
* Ceridian Corp. 71,800 1,218
KB HOME 19,652 1,218
* Cadence Design Systems, Inc. 100,200 1,208
* Reebok International Ltd. 35,703 1,201
RPM International, Inc. 86,199 1,185
* Owens-Illinois, Inc. 82,500 1,136
* Tech Data Corp. 42,099 1,124
Teleflex Inc. 26,399 1,123
Transatlantic Holdings, Inc. 15,637 1,081
* ICOS Corp. 28,700 1,055
* Storage Technology Corp. 40,100 1,032
Pall Corp. 45,687 1,028
Washington Post Co. Class B 1,400 1,026
Lennar Corp. Class A 14,300 1,022
Diamond Offshore Drilling, Inc. 48,680 1,022
Regency Centers Corp. REIT 29,180 1,021
* BMC Software, Inc. 60,866 994
* American Power Conversion Corp. 62,198 970
Clayton Homes Inc. 76,199 956
Scientific-Atlanta, Inc. 39,578 944
Mercury General Corp. 20,141 919
* Jones Apparel Group, Inc. 30,387 889
Adolph Coors Co. Class B 18,079 886
Omnicare, Inc. 26,200 885
Erie Indemnity Co. Class A 21,293 878
* Intersil Corp. 31,800 846
Winn-Dixie Stores, Inc. 68,434 842
PepsiAmericas, Inc. 66,899 840
* Advanced Micro Devices, Inc. 129,168 828
* Saks Inc. 84,899 824
* Host Marriott Corp. REIT 89,300 817
* 3Com Corp. 174,400 816
Carolina Group 29,880 807
Dow Jones & Co., Inc. 18,069 778
* Ingram Micro, Inc. Class A 67,700 745
LaBranche & Co. Inc. 35,699 739
22
- --------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Lafarge North America Inc. 22,968 $ 710
* Energizer Holdings, Inc. 20,400 641
* CIENA Corp. 110,642 574
Brown-Forman Corp. Class B 7,100 558
* ADC Telecommunications, Inc. 210,766 491
Capitol Federal Financial 16,275 458
Blockbuster Inc. Class A 26,220 442
The McClatchy Co. Class A 7,251 418
* Hearst-Argyle Television Inc. 13,200 342
* BOK Financial Corp. 8,500 328
* WellChoice Inc. 10,100 296
* U.S. Cellular Corp. 11,600 295
Regal Entertainment Group Class A 12,394 292
* Metro-Goldwyn-Mayer Inc. 22,533 280
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $3,486,467) $ 3,462,287
- --------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.2%)(1)
- --------------------------------------------------------------------------------
FEDERAL HOME LOAN BANK
(2) 1.17%, 7/16/2003 $ 1,500 1,499
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.16%, 7/1/2003--Note E 5,768 5,768
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $7,267) 7,267
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.1%)
(Cost $3,493,734) 3,469,554
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.1%)
- --------------------------------------------------------------------------------
Other Assets--Note B 25,139
Liabilities--Note E (28,631)
----------------
$ (3,492)
----------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $ 3,466,062
================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
(1)The fund invests a portion of its cash reserves in equity markets through the
use of index futures contracts. After giving effect to futures investments, the
fund's effective common stock and temporary cash investment positions represent
100.0% and 0.1%, respectively, of net assets. See Note C in Notes to Financial
Statements.
(2)Security segregated as initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
- --------------------------------------------------------------------------------
AMOUNT
(000)
- --------------------------------------------------------------------------------
AT JUNE 30, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $ 4,421,127
Overdistributed Net Investment Income (640)
Accumulated Net Realized Losses (930,093)
Unrealized Depreciation
Investment Securities (24,180)
Futures Contracts (152)
- --------------------------------------------------------------------------------
NET ASSETS $ 3,466,062
- --------------------------------------------------------------------------------
Investor Shares--Net Assets
Applicable to 148,409,287 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 2,447,121
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INVESTOR SHARES $16.49
================================================================================
Admiral Shares--Net Assets
Applicable to 34,487,612 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 568,695
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 16.49
================================================================================
Institutional Shares--Net Assets
Applicable to 27,303,332 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 450,246
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 16.49
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
23
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.
- --------------------------------------------------------------------------------
GROWTH INDEX FUND VALUE INDEX FUND
----------------------------------------
SIX MONTHS ENDED JUNE 30, 2003
----------------------------------------
(000) (000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Dividends $ 47,748 $ 36,482
Interest 60 25
Security Lending 3 26
- --------------------------------------------------------------------------------
Total Income 47,811 36,533
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 75 75
Management and Administrative
Investor Shares 6,293 2,160
Admiral Shares 527 311
Institutional Shares 246 159
Marketing and Distribution
Investor Shares 404 173
Admiral Shares 55 42
Institutional Shares 65 47
Custodian Fees 86 87
Shareholders' Reports
Investor Shares 283 72
Admiral Shares 1 1
Institutional Shares -- --
Trustees' Fees and Expenses 7 2
- --------------------------------------------------------------------------------
Total Expenses 8,042 3,129
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 39,769 33,404
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (369,673) (344,814)
Futures Contracts (654) 91
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (370,327) (344,723)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 1,115,577 725,506
Futures Contracts -- (152)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) 1,115,577 725,354
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 785,019 $414,035
================================================================================
24
- --------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND
SIX MONTHS ENDED JUNE 30, 2003
(000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Dividends $ 219,013
Interest 979
Security Lending 1,229
- --------------------------------------------------------------------------------
Total Income 221,221
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 75
Management and Administrative
Investor Shares 14,095
Admiral Shares 3,183
Institutional Shares 1,397
VIPER Shares 1,006
Marketing and Distribution
Investor Shares 1,119
Admiral Shares 283
Institutional Shares 383
VIPER Shares 128
Custodian Fees 353
Shareholders' Reports
Investor Shares 339
Admiral Shares 5
Institutional Shares 8
VIPER Shares --
Trustees' Fees and Expenses 19
- --------------------------------------------------------------------------------
Total Expenses 22,393
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 198,828
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (228,575)
Futures Contracts 12,825
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (215,750)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 3,564,106
Futures Contracts (985)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 3,563,121
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $3,546,199
================================================================================
25
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.
- -------------------------------------------------------------------------------------------------------------------
GROWTH INDEX FUND VALUE INDEX FUND
----------------------------------- -----------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUNE 30, 2003 DEC. 31, 2002 JUNE 30, 2003 DEC. 31, 2002
(000) (000) (000) (000)
- -------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 39,769 $ 86,098 $ 33,404 $ 68,872
Realized Net Gain (Loss) (370,327) (858,416) (344,723) (358,599)
Change in Unrealized Appreciation
(Depreciation) 1,115,577 (1,638,184) 725,354 (614,611)
- -------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 785,019 (2,410,502) 414,035 (904,338)
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (33,198) (70,060) (19,105) (48,530)
Admiral Shares (4,636) (8,872) (4,668) (10,594)
Institutional Shares (3,978) (8,738) (4,352) (12,094)
Realized Capital Gain
Investor Shares -- -- -- --
Admiral Shares -- -- -- --
Institutional Shares -- -- -- --
- -------------------------------------------------------------------------------------------------------------------
Total Distributions (41,812) (87,670) (28,125) (71,218)
- -------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--NOTE F
Investor Shares (1,483) (319,751) (18,646) (143,326)
Admiral Shares 65,195 88,780 26,419 34,060
Institutional Shares (87,826) (23,525) (97,906) (214,549)
- -------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions (24,114) (254,496) (90,133) (323,815)
- -------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 719,093 (2,752,668) 295,777 (1,299,371)
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 7,519,130 10,271,798 3,170,285 4,469,656
- -------------------------------------------------------------------------------------------------------------------
End of Period $8,238,223 $ 7,519,130 $3,466,062 $3,170,285
===================================================================================================================
26
- --------------------------------------------------------------------------------
TOTAL STOCK MARKET
INDEX FUND
-------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2003 DEC. 31, 2002
(000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 198,828 $ 331,288
Realized Net Gain (Loss) (215,750) (168,590)
Change in Unrealized Appreciation
(Depreciation) 3,563,121 (5,904,648)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 3,546,199 (5,741,950)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (112,663) (197,489)
Admiral Shares (35,875) (55,661)
Institutional Shares (35,447) (60,729)
VIPER Shares (10,881) (18,616)
Realized Capital Gain
Investor Shares -- --
Admiral Shares -- --
Institutional Shares -- --
VIPER Shares -- --
- --------------------------------------------------------------------------------
Total Distributions (194,866) (332,495)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--NOTE F
Investor Shares 2,514,363 2,207,858
Admiral Shares 1,200,160 1,155,128
Institutional Shares 393,028 1,291,353
VIPER Shares 341,162 409,620
- --------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions 4,448,713 5,063,959
- --------------------------------------------------------------------------------
Total Increase (Decrease) 7,800,046 (1,010,486)
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 24,077,826 25,088,312
- --------------------------------------------------------------------------------
End of Period $31,877,872 $24,077,826
================================================================================
27
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.
GROWTH INDEX FUND INVESTOR SHARES
- --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING ENDED ---------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $19.95 $26.42 $30.57 $39.43 $31.67 $22.53
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .10 .222 .181 .126 .207 .230
Net Realized and Unrealized Gain (Loss)
on Investments 2.00 (6.465) (4.144) (8.861) 8.821 9.244
- --------------------------------------------------------------------------------------------------------------------------
Total from Investment Operations 2.10 (6.243) (3.963) (8.735) 9.028 9.474
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.11) (.227) (.187) (.125) (.228) (.219)
Distributions from Realized Capital Gains -- -- -- -- (1.040) (.115)
- --------------------------------------------------------------------------------------------------------------------------
Total Distributions (.11) (.227) (.187) (.125) (1.268) (.334)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $21.94 $19.95 $26.42 $30.57 $39.43 $31.67
==========================================================================================================================
TOTAL RETURN* 10.56% -23.68% -12.93% -22.21% 28.76% 42.21%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $6,694 $6,094 $8,445 $11,162 $15,232 $6,644
Ratio of Total Expenses to Average Net Assets 0.23%** 0.23% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income
to Average Net Assets 1.02%** 0.97% 0.67% 0.33% 0.64% 0.92%
Portfolio Turnover Rate 42%+ 23% 31% 33% 33% 29%
==========================================================================================================================
* Total returns do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
**Annualized.
+Annualized; includes activity related to a change in the fund's target index.
Portfolio turnover rate excluding in-kind redemptions was 39%.
28
GROWTH INDEX FUND ADMIRAL SHARES
- ---------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED DEC. 31, NOV. 13* TO
FOR A SHARE OUTSTANDING ENDED ---------------------- DEC. 31,
THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $19.95 $26.42 $30.57 $33.12
- ---------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .112 .237 .194 .024
Net Realized and Unrealized Gain (Loss)
on Investments 1.996 (6.465) (4.144) (2.536)
- ---------------------------------------------------------------------------------------------------------
Total from Investment Operations 2.108 (6.228) (3.950) (2.512)
- ---------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.118) (.242) (.200) (.038)
Distributions from Realized Capital Gains -- -- -- --
- ---------------------------------------------------------------------------------------------------------
Total Distributions (.118) (.242) (.200) (.038)
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $21.94 $19.95 $26.42 $30.57
=========================================================================================================
TOTAL RETURN 10.60% -23.62% -12.88% -7.59%
=========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $895 $751 $906 $709
Ratio of Total Expenses to Average Net Assets 0.15%** 0.15% 0.17% 0.17%**
Ratio of Net Investment Income
to Average Net Assets 1.10%** 1.05% 0.74% 0.56%**
Portfolio Turnover Rate 42%+ 23% 31% 33%
=========================================================================================================
*Inception.
**Annualized.
+Annualized; includes activity related to a change in the fund's target index.
Portfolio turnover rate excluding in-kind redemptions was 39%.
29
FINANCIAL HIGHLIGHTS (CONTINUED)
GROWTH INDEX FUND INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED DECEMBER 31, MAY14* TO
FOR A SHARE OUTSTANDING ENDED ---------------------------------------------- DEC. 31,
THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $19.95 $26.42 $30.57 $39.44 $31.67 $26.49
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .117 .248 .213 .156 .249 .167
Net Realized and Unrealized Gain (Loss)
on Investments 1.996 (6.465) (4.144) (8.861) 8.821 5.315
- --------------------------------------------------------------------------------------------------------------------------
Total from Investment Operations 2.113 (6.217) (3.931) (8.705) 9.070 5.482
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.123) (.253) (.219) (.165) (.260) (.187)
Distributions from Realized Capital Gains -- -- -- -- (1.040) (.115)
- --------------------------------------------------------------------------------------------------------------------------
Total Distributions (.123) (.253) (.219) (.165) (1.300) (.302)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $21.94 $19.95 $26.42 $30.57 $39.44 $31.67
==========================================================================================================================
TOTAL RETURN 10.62% -23.58% -12.82% -22.14% 28.91% 20.79%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $649 $675 $921 $948 $452 $224
Ratio of Total Expenses to Average Net Assets 0.10%** 0.10% 0.10% 0.12% 0.12% 0.12%**
Ratio of Net Investment Income
to Average Net Assets 1.16%** 1.10% 0.80% 0.44% 0.74% 0.97%**
Portfolio Turnover Rate 42%+ 23% 31% 33% 33% 29%
==========================================================================================================================
*Inception.
**Annualized.
+Annualized; includes activity related to a change in the fund's target index.
Portfolio turnover rate excluding in-kind redemptions was 39%.
30
VALUE INDEX FUND INVESTOR SHARES
- --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING ENDED ---------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $14.65 $18.90 $22.87 $22.89 $22.51 $20.85
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .15 .303 .309 .355 .355 .366
Net Realized and Unrealized Gain (Loss)
on Investments 1.82 (4.238) (2.986) .963 2.342 2.647
- --------------------------------------------------------------------------------------------------------------------------
Total from Investment Operations 1.97 (3.935) (2.677) 1.318 2.697 3.013
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.13) (.315) (.316) (.358) (.362) (.363)
Distributions from Realized Capital Gains -- -- (.977) (.980) (1.955) (.990)
- --------------------------------------------------------------------------------------------------------------------------
Total Distributions (.13) (.315) (1.293) (1.338) (2.317) (1.353)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $16.49 $14.65 $18.90 $22.87 $22.89 $22.51
==========================================================================================================================
TOTAL RETURN* 13.52% -20.91% -11.88% 6.08% 12.57% 14.64%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,447 $2,197 $3,018 $3,450 $3,378 $2,421
Ratio of Total Expenses to Average Net Assets 0.23%** 0.23% 0.22% 0.22% 0.22% 0.22%**
Ratio of Net Investment Income
to Average Net Assets 2.09%** 1.80% 1.51% 1.60% 1.59% 1.72%**
Portfolio Turnover Rate 46%+ 26% 38% 37% 41% 33%
==========================================================================================================================
*Total returns do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
**Annualized.
+Annualized; includes activity related to a change in the fund's target index.
31
FINANCIAL HIGHLIGHTS (CONTINUED)
VALUE INDEX FUND ADMIRAL SHARES
- ---------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED DEC. 31, NOV. 13* TO
FOR A SHARE OUTSTANDING ENDED ---------------------- DEC. 31,
THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $14.65 $18.90 $22.87 $22.86
- ---------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .160 .315 .318 .045
Net Realized and Unrealized Gain (Loss)
on Investments 1.816 (4.238) (2.986) .635
- ---------------------------------------------------------------------------------------------------------
Total from Investment Operations 1.976 (3.923) (2.668) .680
- ---------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.136) (.327) (.325) (.100)
Distributions from Realized Capital Gains -- -- (.977) (.570)
- ---------------------------------------------------------------------------------------------------------
Total Distributions (.136) (.327) (1.302) (.670)
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $16.49 $14.65 $18.90 $22.87
=========================================================================================================
TOTAL RETURN 13.57% -20.85% -11.83% 3.13%
=========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $569 $480 $587 $248
Ratio of Total Expenses to Average Net Assets 0.15%** 0.15% 0.17% 0.17%**
Ratio of Net Investment Income
to Average Net Assets 2.19%** 1.88% 1.57% 0.19%**
Portfolio Turnover Rate 46%+ 26% 38% 37%
========================================================================================================
*Inception.
**Annualized.
+Annualized; includes activity related to a change in the fund's target index.
32
VALUE INDEX FUND INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED DECEMBER 31, JULY 2* TO
FOR A SHARE OUTSTANDING ENDED --------------------------------------------- DEC.31,
THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $14.65 $18.90 $22.87 $22.89 $22.51 $23.22
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .16 .322 .333 .377 .377 .196
Net Realized and Unrealized Gain (Loss)
on Investments 1.82 (4.238) (2.986) .963 2.342 (.060)
- --------------------------------------------------------------------------------------------------------------------------
Total from Investment Operations 1.98 (3.916) (2.653) 1.340 2.719 .136
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.14) (.334) (.340) (.380) (.384) (.236)
Distributions from Realized Capital Gains -- -- (.977) (.980) (1.955) (.610)
- --------------------------------------------------------------------------------------------------------------------------
Total Distributions (.14) (.334) (1.317) (1.360) (2.339) (.846)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $16.49 $14.65 $18.90 $22.87 $22.89 $22.51
==========================================================================================================================
TOTAL RETURN 13.60% -20.81% -11.77% 6.19% 12.67% 0.69%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $450 $494 $865 $1,082 $460 $186
Ratio of Total Expenses to Average Net Assets 0.10%** 0.10% 0.10% 0.12% 0.12% 0.12%**
Ratio of Net Investment Income
to Average Net Assets 2.18%** 1.91% 1.63% 1.70% 1.68% 1.90%**
Portfolio Turnover Rate 46%+ 26% 38% 37% 41% 33%
==========================================================================================================================
*Inception.
**Annualized.
+Annualized; includes activity related to a change in the fund's target index.
33
FINANCIAL HIGHLIGHTS (CONTINUED)
TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES
- --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING ENDED ---------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $20.07 $25.74 $29.26 $33.22 $27.42 $22.64
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .14 .295 .310 .331 .317 .336
Net Realized and Unrealized Gain (Loss)
on Investments 2.42 (5.672) (3.533) (3.815) 6.133 4.898
- --------------------------------------------------------------------------------------------------------------------------
Total from Investment Operations 2.56 (5.377) (3.223) (3.484) 6.450 5.234
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.14) (.293) (.297) (.336) (.330) (.329)
Distributions from Realized Capital Gains -- -- -- (.140) (.320) (.125)
- --------------------------------------------------------------------------------------------------------------------------
Total Distributions (.14) (.293) (.297) (.476) (.650) (.454)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $22.49 $20.07 $25.74 $29.26 $33.22 $27.42
==========================================================================================================================
TOTAL RETURN* 12.80% -20.96% -10.97% -10.57% 23.81% 23.26%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $18,764 $14,254 $15,781 $16,856 $ 18,133 $9,308
Ratio of Total Expenses to Average Net Assets 0.20%** 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income
to Average Net Assets 1.45%** 1.32% 1.11% 1.04% 1.15% 1.44%
Portfolio Turnover Rate 2%+ 4%+ 7%+ 7% 3% 3%
==========================================================================================================================
* Total returns do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
**Annualized.
+Portfolio turnover rates excluding in-kind redemptions were 2%, 2%, and 3%,
respectively. The portfolio turnover rate for the six months ended June 30,
2003, is annualized.
34
TOTAL STOCK MARKET INDEX FUND ADMIRAL SHARES
- ---------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED DECEMBER 31, NOV.13* TO
FOR A SHARE OUTSTANDING ENDED ---------------------------- DEC.31,
THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $20.07 $25.75 $29.26 $30.22
- ---------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .145 .296 .332 .049
Net Realized and Unrealized Gain (Loss)
on Investments 2.420 (5.672) (3.533) (.830)
- ---------------------------------------------------------------------------------------------------------
Total from Investment Operations 2.565 (5.376) (3.201) (.781)
- ---------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.145) (.304) (.309) (.099)
Distributions from Realized Capital Gains -- -- -- (.080)
- ---------------------------------------------------------------------------------------------------------
Total Distributions (.145) (.304) (.309) (.179)
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $22.49 $20.07 $25.75 $29.26
=========================================================================================================
TOTAL RETURN 12.83% -20.95% -10.89% -2.55%
=========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $5,882 $4,069 $3,894 $2,104
Ratio of Total Expenses to Average Net Assets 0.15%** 0.15% 0.15% 0.15%**
Ratio of Net Investment Income
to Average Net Assets 1.50%** 1.39% 1.17% 1.23%**
Portfolio Turnover Rate 2%+ 4%+ 7%+ 7%
=========================================================================================================
*Inception.
**Annualized.
+Portfolio turnover rates excluding in-kind redemptions were 2%, 2%, and 3%,
respectively. The portfolio turnover rate for the six months ended June 30,
2003, is annualized.
35
FINANCIAL HIGHLIGHTS (CONTINUED)
TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING ENDED ---------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $20.07 $25.75 $29.27 $33.22 $27.42 $22.64
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .152 .311 .341 .371 .344 .359
Net Realized and Unrealized Gain (Loss)
on Investments 2.420 (5.672) (3.533) (3.815) 6.133 4.898
- --------------------------------------------------------------------------------------------------------------------------
Total from Investment Operations 2.572 (5.361) (3.192) (3.444) 6.477 5.257
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.152) (.319) (.328) (.366) (.357) (.352)
Distributions from Realized Capital Gains -- -- -- (.140) (.320) (.125)
- --------------------------------------------------------------------------------------------------------------------------
Total Distributions (.152) (.319) (.328) (.506) (.677) (.477)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $22.49 $20.07 $25.75 $29.27 $33.22 $27.42
==========================================================================================================================
TOTAL RETURN 12.86% -20.90% -10.85% -10.46% 23.93% 23.37%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $5,423 $4,466 $4,217 $4,272 $4,006 $2,445
Ratio of Total Expenses to Average Net Assets 0.08%* 0.08% 0.08% 0.10% 0.10% 0.10%
Ratio of Net Investment Income
to Average Net Assets 1.58%* 1.45% 1.23% 1.14% 1.26% 1.53%
Portfolio Turnover Rate 2%** 4%** 7%** 7% 3% 3%
==========================================================================================================================
*Annualized.
**Portfolio turnover rates excluding in-kind redemptions were 2%, 2%, and 3%,
respectively. The portfolio turnover rate for the six months ended June 30,
2003, is annualized.
36
TOTAL STOCK MARKET INDEX FUND VIPER SHARES
- -------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED MAY 24* TO
JUNE 30, DEC. 31, DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $82.47 $105.80 $118.46
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .61 1.259 .843
Net Realized and Unrealized Gain (Loss) on Investments 9.91 (23.337) (12.515)
- -------------------------------------------------------------------------------------------------------------------------
Total from Investment Operations 10.52 (22.078) (11.672)
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.60) (1.252) (.988)
Distributions from Realized Capital Gains -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Total Distributions (.60) (1.252) (.988)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $92.39 $ 82.47 $105.80
=========================================================================================================================
TOTAL RETURN 12.82% -20.94% -9.82%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,809 $1,290 $1,195
Ratio of Total Expenses to Average Net Assets 0.15%* 0.15% 0.15%**
Ratio of Net Investment Income
to Average Net Assets 1.50%** 1.38% 1.26%**
Portfolio Turnover Rate 2%+ 4%+ 7%+
=========================================================================================================================
*Inception.
**Annualized.
+Portfolio turnover rates excluding in-kind redemptions were 2%, 2%, and 3%,
respectively. The portfolio turnover rate for the six months ended June 30,
2003, is annualized.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
37
NOTES TO FINANCIAL STATEMENTS
Vanguard Growth Index, Value Index, and Total Stock Market Index Funds are
registered under the Investment Company Act of 1940 as open-end investment
companies, or mutual funds. The Growth Index and Value Index Funds each offer
three classes of shares: Investor Shares, Admiral Shares, and Institutional
Shares. The Total Stock Market Index Fund offers four classes of shares:
Investor Shares, Admiral Shares, Institutional Shares, and VIPER Shares.
Investor Shares are available to any investor who meets the fund's 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. VIPER Shares are
listed for trading on the American Stock Exchange; they can be purchased and
sold through a broker.
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. 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 by methods deemed by the board of trustees to
represent fair value. Temporary cash investments acquired over 60 days to
maturity are valued using the latest bid prices or using valuations based on a
matrix system (which considers such factors as security prices, yields,
maturities, and ratings), both as furnished by independent pricing services.
Other temporary cash investments are valued at amortized cost, which
approximates market value.
2. FUTURES CONTRACTS: The funds use index futures contracts to a limited
extent, with the objectives of maintaining full exposure to the stock market,
enhancing returns, maintaining liquidity, and minimizing transaction costs. A
fund may purchase futures contracts to immediately invest incoming cash in the
market, or sell futures in response to cash outflows, thereby simulating a fully
invested position in the underlying index while maintaining a cash balance for
liquidity. A fund may seek to enhance returns by using futures contracts instead
of the underlying securities when futures are believed to be priced more
attractively than the underlying securities. The primary risks associated with
the use of futures contracts are imperfect correlation between changes in market
values of stocks held by the fund and the prices of futures contracts, and the
possibility of an illiquid market.
Futures contracts based upon the following indexes are used: S&P 500 Index
(Growth Index Fund, Value Index Fund, and Total Stock Market Index Fund), S&P
MidCap 400 Index (Total Stock Market Index Fund), and Russell 2000 Index (Total
Stock Market Index Fund).
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
3. REPURCHASE AGREEMENTS: The funds, along with other members of The
Vanguard Group, transfer 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.
38
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.
Each class of shares has equal rights as to assets and earnings, except
that each class 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 realized and unrealized gains and losses
on investments are allocated to each class of shares based on its relative net
assets.
B. The Vanguard Group 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 net assets in
capital contributions to Vanguard. At June 30, 2003, the funds had contributed
capital to Vanguard (included in Other Assets) of:
- --------------------------------------------------------------------------------
CAPITAL CONTRIBUTION PERCENTAGE PERCENTAGE OF
TO VANGUARD OF FUND VANGUARD'S
INDEX FUND (000) NET ASSETS CAPITALIZATION
- --------------------------------------------------------------------------------
Growth $1,418 0.02% 1.42%
Value 592 0.02 0.59
Total Stock Market 5,059 0.02 5.06
- --------------------------------------------------------------------------------
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.
During the six months ended June 30, 2003, the Growth Index, Value Index
and Total Stock Market Index Funds realized $82,296,000, $38,697,000, and
$22,996,000, respectively, of net capital gains resulting from in-kind
redemptions--in which shareholders exchanged fund shares for securities held by
the fund rather than for cash. Because such gains are not taxable to the funds,
and are not distributed to shareholders, they have been reclassified from
accumulated net realized gains to paid-in capital.
39
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The funds' tax-basis capital gains and losses are determined only at the end of
each fiscal year. For tax purposes, at December 31, 2002, the following funds
had tax-basis capital losses available to offset future net capital gains:
- --------------------------------------------------------------------------------
CAPITAL LOSSES
----------------------------------------
EXPIRATION: FISCAL
AMOUNT YEAR(S) ENDING
INDEX FUND (000) DECEMBER 31
- --------------------------------------------------------------------------------
Growth $3,153,168 2008-2011
Value 546,787 2010-2011
Total Stock Market 702,979 2009-2011
- --------------------------------------------------------------------------------
The funds will use these capital losses to offset net taxable capital gains, if
any, realized during the year ending December 31, 2003; should the funds realize
net capital losses for the year, the losses will be added to the loss
carryforward balances above.
At June 30, 2003, net unrealized appreciation (depreciation) of investment
securities for tax purposes was:
- --------------------------------------------------------------------------------
(000)
------------------------------------------------
NET UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION
INDEX FUND SECURITIES SECURITIES (DEPRECIATION)
- --------------------------------------------------------------------------------
Growth $1,323,667 $ (419,860) $ 903,807
Value 460,637 (484,817) (24,180)
Total Stock Market 3,603,647 (5,459,790) (1,856,143)
- --------------------------------------------------------------------------------
At June 30, 2003, the aggregate settlement value of open futures contracts
expiring in September 2003 and the related unrealized depreciation were:
- --------------------------------------------------------------------------------
(000)
------------------------------
AGGREGATE UNREALIZED
NUMBER OF SETTLEMENT APPRECIATION
INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
Value/
S&P 500 Index 15 $ 3,650 $ (152)
Total Stock Market/
S&P 500 Index 201 48,908 (1,428)
S&P MidCap 400 Index 67 16,087 (353)
Russell 2000 Index 49 10,986 (210)
- --------------------------------------------------------------------------------
Unrealized depreciation on open futures contracts is required to be treated as
realized loss for tax purposes.
D. During the six months ended June 30, 2003, purchases and sales of investment
securities other than temporary cash investments were:
- --------------------------------------------------------------------------------
(000)
-----------------------------------
INDEX FUND PURCHASES SALES
- --------------------------------------------------------------------------------
Growth $2,892,384 $2,913,368
Value 1,227,643 1,345,760
Total Stock Market 4,789,794 306,927
- --------------------------------------------------------------------------------
40
E. The market value of securities on loan to broker/dealers at June 30, 2003,
and collateral received with respect to such loans were:
- --------------------------------------------------------------------------------
(000)
-----------------------------------
MARKET VALUE CASH
OF LOANED COLLATERAL
INDEX FUND SECURITIES RECEIVED
- --------------------------------------------------------------------------------
Growth $ 2,144 $ 2,239
Value 5,535 5,768
Total Stock Market 305,376 335,628
- --------------------------------------------------------------------------------
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, 2003 DECEMBER 31, 2002
------------------------ ----------------------
AMOUNT SHARES AMOUNT SHARES
INDEX FUND (000) (000) (000) (000)
- --------------------------------------------------------------------------------
GROWTH
Investor Shares
Issued $ 539,702 26,150 $ 1,155,407 51,026
Issued in Lieu of Cash
Distributions 30,353 1,457 64,183 3,026
Redeemed (571,538) (27,912) (1,539,341) (68,271)
---------------------------------------------------
Net Increase (Decrease)--
Investor Shares (1,483) (305) (319,751) (14,219)
---------------------------------------------------
Admiral Shares
Issued 154,744 7,471 334,819 14,388
Issued in Lieu of Cash
Distributions 4,003 192 7,507 355
Redeemed (93,552) (4,513) (253,546) (11,400)
---------------------------------------------------
Net Increase (Decrease)--
Admiral Shares 65,195 3,150 88,780 3,343
---------------------------------------------------
Institutional Shares
Issued 201,360 9,900 296,930 12,916
Issued in Lieu of Cash
Distributions 3,565 172 8,074 381
Redeemed (292,751) (14,316) (328,529) (14,342)
---------------------------------------------------
Net Increase (Decrease)--
Institutional Shares (87,826) (4,244) (23,525) (1,045)
- --------------------------------------------------------------------------------
41
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
------------------------ ----------------------
AMOUNT SHARES AMOUNT SHARES
INDEX FUND (000) (000) (000) (000)
- --------------------------------------------------------------------------------
Value
Investor Shares
Issued $ 259,684 17,218 $ 603,011 36,010
Issued in Lieu of Cash
Distributions 17,491 1,150 44,772 2,868
Redeemed (295,821) (19,921) (791,109) (48,545)
---------------------------------------------------
Net Increase (Decrease)--
Investor Shares (18,646) (1,553) (143,326) (9,667)
---------------------------------------------------
Admiral Shares
Issued 129,473 8,640 308,314 18,151
Issued in Lieu of Cash
Distributions 3,936 259 8,803 564
Redeemed (106,990) (7,161) (283,057) (16,995)
---------------------------------------------------
Net Increase (Decrease)--
Admiral Shares 26,419 1,738 34,060 1,720
---------------------------------------------------
Institutional Shares
Issued 141,977 9,615 213,528 12,571
Issued in Lieu of Cash
Distributions 3,817 254 10,995 701
Redeemed (243,700) (16,274) (439,072) (25,343)
---------------------------------------------------
Net Increase (Decrease)--
Institutional Shares (97,906) (6,405) (214,549) (12,071)
- --------------------------------------------------------------------------------
TOTAL STOCK MARKET
Investor Shares
Issued $ 3,675,395 180,951 $ 4,425,830 197,493
Issued in Lieu of Cash
Distributions 106,960 5,042 186,853 8,717
Redeemed (1,267,992) (61,795) (2,404,825) (108,975)
---------------------------------------------------
Net Increase (Decrease)--
Investor Shares 2,514,363 124,198 2,207,858 97,235
---------------------------------------------------
Admiral Shares
Issued 1,476,523 72,322 1,958,681 88,190
Issued in Lieu of Cash
Distributions 30,358 1,430 46,963 2,198
Redeemed (306,721) (14,937) (850,516) (38,902)
---------------------------------------------------
Net Increase (Decrease)--
Admiral Shares 1,200,160 58,815 1,155,128 51,486
---------------------------------------------------
Institutional Shares
Issued 683,933 32,968 1,925,666 87,123
Issued in Lieu of Cash
Distributions 29,810 1,406 50,565 2,361
Redeemed (320,715) (15,766) (684,878) (30,787)
---------------------------------------------------
Net Increase (Decrease)--
Institutional Shares 393,028 18,608 1,291,353 58,697
---------------------------------------------------
VIPER Shares
Issued 384,275 4,482 774,929 8,336
Issued in Lieu of Cash
Distributions 668 8 357 4
Redeemed (43,781) (550) (365,666) (4,000)
---------------------------------------------------
Net Increase (Decrease)--
VIPER Shares 341,162 3,940 409,620 4,340
---------------------------------------------------
42
INVESTING IS FAST AND EASY ON VANGUARD.COM
If you're like many Vanguard investors, you believe in planning and taking
control of your own investments. VANGUARD.COM(R) was built for you--and it's
getting better all the time.
MANAGE YOUR INVESTMENTS WITH EASE
Log on to Vanguard.com and:
* See what you own (at Vanguard and elsewhere) and how you're doing by using
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* Invest online and even manage the mail you get from us. (Prefer to get fund
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PLAN YOUR INVESTMENTS WITH CONFIDENCE
Go to our PLANNING & ADVICE AND RESEARCH FUNDS & STOCKS sections and:
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Find out what Vanguard.com can do for you. Log on today!
43
CAPITALIZE ON YOUR IRA
Are you taking full advantage of your individual retirement account? You really
should be. The contribution limits on IRAs were recently raised, making these
tax-deferred accounts more powerful options for retirement savers. Here's how
you can exploit your IRA--and improve your chances of having the retirement of
your dreams.
* CONTRIBUTE THE MAXIMUM AMOUNT EACH YEAR.
It may be an obvious point, but if you invest as much in your IRA as the law
allows--currently $3,000 per tax year if you are under age 50 and $3,500 if you
are age 50 or over--you will increase the odds of meeting your retirement goals.
"Max out" every year you can.
* MAKE IT AUTOMATIC.
Put your IRA on autopilot by taking advantage of Vanguard's Automatic Investment
Plan. Your IRA contributions will be deducted from your bank account on a
schedule of your choosing, making retirement investing a healthy habit.
* CONSIDER COST.
The owners of low-cost investments keep a larger portion of their gross returns
than the owners of high-cost investments. Over the long term, avoiding costlier
mutual funds and brokerage commissions could significantly boost your retirement
savings. Our low costs are one reason a Vanguard IRA(R) is such a smart choice.
* REQUEST A DIRECT ROLLOVER WHEN YOU CHANGE JOBS.
Don't spend your retirement assets before you've retired. When you change jobs,
roll your 401(k) or other employer-sponsored retirement plan assets directly
into your IRA.
If you have questions about your IRA, want to transfer an IRA from another
institution to Vanguard, or need help with any other IRA transaction, call our
Retirement Resource Center at 1-800-205-6189 or visit Vanguard.com. You can open
or fund your IRA on our website, and have a confirmation in your hand within
minutes.
================================================================================
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(R) 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
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 the funds.
Among board members' responsibilities are selecting investment advisers for
the funds; monitoring fund operations, performance, and costs; reviewing
contracts; nominating and selecting new trustees/directors; and electing
Vanguard officers. The dates in parentheses below show when each trustee was
initially elected.
- --------------------------------------------------------------------------------
JOHN J. BRENNAN* (1987)
Chairman of the Board, Chief Executive Officer, and Director/Trustee of The
Vanguard Group, Inc., and of each of the investment companies served by The
Vanguard Group.
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
CHARLES D. ELLIS (2001)
The Partners of '63 (pro bono ventures in education); Senior Adviser to
Greenwich Associates (international business strategy consulting); Successor
Trustee of Yale University; Overseer of the Stern School of Business at New York
University; Trustee of the Whitehead Institute for Biomedical Research.
RAJIV L. GUPTA (2001)
Chairman and Chief Executive Officer (since October 1999), Vice Chairman
(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 HEISEN (1998)
Vice President, Chief Information Officer, and Member of the Executive Committee
of Johnson & Johnson (pharmaceuticals/consumer products); Director of the
Medical Center at Princeton and Women's Research and Education Institute.
BURTON G. MALKIEL (1977)
Chemical Bank Chairman's Professor of Economics, Princeton University; Director
of Vanguard Investment Series plc (Irish investment fund) (since November 2001),
Vanguard Group (Ireland) Limited (Irish investment management firm) (since
November 2001), Prudential Insurance Co. of America, BKF Capital (investment
management firm), The Jeffrey Co. (holding company), and NeuVis, Inc. (software
company).
ALFRED M. RANKIN, JR. (1993)
Chairman, President, Chief Executive Officer, and Director of NACCO Industries,
Inc. (forklift trucks/housewares/lignite); Director of Goodrich Corporation
(industrial products/aircraft systems and services); Director until 1998 of
Standard Products Company (a supplier for the automotive industry).
J. LAWRENCE WILSON (1985)
Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (chemicals);
Director of Cummins Inc. (diesel engines), MeadWestvaco Corp. (paper products),
and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt
University.
- --------------------------------------------------------------------------------
EXECUTIVE OFFICERS*
R. GREGORY BARTON
Secretary; Managing Director and General Counsel of The Vanguard Group, Inc.
(since September 1997); Secretary of The Vanguard Group and of each of the
investment companies served by The Vanguard Group; Principal of The Vanguard
Group (prior to September 1997).
THOMAS J. HIGGINS
Treasurer; Principal of The Vanguard Group, Inc.; Treasurer of each of 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.
F. WILLIAM MCNABB, III, Client Relationship Group.
JAMES H. GATELY, Investment Programs and Services.
MICHAEL S. MILLER, Planning and Development.
KATHLEEN C. GUBANICH, Human Resources.
RALPH K. PACKARD, Finance.
IAN A. MACKINNON, Fixed Income Group.
GEORGE U. SAUTER, Quantitative Equity Group.
- --------------------------------------------------------------------------------
JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996.
THE VANGUARD GROUP (R)
Post Office Box 2600
Valley Forge, PA 19482-2600
Vanguard, The Vanguard Group, Vanguard.com, Vanguard IRA, Admiral, VIPER,
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& Poor's, and Standard & Poor's makes no representation regarding the
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The funds or securities referred to herein that are offered by The Vanguard
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Information contains a more detailed description of the limited relationship
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All other marks are the exclusive property of their respective owners.
ABOUT OUR COVER
The photographs of the sails and ship that appear on the cover of this report
are copyrighted by Michael Kahn.
FOR MORE INFORMATION
This report is intended for the funds' shareholders. It may not be distributed
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To receive a free copy of the prospectus or the Statement of Additional
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All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc.,
unless otherwise noted.
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(C) 2003 THE VANGUARD GROUP, INC.
ALL RIGHTS RESERVED.
VANGUARD MARKETING
CORPORATION, DISTRIBUTOR.
Q852 082003
================================================================================
VANGUARD(R) U.S. STOCK INDEX FUNDS SEMIANNUAL REPORT
TOTAL STOCK MARKET INDEX FUND
STATEMENT OF NET ASSETS * JUNE 30, 2003 (unaudited)
The Statement of Net Assets should be read in conjuction 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 the fund's holdings, including
each security's market value on the last day of the reporting period. Common
stocks are listed in descending market-value order. Temporary cash investments
and other assets are added to, and liabilities are subtracted from, the value of
Total Common Stocks 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, 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.
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.8%)(1)
- --------------------------------------------------------------------------------
General Electric Co. 28,084,052 805,451
Microsoft Corp. 30,168,734 772,621
Pfizer Inc. 22,184,779 757,610
ExxonMobil Corp. 18,769,008 673,995
Wal-Mart Stores, Inc. 12,304,693 660,393
Citigroup, Inc. 14,465,943 619,142
Johnson & Johnson 8,342,434 431,304
American International
Group, Inc. 7,329,620 404,448
International Business
Machines Corp. 4,855,673 400,593
Intel Corp. 18,360,467 381,604
Merck & Co., Inc. 6,300,983 381,525
Bank of America Corp. 4,209,550 332,681
* Cisco Systems, Inc. 19,722,625 329,171
The Procter & Gamble Co. 3,638,147 324,450
The Coca-Cola Co. 6,921,751 321,238
Verizon Communications 7,728,219 304,878
Altria Group, Inc. 5,689,815 258,545
SBC Communications Inc. 9,335,926 238,533
Wells Fargo & Co. 4,707,081 237,237
* Amgen, Inc. 3,539,268 235,149
* Dell Computer Corp. 7,216,890 230,652
Eli Lilly & Co. 3,157,164 217,750
* Berkshire Hathaway Inc.
Class A 3,002 217,645
ChevronTexaco Corp. 3,002,041 216,747
PepsiCo, Inc. 4,827,949 214,844
Home Depot, Inc. 6,415,949 212,496
* Viacom Inc. Class B 4,813,772 210,169
* AOL Time Warner Inc. 12,636,902 203,328
United Parcel Service, Inc. 3,162,093 201,425
J.P. Morgan Chase & Co. 5,707,809 195,093
Abbott Laboratories 4,386,379 191,948
Fannie Mae 2,753,302 185,683
Hewlett-Packard Co. 8,577,471 182,700
* Oracle Corp. 14,732,740 177,088
* Comcast Corp. Class A 5,664,442 170,953
Wyeth 3,731,588 169,974
Medtronic, Inc. 3,426,931 164,390
American Express Co. 3,658,863 152,977
Wachovia Corp. 3,786,845 151,322
Bristol-Myers Squibb Co. 5,446,671 147,877
3M Co. 1,098,243 141,651
BellSouth Corp. 5,189,608 138,199
U.S. Bancorp 5,394,484 132,165
Morgan Stanley 3,055,281 130,613
Merrill Lynch & Co., Inc. 2,614,218 122,032
================================================================================
1
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Anheuser-Busch Cos., Inc. 2,347,399 119,835
Bank One Corp. 3,222,564 119,815
E.I. du Pont de Nemours & Co. 2,798,786 116,541
The Walt Disney Co. 5,741,400 113,393
The Goldman Sachs Group, Inc. 1,319,561 110,513
Washington Mutual, Inc. 2,635,376 108,841
ConocoPhillips 1,907,325 104,521
Freddie Mac 1,936,724 98,327
Target Corp. 2,559,258 96,842
Lowe's Cos., Inc. 2,191,296 94,116
United Technologies Corp. 1,314,847 93,131
* eBay Inc. 892,172 92,946
Fifth Third Bancorp 1,613,693 92,529
Gillette Co. 2,869,486 91,422
FleetBoston Financial Corp. 2,954,810 87,787
Colgate-Palmolive Co. 1,511,923 87,616
First Data Corp. 2,101,746 87,096
Walgreen Co. 2,880,030 86,689
Texas Instruments, Inc. 4,859,273 85,523
UnitedHealth Group Inc. 1,665,216 83,677
The Boeing Co. 2,362,630 81,086
Cardinal Health, Inc. 1,259,826 81,007
* Liberty Media Corp. 6,949,852 80,340
Dow Chemical Co. 2,572,666 79,650
QUALCOMM Inc. 2,218,251 79,302
McDonald's Corp. 3,575,220 78,869
Schlumberger Ltd. 1,636,272 77,837
Marsh & McLennan Cos., Inc. 1,504,522 76,836
Schering-Plough Corp. 4,127,637 76,774
MBNA Corp. 3,590,304 74,822
Kimberly-Clark Corp. 1,432,162 74,673
* Applied Materials, Inc. 4,657,292 73,865
* Clear Channel
Communications, Inc. 1,725,788 73,156
Allstate Corp. 1,978,083 70,519
* Boston Scientific Corp. 1,152,617 70,425
Honeywell International Inc. 2,410,712 64,728
* EMC Corp. 6,145,483 64,343
Southern Co. 2,028,112 63,196
* AT&T Wireless Services Inc. 7,620,415 62,564
The Bank of New York Co., Inc. 2,166,667 62,292
Motorola, Inc. 6,510,650 61,395
Alcoa Inc. 2,375,193 60,567
Metropolitan Life Insurance Co. 2,136,093 60,494
Emerson Electric Co. 1,183,216 60,462
Lockheed Martin Corp. 1,269,739 60,401
* InterActiveCorp 1,468,420 58,105
Gannett Co., Inc. 755,076 57,997
Carnival Corp. 1,766,825 57,440
Illinois Tool Works, Inc. 864,331 56,916
Automatic Data Processing, Inc. 1,680,536 56,903
General Motors Corp. 1,575,415 56,715
Ford Motor Co. 5,143,225 56,524
National City Corp. 1,719,011 56,229
Dominion Resources, Inc. 873,409 56,134
* Forest Laboratories, Inc. 1,020,463 55,870
* Yahoo! Inc. 1,695,120 55,532
Sysco Corp. 1,826,024 54,854
Exelon Corp. 911,179 54,498
Caterpillar, Inc. 967,953 53,876
* Cox Communications, Inc.
Class A 1,665,441 53,128
* Cendant Corp. 2,871,133 52,599
Prudential Financial, Inc. 1,562,683 52,584
* NEXTEL Communications, Inc. 2,892,140 52,290
FedEx Corp. 838,359 52,003
Duke Energy Corp. 2,532,788 50,529
SLM Corp. 1,283,907 50,291
General Mills, Inc. 1,038,695 49,245
* Kohl's Corp. 952,919 48,961
International Paper Co. 1,346,759 48,120
The Gap, Inc. 2,504,544 46,985
* Costco Wholesale Corp. 1,281,955 46,920
SunTrust Banks, Inc. 787,461 46,728
HCA Inc. 1,438,986 46,105
BB&T Corp. 1,325,221 45,455
Lehman Brothers Holdings, Inc. 682,059 45,343
Progressive Corp. of Ohio 612,587 44,780
* Genentech, Inc. 620,586 44,757
Travelers Property Casualty
Corp. Class B 2,829,795 44,626
Northrop Grumman Corp. 514,878 44,429
AFLAC Inc. 1,443,164 44,377
Baxter International, Inc. 1,680,339 43,689
AT&T Corp. 2,210,296 42,548
ALLTEL Corp. 876,117 42,246
Tribune Co. 868,351 41,941
* Sun Microsystems, Inc. 9,092,716 41,826
Union Pacific Corp. 715,258 41,499
Sara Lee Corp. 2,188,759 41,171
Avon Products, Inc. 660,682 41,094
General Dynamics Corp. 560,696 40,650
* Amazon.com, Inc. 1,101,266 40,185
Waste Management, Inc. 1,665,145 40,113
* General Motors Corp. Class H 3,112,144 39,867
* Best Buy Co., Inc. 906,841 39,829
NIKE, Inc. Class B 743,398 39,764
The Hartford Financial Services
Group Inc. 787,774 39,672
Kellogg Co. 1,143,854 39,314
PNC Financial Services Group 796,044 38,855
Stryker Corp. 558,734 38,759
Guidant Corp. 870,679 38,649
Charles Schwab Corp. 3,802,836 38,371
================================================================================
2
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Omnicom Group Inc. 530,569 38,042
Raytheon Co. 1,156,328 37,974
Southwest Airlines Co. 2,191,932 37,701
State Street Corp. 935,995 36,878
Newmont Mining Corp.
(Holding Co.) 1,132,350 36,756
Sprint Corp. 2,532,413 36,467
Computer Associates
International, Inc. 1,628,833 36,290
* Analog Devices, Inc. 1,029,253 35,839
Occidental Petroleum Corp. 1,068,022 35,832
ConAgra Foods, Inc. 1,509,283 35,619
Wm. Wrigley Jr. Co. 632,524 35,567
* The Kroger Co. 2,130,049 35,529
* WellPoint Health Networks Inc.
Class A 414,582 34,949
Devon Energy Corp. 650,355 34,729
FPL Group, Inc. 515,297 34,448
Golden West Financial Corp. 429,388 34,355
Harley-Davidson, Inc. 851,800 33,953
Mellon Financial Corp. 1,213,462 33,674
Entergy Corp. 635,949 33,565
The McGraw-Hill Cos., Inc. 540,656 33,521
* Veritas Software Corp. 1,166,789 33,452
Weyerhaeuser Co. 616,188 33,274
American Electric Power Co., Inc. 1,109,932 33,109
H.J. Heinz Co. 990,460 32,665
* Bed Bath & Beyond, Inc. 831,019 32,252
FirstEnergy Corp. 837,294 32,194
Masco Corp. 1,341,149 31,986
Baker Hughes, Inc. 946,659 31,779
* Gilead Sciences, Inc. 563,661 31,328
Capital One Financial Corp. 636,957 31,326
The Chubb Corp. 521,841 31,310
Maxim Integrated Products, Inc. 914,876 31,280
Anadarko Petroleum Corp. 701,186 31,182
Paychex, Inc. 1,059,968 31,068
CVS Corp. 1,107,311 31,038
Deere & Co. 673,280 30,769
Equity Office Properties
Trust REIT 1,134,127 30,633
Burlington Resources, Inc. 565,842 30,595
* Apollo Group, Inc. Class A 493,497 30,478
* Anthem, Inc. 394,015 30,398
* Electronic Arts Inc. 409,993 30,335
KeyCorp 1,190,600 30,086
Burlington Northern
Santa Fe Corp. 1,047,515 29,791
Progress Energy, Inc. 676,734 29,709
The Principal Financial Group, Inc. 919,770 29,663
Apache Corp. 455,557 29,639
Sears, Roebuck & Co. 880,958 29,635
Danaher Corp. 429,516 29,229
* St. Jude Medical, Inc. 506,181 29,105
McKesson Corp. 813,817 29,086
Electronic Data Systems Corp. 1,348,771 28,931
* Fox Entertainment Group, Inc.
Class A 991,122 28,524
Linear Technology Corp. 879,576 28,331
Halliburton Co. 1,230,542 28,302
Campbell Soup Co. 1,154,224 28,279
Allergan, Inc. 366,397 28,249
M & T Bank Corp. 335,322 28,241
Franklin Resources Corp. 716,977 28,012
Becton, Dickinson & Co. 716,281 27,828
TJX Cos., Inc. 1,463,782 27,578
Praxair, Inc. 457,347 27,487
Consolidated Edison Inc. 627,419 27,155
* Starbucks Corp. 1,097,416 26,909
Public Service Enterprise
Group, Inc. 636,298 26,884
Air Products & Chemicals, Inc. 639,305 26,595
* Corning, Inc. 3,564,409 26,341
SouthTrust Corp. 963,685 26,212
The Clorox Co. 612,889 26,140
Hershey Foods Corp. 371,920 25,908
* Agilent Technologies, Inc. 1,324,984 25,903
Northern Trust Corp. 619,628 25,894
* MedImmune Inc. 708,742 25,777
* Intuit, Inc. 578,486 25,760
Aetna Inc. 427,637 25,744
Kraft Foods Inc. 788,245 25,657
Countrywide Financial Corp. 367,796 25,588
* Genzyme Corp.-General Division 611,599 25,565
* Safeway, Inc. 1,243,638 25,445
* Lexmark International, Inc. 359,039 25,409
Pitney Bowes, Inc. 659,494 25,331
* Staples, Inc. 1,369,748 25,135
Marriott International, Inc.
Class A 651,932 25,047
John Hancock Financial
Services, Inc. 812,817 24,978
* KLA-Tencor Corp. 536,693 24,951
* Zimmer Holdings, Inc. 553,383 24,930
Loews Corp. 521,392 24,657
* International Game Technology 240,807 24,642
* Yum! Brands, Inc. 825,766 24,410
* PG&E Corp. 1,151,468 24,354
PPG Industries, Inc. 477,305 24,218
* Xilinx, Inc. 948,236 24,000
* EchoStar Communications Corp.
Class A 685,351 23,727
* Lucent Technologies, Inc. 11,630,362 23,610
Mattel, Inc. 1,238,207 23,427
================================================================================
3
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
St. Paul Cos., Inc. 639,839 23,361
Archer-Daniels-Midland Co. 1,812,031 23,321
* Xerox Corp. 2,199,313 23,291
Coca-Cola Enterprises, Inc. 1,274,727 23,136
Marathon Oil Corp. 872,335 22,986
* Chiron Corp. 524,548 22,933
Comerica, Inc. 492,684 22,910
* Qwest Communications
International Inc. 4,767,327 22,788
Limited Brands, Inc. 1,468,900 22,768
Ingersoll-Rand Co. 477,551 22,598
Eastman Kodak Co. 813,049 22,237
Moody's Corp. 420,716 22,176
PACCAR, Inc. 327,639 22,135
H & R Block, Inc. 504,564 21,822
AmSouth Bancorp 993,486 21,698
Newell Rubbermaid, Inc. 771,546 21,603
AmerisourceBergen Corp. 310,471 21,531
Johnson Controls, Inc. 251,102 21,494
Fortune Brands, Inc. 408,968 21,348
Aon Corp. 880,510 21,203
Regions Financial Corp. 626,204 21,153
Norfolk Southern Corp. 1,098,973 21,100
* Concord EFS, Inc. 1,422,264 20,936
Adobe Systems, Inc. 652,737 20,933
Unocal Corp. 728,111 20,890
Biomet, Inc. 726,175 20,812
* SunGard Data Systems, Inc. 801,917 20,778
Simon Property Group, Inc. REIT 531,762 20,755
* AutoZone Inc. 272,408 20,695
TXU Corp. 907,932 20,383
PPL Corp. 473,731 20,370
Albertson's, Inc. 1,060,598 20,364
Bear Stearns Co., Inc. 278,926 20,200
* Computer Sciences Corp. 526,734 20,079
Ameren Corp. 454,280 20,034
E.W. Scripps Co. Class A 225,601 20,015
Equity Residential REIT 768,599 19,945
* Micron Technology, Inc. 1,713,231 19,925
* Berkshire Hathaway Inc. Class B 8,187 19,894
Ambac Financial Group, Inc. 298,961 19,806
MBIA, Inc. 406,227 19,804
Charter One Financial, Inc. 634,324 19,778
* Transocean Inc. 899,777 19,768
Washington Post Co. Class B 26,835 19,667
* Apple Computer, Inc. 1,027,454 19,645
* Broadcom Corp. 788,130 19,632
* Univision Communications Inc. 645,046 19,609
Federated Department Stores, Inc. 529,733 19,521
Marshall & Ilsley Corp. 636,998 19,479
Rohm & Haas Co. 626,226 19,432
* Fiserv, Inc. 545,393 19,421
New York Times Co. Class A 425,584 19,364
Ecolab, Inc. 742,160 18,999
* Caremark Rx, Inc. 738,458 18,964
* Quest Diagnostics, Inc. 296,501 18,917
* Comcast Corp. Special Class A 654,930 18,882
Kinder Morgan, Inc. 343,590 18,777
CIGNA Corp. 394,762 18,530
Family Dollar Stores, Inc. 485,166 18,509
Synovus Financial Corp. 854,925 18,381
DTE Energy Co. 472,837 18,270
* Symantec Corp. 416,007 18,246
Cinergy Corp. 494,901 18,207
CSX Corp. 603,806 18,169
May Department Stores Co. 812,509 18,086
Mylan Laboratories, Inc. 517,722 18,001
Lincoln National Corp. 499,990 17,815
* Altera Corp. 1,077,410 17,670
UnionBanCal Corp. 422,971 17,498
Union Planters Corp. 559,317 17,356
Dollar General Corp. 941,683 17,195
* Affiliated Computer Services, Inc.
Class A 374,360 17,120
Dover Corp. 570,413 17,090
Cintas Corp. 479,996 17,011
ITT Industries, Inc. 259,390 16,980
Xcel Energy, Inc. 1,125,228 16,923
Cincinnati Financial Corp. 451,839 16,759
Sempra Energy 586,138 16,723
* BJ Services Co. 446,437 16,679
Jefferson-Pilot Corp. 401,663 16,653
* Sprint PCS 2,887,226 16,602
* Weatherford International Ltd. 394,412 16,526
Eaton Corp. 210,159 16,521
UST, Inc. 471,548 16,518
* Nabors Industries, Inc. 409,858 16,210
Starwood Hotels & Resorts
Worldwide, Inc. 565,591 16,170
Constellation Energy Group, Inc. 466,361 15,996
Monsanto Co. 736,810 15,945
* Biogen, Inc. 418,971 15,921
Knight Ridder 230,832 15,911
KeySpan Corp. 444,130 15,744
Genuine Parts Co. 490,305 15,695
* PeopleSoft, Inc. 891,605 15,683
Avery Dennison Corp. 312,089 15,667
The Pepsi Bottling Group, Inc. 782,522 15,666
First Tennessee National Corp. 355,341 15,603
* CNA Financial Corp. 630,402 15,508
* Network Appliance, Inc. 956,664 15,508
* Novellus Systems, Inc. 422,970 15,490
* Tenet Healthcare Corp. 1,324,687 15,433
North Fork Bancorp, Inc. 452,365 15,408
================================================================================
4
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
GlobalSantaFe Corp. 657,383 15,343
* Edison International 921,700 15,144
* Express Scripts Inc. 219,878 15,022
* American Standard Cos., Inc. 203,002 15,008
Textron, Inc. 381,135 14,872
* IDEC Pharmaceuticals Corp. 436,592 14,844
CIT Group Inc. 597,185 14,721
Interpublic Group of Cos., Inc. 1,098,586 14,699
* MGM Mirage, Inc. 429,330 14,674
Molex, Inc. 537,426 14,505
Popular, Inc. 374,551 14,454
Microchip Technology, Inc. 575,377 14,172
* JDS Uniphase Corp. 4,026,597 14,133
CenturyTel, Inc. 404,395 14,093
NiSource, Inc. 740,277 14,065
Parker Hannifin Corp. 332,554 13,964
MeadWestvaco Corp. 565,013 13,956
Green Point Financial Corp. 271,748 13,843
Hudson City Bancorp, Inc. 540,719 13,826
ProLogis REIT 505,685 13,805
SAFECO Corp. 390,640 13,782
Vornado Realty Trust REIT 315,719 13,765
* Weight Watchers
International, Inc. 300,972 13,691
El Paso Corp. 1,690,171 13,657
Murphy Oil Corp. 259,404 13,645
Delphi Corp. 1,579,711 13,633
Centex Corp. 175,015 13,614
Hilton Hotels Corp. 1,062,542 13,590
EOG Resources, Inc. 324,001 13,556
* Cablevision Systems NY Group
Class A 646,224 13,416
Tiffany & Co. 410,078 13,401
Plum Creek Timber Co. Inc. REIT 514,671 13,356
Georgia Pacific Group 704,249 13,346
Brown-Forman Corp. Class B 168,418 13,241
* Juniper Networks, Inc. 1,067,482 13,205
* Millennium Pharmaceuticals, Inc. 838,823 13,195
* Siebel Systems, Inc. 1,379,059 13,156
MGIC Investment Corp. 281,666 13,137
* Synopsys, Inc. 211,551 13,084
T. Rowe Price Group Inc. 344,857 13,018
Lennar Corp. Class A 181,632 12,987
* Noble Corp. 376,977 12,930
Zions Bancorp 254,948 12,903
National Commerce
Financial Corp. 578,346 12,833
J.C. Penney Co., Inc.
(Holding Co.) 759,879 12,804
* QLogic Corp. 264,785 12,797
* DST Systems, Inc. 335,850 12,762
* Coach, Inc. 256,376 12,752
Kerr-McGee Corp. 283,725 12,711
* AutoNation, Inc. 807,574 12,695
* Office Depot, Inc. 874,069 12,683
* BEA Systems, Inc. 1,165,826 12,661
Royal Caribbean Cruises, Ltd. 546,638 12,660
Huntington Bancshares Inc. 647,393 12,637
* Laboratory Corp. of
America Holdings 417,206 12,579
* Harrah's Entertainment, Inc. 311,463 12,533
RadioShack Corp. 475,887 12,521
Amerada Hess Corp. 253,948 12,489
Rockwell Automation, Inc. 523,856 12,489
Compass Bancshares Inc. 357,039 12,471
Health Management Associates
Class A 673,838 12,432
Rockwell Collins, Inc. 504,333 12,422
Total System Services, Inc. 556,698 12,414
* Jabil Circuit, Inc. 560,575 12,389
IMS Health, Inc. 686,512 12,350
Whirlpool Corp. 193,871 12,350
Archstone-Smith Trust REIT 514,330 12,344
* Barr Laboratories, Inc. 187,276 12,267
* Watson Pharmaceuticals, Inc. 302,215 12,200
Torchmark Corp. 326,902 12,177
W.W. Grainger, Inc. 258,237 12,075
* Dean Foods Co. 381,553 12,019
Public Storage, Inc. REIT 353,139 11,961
Boston Properties, Inc. REIT 272,111 11,919
Legg Mason Inc. 183,078 11,891
Fidelity National Financial, Inc. 382,021 11,751
Estee Lauder Cos. Class A 349,871 11,731
Valero Energy Corp. 322,783 11,727
Banknorth Group, Inc. 459,395 11,724
* L-3 Communications Holdings, Inc. 269,192 11,707
Old Republic International Corp. 338,991 11,617
D. R. Horton, Inc. 413,304 11,614
New York Community
Bancorp, Inc. 398,905 11,604
Sovereign Bancorp, Inc. 736,709 11,529
Williams Cos., Inc. 1,457,100 11,511
* Sealed Air Corp. 238,998 11,391
ENSCO International, Inc. 422,717 11,371
* Unisys Corp. 925,490 11,365
Kimco Realty Corp. REIT 297,078 11,259
Sherwin-Williams Co. 417,727 11,229
Applera Corp.-Applied
Biosystems Group 588,376 11,197
Leggett & Platt, Inc. 542,402 11,119
* Varian Medical Systems, Inc. 193,128 11,118
Janus Capital Group Inc. 677,128 11,105
General Growth Properties
Inc. REIT 177,823 11,103
================================================================================
5
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
UnumProvident Corp. 814,377 10,921
Sigma-Aldrich Corp. 201,313 10,907
* CDW Corp. 237,096 10,859
Cooper Industries, Inc. Class A 262,694 10,849
Nucor Corp. 221,578 10,824
* BMC Software, Inc. 660,007 10,778
* Health Net Inc. 326,903 10,771
SCANA Corp. 313,458 10,745
Liz Claiborne, Inc. 303,434 10,696
* AES Corp. 1,679,834 10,667
McCormick & Co., Inc. 391,298 10,643
Vulcan Materials Co. 286,625 10,625
* Smith International, Inc. 288,734 10,608
Pulte Homes, Inc. 171,954 10,603
Duke Realty Corp. REIT 382,732 10,544
Tyson Foods, Inc. 991,927 10,534
* Jones Apparel Group, Inc. 359,492 10,519
C.R. Bard, Inc. 147,193 10,496
* Waters Corp. 360,084 10,489
XTO Energy, Inc. 519,214 10,441
* Mohawk Industries, Inc. 187,152 10,393
VF Corp. 305,791 10,388
* Republic Services, Inc. Class A 457,653 10,375
* NVIDIA Corp. 449,537 10,344
Equifax, Inc. 397,278 10,329
* Citizens Communications Co. 801,205 10,328
* Intersil Corp. 387,199 10,303
* Dollar Tree Stores, Inc. 324,188 10,286
iStar Financial Inc. REIT 281,140 10,262
Expeditors International of
Washington, Inc. 295,806 10,247
Transatlantic Holdings, Inc. 147,917 10,228
* National Semiconductor Corp. 516,728 10,190
Scientific-Atlanta, Inc. 426,847 10,176
Freeport-McMoRan Copper &
Gold, Inc. Class B 412,075 10,096
* King Pharmaceuticals, Inc. 682,882 10,079
* Westwood One, Inc. 294,046 9,977
Dow Jones & Co., Inc. 230,908 9,936
Sabre Holdings Corp. 402,835 9,930
* SPX Corp. 224,852 9,907
* Brinker International, Inc. 274,031 9,871
* Oxford Health Plans, Inc. 234,224 9,844
* IVAX Corp. 550,717 9,830
* AdvancePCS 255,578 9,771
* Citrix Systems, Inc. 477,191 9,716
* Phelps Dodge Corp. 252,458 9,679
Radian Group, Inc. 262,936 9,637
Pinnacle West Capital Corp. 256,612 9,610
* Thermo Electron Corp. 456,859 9,603
Black & Decker Corp. 219,846 9,552
Wisconsin Energy Corp. 328,978 9,540
Omnicare, Inc. 281,603 9,515
SEI Corp. 296,063 9,474
* Williams-Sonoma, Inc. 323,944 9,459
Rouse Co. REIT 248,040 9,450
* VeriSign, Inc. 677,389 9,368
* Lincare Holdings, Inc. 297,260 9,367
Ross Stores, Inc. 218,919 9,357
* Mercury Interactive Corp. 242,120 9,348
White Mountains Insurance
Group Inc. 23,607 9,325
Hormel Foods Corp. 392,789 9,309
Wendy's International, Inc. 321,325 9,309
* WebMD Corp. 856,792 9,279
Pepco Holdings, Inc. 482,216 9,239
Apartment Investment &
Management Co. Class A REIT 266,397 9,217
* Robert Half International, Inc. 483,989 9,167
* Pixar, Inc. 150,568 9,161
* Sanmina-SCI Corp. 1,445,919 9,124
DENTSPLY International Inc. 222,901 9,117
Doral Financial Corp. 203,840 9,101
* Teradyne, Inc. 524,857 9,085
ServiceMaster Co. 848,557 9,080
* Smurfit-Stone Container Corp. 696,350 9,073
* Cadence Design Systems, Inc. 751,517 9,063
* Career Education Corp. 132,150 9,042
Darden Restaurants Inc. 475,921 9,033
* Iron Mountain, Inc. 241,656 8,963
* Pactiv Corp. 452,770 8,924
* Ameritrade Holding Corp. 1,199,456 8,888
* Expedia Inc. 116,272 8,881
* CarMax, Inc. 293,264 8,842
Diebold, Inc. 204,353 8,838
R.J. Reynolds Tobacco
Holdings, Inc. 237,387 8,833
Hillenbrand Industries, Inc. 174,780 8,818
Engelhard Corp. 355,927 8,816
* Solectron Corp. 2,335,913 8,736
* Patterson Dental Co. 192,505 8,736
* Pioneer Natural Resources Co. 333,809 8,712
* The Dun & Bradstreet Corp. 211,218 8,681
* American Power
Conversion Corp. 556,581 8,677
* Level 3 Communications, Inc. 1,304,213 8,660
First Virginia Banks, Inc. 200,459 8,644
* Lear Corp. 187,419 8,625
* Metro-Goldwyn-Mayer Inc. 692,560 8,602
* E*TRADE Group, Inc. 1,011,539 8,598
Energy East Corp. 412,620 8,566
Hasbro, Inc. 488,630 8,546
* Lamar Advertising Co. Class A 242,692 8,545
Symbol Technologies, Inc. 654,610 8,516
================================================================================
6
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* ChoicePoint Inc. 246,147 8,497
C.H. Robinson Worldwide, Inc. 238,908 8,496
Alberto-Culver Co. Class B 165,420 8,453
Federated Investors, Inc. 307,776 8,439
International Flavors &
Fragrances, Inc. 264,039 8,431
R.R. Donnelley & Sons Co. 321,692 8,409
* NVR, Inc. 20,429 8,396
* Constellation Brands, Inc. Class A 267,088 8,387
Outback Steakhouse 214,039 8,348
KB HOME 133,928 8,301
W.R. Berkley Corp. 156,542 8,250
Sunoco, Inc. 217,662 8,215
TCF Financial Corp. 205,530 8,188
Telephone & Data Systems, Inc. 164,240 8,163
Manpower Inc. 219,812 8,153
Avalonbay Communities, Inc. REIT 190,399 8,119
Hibernia Corp. Class A 445,713 8,094
SuperValu Inc. 378,297 8,065
Bunge Ltd. 281,902 8,062
* Comverse Technology, Inc. 535,300 8,046
* Whole Foods Market, Inc. 168,922 8,029
* Storage Technology Corp. 309,356 7,963
Neuberger Berman Inc. 199,361 7,956
* SanDisk Corp. 196,714 7,937
* Abercrombie & Fitch Co. 278,293 7,906
Questar Corp. 234,438 7,847
* PanAmSat Corp. 424,800 7,829
Pall Corp. 347,932 7,828
* Park Place Entertainment Corp. 857,041 7,791
* Hispanic Broadcasting Corp. 306,025 7,788
* Cooper Cameron Corp. 154,413 7,779
A.G. Edwards & Sons, Inc. 226,941 7,761
* Coventry Health Care Inc. 167,671 7,740
Fluor Corp. 230,070 7,740
Liberty Property Trust REIT 223,219 7,723
* Tellabs, Inc. 1,172,748 7,705
Diamond Offshore Drilling, Inc. 367,055 7,704
Mercantile Bankshares Corp. 195,538 7,700
* Energizer Holdings, Inc. 245,027 7,694
* JetBlue Airways Corp. 181,856 7,691
Associated Banc-Corp 208,397 7,686
Nordstrom, Inc. 386,736 7,549
* Providian Financial Corp. 814,724 7,544
* Convergys Corp. 470,852 7,534
Allied Capital Corp. 325,699 7,524
Pogo Producing Co. 175,958 7,522
The McClatchy Co. Class A 130,466 7,517
Erie Indemnity Co. Class A 182,180 7,515
* Rent-A-Center, Inc. 99,126 7,515
* First Health Group Corp. 271,186 7,485
* LSI Logic Corp. 1,056,121 7,477
Commerce Bancshares, Inc. 187,963 7,321
* Patterson-UTI Energy, Inc. 225,820 7,317
Fastenal Co. 215,509 7,314
Commerce Bancorp, Inc. 196,759 7,300
Ball Corp. 160,250 7,293
* Toys R Us, Inc. 601,373 7,289
Health Care Properties
Investors REIT 171,405 7,259
Harman International Industries, Inc. 91,680 7,256
* Pride International, Inc. 382,301 7,195
* Michaels Stores, Inc. 188,652 7,180
* Markel Corp. 28,020 7,173
Equitable Resources, Inc. 175,902 7,166
* Calpine Corp. 1,085,465 7,164
* Smithfield Foods, Inc. 311,666 7,143
Fair, Isaac, Inc. 138,823 7,142
* Entercom Communications Corp. 145,680 7,140
Belo Corp. Class A 318,229 7,116
CenterPoint Energy Inc. 870,322 7,093
Student Loan Corp. 56,206 7,082
MDU Resources Group, Inc. 211,398 7,080
* Ceridian Corp. 416,876 7,074
Nuveen Investments, Inc. Class A 259,522 7,069
Mercury General Corp. 154,764 7,065
Valley National Bancorp 266,141 7,013
Deluxe Corp. 156,438 7,008
* Mid Atlantic Medical
Services, Inc. 133,985 7,007
* Avaya Inc. 1,083,920 7,002
* NCR Corp. 273,269 7,001
Bemis Co., Inc. 149,353 6,990
Beckman Coulter, Inc. 171,861 6,984
* Celgene Corp. 229,530 6,978
Arthur J. Gallagher & Co. 256,499 6,977
Eastman Chemical Co. 219,833 6,962
* CIENA Corp. 1,340,485 6,957
Goodrich Corp. 330,322 6,937
NSTAR 150,776 6,868
* Humana Inc. 454,772 6,867
* Host Marriott Corp. REIT 747,342 6,838
The Stanley Works 247,460 6,830
* 99 Cents Only Stores 198,973 6,829
* SICOR, Inc. 335,311 6,820
Developers Diversified Realty
Corp. REIT 239,445 6,810
* Krispy Kreme Doughnuts, Inc. 165,322 6,808
The PMI Group Inc. 253,078 6,793
The St. Joe Co. 216,834 6,765
* Hearst-Argyle Television Inc. 260,185 6,739
* Universal Health Services Class B 168,971 6,695
* PETsMART, Inc. 399,977 6,668
* ImClone Systems, Inc. 210,448 6,654
================================================================================
7
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Agere Systems Inc. Class A 2,830,163 6,594
* LAM Research Corp. 361,165 6,577
* Jacobs Engineering Group Inc. 155,782 6,566
Astoria Financial Corp. 234,783 6,558
* Gentex Corp. 213,670 6,540
Sonoco Products Co. 271,740 6,527
* ICOS Corp. 177,586 6,526
Allete, Inc. 245,633 6,522
Temple-Inland Inc. 151,886 6,517
* Henry Schein, Inc. 124,334 6,508
AMB Property Corp. REIT 230,743 6,500
* Rite Aid Corp. 1,451,482 6,459
Brunswick Corp. 257,648 6,446
* Cephalon, Inc. 156,073 6,424
* Manor Care, Inc. 256,570 6,417
* Getty Images, Inc. 155,289 6,413
American National Insurance Co. 74,146 6,406
The Chicago Mercantile Exchange 91,975 6,404
Puget Energy, Inc. 267,060 6,375
Northeast Utilities 380,760 6,374
* Endo Pharmaceuticals
Holdings, Inc. 373,702 6,323
Leucadia National Corp. 170,179 6,317
Brown & Brown, Inc. 193,988 6,305
* Monster Worldwide Inc. 318,166 6,277
* CheckFree Corp. 225,248 6,271
* Navistar International Corp. 191,980 6,264
* Advanced Micro Devices, Inc. 972,583 6,234
* Advance Auto Parts, Inc. 102,100 6,218
* Compuware Corp. 1,077,334 6,216
City National Corp. 139,425 6,213
Noble Energy, Inc. 163,959 6,198
* BISYS Group, Inc. 337,184 6,194
* BOK Financial Corp. 159,988 6,171
Meredith Corp. 140,186 6,168
* U.S. Cellular Corp. 242,202 6,164
Chesapeake Energy Corp. 609,909 6,160
Eaton Vance Corp. 194,883 6,158
Lyondell Chemical Co. 454,605 6,151
Weingarten Realty Investors REIT 146,747 6,149
* Amkor Technology, Inc. 467,821 6,147
* Integrated Circuit Systems, Inc. 195,575 6,147
* Millipore Corp. 138,270 6,135
* GTECH Holdings Corp. 161,606 6,084
Valspar Corp. 144,078 6,083
Lafarge North America Inc. 196,850 6,083
Wesco Financial Corp. 19,447 6,067
* Vishay Intertechnology, Inc. 456,096 6,020
Waddell & Reed Financial, Inc. 234,125 6,010
National Fuel Gas Co. 230,684 6,009
International Speedway Corp. 151,969 6,004
* Corinthian Colleges, Inc. 123,380 5,993
Fulton Financial Corp. 301,184 5,985
* Rowan Cos., Inc. 267,072 5,982
Ashland, Inc. 194,812 5,977
* Newfield Exploration Co. 158,868 5,965
Regency Centers Corp. REIT 170,270 5,956
TECO Energy, Inc. 496,376 5,952
* Gemstar-TV Guide
International, Inc. 1,167,018 5,940
Bowater Inc. 158,125 5,922
* Allied Waste Industries, Inc. 588,040 5,910
Mack-Cali Realty Corp. REIT 162,138 5,899
Capitol Federal Financial 208,936 5,873
* Columbia Sportswear Co. 113,735 5,847
New Plan Excel Realty Trust REIT 272,977 5,828
Forest City Enterprise Class A 140,558 5,826
* Apogent Technologies Inc. 291,144 5,823
* Western Digital Corp. 564,189 5,811
* Zebra Technologies Corp. Class A 77,038 5,792
Mandalay Resort Group 180,987 5,764
DPL Inc. 360,964 5,754
* MEMC Electronic Materials, Inc. 587,041 5,753
* Owens-Illinois, Inc. 416,891 5,741
First American Corp. 217,346 5,727
* Amylin Pharmaceuticals, Inc. 261,269 5,719
* Amphenol Corp. 121,612 5,694
* Alliant Techsystems, Inc. 109,673 5,693
Harris Corp. 189,264 5,687
J.M. Smucker Co. 142,257 5,675
* Reebok International Ltd. 168,287 5,659
Viad Corp. 252,429 5,652
Bank of Hawaii Corp. 169,852 5,631
Bausch & Lomb, Inc. 150,036 5,626
Great Plains Energy, Inc. 194,753 5,624
* Toll Brothers, Inc. 197,840 5,601
* Edwards Lifesciences Corp. 173,914 5,590
* Network Associates, Inc. 440,487 5,585
United Dominion Realty
Trust REIT 321,275 5,532
Wilmington Trust Corp. 187,742 5,510
* Packaging Corp. of America 298,848 5,508
Hospitality Properties Trust REIT 176,145 5,505
* Timberland Co. 103,935 5,494
* National Instruments Corp. 144,873 5,473
Maytag Corp. 223,784 5,465
Reynolds & Reynolds Class A 191,075 5,457
CBRL Group, Inc. 140,044 5,442
Pentair, Inc. 139,256 5,439
* Invitrogen Corp. 141,694 5,437
FirstMerit Corp. 237,804 5,436
Donaldson Co., Inc. 122,197 5,432
* ADTRAN Inc. 106,460 5,432
* Education Management Corp. 101,927 5,420
================================================================================
8
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Catellus Development Corp. 246,245 5,417
Investors Financial Services Corp. 186,024 5,397
AVX Corp. 489,915 5,384
* Varco International, Inc. 274,575 5,382
* Fisher Scientific International Inc. 154,112 5,379
Foot Locker, Inc. 404,733 5,363
* Aramark Corp. Class B 238,686 5,351
* Community Health Systems, Inc. 276,685 5,337
* Triad Hospitals, Inc. 214,928 5,335
Pier 1 Imports Inc. 261,130 5,327
Sky Financial Group, Inc. 244,927 5,320
Dial Corp. 273,418 5,318
* National-Oilwell, Inc. 241,152 5,305
* ADC Telecommunications, Inc. 2,276,362 5,299
PepsiAmericas, Inc. 421,874 5,299
Annaly Mortgage Management
Inc. REIT 265,069 5,278
* Emulex Corp. 231,549 5,272
* Del Monte Foods Co. 596,280 5,271
Hubbell Inc. Class B 159,203 5,270
Protective Life Corp. 196,954 5,269
* Viacom Inc. Class A 120,478 5,265
Circuit City Stores, Inc. 595,337 5,239
* PacifiCare Health Systems, Inc. 106,096 5,234
HCC Insurance Holdings, Inc. 176,922 5,232
* BearingPoint, Inc. 540,106 5,212
Unitrin, Inc. 192,087 5,209
* Certegy, Inc. 187,238 5,196
The Macerich Co. REIT 147,709 5,189
* Tektronix, Inc. 240,084 5,186
* Maxtor Corp. 690,243 5,184
* The Cheesecake Factory 144,083 5,171
* Applied Micro Circuits Corp. 854,496 5,170
Autodesk, Inc. 319,224 5,159
Nationwide Financial Services, Inc. 158,311 5,145
* O'Reilly Automotive, Inc. 153,001 5,109
Delta Air Lines, Inc. 347,246 5,098
Adolph Coors Co. Class B 104,044 5,096
Tidewater Inc. 173,445 5,094
* Chico's FAS, Inc. 241,156 5,076
Cabot Corp. 176,844 5,075
HON Industries, Inc. 166,018 5,064
* West Corp. 189,967 5,063
Peabody Energy Corp. 150,225 5,046
* Reliant Resources, Inc. 821,473 5,036
CONSOL Energy, Inc. 221,397 5,035
* Big Lots Inc. 333,962 5,023
People's Bank 173,044 5,017
* Foundry Networks, Inc. 346,526 4,990
Ryland Group, Inc. 71,880 4,988
Applebee's International, Inc. 158,672 4,987
Winn-Dixie Stores, Inc. 403,380 4,966
Alliant Energy Corp. 260,792 4,963
* J.D. Edwards & Co. 344,868 4,942
* International Rectifier Corp. 183,692 4,927
Colonial BancGroup, Inc. 355,072 4,925
PerkinElmer, Inc. 356,123 4,918
* AMR Corp. 446,579 4,912
Webster Financial Corp. 129,382 4,891
* Crown Castle International Corp. 628,953 4,887
Chelsea Property Group REIT 121,058 4,880
Dana Corp. 422,099 4,879
BorgWarner, Inc. 75,756 4,879
Vectren Corp. 194,592 4,875
* NTL Inc. 142,800 4,872
* 3Com Corp. 1,037,348 4,855
Harte-Hanks, Inc. 255,280 4,850
OGE Energy Corp. 226,943 4,850
Snap-On Inc. 167,011 4,848
Clayton Homes Inc. 386,182 4,847
* Kinder Morgan Management, LLC 128,697 4,821
* Renal Care Group, Inc. 136,649 4,811
* Performance Food Group Co. 130,011 4,810
* American Tower Corp. Class A 543,241 4,808
* McDATA Corp. Class A 327,683 4,807
Trizec Properties, Inc. REIT 422,364 4,802
Hawaiian Electric Industries Inc. 104,738 4,802
Teleflex Inc. 112,702 4,795
United States Steel Corp. 291,168 4,766
* Sirius Satellite Radio, Inc. 2,818,749 4,764
Philadelphia Suburban Corp. 195,220 4,759
Roslyn Bancorp, Inc. 221,463 4,759
Talbots Inc. 161,476 4,755
Arden Realty Group, Inc. REIT 182,357 4,732
* Quintiles Transnational Corp. 332,855 4,723
Cullen/Frost Bankers, Inc. 147,078 4,721
Martin Marietta Materials, Inc. 140,310 4,716
* Human Genome Sciences, Inc. 370,285 4,710
Lee Enterprises, Inc. 125,470 4,709
NICOR Inc. 126,294 4,687
* Ingram Micro, Inc. Class A 425,644 4,682
* DeVry, Inc. 200,337 4,666
Crescent Real Estate, Inc. REIT 279,998 4,651
Precision Castparts Corp. 148,840 4,629
* DaVita, Inc. 172,478 4,619
Raymond James Financial, Inc. 138,953 4,592
Independence Community
Bank Corp. 162,409 4,583
Lubrizol Corp. 147,618 4,575
* Pharmaceutical Resources, Inc. 93,932 4,571
Washington Federal Inc. 197,498 4,568
Tootsie Roll Industries, Inc. 149,664 4,563
John Wiley & Sons Class A 173,662 4,550
Ryder System, Inc. 177,393 4,545
================================================================================
9
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
American Financial Group, Inc. 199,332 4,545
AGL Resources Inc. 178,559 4,543
* Rambus Inc. 273,974 4,540
BancorpSouth, Inc. 217,631 4,538
* STERIS Corp. 195,886 4,523
Reinsurance Group of America, Inc. 140,380 4,506
* Pharmaceutical Product
Development, Inc. 156,727 4,503
ICN Pharmaceuticals, Inc. 267,790 4,488
Ruby Tuesday, Inc. 180,976 4,476
RPM International, Inc. 325,421 4,475
Pan Pacific Retail Properties,
Inc. REIT 113,498 4,466
* Scotts Co. 90,187 4,464
Friedman, Billings, Ramsey
Group, Inc. 332,679 4,458
Federal Realty Investment
Trust REIT 138,849 4,443
* Stericycle, Inc. 115,350 4,439
* Neurocrine Biosciences, Inc. 88,750 4,432
Peoples Energy Corp. 103,052 4,420
Jack Henry & Associates Inc. 248,206 4,416
Medicis Pharmaceutical Corp. 77,848 4,414
* Kmart Holding Corp. 163,150 4,413
Dynegy, Inc. 1,050,319 4,411
* Interactive Data Corp. 260,550 4,403
* Andrx Group 221,096 4,400
Park National Corp. 38,497 4,398
* Eon Labs, Inc. 125,061 4,396
* Swift Transportation Co., Inc. 235,598 4,387
* Agere Systems Inc. Class B 1,900,700 4,372
* Sepracor Inc. 241,602 4,356
StanCorp Financial Group, Inc. 83,131 4,341
* Arrow Electronics, Inc. 284,662 4,338
Hudson United Bancorp 126,958 4,336
* The Corporate Executive Board Co. 106,179 4,334
BRE Properties Inc. Class A REIT 130,236 4,324
* Barnes & Noble, Inc. 186,987 4,310
* AmeriCredit Corp. 503,897 4,308
* Tech Data Corp. 161,084 4,303
Trustmark Corp. 168,659 4,296
* Westport Resources Corp. 188,801 4,295
* Cognizant Technology
Solutions Corp. 175,372 4,272
* Avnet, Inc. 336,569 4,268
* Cypress Semiconductor Corp. 354,914 4,259
* Brocade Communications
Systems, Inc. 718,747 4,233
The Timken Co. 241,699 4,232
* Fairchild Semiconductor
International, Inc. 330,469 4,227
Harsco Corp. 116,765 4,209
Cummins Inc. 117,187 4,206
Herman Miller, Inc. 208,096 4,206
Flagstar Bancorp, Inc. 171,838 4,201
* Alleghany Corp. 21,905 4,184
ONEOK, Inc. 212,850 4,178
* J.B. Hunt Transport Services, Inc. 110,670 4,178
Thornburg Mortgage, Inc. REIT 168,620 4,165
Mills Corp. REIT 123,941 4,158
* Furniture Brands International Inc. 159,185 4,155
FactSet Research Systems Inc. 94,226 4,151
* Cincinnati Bell Inc. 616,243 4,129
Helmerich & Payne, Inc. 141,191 4,123
CarrAmerica Realty Corp. REIT 148,111 4,119
* Charles River Laboratories, Inc. 127,743 4,111
Graco, Inc. 128,403 4,109
* Grant Prideco, Inc. 349,118 4,102
Fresh Del Monte Produce Inc. 159,461 4,097
Old National Bancorp 178,060 4,095
* Glamis Gold, Ltd. 356,225 4,086
* Station Casinos, Inc. 161,373 4,075
Westamerica Bancorporation 94,482 4,070
CenterPoint Properties Corp. REIT 65,546 4,015
IndyMac Bancorp, Inc. REIT 157,564 4,005
* Key Energy Services, Inc. 372,818 3,997
* Bio-Rad Laboratories, Inc. Class A 71,828 3,976
* NBTY, Inc. 188,595 3,972
MDC Holdings, Inc. 82,220 3,970
Lancaster Colony Corp. 102,282 3,954
* Avocent Corp. 132,103 3,954
* Apria Healthcare Group Inc. 158,659 3,947
* Borders Group, Inc. 223,821 3,942
Polaris Industries, Inc. 64,140 3,938
* The Neiman Marcus Group, Inc.
Class A 107,317 3,928
Boise Cascade Corp. 164,073 3,921
* Polycom, Inc. 282,572 3,916
* WFS Financial, Inc. 116,808 3,914
Rayonier Inc. 118,608 3,914
* Advanced Fibre
Communications, Inc. 240,531 3,913
* FMC Technologies Inc. 185,365 3,902
* Saks Inc. 402,250 3,902
International Bancshares Corp. 109,477 3,893
ArvinMeritor, Inc. 192,733 3,889
Camden Property Trust REIT 110,877 3,875
F.N.B. Corp. 127,820 3,868
American Capital Strategies, Ltd. 155,083 3,868
Odyssey Re Holdings Corp. 183,305 3,868
First Midwest Bancorp, Inc. 134,166 3,865
Imation Corp. 101,675 3,845
* Acxiom Corp. 254,695 3,843
Werner Enterprises, Inc. 180,702 3,831
================================================================================
10
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
UGI Corp. Holding Co. 120,731 3,827
Crane Co. 168,585 3,815
Cousins Properties, Inc. REIT 136,561 3,810
Jefferies Group, Inc. 76,170 3,793
Western Gas Resources, Inc. 95,673 3,789
Church & Dwight, Inc. 115,404 3,777
Media General, Inc. Class A 66,006 3,776
* ITT Educational Services, Inc. 128,998 3,773
Realty Income Corp. REIT 99,004 3,770
* Valassis Communications, Inc. 146,528 3,769
Ethan Allen Interiors, Inc. 107,109 3,766
Seagate Technology 213,245 3,764
* Protein Design Labs, Inc. 268,999 3,761
* Cytec Industries, Inc. 111,167 3,757
* Macromedia, Inc. 178,239 3,750
Reader's Digest Association, Inc. 278,191 3,750
* Interdigital Communications Corp. 159,986 3,739
* XM Satellite Radio Holdings, Inc. 338,124 3,736
WPS Resources Corp. 92,735 3,728
Global Payments Inc. 104,483 3,709
CMS Energy Corp. 457,774 3,708
WGL Holdings Inc. 138,837 3,707
* Sybase, Inc. 266,405 3,706
* Affiliated Managers Group, Inc. 60,557 3,691
* Silicon Laboratories Inc. 138,359 3,686
* American Greetings Corp. Class A 187,552 3,684
* Red Hat, Inc. 486,448 3,682
HRPT Properties Trust REIT 399,522 3,676
* Activision, Inc. 284,110 3,671
* AnnTaylor Stores Corp. 126,785 3,670
* ResMed Inc. 93,532 3,666
Cooper Tire & Rubber Co. 208,023 3,659
IKON Office Solutions, Inc. 410,983 3,658
AptarGroup Inc. 101,570 3,657
Whitney Holdings Corp. 114,291 3,654
Carlisle Co., Inc. 86,589 3,651
* American Eagle Outfitters, Inc. 201,420 3,650
CBL & Associates Properties,
Inc. REIT 84,729 3,643
Piedmont Natural Gas, Inc. 93,733 3,638
CNF Inc. 142,898 3,627
* Zale Corp. 90,489 3,620
* AGCO Corp. 211,591 3,614
* Nextel Partners, Inc. 494,526 3,610
* P.F. Chang's China Bistro, Inc. 73,000 3,592
* Extended Stay America, Inc. 265,900 3,587
* The Yankee Candle Co., Inc. 154,202 3,581
La-Z-Boy Inc. 159,785 3,576
* DoubleClick Inc. 386,287 3,573
Regis Corp. 122,800 3,567
* Respironics, Inc. 95,035 3,566
The MONY Group Inc. 132,285 3,565
Valhi, Inc. 368,700 3,547
* Marvel Enterprises Inc. 185,522 3,543
Provident Financial Group, Inc. 137,989 3,537
Blyth, Inc. 129,645 3,526
* Cabot Microelectronics Corp. 69,816 3,524
LaBranche & Co. Inc. 170,115 3,520
First Industrial Realty Trust REIT 111,120 3,511
* Techne Corp. 115,707 3,511
* Emmis Communications, Inc. 152,903 3,509
* OSI Pharmaceuticals, Inc. 108,921 3,508
* Perot Systems Corp. 308,363 3,503
* Overture Services, Inc. 193,196 3,503
Claire's Stores, Inc. 137,818 3,495
* Cytyc Corp. 330,811 3,480
Atmos Energy Corp. 140,237 3,478
Arch Coal, Inc. 151,328 3,478
Healthcare Realty Trust Inc. REIT 119,166 3,474
* Flowserve Corp. 176,047 3,463
* Hyperion Solutions Corp. 102,518 3,461
Health Care Inc. REIT 113,468 3,461
Shurgard Storage Centers, Inc.
Class A REIT 104,260 3,449
* Earthlink, Inc. 436,915 3,447
* United Stationers, Inc. 95,154 3,442
* GlobespanVirata, Inc. 417,030 3,440
* Veridian Corp. 98,579 3,439
* Pacific Sunwear of California, Inc. 142,248 3,427
* Atmel Corp. 1,352,765 3,423
Essex Property Trust, Inc. REIT 59,724 3,419
Pacific Capital Bancorp 97,552 3,419
UCBH Holdings, Inc. 119,210 3,419
Roper Industries Inc. 91,796 3,415
* Forest Oil Corp. 135,797 3,411
Ametek, Inc. 93,061 3,411
Airgas, Inc. 203,488 3,408
* Hovnanian Enterprises Class A 57,656 3,399
* Charter Communications, Inc. 855,653 3,397
* American Axle & Manufacturing
Holdings, Inc. 141,787 3,389
* Gateway, Inc. 928,396 3,389
Highwood Properties, Inc. REIT 151,751 3,384
* INAMED Corp. 63,000 3,382
* Cree, Inc. 207,748 3,382
Ventas, Inc. REIT 223,188 3,381
Kennametal, Inc. 99,877 3,380
* Crown Holdings, Inc. 473,137 3,378
United Bankshares, Inc. 117,572 3,368
* Panera Bread Co. 83,924 3,357
Energen Corp. 100,795 3,356
* Accredo Health, Inc. 153,489 3,346
* Take-Two Interactive
Software, Inc. 117,965 3,343
================================================================================
11
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Florida Rock Industries, Inc. 80,959 3,342
Regal Entertainment Group
Class A 141,688 3,341
* Martek Biosciences Corp. 77,739 3,338
* Meridian Gold Co. 290,516 3,338
IDEX Corp. 92,103 3,338
* Sonus Networks, Inc. 663,257 3,336
Diagnostic Products Corp. 81,260 3,336
* Mirant Corp. 1,149,961 3,335
* Select Medical Corp. 134,078 3,329
* IDEXX Laboratories Corp. 98,769 3,327
* Varian, Inc. 95,861 3,324
Thor Industries, Inc. 81,392 3,322
Prentiss Properties Trust REIT 110,782 3,322
Staten Island Bancorp, Inc. 170,494 3,321
* Affymetrix, Inc. 168,239 3,316
* United Online, Inc. 130,816 3,315
Allegheny Energy, Inc. 391,859 3,311
Commerce Group, Inc. 91,357 3,307
Polo Ralph Lauren Corp. 127,910 3,299
Citizens Banking Corp. 122,980 3,292
* Scholastic Corp. 110,468 3,290
Albemarle Corp. 117,604 3,289
Westar Energy, Inc. 202,666 3,289
Superior Industries
International, Inc. 78,857 3,288
* Integrated Device Technology Inc. 297,327 3,285
* Service Corp. International 848,694 3,284
W Holding Co., Inc. 193,437 3,273
Worthington Industries, Inc. 244,134 3,271
Skywest, Inc. 171,543 3,270
* Premcor, Inc. 151,650 3,268
Downey Financial Corp. 79,114 3,267
* Southern Union Co. 192,406 3,259
Hilb, Rogal and Hamilton Co. 95,588 3,254
* Genta Inc. 243,169 3,239
Dillard's Inc. 240,303 3,237
* Fidelity National Information
Solutions, Inc. 123,949 3,233
* Louisiana-Pacific Corp. 298,143 3,232
DQE Inc. 213,138 3,212
* Novell, Inc. 1,040,139 3,204
Speedway Motorsports, Inc. 119,098 3,192
* Cymer, Inc. 99,707 3,192
Heritage Property Investment
Trust REIT 117,830 3,191
* Conexant Systems, Inc. 758,730 3,179
* Tom Brown, Inc. 114,165 3,173
* Vertex Pharmaceuticals, Inc. 216,867 3,166
Westcorp, Inc. 112,895 3,161
* Electronics for Imaging, Inc. 155,771 3,161
21st Century Insurance Group 220,737 3,157
* Hercules, Inc. 318,606 3,154
* R.H. Donnelley Corp. 86,472 3,154
* Heartland Express, Inc. 141,582 3,150
Alpharma, Inc. Class A 145,709 3,147
* Quest Software, Inc. 264,357 3,146
New Century Financial Corp. 72,056 3,145
* Stone Energy Corp. 75,016 3,145
Briggs & Stratton Corp. 62,223 3,142
* Fossil, Inc. 133,323 3,141
* Kroll Inc. 116,041 3,140
* Vitesse Semiconductor Corp. 638,146 3,140
Perrigo Co. 200,598 3,137
The South Financial Group, Inc. 134,450 3,137
* Covance, Inc. 172,973 3,131
* RF Micro Devices, Inc. 519,827 3,129
AmerUs Group Co. 110,911 3,127
* Siliconix, Inc. 86,480 3,122
First BanCorp Puerto Rico 113,704 3,121
* Southwest Bancorporation
of Texas, Inc. 95,990 3,121
* Mentor Graphics Corp. 215,238 3,117
Alexander & Baldwin, Inc. 117,414 3,115
* Boyd Gaming Corp. 180,342 3,113
* Beazer Homes USA, Inc. 37,234 3,109
Sensient Technologies Corp. 135,112 3,106
Patina Oil & Gas Corp. 96,474 3,102
* 7-Eleven, Inc. 293,956 3,101
First Citizens BancShares Class A 30,738 3,100
Standard Pacific Corp. 93,031 3,085
SL Green Realty Corp. REIT 88,342 3,082
* RealNetworks, Inc. 454,316 3,080
* Intergraph Corp. 143,096 3,077
* Ultra Petroleum Corp. 237,947 3,072
* TIBCO Software Inc. 601,837 3,063
* Houston Exploration Co. 88,111 3,057
Cooper Cos., Inc. 87,643 3,047
* Northwest Airlines Corp. Class A 269,774 3,046
Corn Products International, Inc. 101,318 3,043
* Evergreen Resources, Inc. 55,953 3,039
Community First Bankshares, Inc. 111,303 3,039
Universal Corp. (VA) 71,773 3,036
* United Rentals, Inc. 218,470 3,035
* Plantronics, Inc. 139,801 3,029
* Avid Technology, Inc. 86,356 3,029
Washington REIT 111,038 3,020
* Macrovision Corp. 151,562 3,019
* Arbitron Inc. 84,310 3,010
PNM Resources Inc. 112,500 3,009
* Tuesday Morning Corp. 114,279 3,006
Greater Bay Bancorp 146,224 3,003
* Sycamore Networks, Inc. 779,559 2,986
* Genencor International Inc. 181,196 2,984
================================================================================
12
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Documentum, Inc. 151,672 2,983
* Sylvan Learning Systems, Inc. 130,205 2,974
* FLIR Systems, Inc. 98,396 2,967
* BJ's Wholesale Club, Inc. 196,946 2,966
* Hollywood Entertainment Corp. 172,357 2,965
* Commonwealth Telephone
Enterprises, Inc. 67,416 2,964
* Gen-Probe Inc. 72,264 2,953
* Terex Corp. 150,999 2,948
Fremont General Corp. 214,945 2,945
* Cimarex Energy Co. 123,864 2,942
* Linens 'n Things, Inc. 124,573 2,941
* Semtech Corp. 206,435 2,940
Oshkosh Truck Corp. 49,482 2,935
Equity One, Inc. REIT 178,867 2,933
* FTI Consulting, Inc. 117,091 2,924
Great Lakes Chemical Corp. 142,498 2,907
First Niagara Financial Group, Inc. 208,071 2,905
* Odyssey Healthcare, Inc. 78,432 2,902
* Christopher & Banks Corp. 78,358 2,898
* Kronos, Inc. 56,915 2,892
* Ascential Software Corp. 175,658 2,888
Texas Regional Bancshares, Inc. 83,188 2,887
Airborne, Inc. 138,027 2,885
* Sybron Dental Specialties, Inc. 122,187 2,884
* CNET Networks, Inc. 462,657 2,882
Invacare Corp. 87,216 2,878
* Varian Semiconductor Equipment
Associates, Inc. 96,642 2,876
Post Properties, Inc. REIT 108,216 2,868
* Abgenix, Inc. 273,189 2,866
Chittenden Corp. 104,527 2,859
Fred's, Inc. 76,786 2,855
* Sonic Corp. 112,168 2,852
Black Hills Corp. 92,881 2,851
* Ligand Pharmaceuticals Inc.
Class B 209,385 2,846
Callaway Golf Co. 215,209 2,845
* CACI International, Inc. 82,860 2,842
Alfa Corp. 223,504 2,841
* CEC Entertainment Inc. 76,799 2,836
IDACORP, Inc. 107,962 2,834
* Landstar System, Inc. 45,066 2,832
Massey Energy Co. 215,340 2,832
Reckson Associates Realty
Corp. REIT 135,748 2,832
* VISX Inc. 163,058 2,829
Minerals Technologies, Inc. 58,014 2,823
* Pediatrix Medical Group, Inc. 79,150 2,822
Olin Corp. 164,723 2,817
* Legato Systems, Inc. 335,549 2,815
The Toro Co. 70,784 2,814
* Continental Airlines, Inc. Class B 187,563 2,808
Home Properties of New York,
Inc. REIT 79,516 2,802
* Tractor Supply Co. 58,670 2,801
* NetIQ Corp. 180,584 2,792
Chateau Communities, Inc. REIT 94,349 2,792
* Waste Connections, Inc. 79,631 2,791
* Anteon International Corp. 99,614 2,780
* United Auto Group, Inc. 127,559 2,778
* Trimeris, Inc. 60,811 2,778
* Choice Hotel International, Inc. 101,606 2,775
* ADVO, Inc. 62,280 2,765
* Arch Capital Group Ltd. 79,406 2,758
Taubman Co. REIT 143,434 2,748
New Jersey Resources Corp. 77,397 2,748
Bob Evans Farms, Inc. 99,397 2,746
* NPS Pharmaceuticals Inc. 112,802 2,746
Grey Global Group Inc. 3,554 2,746
Delphi Financial Group, Inc. 58,584 2,742
* Cox Radio, Inc. 118,596 2,741
Clarcor Inc. 70,955 2,735
Arrow International, Inc. 61,878 2,732
* Entegris Inc. 203,264 2,732
* Dionex Corp. 68,578 2,726
* ExpressJet Holdings, Inc. 180,513 2,726
MacDermid, Inc. 103,507 2,722
* K-V Pharmaceutical Co. Class A 97,760 2,718
* Cognex Corp. 121,515 2,716
* Alliance Gaming Corp. 143,490 2,713
* Entravision Communications Corp. 239,042 2,713
* USG Corp. 142,573 2,709
* Allmerica Financial Corp. 150,560 2,709
* Radio One, Inc. Class D 152,170 2,704
* Micrel, Inc. 259,666 2,698
* Silicon Valley Bancshares 113,277 2,697
* Hot Topic, Inc. 99,956 2,690
* Catalina Marketing Corp. 152,358 2,689
Commercial Federal Corp. 126,659 2,685
* Cumulus Media Inc. 141,825 2,685
Impac Mortgage Holdings,
Inc. REIT 160,500 2,679
York International Corp. 114,429 2,678
* Thoratec Corp. 179,539 2,675
Hollinger International, Inc. 248,227 2,673
* CTI Molecular Imaging, Inc. 141,353 2,673
* Skyworks Solutions, Inc. 393,708 2,665
* Lattice Semiconductor Corp. 323,551 2,663
* Western Wireless Corp. Class A 230,624 2,659
* Cal Dive International, Inc. 121,935 2,658
* Jack in the Box Inc. 119,004 2,654
* Dade Behring Holdings Inc. 115,525 2,654
* Keane, Inc. 194,369 2,649
================================================================================
13
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Susquehanna Bancshares, Inc. 113,410 2,648
* Adaptec, Inc. 339,952 2,645
* Spinnaker Exploration Co. 100,852 2,642
* Knight Transportation, Inc. 106,056 2,641
* Mueller Industries Inc. 97,261 2,637
* MKS Instruments, Inc. 145,784 2,634
* The Medicines Co. 133,672 2,632
The Phoenix Cos., Inc. 291,388 2,631
Cathay Bancorp, Inc. 58,938 2,628
* Priceline.com, Inc. 117,350 2,627
* Dycom Industries, Inc. 160,995 2,624
* Unit Corp. 125,361 2,621
Kellwood Co. 82,871 2,621
Visteon Corp. 381,235 2,619
* Tetra Tech, Inc. 152,743 2,616
* Oakley, Inc. 222,074 2,614
* OfficeMax, Inc. 398,927 2,613
* SCP Pool Corp. 75,911 2,611
The Goodyear Tire & Rubber Co. 495,867 2,603
Flowers Foods, Inc. 131,697 2,602
* The Titan Corp. 252,507 2,598
* Exult Inc. 303,104 2,598
UMB Financial Corp. 61,223 2,596
* FMC Corp. 114,472 2,591
* Quiksilver, Inc. 156,830 2,586
* VCA Antech, Inc. 132,108 2,585
Brandywine Realty Trust REIT 104,838 2,581
Ferro Corp. 114,460 2,579
* Maverick Tube Corp. 134,618 2,578
* Andrew Corp. 279,679 2,573
* ATMI, Inc. 103,044 2,573
Senior Housing Properties
Trust REIT 189,736 2,573
Colonial Properties Trust REIT 73,095 2,572
* Cobalt Corp. 125,139 2,572
* Parametric Technology Corp. 842,372 2,569
* Hutchinson Technology, Inc. 78,043 2,567
Granite Construction Co. 133,929 2,566
State Auto Financial Corp. 114,225 2,564
* CV Therapeutics, Inc. 86,262 2,559
Cleco Corp. 147,641 2,557
Wolverine World Wide, Inc. 132,555 2,553
* Radio One, Inc. 142,576 2,546
Manufactured Home Communities,
Inc. REIT 72,513 2,546
Nationwide Health Properties,
Inc. REIT 159,768 2,545
* Simpson Manufacturing Co. 69,500 2,544
Mentor Corp. 131,196 2,543
The Brink's Co. 174,398 2,541
Albany International Corp. 92,335 2,530
* PRIMEDIA Inc. 829,275 2,529
* Philadelphia Consolidated
Holding Corp. 62,533 2,526
* AirTran Holdings, Inc. 241,283 2,526
* Cost Plus, Inc. 70,801 2,525
Hughes Supply, Inc. 72,616 2,520
* Aeropostale, Inc. 117,268 2,519
* Mediacom Communications Corp. 255,201 2,519
Acuity Brands, Inc. 138,554 2,518
* AMERIGROUP Corp. 67,600 2,515
Owens & Minor, Inc. Holding Co. 112,507 2,515
* Investment Technology Group, Inc. 135,170 2,514
Matthews International Corp. 101,294 2,508
LandAmerica Financial Group, Inc. 52,740 2,505
* SERENA Software, Inc. 119,782 2,501
Cabot Oil & Gas Corp. 90,467 2,498
* Corrections Corp. of America REIT 98,438 2,493
* Copart, Inc. 263,731 2,492
Kilroy Realty Corp. REIT 90,419 2,487
* Manhattan Associates, Inc. 95,718 2,486
St. Mary Land & Exploration Co. 91,021 2,485
* Hanover Compressor Co. 219,812 2,484
Glimcher Realty Trust REIT 110,804 2,482
ABM Industries Inc. 161,168 2,482
* Benchmark Electronics, Inc. 80,680 2,482
Strayer Education, Inc. 31,221 2,481
* Wilson Greatbatch
Technologies, Inc. 68,600 2,476
* Cerner Corp. 107,826 2,475
Capital Automotive REIT 88,346 2,473
Lincoln Electric Holdings, Inc. 121,103 2,472
* CSG Systems International, Inc. 174,889 2,471
* KEMET Corp. 244,351 2,468
East West Bancorp, Inc. 68,278 2,468
Russ Berrie and Co., Inc. 67,580 2,467
MAF Bancorp, Inc. 66,497 2,465
PS Business Parks, Inc. REIT 69,705 2,461
* Men's Wearhouse, Inc. 112,459 2,457
Overseas Shipholding Group Inc. 111,514 2,454
LNR Property Corp. 65,580 2,453
* Anixter International Inc. 104,520 2,449
* MedQuist, Inc. 120,757 2,444
* BlackRock, Inc. 54,240 2,443
Alexandria Real Estate Equities,
Inc. REIT 54,100 2,435
* Rare Hospitality International Inc. 74,453 2,433
* WCI Communities, Inc. 126,340 2,430
* Payless ShoeSource, Inc. 194,110 2,426
* Group 1 Automotive, Inc. 74,830 2,425
* Biosite Inc. 50,384 2,423
* Penn National Gaming, Inc. 117,877 2,422
* Denbury Resources, Inc. 180,328 2,422
* ProAssurance Corp. 89,500 2,416
================================================================================
14
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Journal Register Co. 133,506 2,415
Ruddick Corp. 153,497 2,413
John H. Harland Co. 92,202 2,412
Trinity Industries, Inc. 130,211 2,410
CVB Financial Corp. 123,401 2,409
Weis Markets, Inc. 77,594 2,407
* EMCOR Group, Inc. 48,748 2,406
Hugoton Royalty Trust 130,700 2,405
Potlatch Corp. 93,384 2,405
Rollins, Inc. 127,391 2,401
Kelly Services, Inc. Class A 102,371 2,401
* American Italian Pasta Co. 57,623 2,400
* Ralcorp Holdings, Inc. 96,145 2,400
* Applera Corp.-Celera
Genomics Group 232,495 2,399
Delta & Pine Land Co. 109,038 2,397
Federal Signal Corp. 136,258 2,394
Irwin Financial Corp. 92,351 2,392
* Kansas City Southern 198,666 2,390
* Thomas & Betts Corp. 165,120 2,386
Gables Residential Trust REIT 78,908 2,385
Hancock Holding Co. 50,686 2,385
Vintage Petroleum, Inc. 211,331 2,384
* ProQuest Co. 92,356 2,383
Tupperware Corp. 165,857 2,382
* LifePoint Hospitals, Inc. 113,716 2,381
* American Financial Realty
Trust REIT 159,600 2,380
First Commonwealth
Financial Corp. 183,474 2,378
* Leapfrog Enterprises, Inc. 74,700 2,376
* OmniVision Technologies, Inc. 76,100 2,374
R.L.I. Corp. 72,050 2,370
USF Corp. 87,882 2,370
* THQ Inc. 131,585 2,369
CH Energy Group, Inc. 52,604 2,367
Brookline Bancorp, Inc. 168,747 2,363
* Knight Trading Group, Inc. 379,732 2,362
S & T Bancorp, Inc. 86,046 2,360
* Internet Security Systems, Inc. 162,802 2,359
TrustCo Bank NY 212,689 2,357
* National Processing, Inc. 146,515 2,356
* Tanox, Inc. 146,728 2,355
Banta Corp. 72,547 2,348
* Ohio Casualty Corp. 178,140 2,348
* SEACOR SMIT Inc. 64,309 2,347
* Quanta Services, Inc. 330,371 2,346
* Regeneron Pharmaceuticals, Inc. 148,918 2,345
First Financial Bancorp 146,533 2,345
* Urban Outfitters, Inc. 65,207 2,341
Winnebago Industries, Inc. 61,748 2,340
A.O. Smith Corp. 82,986 2,336
* Integra LifeSciences Holdings 88,511 2,335
Casey's General Stores, Inc. 165,086 2,334
* WilTel Communications, Inc. 157,711 2,325
* Barra, Inc. 65,088 2,324
* Too Inc. 114,703 2,323
Chemical Financial Corp. 77,943 2,323
* Price Communications Corp. 179,529 2,318
Sun Communities, Inc. REIT 58,960 2,317
* Coherent, Inc. 97,776 2,315
Nordson Corp. 96,914 2,311
* Progress Software Corp. 111,458 2,311
Bank Mutual Corp. 70,970 2,307
* Vicuron Pharmaceuticals Inc. 162,608 2,306
* Priority Healthcare Corp. Class B 124,171 2,303
* Watson Wyatt & Co. Holdings 99,100 2,297
* Borland Software Corp. 235,072 2,297
* Trimble Navigation Ltd. 100,030 2,294
Crompton Corp. 325,113 2,292
Centex Construction Products, Inc. 57,108 2,290
* Renaissance Learning, Inc. 104,442 2,287
Northwest Natural Gas Co. 83,802 2,284
GATX Corp. 139,524 2,281
Avista Corp. 160,793 2,275
* Alkermes, Inc. 211,538 2,274
* Power Integrations, Inc. 93,449 2,273
Black Box Corp. 62,728 2,271
* Ariba, Inc. 763,009 2,266
IHOP Corp. 71,598 2,260
* Superior Energy Services, Inc. 238,270 2,259
* Tekelec 199,885 2,259
Redwood Trust, Inc. REIT 56,582 2,258
Novastar Financial, Inc. REIT 37,700 2,253
Corus Bankshares Inc. 46,473 2,251
Liberty Corp. 52,892 2,248
* Inveresk Research Group Inc. 123,900 2,243
NL Industries, Inc. 131,722 2,239
* Lin TV Corp. 95,000 2,237
Reliance Steel & Aluminum Co. 108,079 2,237
* EGL, Inc. 146,982 2,234
IMC Global Inc. 332,793 2,233
* Quantum Corp. 550,158 2,228
* Meritage Corp. 45,054 2,219
* Alaris Medical, Inc. 171,300 2,218
* FileNET Corp. 122,821 2,216
* Insight Communications Co., Inc. 167,508 2,208
* MGI Pharma, Inc. 86,117 2,207
Burlington Coat Factory
Warehouse Corp. 123,210 2,206
* Guitar Center, Inc. 76,000 2,204
Net.Bank, Inc. 166,950 2,197
Dime Community Bancshares 86,199 2,194
Brady Corp. Class A 65,728 2,192
================================================================================
15
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Landry's Restaurants, Inc. 92,759 2,189
* Pinnacle Systems, Inc. 204,304 2,186
* Steel Dynamics, Inc. 159,226 2,181
* Kirby Corp. 77,300 2,180
Republic Bancorp, Inc. 162,287 2,178
* Exar Corp. 137,163 2,171
Farmer Brothers, Inc. 6,389 2,168
Horace Mann Educators Corp. 133,993 2,161
Modine Manufacturing Co. 111,538 2,160
BankAtlantic Bancorp, Inc. Class A 181,236 2,155
* Digital Insight Corp. 112,826 2,149
* US Oncology, Inc. 290,339 2,146
* RSA Security Inc. 199,382 2,143
Selective Insurance Group 85,553 2,143
* Universal Compression
Holdings, Inc. 102,426 2,137
Longs Drug Stores, Inc. 128,663 2,136
* Grey Wolf, Inc. 527,991 2,133
Analogic Corp. 43,524 2,122
* AmSurg Corp. 69,299 2,114
* Enzo Biochem, Inc. 98,189 2,113
NDCHealth Corp. 114,969 2,110
* Advanced Neuromodulation
Systems, Inc. 40,700 2,107
Provident Bankshares Corp. 82,644 2,100
* Six Flags, Inc. 309,643 2,099
* Oceaneering International, Inc. 82,149 2,099
UniSource Energy Corp. 111,483 2,096
MB Financial, Inc. 52,332 2,095
* American Management
Systems, Inc. 146,692 2,095
H.B. Fuller Co. 95,079 2,094
G & K Services, Inc. Class A 70,696 2,093
Commercial Net Lease Realty REIT 121,299 2,091
* Ryan's Family Steak Houses, Inc. 149,346 2,091
Kaydon Corp. 100,484 2,090
Engineered Support Systems, Inc. 49,930 2,090
Northwest Bancorp, Inc. 130,538 2,089
* Verint Systems Inc. 82,100 2,086
* IGEN International, Inc. 66,374 2,084
* Triarc Cos., Inc. Class A 69,462 2,083
* LendingTree, Inc. 84,997 2,081
* FEI Co. 110,837 2,079
Georgia Gulf Corp. 104,988 2,079
Cambrex Corp. 90,257 2,078
Spartech Corp. 97,780 2,074
* United Surgical Partners
International, Inc. 91,749 2,073
Waypoint Financial Corp. 114,764 2,070
Lennox International Inc. 160,546 2,066
* DRS Technologies, Inc. 73,948 2,065
* The Advisory Board Co. 50,880 2,062
* Micromuse Inc. 257,585 2,058
* Argosy Gaming Co. 98,381 2,057
Southwest Gas Corp. 97,118 2,057
* CUNO Inc. 56,935 2,057
* MSC Industrial Direct Co., Inc.
Class A 114,861 2,056
* Wright Medical Group, Inc. 108,085 2,054
* Wynn Resorts Ltd. 116,080 2,053
Russell Corp. 107,916 2,050
* Hydrill Co. 75,200 2,049
* Electronics Boutique Holdings Corp. 88,537 2,046
Blockbuster Inc. Class A 121,155 2,042
* Axcelis Technologies, Inc. 333,461 2,041
Pacific Northwest Bancorp 58,652 2,039
Alabama National BanCorporation 41,977 2,035
* Advanced Digital
Information Corp. 203,449 2,032
* First Federal Financial Corp. 57,531 2,030
Franklin Electric, Inc. 36,425 2,027
* Telik, Inc. 126,100 2,026
* MICROS Systems, Inc. 61,443 2,026
Harleysville Group, Inc. 88,018 2,026
* BioMarin Pharmaceutical Inc. 207,436 2,025
* Movie Gallery, Inc. 109,572 2,022
USEC Inc. 287,881 2,021
* Yellow Corp. 87,086 2,016
Interstate Bakeries Corp. 158,049 2,007
* Technitrol, Inc. 133,362 2,007
* Aztar Corp. 124,015 1,998
K-Swiss, Inc. 57,820 1,996
Anchor Bancorp Wisconsin Inc. 83,539 1,996
Cubic Corp. 89,707 1,993
M/I Schottenstein Homes, Inc. 46,700 1,993
* Lone Star Technologies, Inc. 94,031 1,992
NBT Bancorp, Inc. 102,901 1,991
* DSP Group Inc. 92,422 1,990
* Oil States International, Inc. 164,200 1,987
* Newport Corp. 133,986 1,983
Mine Safety Appliances Co. 45,451 1,983
* BankUnited Financial Corp. 98,333 1,981
* Chiquita Brands International, Inc. 136,582 1,980
Millennium Chemicals, Inc. 208,150 1,980
* Gaylord Entertainment Co. Class A 101,031 1,977
* UNOVA, Inc. 177,936 1,975
Anthracite Capital Inc. REIT 163,602 1,973
* MPS Group, Inc. 286,655 1,972
* WebEx Communications, Inc. 141,224 1,970
* UICI 130,615 1,968
Otter Tail Corp. 72,873 1,966
UIL Holdings Corp. 48,460 1,965
Amcore Financial, Inc. 84,334 1,963
Baldor Electric Co. 94,925 1,956
================================================================================
16
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
F & M Bancorp 39,491 1,948
Tecumseh Products Co. Class A 50,827 1,947
Wausau-Mosinee Paper Corp. 173,853 1,947
Vector Group Ltd. 111,071 1,944
* Ask Jeeves, Inc. 141,273 1,943
CARBO Ceramics Inc. 52,101 1,941
Sterling Bancshares, Inc. 147,990 1,936
Wabtec Corp. 139,001 1,934
Santander BanCorp 117,959 1,930
Harbor Florida Bancshares, Inc. 80,267 1,923
* Advent Software, Inc. 113,532 1,920
* Digital River, Inc. 99,139 1,913
* Magnum Hunter Resources Inc. 239,334 1,912
Florida East Coast Industries, Inc.
Class A 74,456 1,902
Arkansas Best Corp. 79,963 1,902
* Tularik, Inc. 191,352 1,902
* Informatica Corp. 274,469 1,897
* Encore Acquisition Co. 98,847 1,893
* United Defense Industries Inc. 72,820 1,889
* CommScope, Inc. 198,610 1,887
* United Natural Foods, Inc. 66,800 1,880
Charter Financial Corp. 66,458 1,877
* Pacer International, Inc. 99,384 1,874
* Forward Air Corp. 73,811 1,873
Brown Shoe Co., Inc. 62,755 1,870
The Trust Co. of New Jersey 61,444 1,862
* NetFlix.com, Inc. 72,780 1,860
* j2 Global Communications, Inc. 40,352 1,855
* Hain Celestial Group, Inc. 115,894 1,853
* CSK Auto Corp. 128,109 1,851
* Magma Design Automation, Inc. 107,848 1,850
Glenborough Realty Trust, Inc. REIT 96,460 1,847
* Sierra Pacific Resources 310,860 1,847
* Impax Laboratories, Inc. 153,700 1,843
* TiVo Inc. 151,045 1,840
* W-H Energy Services, Inc. 94,276 1,836
* Enzon Pharmaceuticals, Inc. 146,545 1,835
* Dendrite International, Inc. 142,175 1,831
* El Paso Electric Co. 148,400 1,830
* Actuant Corp. 38,585 1,826
* Allen Telecom Inc. 110,389 1,824
Walter Industries, Inc. 154,545 1,816
* Genesis Health Ventures, Inc. 102,599 1,811
* Shuffle Master, Inc. 61,545 1,809
* Papa John's International, Inc. 64,383 1,806
* CompuCredit Corp. 148,127 1,800
* Nektar Therapeutics 194,732 1,797
Umpqua Holdings Corp. 94,296 1,791
* WellChoice Inc. 61,100 1,789
* Southwestern Energy Co. 118,728 1,782
Roadway Corp. 62,462 1,782
* Triad Guaranty, Inc. 46,934 1,781
* American Medical Systems
Holdings, Inc. 104,926 1,770
Inter-Tel, Inc. 83,258 1,767
* Symyx Technologies, Inc. 108,253 1,767
* Quicksilver Resources, Inc. 73,735 1,766
* Rogers Corp. 52,942 1,763
* Offshore Logistics, Inc. 81,016 1,762
Bandag, Inc. 47,238 1,761
MGE Energy, Inc. 55,876 1,760
* SurModics, Inc. 57,604 1,757
* Palm, Inc. 107,558 1,750
Value Line, Inc. 35,600 1,748
* Sinclair Broadcast Group, Inc. 150,233 1,744
Churchill Downs, Inc. 45,503 1,743
* Extreme Networks, Inc. 328,854 1,743
First Financial Bankshares, Inc. 52,067 1,742
* Iomega Corp. 164,127 1,740
Harleysville National Corp. 64,248 1,739
* Hecla Mining Co. 408,408 1,728
* ChipPAC, Inc. 225,021 1,726
* La Quinta Corp. REIT 400,112 1,724
* Syntel, Inc. 109,391 1,721
* Jones Lang Lasalle Inc. 108,698 1,717
* Tesoro Petroleum Corp. 249,500 1,717
Wintrust Financial Corp. 57,990 1,717
* Veeco Instruments, Inc. 100,773 1,716
National Penn Bancshares Inc. 61,054 1,714
* Remington Oil & Gas Corp. 92,900 1,708
Holly Corp. 61,846 1,707
Brookfield Homes Corp. 110,600 1,706
* Maguire Properties, Inc. REIT 88,500 1,704
* Global Industries Ltd. 353,428 1,704
Regal-Beloit Corp. 89,018 1,700
* Albany Molecular Research, Inc. 112,294 1,696
* FormFactor Inc. 95,700 1,694
Kimball International, Inc. Class B 108,229 1,688
* Metrologic Instruments, Inc. 50,600 1,682
Quanex Corp. 56,595 1,682
* Esperion Therapeutics, Inc. 85,650 1,678
Seacoast Financial Services Corp. 84,567 1,674
Glatfelter 113,517 1,674
* Cyberonics, Inc. 77,762 1,673
* WMS Industries, Inc. 107,242 1,672
City Holding Co. 57,037 1,669
* InterMune Inc. 103,560 1,668
* The Gymboree Corp. 99,376 1,668
* School Specialty, Inc. 58,555 1,666
PFF Bancorp, Inc. 43,047 1,664
* Charming Shoppes, Inc. 333,677 1,658
MFA Mortgage Investments,
Inc. REIT 165,100 1,658
================================================================================
17
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Joy Global Inc. 111,800 1,651
First Sentinel Bancorp Inc. 103,393 1,651
* Cray Inc. 208,400 1,646
Empire District Electric Co. 75,596 1,644
Westbanco Inc. 67,602 1,643
Kansas City Life Insurance Co. 38,111 1,633
* Stewart Information Services Corp. 58,620 1,633
* Financial Federal Corp. 66,859 1,631
First Charter Corp. 93,727 1,631
* Connetics Corp. 108,726 1,628
* CDI Corp. 62,448 1,621
Coca-Cola Bottling Co. 29,683 1,621
* United Therapeutics Corp. 74,231 1,617
Summit Properties, Inc. REIT 77,791 1,606
The Pep Boys
(Manny, Moe & Jack) 118,193 1,597
* Sonic Automotive, Inc. 72,786 1,595
Oriental Financial Group Inc. 61,859 1,589
United National Bancorp 57,475 1,586
* Power-One, Inc. 221,053 1,581
* Handleman Co. 98,519 1,576
* Credit Acceptance Corp. 155,744 1,571
United Community Banks, Inc. 62,862 1,570
* AFC Enterprises, Inc. 96,629 1,569
Connecticut Bancshares, Inc. 39,950 1,568
Central Pacific Financial Co. 56,524 1,566
Surewest Communications 51,592 1,561
Cato Corp. Class A 73,765 1,555
* Griffon Corp. 97,104 1,554
* Penwest Pharmaceuticals Co. 63,614 1,550
Commercial Metals Co. 86,973 1,547
* Portfolio Recovery Associates, Inc. 49,400 1,541
* ILEX Oncology, Inc. 79,357 1,540
* Verity, Inc. 121,529 1,539
* Align Technology, Inc. 122,500 1,537
* Newpark Resources, Inc. 280,341 1,536
Zenith National Insurance Corp. 53,806 1,533
* InfoSpace, Inc. 112,742 1,530
* Echelon Corp. 111,010 1,529
Hudson River Bancorp. Inc. 54,687 1,527
* Silgan Holdings, Inc. 48,769 1,525
* Comstock Resources, Inc. 111,335 1,523
* Checkpoint Systems, Inc. 107,598 1,523
* Pre-Paid Legal Services, Inc. 62,062 1,522
* MAXIMUS, Inc. 54,953 1,518
Frontier Oil Corp. 99,813 1,517
Anworth Mortgage
Asset Corp. REIT 98,300 1,516
* webMethods, Inc. 186,337 1,515
* eFunds Corp. 131,322 1,514
* Plains Exploration & Production Co. 139,997 1,513
* Trammell Crow Co. 142,029 1,507
Mid-State Bancshares 76,191 1,505
Getty Realty Holding Corp. REIT 67,228 1,501
Corporate Office Properties Trust,
Inc. REIT 88,479 1,498
* Tejon Ranch Co. 49,752 1,498
* Digene Corp. 54,806 1,492
* Sola International Inc. 85,758 1,492
Community Bank System, Inc. 39,238 1,491
* Rayovac Corp. 115,129 1,491
The Laclede Group, Inc. 55,500 1,487
* Remec, Inc. 212,550 1,479
* IDX Systems Corp. 95,018 1,475
First Federal Capital Corp. 73,843 1,466
* AK Steel Corp. 404,596 1,465
FBL Financial Group, Inc. Class A 72,590 1,463
* Atlantic Coast Airlines
Holdings Inc. 108,325 1,461
* Haemonetics Corp. 78,087 1,460
National Health Investors REIT 79,167 1,460
* Alexander's, Inc. REIT 17,416 1,454
* Select Comfort Corp. 88,600 1,451
* Technical Olympic USA, Inc. 61,376 1,450
American States Water Co. 53,105 1,450
* Headwaters Inc. 98,485 1,447
Penn Virginia Corp. 33,622 1,446
Pennsylvania REIT 48,223 1,444
* Hewitt Associates, Inc. 61,260 1,443
* William Lyon Homes, Inc. 45,286 1,442
* PEC Solutions, Inc. 89,576 1,442
* Central Garden and Pet Co. 60,400 1,441
Sauer-Danfoss, Inc. 133,935 1,440
* The Warnaco Group, Inc. 106,900 1,438
* Boca Resorts, Inc. Class A 110,407 1,435
* Ventana Medical Systems, Inc. 52,564 1,429
* At Road, Inc. 130,800 1,428
* UTStarcom, Inc. 40,147 1,428
* Helen of Troy Ltd. 93,694 1,420
Berry Petroleum Class A 79,124 1,420
A. Schulman Inc. 88,383 1,419
* Jo-Ann Stores, Inc. Class A 56,079 1,419
* eResearch Technology, Inc. 63,774 1,413
Watsco, Inc. 85,324 1,413
* Arris Group Inc. 284,750 1,412
* Lexar Media, Inc. 147,919 1,411
* Pozen Inc. 128,426 1,410
* Saxon Capital Inc. 81,111 1,410
Watts Industries Class A 78,833 1,407
McGrath Rent Corp. 52,472 1,403
* Littelfuse, Inc. 62,724 1,403
Tredegar Corp. 93,539 1,402
* Palm Harbor Homes, Inc. 74,010 1,402
* Atrix Laboratories, Inc. 63,661 1,400
================================================================================
18
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Wireless Facilities, Inc. 117,535 1,399
* CONMED Corp. 76,589 1,399
Landauer, Inc. 33,425 1,398
* Credence Systems Corp. 164,748 1,395
* Photronics Inc. 79,924 1,395
* California Pizza Kitchen, Inc. 64,814 1,394
* bebe stores, inc 72,837 1,393
* CorVel Corp. 38,682 1,393
Town & Country Trust REIT 59,883 1,392
* Atwood Oceanics, Inc. 51,138 1,388
The Manitowoc Co., Inc. 62,242 1,388
* AMN Healthcare Services, Inc. 109,234 1,387
* The Children's Place Retail
Stores, Inc. 69,733 1,385
* Playtex Products, Inc. 215,271 1,382
* Old Dominion Freight Line, Inc. 63,859 1,381
Boston Private Financial
Holdings, Inc. 65,223 1,375
Riggs National Corp. 90,323 1,375
Texas Industries, Inc. 57,703 1,373
* Vignette Corp. 658,298 1,369
* Time Warner Telecom Inc. 214,641 1,367
* NCO Group, Inc. 76,223 1,365
* Ultratech, Inc. 73,795 1,364
EastGroup Properties, Inc. REIT 50,525 1,364
* CMGI Inc. 816,810 1,364
Sovran Self Storage, Inc. REIT 43,225 1,362
* Enterasys Networks, Inc. 448,946 1,360
* Wabash National Corp. 96,885 1,359
* Sunrise Senior Living, Inc. 60,721 1,359
* IDine Rewards Network Inc. 98,700 1,356
* Plains Resources Inc. 95,827 1,356
* FuelCell Energy, Inc. 165,506 1,355
* Nuevo Energy Co. 77,523 1,353
Koger Equity, Inc. REIT 78,482 1,352
* ValueVision Media, Inc. 99,178 1,352
First Financial Holdings, Inc. 49,937 1,350
Oxford Industries, Inc. 32,520 1,350
* Adolor Corp. 109,953 1,349
* TriQuint Semiconductor, Inc. 323,885 1,347
Parkway Properties Inc. REIT 32,007 1,346
* Aeroflex, Inc. 173,674 1,344
OceanFirst Financial Corp. 55,022 1,344
The Nautilus Group, Inc. 108,380 1,344
* Bright Horizons Family
Solutions, Inc. 40,036 1,344
Schweitzer-Mauduit
International, Inc. 55,160 1,332
Central Parking Corp. 107,731 1,332
* URS Corp. 68,027 1,324
* Kulicke & Soffa Industries, Inc. 207,079 1,323
* USI Holdings Corp. 112,200 1,319
* InVision Technologies, Inc. 52,532 1,318
Cash America International Inc. 99,528 1,316
Woodward Governor Co. 30,592 1,315
* ViaSat, Inc. 91,600 1,314
The Stride Rite Corp. 131,869 1,313
* Insituform Technologies Inc.
Class A 74,231 1,312
* Esterline Technologies Corp. 75,366 1,312
* Corvis Corp. 874,521 1,312
Stewart & Stevenson
Services, Inc. 83,220 1,311
* TETRA Technologies, Inc. 44,093 1,307
* Kensey Nash Corp. 49,738 1,301
First Financial Corp. (IN) 24,570 1,300
Interpool, Inc. 78,832 1,294
Mid Atlantic Realty Trust REIT 61,655 1,291
* aQuantive, Inc. 122,865 1,290
* Inspire Pharmaceuticals, Inc. 119,267 1,288
MTS Systems Corp. 87,386 1,288
* International Multifoods Corp. 56,117 1,286
WSFS Financial Corp. 33,441 1,284
U.S.B. Holding Co., Inc. 72,281 1,283
Gray Television, Inc. 103,300 1,281
* Energy Partners, Ltd. 110,898 1,281
* TransMontaigne Inc. 197,507 1,280
Gevity HR, Inc. 108,252 1,280
* The Wet Seal, Inc. Class A 119,516 1,276
* Swift Energy Co. 115,911 1,275
* Photon Dynamics, Inc. 46,141 1,275
Barnes Group, Inc. 58,568 1,274
* Alliance Data Systems Corp. 54,400 1,273
Metris Cos., Inc. 229,002 1,271
* Ocular Sciences, Inc. 63,993 1,270
* eSPEED, Inc. Class A 64,264 1,270
Glacier Bancorp, Inc. 51,365 1,265
ElkCorp 56,058 1,261
* Gulfmark Offshore, Inc. 74,696 1,261
* Itron, Inc. 58,352 1,258
* The Sports Authority, Inc. 117,530 1,258
* Dollar Thrifty Automotive
Group, Inc. 67,785 1,257
* Nautica Enterprises, Inc. 98,002 1,257
Hooper Holmes, Inc. 195,133 1,257
* PETCO Animal Supplies, Inc. 57,800 1,257
NACCO Industries, Inc. Class A 21,292 1,255
WD-40 Co. 43,900 1,253
* Province Healthcare Co. 113,205 1,253
* Trex Co., Inc. 31,900 1,252
* Consolidated Graphics, Inc. 54,579 1,249
R & G Financial Corp. Class B 42,020 1,248
================================================================================
19
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
MCG Capital Corp. 85,960 1,246
Lexington Corporate Properties
Trust REIT 70,300 1,244
* Kopin Corp. 203,000 1,242
Independent Bank Corp. (MA) 54,991 1,242
* Mercury Computer Systems, Inc. 68,356 1,241
Tanger Factory Outlet Centers,
Inc. REIT 37,522 1,241
Frontier Financial Corp. 43,549 1,237
* CCC Information Services Group 85,300 1,237
Community Trust Bancorp Inc. 47,301 1,236
* PRG-Schultz International, Inc. 209,405 1,235
Advanta Corp. Class A 125,269 1,233
* Scientific Games Corp. 131,113 1,232
* Viasys Healthcare Inc. 59,533 1,232
* Teledyne Technologies, Inc. 94,053 1,232
* Silicon Image, Inc. 219,869 1,227
* Regeneration Technologies, Inc. 92,035 1,223
Flushing Financial Corp. 55,171 1,223
* Gardner Denver Inc. 59,776 1,223
* PSS World Medical, Inc. 212,517 1,222
Gold Banc Corp., Inc. 116,254 1,222
Crown American Realty
Trust REIT 113,465 1,219
Pulitzer, Inc. 24,650 1,218
PolyMedica Corp. 26,600 1,218
Allegheny Technologies Inc. 184,397 1,217
* General Maritime Corp. 119,866 1,217
BP Prudhoe Bay Royalty Trust 64,400 1,217
* CIMA Labs Inc. 45,231 1,216
* The Dress Barn, Inc. 95,894 1,215
Riviana Foods, Inc. 45,114 1,214
* Kenneth Cole Productions, Inc. 62,257 1,213
* F5 Networks, Inc. 71,536 1,205
* SafeNet, Inc. 43,066 1,205
* Antigenics, Inc. 104,324 1,202
Great American Financial
Resources, Inc. 91,564 1,200
* Input/Output, Inc. 223,084 1,200
Independent Bank Corp. (MI) 46,612 1,197
* PAREXEL International Corp. 85,562 1,194
Lennar Corp. Class B 17,338 1,191
Movado Group, Inc. 54,534 1,186
* First Republic Bank 44,559 1,185
* Ameristar Casinos, Inc. 55,510 1,185
* Alaska Air Group, Inc. 55,231 1,185
* Per-Se Technologies, Inc. 105,360 1,183
* 1-800 CONTACTS, Inc. 48,300 1,182
Roto-Rooter, Inc. 30,949 1,182
* Zoran Corp. 61,500 1,181
Bowne & Co., Inc. 90,538 1,180
* McDermott International, Inc. 185,572 1,175
* ArthroCare Corp. 70,082 1,175
* K2 Inc. 95,871 1,174
RPC Inc. 106,646 1,173
* Audiovox Corp. 104,735 1,172
Hancock Fabrics, Inc. 72,470 1,170
* Quaker City Bancorp, Inc. 28,453 1,168
PolyOne Corp. 262,408 1,168
* Akamai Technologies, Inc. 240,213 1,167
* Bone Care International, Inc. 83,770 1,164
* American Healthways Inc. 32,200 1,163
* Dick's Sporting Goods, Inc. 31,700 1,163
Arch Chemicals, Inc. 60,743 1,160
* Zymogenetics, Inc. 99,588 1,159
* Pegasus Solutions Inc. 71,326 1,159
* Shaw Group, Inc. 96,176 1,159
* Triton PCS, Inc. 229,106 1,157
* Navigators Group, Inc. 38,776 1,156
Rock-Tenn Co. 68,100 1,154
* Sierra Health Services, Inc. 57,700 1,154
Phillips-Van Heusen Corp. 84,481 1,151
Longview Fibre Co. 140,376 1,151
* Forrester Research, Inc. 70,321 1,150
Simmons First National Corp. 57,490 1,150
* Kyphon Inc. 76,082 1,150
* ESCO Technologies Inc. 26,100 1,148
Libbey, Inc. 50,581 1,148
* aaiPharma Inc. 57,750 1,148
Belden, Inc. 72,251 1,148
* Young Broadcasting Inc. 54,330 1,148
* SPS Technologies, Inc. 42,433 1,147
CNA Surety Corp. 116,380 1,146
* Zoll Medical Corp. 34,132 1,145
Newmil Bancorp, Inc. 52,300 1,145
* American Pharmaceuticals
Partners, Inc. 33,770 1,145
* America West Holdings Corp.
Class B 168,267 1,144
* TriPath Imaging, Inc. 167,286 1,143
Curtiss-Wright Corp. 18,070 1,142
* Veritas DGC Inc. 99,227 1,141
South Jersey Industries, Inc. 30,900 1,139
* Advanced Medical Optics, Inc. 66,764 1,138
* infoUSA Inc. 140,466 1,138
* Daktronics, Inc. 69,500 1,136
World Fuel Services Corp. 46,185 1,136
* Perry Ellis International Corp. 58,177 1,136
Midwest Banc Holdings, Inc. 58,257 1,131
* Coinstar, Inc. 59,975 1,131
LSB Corp. 68,600 1,131
* Avatar Holding, Inc. 37,366 1,129
================================================================================
20
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Kramont Realty Trust REIT 68,328 1,127
* Identix, Inc. 177,087 1,125
Presidential Life Corp. 79,663 1,124
* A.C. Moore Arts & Crafts, Inc. 56,086 1,123
* UnitedGlobalCom Inc. Class A 217,195 1,123
Arrow Financial Corp. 33,634 1,122
* Sigma Designs, Inc. 103,200 1,121
First Source Corp. 60,207 1,117
* Labor Ready, Inc. 155,811 1,117
* National Western Life Insurance Co.
Class A 10,049 1,110
American Home Mortgage
Holdings, Inc. 56,600 1,108
RAIT Investment Trust REIT 41,800 1,108
* Fleetwood Enterprises, Inc. 149,432 1,106
* Hawthorne Financial Corp. 31,840 1,104
NYMAGIC, Inc. 54,436 1,103
* Agile Software Corp. 114,157 1,102
* Prima Energy Corp. 52,742 1,101
* Ionics, Inc. 49,139 1,099
* Multimedia Games Inc. 43,100 1,099
* Dril-Quip, Inc. 60,372 1,099
NUI Corp. 70,758 1,098
* Range Resources Corp. 175,100 1,098
* Tradestation Group Inc. 106,935 1,097
Fidelity Bancorp, Inc. 33,873 1,095
Great Southern Bancorp, Inc. 28,406 1,095
Quaker Chemical Corp. 43,677 1,094
C & D Technologies, Inc. 76,124 1,093
Thomas Industries, Inc. 40,400 1,093
GenCorp, Inc. 122,675 1,091
Vital Signs, Inc. 41,970 1,090
* Infonet Services Corp. 685,139 1,089
* Imagistics International Inc. 42,188 1,088
Chesapeake Corp. of Virginia 49,799 1,088
* Immucor Inc. 49,839 1,086
Omega Financial Corp. 31,720 1,085
* Diversa Corp. 110,255 1,084
Peoples Holding Co. 24,489 1,084
EDO Corp. 61,123 1,082
Ameron International Corp. 31,096 1,081
Columbia Bancorp 44,974 1,079
* I-STAT Corp. 120,038 1,079
* Cubist Pharmaceuticals, Inc. 101,054 1,077
Aquila, Inc. 417,532 1,077
* I.D. Systems, Inc. 135,398 1,076
First Place Financial Corp. 62,107 1,076
The Standard Register Co. 65,247 1,075
Provident Financial Holdings, Inc. 36,567 1,073
Capital City Bank Group, Inc. 29,611 1,072
* Resources Connection, Inc. 44,900 1,071
* Playboy Enterprises, Inc. Class B 78,714 1,071
* Moog Inc. 30,800 1,070
Sandy Spring Bancorp, Inc. 33,862 1,070
* Armor Holdings, Inc. 79,829 1,070
* Plexus Corp. 92,491 1,066
* Stillwater Mining Co. 207,111 1,065
Cascade Bancorp 61,388 1,064
* Strattec Security Corp. 19,945 1,061
* Jos. A. Bank Clothiers, Inc. 31,675 1,059
* SRA International, Inc. 33,014 1,056
* Charles River Associates Inc. 37,276 1,054
* AtheroGenics, Inc. 70,580 1,054
* Bruker Daltonics, Inc. 197,554 1,053
* S&K Famous Brands Inc. 70,133 1,052
* Medarex, Inc. 159,565 1,052
* Right Management
Consultants, Inc. 82,873 1,048
* Monaco Coach Corp. 68,374 1,048
* OMI Corp. 170,100 1,048
* American Physicians Capital, Inc. 43,207 1,048
Prosperity Bancshares, Inc. 54,400 1,047
* Exelixis, Inc. 150,680 1,046
CB Bancshares Inc. (HI) 16,823 1,045
* Insight Enterprises, Inc. 103,876 1,045
* Netscreen Technologies, Inc. 46,300 1,044
Lindsay Manufacturing Co. 44,895 1,042
* Packeteer, Inc. 66,915 1,042
* Opsware, Inc. 259,148 1,042
* Insignia Financial Group, Inc. 93,597 1,040
* Intermagnetics General Corp. 52,380 1,039
* ShopKo Stores, Inc. 79,909 1,039
RFS Hotel Investors, Inc. REIT 84,255 1,038
* Eclipsys Corp. 99,284 1,037
Texas Genco Holdings, Inc. 44,491 1,034
* Sotheby's Holdings Class A 138,848 1,033
* NCI Building Systems, Inc. 61,740 1,031
Seacoast Banking Corp. of Florida 60,389 1,029
* Transkaryotic Therapies, Inc. 89,161 1,029
Allegiant Bancorp, Inc. 50,800 1,029
* Lifeline Systems, Inc. 36,209 1,028
Universal Health Realty Income REIT 38,078 1,028
* IDT Corp. Class B 58,342 1,027
United Fire & Casualty Co. 31,555 1,025
* Actel Corp. 49,961 1,024
* Local Financial Corp. 70,668 1,020
* J. Jill Group, Inc. 60,542 1,020
* Advanced Energy Industries, Inc. 71,392 1,017
* Keynote Systems Inc. 96,984 1,016
Aaron Rents, Inc. Class B 39,300 1,016
* Indevus Pharmaceuticals, Inc. 162,731 1,015
* Ribapharm Inc. 157,285 1,014
================================================================================
21
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Rainbow Technologies, Inc. 120,468 1,013
* PracticeWorks Inc. 52,471 1,013
Nash-Finch Co. 60,745 1,011
* Ixia 157,143 1,010
* ESS Technology, Inc. 103,288 1,007
* OraSure Technologies, Inc. 134,876 1,006
* American Residential Investment
Trust, Inc. REIT 109,840 1,006
X-Rite Inc. 101,465 1,006
GBC Bancorp 26,167 1,005
* Kos Pharmaceuticals, Inc. 42,800 1,005
* Transaction Systems
Architects, Inc. 111,995 1,003
St. Francis Capital Corp. 34,517 1,003
FelCor Lodging Trust, Inc. REIT 127,648 1,002
Greif Inc. Class A 43,347 997
Carpenter Technology Corp. 63,880 997
* Learning Tree International, Inc. 63,665 995
* VistaCare, Inc. 40,900 994
* Orthodontic Centers of America, Inc. 124,083 994
* i2 Technologies, Inc. 993,568 994
CTS Corp. 94,797 991
* Inet Technologies, Inc. 99,288 990
* Orbital Sciences Corp. 135,449 989
* American Medical Security
Group, Inc. 51,747 988
Action Performance Cos., Inc. 52,015 988
* Stage Stores, Inc. 42,045 988
* Epicor Software Corp. 164,925 988
First Community Bancorp 31,392 985
Schnitzer Steel Industries, Inc.
Class A 22,325 985
* SciClone Pharmaceuticals, Inc. 114,737 982
* Safeguard Scientifics, Inc. 363,398 981
Banner Corp. 47,859 981
* United PanAm Financial Corp. 79,986 979
* Steven Madden, Ltd. 44,800 978
National Presto Industries, Inc. 30,963 978
Steelcase Inc. 83,005 976
* Goody's Family Clothing 112,317 972
* Westell Technologies, Inc. 112,257 971
* Gartner, Inc. Class A 127,930 970
Equity Inns, Inc. REIT 140,042 966
BSB Bancorp, Inc. 38,898 965
* Cross Country Healthcare, Inc. 73,168 965
* Aviall Inc. 84,880 965
Entertainment Properties
Trust REIT 33,520 964
Massbank Corp. 26,594 962
OM Group, Inc. 65,286 962
* SOURCECORP, Inc. 44,513 961
Middlesex Water Co. 38,957 960
* The Buckle, Inc. 49,911 960
Royal Gold, Inc. 44,660 960
* Atlanta Sosnoff Capital Corp. 70,775 959
* SonicWALL, Inc. 199,582 958
* The Neiman Marcus Group, Inc.
Class B 27,740 957
* Closure Medical Corp. 50,614 956
Connecticut Water Services, Inc. 37,355 954
Mid-America Apartment Communities,
Inc. REIT 35,300 953
* Myriad Genetics, Inc. 70,051 953
* Artisan Components, Inc. 42,164 953
Correctional Properties Trust REIT 33,945 950
* Isle of Capri Casinos, Inc. 57,487 950
Horizon Financial Corp. 60,098 948
* Genlyte Group, Inc. 27,118 948
* Powerwave Technologies, Inc. 150,706 945
* ON Semiconductor Corp. 349,914 945
* Mesa Air Group Inc. 118,060 944
* LTX Corp. 109,493 944
* Global Imaging Systems, Inc. 40,740 944
* Datastream Systems, Inc. 89,095 944
Valmont Industries, Inc. 48,402 942
* Therasense, Inc. 93,986 940
* Stewart Enterprises, Inc. Class A 218,175 938
* KCS Energy, Inc. 173,944 938
* Applica Inc. 110,209 937
* Cirrus Logic 232,742 936
* GrafTech International Ltd. 171,272 933
* Beverly Enterprises, Inc. 266,561 933
* Korn/Ferry International 115,139 933
* Administaff, Inc. 90,537 933
* Department 56 Inc. 60,719 931
AMCOL International Corp. 116,332 931
* Possis Medical Inc. 67,800 930
* SonoSite, Inc. 46,553 929
* Progenics Pharmaceuticals, Inc. 61,605 928
Meridian Bioscience Inc. 101,822 928
* NS Group Inc. 94,974 926
* Champion Enterprises, Inc. 178,632 925
* Vail Resorts Inc. 68,666 925
* MemberWorks, Inc. 46,806 924
SJW Corp. 10,839 924
Bel Fuse, Inc. Class B 40,350 924
* Wackenhut Corrections Corp. 67,295 923
* Navigant Consulting, Inc. 77,830 922
TF Financial Corp. 29,984 922
* Rochester Medical Corp. 91,739 921
* Zebra Technologies Corp. Class B 12,240 920
HF Financial Corp. 51,464 916
Stanley Furniture Co., Inc. 33,400 915
* RailAmerica, Inc. 108,250 915
================================================================================
22
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* E-LOAN, Inc. 156,892 915
* Novavax, Inc. 163,843 913
Standard Commercial Tobacco Co. 53,631 912
Infinity Property & Casualty Corp. 38,500 910
* ImmunoGen, Inc. 213,058 910
Lone Star Steakhouse &
Saloon, Inc. 41,788 910
* Thomas Nelson, Inc. 72,737 909
* Teletech Holdings Inc. 214,803 909
* The Great Atlantic & Pacific
Tea Co., Inc. 103,164 908
* Electro Scientific Industries, Inc. 59,862 908
Bedford Property Investors, Inc. REIT 31,900 906
Patriot Bank Corp. 50,305 905
* CoStar Group, Inc. 30,281 904
CIRCOR International, Inc. 50,701 904
* M&F Worldwide Corp. 125,357 903
* Triumph Group, Inc. 31,955 900
Central Vermont Public Service Corp. 46,026 900
* NeoPharm, Inc. 64,816 898
Investors Title Co. 31,452 898
* Plug Power, Inc. 191,687 895
* W.R. Grace & Co. 202,887 895
* ValueClick, Inc. 148,337 894
* Kadant Inc. 47,689 894
Wellman, Inc. 79,742 893
* Duane Reade Inc. 60,542 893
* Microsemi Corp. 55,787 893
* General Communication, Inc. 103,000 892
* ATP Oil & Gas Corp. 141,576 892
* ANSYS, Inc. 28,656 891
* Aspect Medical Systems, Inc. 120,469 889
Dover Motorsports, Inc. 216,765 889
* World Acceptance Corp. 54,517 888
* Silicon Storage Technology, Inc. 211,665 887
* RC2 Corp. 52,100 886
United Capital Corp. 25,192 885
* Curative Health Services Inc. 52,061 885
* Hologic, Inc. 67,126 885
* Molecular Devices Corp. 55,581 884
* Brooks Automation, Inc. 77,961 884
* Ditech Communications Corp. 177,304 883
* Caraustar Industries, Inc. 110,159 882
* Aclara Biosciences, Inc. 208,345 881
Pioneer Standard Electronics Inc. 103,766 880
* DJ Orthopedics Inc. 80,200 879
* Tyler Technologies, Inc. 206,734 879
Apogee Enterprises, Inc. 97,385 878
* Unifi, Inc. 141,554 878
McMoRan Exploration Co. 78,756 877
Southwest Bancorp, Inc. 31,976 876
Gorman-Rupp Co. 36,513 876
* TBC Corp. 45,975 876
* PICO Holdings, Inc. 67,331 875
* XOMA Ltd. 163,649 872
Instinet Group Inc. 186,979 871
* Integrated Defense Technology, Inc. 55,900 867
* ICU Medical, Inc. 27,759 865
North Valley Bancorp 57,407 861
* OPNET Technologies, Inc. 70,556 860
Second Bancorp, Inc. 33,251 858
* Guess ?, Inc. 142,828 857
United Mobile Homes, Inc. REIT 56,512 857
* Oxigene, Inc. 86,524 856
Bryn Mawr Bank Corp. 23,022 853
* Primus Telecommunications
Group, Inc. 165,840 852
Dimon Inc. 119,012 852
MutualFirst Financial Inc. 36,453 851
Datascope Corp. 28,626 850
CPI Corp. 48,147 850
Atlantic Tele-Network, Inc. 37,940 846
The Marcus Corp. 56,548 845
* Mastec Inc. 146,696 845
* Gulf Island Fabrication, Inc. 49,811 843
* Lightbridge, Inc. 96,100 842
Merchants Bancshares, Inc. 32,229 838
First South Bancorp, Inc. 25,120 835
* Stein Mart, Inc. 139,093 833
* Horizon Offshore, Inc. 167,096 832
* DuPont Photomasks, Inc. 44,148 831
Alico, Inc. 33,661 831
Newcastle Investment Corp. REIT 42,400 830
California Water Service Group 29,400 827
* Standard Microsystem Corp. 54,474 826
* Paxar Corp. 75,100 826
* Dot Hill Systems Corp. 62,900 824
* FreeMarkets, Inc. 118,325 824
* Florida Banks, Inc. 70,669 823
* Pegasystems Inc. 111,612 823
* PTEK Holdings, Inc. 169,332 821
* Intuitive Surgical, Inc. 108,108 819
* Centennial Communications Corp.
Class A 204,542 818
JLG Industries, Inc. 120,151 817
Consolidated-Tomoka Land Co. 32,520 817
* CuraGen Corp. 147,185 817
* Stratex Networks, Inc. 254,993 816
* AAON, Inc. 44,050 816
* Tollgrade Communications, Inc. 43,672 814
* Ciber, Inc. 115,865 813
* Asbury Automotive Group, Inc. 60,336 813
Argonaut Group, Inc. 65,904 813
* Mapics Inc. 99,068 812
================================================================================
23
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Pilgrim's Pride Corp. 83,952 812
Lance, Inc. 88,844 811
First Merchants Corp. 33,345 811
Fidelity Bankshares, Inc. 36,312 810
* Boston Beer Co., Inc. Class A 56,214 810
* Shoe Carnival, Inc. 54,816 809
Partners Trust Financial Group, Inc. 42,398 809
* Mobile Mini, Inc. 49,427 807
Todd Shipyards Corp. 49,151 806
Helix Technology Corp. 60,832 805
Medallion Financial Corp. 114,590 803
Heritage Financial Corp. 37,938 803
* Pathmark Stores, Inc. 104,905 803
* MTC Technologies, Inc. 34,200 802
First Federal Bancshares of
Arkansas, Inc. 25,225 801
* PC-Tel, Inc. 67,425 800
Greater Delaware Valley
Savings Bank 35,215 799
* Spanish Broadcasting System, Inc. 98,067 799
Interchange Financial
Services Corp. 40,318 799
Met-Pro Corp. 55,252 798
* Water Pik Technologies, Inc. 102,672 798
* Quality Systems, Inc. 28,849 797
Interface, Inc. 171,473 796
Ampco-Pittsburgh Corp. 59,374 796
* LookSmart, Ltd. 281,031 795
Southern Peru Copper Corp. 51,847 793
Arctic Cat, Inc. 41,400 793
* Cable Design Technologies Corp. 110,811 792
* SBA Communications Corp. 260,612 792
* Bay View Capital Corp. 137,000 792
* The Topps Co., Inc. 92,172 792
* Presstek, Inc. 126,984 791
LTC Properties, Inc. REIT 82,830 791
* Jacuzzi Brands, Inc. 149,521 791
* Callon Petroleum Co. 110,986 790
* Beasley Broadcast Group, Inc. 57,750 790
* GameStop Corp. 61,000 788
* USANA Health Sciences, Inc. 17,800 787
* Cole National Corp. Class A 62,850 787
* Coldwater Creek Inc. 63,792 787
* Aftermarket Technology Corp. 74,779 786
Myers Industries, Inc. 82,689 786
Pulaski Financial Corp. 28,699 785
* Vicor Corp. 81,622 784
MeriStar Hospitality Corp. REIT 152,262 783
Unizan Financial Corp. 44,434 781
* O'Charley's Inc. 36,230 780
Sizeler Property Investors, Inc. REIT 76,088 780
* Footstar Inc. 59,954 779
* Mobius Management
Systems, Inc. 104,312 779
* Fisher Communications, Inc. 15,898 778
* Gentiva Health Services, Inc. 86,365 777
Banc Corp. 115,832 777
* Jarden Corp. 28,060 776
Bassett Furniture Industries, Inc. 58,461 776
* Vivus, Inc. 150,828 775
Community Banks, Inc. 26,014 774
* Hartmarx Corp. 258,636 773
Summit Bancshares, Inc. 32,932 773
* Secure Computing Corp. 88,540 773
* Insurance Auto Auctions, Inc. 61,476 772
* Drexler Technology Corp. 49,751 771
* Lydall, Inc. 72,067 771
* Mykrolis Corp. 75,863 770
* RadiSys Corp. 58,278 769
Coachmen Industries, Inc. 64,350 769
Advanced Marketing Services 59,147 769
* Advanced Magnetics, Inc. 75,010 769
California Independent Bancorp 26,491 768
* SM&A Corp. 67,544 767
UniFirst Corp. 34,946 765
* Omega Healthcare Investors,
Inc. REIT 145,687 765
Covest Bankshares, Inc. 30,903 765
* Ciphergen Biosystems, Inc. 74,501 764
* Conceptus, Inc. 54,300 763
* AMC Entertainment, Inc. 66,600 762
* eCollege.com Inc. 66,231 760
American Land Lease, Inc. REIT 45,230 760
BancFirst Corp. 14,639 759
* Universal Electronics, Inc. 59,817 758
* Sterling Financial Corp. (Spokane) 31,132 758
* EntreMed, Inc. 182,720 758
* Sharper Image Corp. 27,800 758
* Medical Action Industries Inc. 46,400 758
* Buckeye Technology, Inc. 111,297 757
* SureBeam Corp. 285,572 757
Talx Corp. 33,500 757
* Red Robin Gourmet Burgers 39,900 757
Oil-Dri Corp. of America 63,015 756
* Syms Corp. 117,248 754
* Kindred Healthcare, Inc. 42,248 754
Winston Hotels, Inc. REIT 91,994 752
* Concord Communications, Inc. 54,725 751
* Centene Corp. 19,300 751
* Finish Line, Inc. 33,800 751
* Harmonic, Inc. 183,478 747
* Bally Total Fitness Holding Corp. 82,651 746
* Columbia Laboratories Inc. 66,300 746
Keithley Instruments Inc. 51,599 746
================================================================================
24
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Investors Real Estate Trust REIT 69,000 745
AAR Corp. 105,306 743
* Centillium Communications, Inc. 74,955 743
* Sapient Corp. 267,757 742
* Xicor, Inc. 118,211 741
LSI Industries Inc. 66,688 740
Ryerson Tull, Inc. 84,265 740
* Startek, Inc. 28,124 740
* Openwave Systems Inc. 379,022 739
* America's Car-Mart, Inc. 40,200 735
AMLI Residential Properties
Trust REIT 31,200 735
* Noven Pharmaceuticals, Inc. 71,705 734
* Big 5 Sporting Goods Corp. 58,600 734
* InterVoice, Inc. 148,436 733
* Price Legacy Corp. REIT 195,531 733
* Drugstore.com, Inc. 125,502 733
* Accredited Home Lenders Holding Co. 37,300 732
* National Dentex Corp. 35,695 730
* Immunomedics Inc. 115,602 729
* Tweeter Home Entertainment
Group, Inc. 84,000 729
Oak Hill Financial, Inc. 29,124 729
* Casual Male Retail Group, Inc. 140,358 729
Cornerstone Realty Income
Trust, Inc. REIT 99,475 727
* Retek Inc. 113,445 726
Florida East Coast Industries, Inc.
Class B 29,133 725
* Wesco International, Inc. 120,881 725
* KVH Industries, Inc. 29,300 725
* ePlus Inc. 67,998 724
* Altiris, Inc. 36,100 724
* Nuvelo, Inc. 363,664 724
* Incyte Corp. 155,908 723
* iManage, Inc. 144,568 723
Crawford & Co. Class B 147,101 722
Resource America, Inc. 69,554 720
* RehabCare Group, Inc. 49,100 719
* Clayton Williams Energy, Inc. 38,906 718
World Wrestling
Entertainment, Inc. 69,737 718
* Heidrick & Struggles
International, Inc. 56,840 717
* DutchFork Bancshares, Inc. 22,229 716
* Corixa Corp. 92,603 716
American Woodmark Corp. 15,349 715
* Ulticom, Inc. 75,188 714
* Oak Technology, Inc. 114,771 713
Keystone Property Trust REIT 38,500 713
* Layne Christensen Co. 88,305 713
* First Mariner Bancorp, Inc. 55,869 711
Columbia Banking System, Inc. 39,622 710
* Steak n Shake Co. 46,520 709
* Savient Pharmaceuticals Inc. 152,512 708
* Midas Inc. 58,335 707
Coastal Bancorp, Inc. 24,854 706
PMA Capital Corp. Class A 56,026 704
* Dura Automotive Systems, Inc. 74,427 704
First Keystone Financial, Inc. 31,203 704
* Information Holdings Inc. 38,500 703
* Griffin Land & Nurseries, Inc. 50,872 702
* MTR Gaming Group Inc. 90,886 702
Century Bancorp, Inc. Class A 23,502 700
Blair Corp. 31,481 699
* Salem Communications Corp. 34,900 698
Main Street Banks, Inc. 27,583 698
Methode Electronics, Inc. Class A 64,901 698
* Specialty Laboratories, Inc. 67,776 695
* Parker Drilling Co. 238,637 694
Material Sciences Corp. 71,562 694
* Navigant International, Inc. 53,742 693
* Casella Waste Systems, Inc. 76,708 693
Saul Centers, Inc. REIT 26,900 689
* Spherion Corp. 99,031 688
Applied Industrial Technology, Inc. 32,600 688
SWS Group, Inc. 34,100 687
* 1-800-FLOWERS.COM, Inc. 83,325 687
Suffolk Bancorp 21,277 685
Innkeepers USA Trust REIT 100,579 684
* LCA-Vision Inc. 76,132 684
* Asyst Technologies, Inc. 102,145 683
First Bancorp (NC) 26,369 683
* Cell Therapeutics, Inc. 70,111 682
* Benihana Inc. Class A 51,626 682
Park Electrochemical Corp. 34,100 680
* Rudolph Technologies, Inc. 42,508 678
* Chalone Wine Group Ltd. 87,126 677
* Torch Offshore, Inc. 99,700 677
* Maxygen Inc. 61,688 677
Sterling Financial Corp. (PA) 29,012 675
Oregon Trail Financial Corp. 26,996 674
* Impath, Inc. 47,629 673
* Integrated Electrical Services, Inc. 92,889 673
* InFocus Corp. 142,588 673
* OneSource Information
Services, Inc. 90,200 673
* Finisar Corp. 433,737 672
* Manugistics Group, Inc. 163,489 672
* AstroPower, Inc. 204,000 671
* Valence Technology Inc. 224,037 670
* Stoneridge, Inc. 48,910 668
* Volt Information Sciences Inc. 48,825 666
Allen Organ Co. 15,974 666
================================================================================
25
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* E.piphany Inc. 130,202 665
* Pixelworks, Inc. 111,967 665
* Mothers Work, Inc. 24,800 664
FNB Financial Services Corp. 33,322 664
Nu Skin Enterprises, Inc. 63,400 663
* Encore Wire Corp. 69,413 659
Superior Uniform Group, Inc. 58,997 659
* Ocwen Financial Corp. 145,061 659
* Clean Harbors Inc. 69,070 658
Marine Products Corp. 60,568 657
* Saga Communications, Inc. 33,700 655
* Clark, Inc. 54,740 654
New England Business Service, Inc. 21,800 654
Midland Co. 29,413 653
* Pericom Semiconductor Corp. 70,231 653
* Manufacturers' Services Ltd. 133,978 650
* EZCORP, Inc. 149,109 649
* Midway Games Inc. 178,676 649
* Wind River Systems Inc. 169,903 647
* Ace Cash Express, Inc. 59,467 646
* Cell Genesys, Inc. 74,468 643
* Park-Ohio Holdings Corp. 130,184 643
* SeaChange International, Inc. 67,365 643
* Stratus Properties Inc. 68,611 642
* Integrated Silicon Solution, Inc. 92,467 642
* Hexcel Corp. 200,421 641
First Essex Bancorp, Inc. 13,600 641
* SupportSoft, Inc. 98,782 641
* SeeBeyond Technology Corp. 276,959 640
* FindWhat.com 34,000 640
* Genesco, Inc. 36,100 639
* Sequa Corp. Class A 18,595 638
* SangStat Medical Corp. 48,700 637
* Artesyn Technologies, Inc. 113,544 637
* S1 Corp. 157,529 636
Angelica Corp. 37,519 636
* Worldwide Restaurant
Concepts Inc. 215,461 636
* Atari, Inc. 142,569 634
Capital Bank Corp. 42,485 634
* Energy Conversion Devices, Inc. 69,518 633
Maine Public Service Co. 19,454 632
HMN Financial, Inc. 32,537 631
* Chattem, Inc. 33,500 630
* JDA Software Group, Inc. 56,261 630
* Aether Systems, Inc. 128,450 629
* Centra Software, Inc. 202,690 628
* IXYS Corp. 78,717 627
Haverty Furniture Cos., Inc. 35,800 627
* U.S. Energy Corp. 120,454 626
* Radiant Systems, Inc. 92,906 626
General Cable Corp. 115,839 626
* Aspect Communications Corp. 161,136 624
* SuperGen, Inc. 115,270 622
* Systems & Computer
Technology Corp. 68,932 620
Associated Estates Realty
Corp. REIT 94,287 620
* Websense, Inc. 39,552 619
Universal Forest Products, Inc. 29,576 619
* CardioDynamics International Corp. 181,468 619
* Federal Agricultural Mortgage Corp.
Class A 37,006 618
* Bombay Co. 58,000 617
* Axsys Technologies, Inc. 63,918 616
* ScanSoft, Inc. 113,437 616
West Pharmaceutical Services, Inc. 25,100 615
* NYFIX, Inc. 96,808 615
* Innotrac Corp. 105,958 615
* Enesco Group, Inc. 82,983 614
* Pegasus Communications Corp. 20,704 612
* Strategic Diagnostics Inc. 137,000 611
* Checkers Drive-In Restaurants, Inc. 53,328 610
* Novoste Corp. 101,627 610
* MicroStrategy Inc. 16,716 609
* hi/fn, inc 68,294 609
* Isis Pharmaceuticals, Inc. 114,796 608
United Community Financial Corp. 65,785 608
* Titanium Metals Corp. 18,927 608
* Avanex Corp. 151,872 608
* Portal Software, Inc. 303,432 607
* Mindspeed Technologies, Inc. 252,910 607
* Tenneco Automotive, Inc. 168,363 606
* C-COR Electronics, Inc. 123,114 603
* Team, Inc. 75,215 602
* Aksys, Ltd. 46,428 601
* Strategic Distribution, Inc. 36,940 601
* Comfort Systems USA, Inc. 226,694 596
* Revlon, Inc. Class A 198,249 595
* Concurrent Computer Corp. 203,509 594
* Reading International Inc. Class A 106,744 592
* EMS Technologies, Inc. 45,287 592
* Tower Automotive, Inc. 161,497 591
* Cysive, Inc. 184,029 591
* PC Connection, Inc. 86,785 590
* MRO Software Inc. 68,348 590
* Harris Interactive Inc. 89,450 589
* Wiser Oil Co. 101,948 587
* MRV Communications Inc. 292,027 587
* Theragenics Corp. 135,943 585
Cohu, Inc. 37,423 584
* Galyan's Trading Co. 40,663 583
* Embarcadero Technologies, Inc. 82,954 581
* Computer Horizons Corp. 127,897 581
================================================================================
26
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Clarus Corp. 92,386 580
* iGATE Corp. 167,026 580
* Interpore International 45,500 579
* Digi International, Inc. 100,512 578
* FARO Technologies, Inc. 81,368 576
* SPSS, Inc. 34,379 576
Old Second Bancorp, Inc. 13,422 575
IBERIABANK Corp. 11,772 574
* EPIQ Systems, Inc. 33,400 573
Spartan Motors, Inc. 69,127 572
Fedders Corp. 186,089 571
Sanderson Farms, Inc. 20,300 570
* Dyax Corp. 139,781 570
* Hovnanian Enterprises Inc. Class A 9,650 569
* Todhunter International, Inc. 55,986 567
* West Marine, Inc. 32,400 567
* Interwoven, Inc. 255,340 567
Ameriserv Financial Inc. 149,159 567
* Dave & Busters, Inc. 51,935 566
* Gartner, Inc. Class B 75,423 566
* Anaren, Inc. 60,370 566
* Blue Rhino Corp. 46,900 562
* On Assignment, Inc. 140,565 562
Oshkosh B' Gosh, Inc. Class A 20,800 562
Baldwin & Lyons, Inc. Class B 23,621 561
* Prime Hospitality Corp. 83,270 559
* InKine Pharmaceutical Co., Inc. 165,636 558
* Giant Industries, Inc. 93,508 557
* Acmat Corp. Class A 60,347 557
* Inverness Medical Innovations, Inc. 28,852 557
* The Boyds Collection, Ltd. 118,222 557
* Talk America Holdings, Inc. 50,799 554
* Symmetricom Inc. 125,731 553
Union Bankshares Corp. 19,520 552
* Lexicon Genetics Inc. 82,052 551
* RMH Teleservices, Inc. 126,907 550
* Dynamics Research Corp. 35,954 549
* Neoware Systems, Inc. 35,800 549
* Neogen Corp. 32,300 549
BNP Residential Properties, Inc. REIT 50,806 549
* Matria Healthcare, Inc. 31,071 548
* MarketWatch.com, Inc. 65,514 548
* JAKKS Pacific, Inc. 41,190 547
* CryoLife Inc. 52,746 546
* Century Business Services, Inc. 167,927 546
Dover Downs Gaming &
Entertainment, Inc. 58,958 545
* CKE Restaurants Inc. 97,499 545
* Serologicals Corp. 39,852 543
* Crown Media Holdings, Inc. 131,471 543
* Intelidata Technologies Corp. 177,108 542
* Neoforma, Inc. 49,549 541
Sterling Bancorp 19,400 541
* Gene Logic Inc. 90,468 540
* Alloy, Inc. 83,660 540
Greater Community Bancorp 34,925 538
* The TriZetto Group, Inc. 88,968 537
* The Smith & Wollensky
Restaurant Group, Inc. 105,040 537
Comm Bancorp, Inc. 15,421 537
* Aerosonic Corp. 54,354 536
First Busey Corp. 22,102 536
* ScanSource, Inc. 20,000 535
Timberline Software Corp. 95,354 535
Solutia, Inc. 245,186 535
* Universal American Financial Corp. 83,886 534
Capstead Mortgage Corp. REIT 47,326 533
Deltic Timber Corp. 18,700 532
* Lakes Entertainment, Inc. 66,500 531
Port Financial Corp. 9,840 530
* PDI, Inc. 52,081 529
Tompkins Trustco, Inc. 11,800 527
Green Mountain Power Corp. 26,263 525
Stepan Co. 23,220 525
Curtiss-Wright Corp. Class B 8,412 524
* II-VI, Inc. 22,700 524
* Friendly Ice Cream Corp. 82,843 524
* Hector Communications Corp. 41,852 523
* Capital Pacific Holdings, Inc. 124,264 522
* Curis, Inc. 142,775 521
* Cardinal Financial Corp. 77,077 520
* Workflow Management, Inc. 150,793 520
Team Financial, Inc. 48,142 520
* Wild Oats Markets Inc. 47,700 520
* Lazare Kaplan International, Inc. 88,148 520
* MSC.Software Corp. 76,884 518
* Group 1 Software, Inc. 28,264 518
* Garden Fresh Restaurant Corp. 57,518 518
L.S. Starrett Co. Class A 39,964 518
* AZZ Inc. 46,998 517
* FalconStor Software, Inc. 77,231 517
* Maxxam Inc. 35,629 517
* Gart Sports Co. 18,200 516
* IMPAC Medical Systems, Inc. 24,700 516
* NetRatings, Inc. 56,368 515
* LodgeNet Entertainment Corp. 46,800 512
* Oplink Communications, Inc. 273,711 512
Peoples Bancorp, Inc. 20,201 510
* IDT Corp. 28,408 509
HEICO Corp. 41,670 508
* PLX Technology, Inc. 129,000 508
* Boston Communications
Group, Inc. 29,600 507
* Information Resources, Inc. 128,329 507
================================================================================
27
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Telular Corp. 104,911 506
* Capital Corp. of the West 19,923 505
* AVI BioPharma, Inc. 82,300 505
* Network Equipment
Technologies, Inc. 59,840 504
* New Focus, Inc. 134,699 504
Tennant Co. 13,700 503
* MatrixOne, Inc. 87,620 503
Penford Corp. 45,009 503
Calgon Carbon Corp. 87,421 503
* Regent Communications, Inc. 85,193 503
* Blount International, Inc. 87,997 502
Urstadt Biddle Properties REIT 37,652 501
Alamo Group, Inc. 40,906 500
Gibraltar Steel 24,400 500
* Zomax Inc. 152,563 499
* Geron Corp. 67,755 499
* FTD, Inc. 24,700 498
* Constar International Inc. 65,601 498
* Autobytel Inc. 79,701 497
* Cepheid, Inc. 100,674 497
Apex Mortgage Capital, Inc. REIT 90,770 497
* Rubio's Restaurants, Inc. 98,100 496
* Pharmacopeia, Inc. 60,032 495
* Alliance Imaging, Inc. 112,444 495
* Kirkland's, Inc. 30,600 494
Bedford Bancshares, Inc. 20,978 493
* Franklin Electronic Publishers, Inc. 122,940 492
* Concur Technologies, Inc. 48,800 491
* Trans World Entertainment Corp. 95,909 491
* Jupitermedia Corp. 122,547 490
* Actuate Software Corp. 175,629 488
* Alexion Pharmaceuticals, Inc. 28,483 486
* Celeritek, Inc. 66,315 485
U.S. Restaurant Properties,
Inc. REIT 30,900 485
* Monolithic System
Technology, Inc. 53,500 485
* Lifecore Biomedical Inc. 85,067 484
* Nuance Communications Inc. 89,555 484
* WatchGuard Technologies, Inc. 105,103 483
* Central European Distribution Corp. 24,000 483
* Aphton Corp. 58,649 483
Milacron Inc. 98,589 482
* DHB Industries, Inc. 117,500 481
* EnPro Industries, Inc. 44,835 479
* Traffix, Inc. 156,033 479
* ActivCard Corp. 50,920 479
Jacksonville Bancorp, Inc. 16,795 478
Raven Industries, Inc. 24,100 477
* Concerto Software Inc. 51,843 476
* Hibbett Sporting Goods, Inc. 14,456 476
* TheStreet.com, Inc. 101,258 476
* Hudson Highland Group, Inc. 25,022 476
* SITEL Corp. 304,891 473
* Carriage Services, Inc. 133,414 472
* ManTech International Corp. 24,600 472
* Prime Group Realty Trust REIT 81,318 472
* Cerus Corp. 62,396 470
* Superior Consultant Holdings Corp. 156,588 470
Firstfed America Bancorp, Inc. 13,600 469
* Mail-Well, Inc. 186,075 469
* SCS Transportation, Inc. 37,057 468
* Trover Solutions, Inc. 80,800 468
* Euronet Worldwide, Inc. 43,200 467
* ABIOMED, Inc. 85,218 466
* Zygo Corp. 57,969 464
* Proxim Corp. Class A 317,301 463
* Universal Display Corp. 51,834 462
* Pumatech, Inc. 135,730 461
* QuickLogic Corp. 143,287 461
* Lowrance Electronics, Inc. 53,883 460
Applied Signal Technology, Inc. 27,260 460
* Transmeta Corp. 286,172 458
* Spectranetics Corp. 150,121 458
* The Exploration Co. of Delaware 102,046 457
* PRAECIS Pharmaceuticals Inc. 93,166 457
Ramco-Gershenson Properties
Trust REIT 19,580 456
* InterCept, Inc. 54,571 456
* ResortQuest International, Inc. 103,400 456
* Ventiv Health, Inc. 111,037 455
* Collins & Aikman Corp. 154,037 454
Capitol Bancorp Ltd. 16,711 453
* Petrocorp, Inc. 40,560 452
* Sykes Enterprises, Inc. 92,459 452
Citizens First Financial Corp. 19,313 451
* Virage Logic Corp. 62,199 450
* TSR, Inc. 50,147 450
* Onyx Pharmaceuticals, Inc. 36,410 449
* MedAmicus, Inc. 55,400 449
* Phoenix Technologies Ltd. 78,832 445
Virco Manufacturing Corp. 70,015 445
* Forgent Networks, Inc. 164,155 445
* Investors Capital Holdings, Ltd. 151,295 445
Intermet Corp. 131,881 444
Provident Bancorp, Inc. 13,816 443
Seaboard Corp. 2,140 443
* KFX, Inc. 114,100 443
* SONUS Pharmaceuticals, Inc. 118,617 442
Vesta Insurance Group, Inc. 192,314 442
* First Consulting Group, Inc. 94,649 442
* Nu Horizons Electronics Corp. 73,595 442
Integra Bank Corp. 25,655 442
================================================================================
28
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Hi-Tech Pharmacal Co., Inc. 10,850 441
* BroadVision, Inc. 77,334 440
* Alliance Semiconductor Corp. 90,866 440
* Saba Software, Inc. 96,624 440
Republic Bancshares, Inc. 17,562 439
ISCO, Inc. 52,712 439
* Digitas Inc. 88,431 439
* ITLA Capital Corp. 10,798 437
Paul Mueller Co. 10,768 436
* CyberSource Corp. 159,014 436
* Correctional Services Corp. 153,360 435
Bank of the Ozarks, Inc. 11,208 434
* Merix Corp. 56,980 434
* J & J Snack Foods Corp. 13,700 433
* Paragon Technologies, Inc. 43,130 431
* United States Exploration, Inc. 156,800 431
Aceto Corp. 23,300 430
* Pinnacle Entertainment, Inc. 63,123 429
* Mechanical Technology Inc. 138,251 429
* Ceres Group, Inc. 148,562 428
Cadmus Communications 47,986 427
* Microtune, Inc. 132,928 425
* Synaptics Inc. 31,600 425
* Merit Medical Systems, Inc. 21,268 425
BCSB Bankcorp, Inc. 28,249 424
* Smart & Final Inc. 91,300 423
* Paradyne Networks, Inc. 233,983 421
* Metro One
Telecommunications, Inc. 81,584 421
* Taser International Inc. 32,600 421
CSS Industries, Inc. 10,900 420
* Extended Systems Inc. 107,686 420
* Netegrity, Inc. 71,847 420
* ePresence, Inc. 172,311 419
* Captaris Inc. 121,998 417
* DigitalThink, Inc. 132,270 417
* Gerber Scientific, Inc. 62,364 415
* Able Laboratories, Inc. 20,976 415
* Hycor Biomedical Inc. 89,148 413
* Comshare Inc. 90,302 411
* First Horizon Pharmaceutical Corp. 103,800 410
* VA Software Corp. 189,785 410
* Syntroleum Corp. 153,879 409
* The Greenbrier Cos., Inc. 37,700 409
* Arena Pharmaceuticals, Inc. 61,559 409
* First Union Real Estate REIT 225,662 408
* Stellent Inc. 75,334 407
* Raindance Communications, Inc. 163,107 406
West Coast Bancorp 22,300 406
* Skechers U.S.A., Inc. 54,793 405
* PDF Solutions, Inc. 35,100 405
* Lancer Corp. 58,913 405
Hopfed Bancorp, Inc. 25,295 405
* Silicon Graphics, Inc. 354,581 404
* Nashua Corp. 45,415 404
* Maxim Pharmaceuticals, Inc. 69,836 402
* Sipex Corp. 81,878 401
* Array BioPharma Inc. 127,311 401
* Planar Systems, Inc. 20,500 401
* Liquidmetal Technologies Inc. 78,030 400
* P.A.M. Transportation Services, Inc. 16,500 399
* Kforce Inc. 82,669 399
Washington Trust Bancorp, Inc. 17,357 399
Capital Trust Class A 21,457 398
* Roxio, Inc. 59,481 398
Standard Motor Products, Inc. 35,708 396
* Applied Innovation Inc. 114,238 395
* Candela Corp. 34,304 395
* Capital Title Group, Inc. 87,752 395
* Bottomline Technologies, Inc. 48,800 394
* Verisity Ltd. 32,977 394
* Switchboard Inc. 109,189 393
* Medical Staffing Network
Holdings, Inc. 56,122 393
State Financial Services Corp.
Class A 17,726 392
* Encysive Pharmaceuticals, Inc. 81,577 392
* Vitria Technology, Inc. 68,304 391
* Handspring, Inc. 345,533 390
* Excel Technology, Inc. 17,041 389
* Rofin-Sinar Technologies Inc. 27,545 387
* Keystone Automotive
Industries, Inc. 21,200 387
* Nabi Biopharmaceuticals 56,342 387
Sturm, Ruger & Co., Inc. 38,500 385
* Infinity, Inc. 63,600 385
* Overstock.com, Inc. 26,400 383
* Genesee & Wyoming Inc. Class A 18,600 383
* America Service Group Inc. 21,300 381
* Integral Systems, Inc. 19,082 379
* Perceptron, Inc. 63,196 379
Financial Institutions, Inc. 16,100 378
* Art Technology Group, Inc. 236,434 378
* HomeStore, Inc. 213,652 378
* Katy Industries, Inc. 77,069 376
Courier Corp. 7,300 376
Ziegler Cos., Inc. 24,576 375
* Durect Corp. 155,496 375
Robbins & Myers, Inc. 20,200 374
* Ethyl Corp. 37,542 374
Codorus Valley Bancorp, Inc. 23,795 373
First Indiana Corp. 21,766 373
* Stamps.com Inc. 77,541 372
* FSI International, Inc. 94,986 370
================================================================================
29
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Applied Films Corp. 14,300 370
FFLC Bancorp, Inc. 14,250 370
* Fairchild Corp. 91,572 369
* PharmaNetics, Inc. 63,589 369
* Greka Energy Corp. 63,660 369
* Latitude Communications, Inc. 197,317 367
* TTM Technologies, Inc. 78,158 367
* Zix Corp. 97,074 366
* Docucorp International, Inc. 55,080 365
* Digimarc Corp. 23,200 364
* Commercial Capital Bancorp, Inc. 23,700 364
LaSalle Hotel Properties REIT 24,600 364
* Impco Technologies Inc. 58,826 362
* Redback Networks Inc. 402,616 362
* LCC International, Inc. Class A 132,222 362
* Electro Rent Corp. 33,600 362
* TransPro Inc. 80,436 360
* Carrier Access Corp. 164,080 358
* HMS Holdings Corp. 128,129 357
* Riverstone Networks, Inc. 301,715 356
* Online Resources Corp. 55,600 354
* Terayon Communications
Systems, Inc. 128,835 352
* 4Kids Entertainment Inc. 18,900 352
* EXCO Resources, Inc. 19,600 351
Pennfed Financial Services, Inc. 12,611 350
* Foamex International, Inc. 114,357 350
* Juno Lighting, Inc. 26,103 349
CompX International Inc. 62,497 349
* Sequenom, Inc. 128,183 349
D&E Communications, Inc. 30,351 348
* Witness Systems, Inc. 67,215 348
Kaman Corp. Class A 29,588 346
* Daily Journal Corp. 14,175 346
Great Lakes, Inc. REIT 21,600 346
* Oregon Steel Mills, Inc. 118,528 344
Deb Shops, Inc. 18,254 343
* Value City Department Stores, Inc. 155,031 343
* National Beverage Corp. 24,600 342
* Robert Mondavi Corp. Class A 13,500 342
* BioLase Technology, Inc. 31,700 340
Lawson Products, Inc. 12,332 340
* Entrust, Inc. 115,002 338
Standex International Corp. 15,900 334
* Harvest Natural Resources, Inc. 52,400 334
* Elizabeth Arden, Inc. 25,300 333
* Herley Industries Inc. 19,600 333
* Luminex Corp. 64,288 332
* Spherix Inc. 47,077 331
* Captiva Software Corp. 66,880 331
Troy Financial Corp. 12,179 331
* Eden Bioscience Corp. 205,119 330
* California Amplifier, Inc. 92,460 330
Chesapeake Utilities Corp. 14,600 330
* QAD Inc. 44,399 329
Oneida Ltd. 48,800 329
* Diacrin, Inc. 119,709 329
S.Y. Bancorp, Inc. 9,300 329
* Sanchez Computer Associates, Inc. 63,045 328
* Royale Energy, Inc. 42,590 327
* CompuCom Systems, Inc. 72,300 327
* Dendreon Corp. 54,628 324
* OSI Systems Inc. 20,200 324
* Chronimed Inc. 33,000 324
* Ampal-American Israel Corp. 114,108 324
* Capstone Turbine Corp. 296,961 324
Chester Valley Bancorp 16,920 323
* Global Payment Tech Inc. 73,317 323
* MedCath Corp. 55,200 323
BHA Group Holdings Inc. 16,200 321
Camden National Corp. 11,600 319
* Gabelli Asset Management Inc. 8,800 318
* Merge Technologies, Inc. 24,330 318
* Paxson Communications Corp. 53,000 317
Wainwright Bank & Trust Co. 31,310 316
* Embrex, Inc. 31,001 316
* Martha Stewart Living
Omnimedia, Inc. 33,649 316
* Allied Healthcare International Inc. 84,026 316
* Unity Bancorp, Inc. 31,036 315
* Gadzooks, Inc. 55,368 314
* Internap Network Services Corp. 304,342 313
* iPayment Holdings, Inc. 13,000 312
* Avici Systems Inc. 51,058 312
* Xanser Corp. 144,634 311
* Buca, Inc. 54,900 310
* JNI Corp. 62,758 309
* Aware, Inc. 138,447 309
Urstadt Biddle Properties
Class A REIT 24,000 309
* Network Engines, Inc. 81,055 308
* Frontier Airlines, Inc. 33,900 308
* BE Aerospace, Inc. 92,805 307
* EPIX Medical, Inc. 21,700 307
* Neurogen Corp. 67,192 306
* UbiquiTel Inc. 204,042 306
* Hanger Orthopedic Group, Inc. 26,700 306
* Norstan, Inc. 92,685 305
CityBank Lynnwood WA 11,265 305
* General Binding Corp. 25,387 305
* Lillian Vernon Corp. 41,937 304
Humphrey Hospitality Trust,
Inc. REIT 116,911 304
* Crossroads Systems, Inc. 179,919 304
================================================================================
30
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* TechTeam Global, Inc. 47,500 304
* Computer Task Group, Inc. 106,535 303
* Danielson Holdings Corp. 188,455 302
* Raytech Corp. 70,900 301
Franklin Financial Corp. 10,000 301
Computer Programs and Systems, Inc. 15,000 300
* Dobson Communications Corp. 55,000 300
* Three-Five Systems, Inc. 43,440 300
* Sirenza Microdevices, Inc. 147,567 300
* BioSphere Medical Inc. 49,900 299
* MIPS Technologies, Inc. Class B 121,209 299
* NetSolve, Inc. 35,800 299
* Alteon, Inc. 61,387 298
* Young Innovations, Inc. 10,400 296
* LabOne, Inc. 13,700 295
* Optical Communication
Products, Inc. 163,986 295
Hanmi Financial Corp. 16,800 293
* Selectica, Inc. 92,165 292
ILX Resorts Inc. 34,176 291
* Computer Network Technology Corp. 35,900 291
Safety Insurance Group, Inc. 19,755 290
* APAC Teleservices, Inc. 113,013 288
Skyline Corp. 9,600 288
CFS Bancorp, Inc. 20,391 288
* Dynacq International, Inc. 17,100 287
* Charlotte Russe Holding Inc. 27,800 287
* Petroleum Helicopters, Inc. 9,515 287
* SeraCare Life Sciences, Inc. 51,226 287
* Lithia Motors, Inc. 17,700 286
* Register.com, Inc. 48,800 286
* Digital Generation Systems 148,905 286
* Sirna Therapeutics, Inc. 32,400 285
* STAAR Surgical Co. 24,530 285
* Management Network Group Inc. 145,690 284
* Graphic Packaging International Corp. 62,800 283
* NASSDA Corp. 36,500 282
* ParthusCeva Inc. 34,500 281
Bank of Granite Corp. 16,468 281
* RCN Corp. 141,584 280
* Genaissance Pharmaceuticals, Inc. 179,700 280
* Salix Pharmaceuticals, Ltd. 26,700 280
* Factory 2-U Stores Inc. 55,960 279
* SRI/Surgical Express, Inc. 40,617 279
* Zoltek Cos., Inc. 97,221 277
* ANADIGICS, Inc. 83,690 275
* Interstate Hotels & Resorts, Inc. 58,553 275
* Interep National Radio Sales, Inc. 98,600 275
* ParkerVision, Inc. 41,998 275
* A.M. Castle & Co. 41,786 274
* Caliper Technologies Corp. 59,893 273
* Tut Systems, Inc. 69,109 272
* VaxGen, Inc. 52,356 271
Habersham Bancorp 12,891 271
* Niku Corp. 59,476 271
* Discovery Laboratories, Inc. 42,500 270
FloridaFirst Bancorp, Inc. 11,300 270
* Badger Paper Mills, Inc. 45,643 269
* The Good Guys, Inc. 180,560 269
* Nastech Pharmaceutical Co., Inc. 26,897 269
* International Shipholding Corp. 24,861 268
* Kana Software, Inc. 88,346 268
Acadia Realty Trust REIT 29,100 266
* Corvas International, Inc. 98,309 265
* Exact Sciences Corp. 24,200 265
* COMARCO, Inc. 37,268 265
* Stifel Financial Corp. 21,905 264
* PriceSmart, Inc. 19,895 264
Stephan Co. 69,807 264
* Alcide Corp. 24,491 263
* Foster Wheeler Ltd. 122,971 263
* Wellsford Real Properties Inc. 17,074 263
* Plumtree Software, Inc. 63,900 262
* Osteotech, Inc. 19,200 261
* Darling International, Inc. 108,644 261
* Allscripts Healthcare Solutions, Inc. 71,038 261
* ViroPharma Inc. 99,762 259
* Net2Phone, Inc. 59,845 259
* Green Mountain Coffee
Roasters, Inc. 13,600 258
* Allied Holdings, Inc. 78,035 258
Penn Engineering &
Manufacturing Corp. 18,900 258
* MarineMax, Inc. 18,400 258
* Ramtron International Corp. 113,197 257
* Loral Space &
Communications, Ltd. 84,153 257
* Glenayre Technologies, Inc. 186,956 256
United Industrial Corp. 15,700 256
* Vastera, Inc. 42,700 255
* Omnova Solutions Inc. 63,049 255
* PLATO Learning, Inc. 44,122 254
* EMCORE Corp. 77,296 254
* Hypercom Corp. 61,000 253
* AP Pharma Inc. 150,724 252
* Synalloy Corp. 46,335 252
* Pemco Aviation Group, Inc. 10,700 251
* Netopia, Inc. 64,569 251
* Northwest Pipe Co. 17,310 251
* Nanogen, Inc. 85,014 250
* DiamondCluster International, Inc. 67,255 250
* Mesaba Holdings, Inc. 40,425 249
D&K Healthcare Resources, Inc. 15,444 249
* Cavalier Homes, Inc. 120,127 249
================================================================================
31
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Monro Muffler Brake, Inc. 8,754 247
* Microvision, Inc. 39,900 247
* Emerson Radio Corp. 36,800 247
* TranSwitch Corp. 181,621 247
* Main Street & Main, Inc. 116,400 247
* Covenant Transport, Inc. 14,500 247
Tech/Ops Sevcon, Inc. 46,681 245
* Sunrise Telecom Inc. 138,276 245
Hubbell Inc. Class A 7,600 244
* National Healthcare Corp. 12,400 244
* RTI International Metals, Inc. 22,500 244
* Quovadx, Inc. 81,356 243
* MetaSolv, Inc. 123,635 242
* Carreker Corp. 52,870 242
* Republic First Bancorp, Inc. 30,500 242
* Citizens, Inc. 33,200 241
* Huttig Building Products, Inc. 88,860 241
* Quantum Fuel Systems
Technologies Worldwide, Inc. 107,926 241
Friedman's, Inc. Class A 21,132 240
North Pittsburgh Systems, Inc. 15,900 240
* Sun Bancorp, Inc. (NJ) 12,005 239
Ennis Business Forms, Inc. 16,400 239
* VitalWorks Inc. 60,310 238
* Numerex Corp. 83,426 237
* Aradigm Corp. 131,617 237
* Chordiant Software, Inc. 127,359 237
* The SCO Group, Inc. 24,713 237
* Visual Networks, Inc. 172,462 236
* McLeod USA Inc. 155,995 236
* Consumer Portfolio Services, Inc. 83,980 235
Farmers Capital Bank Corp. 7,354 235
* Ultimate Electronics, Inc. 18,300 235
* NIC Inc. 80,169 234
Andersons, Inc. 19,100 234
* Kendle International Inc. 37,725 234
* Sonic Innovations, Inc. 64,607 233
* Applied Molecular Evolution, Inc. 54,430 233
* Insmed Inc. 86,525 233
* Internet Capital Group, Inc. 484,628 233
* Catalina Lighting, Inc. 23,200 233
* Intrado Inc. 14,700 232
* SpeechWorks International Inc. 49,348 232
* Overland Storage, Inc. 11,400 232
* Comtech Telecommunications Corp. 8,196 231
* Northfield Laboratories, Inc. 30,000 231
* Brightpoint, Inc. 18,751 231
* Supertex, Inc. 12,500 230
Schawk, Inc. 21,900 230
* Global Power Equipment Group Inc. 49,185 229
* Option Care, Inc. 19,800 228
Foothill Independent Bancorp 12,300 228
* Peet's Coffee & Tea Inc. 13,000 227
Cascade Natural Gas Corp. 11,800 225
* La Jolla Pharmaceutical Co. 68,768 225
* Whitman Education Group, Inc. 14,600 224
* Catalytica Energy Systems, Inc. 82,999 224
* Inforte Corp. 28,404 224
NASB Financial Inc. 7,700 223
* Cleveland-Cliffs Inc. 12,500 223
* DVI, Inc. 47,469 222
* QRS Corp. 41,810 222
CoBiz Inc. 16,600 221
Lakeland Financial Corp. 7,265 221
* Goodrich Petroleum Corp. 48,700 219
* Netro Corp. 76,090 219
* Curon Medical Inc. 192,760 218
Eastern Virginia Bankshares, Inc. 9,500 218
Steel Technologies, Inc. 21,500 217
* RWD Technologies, Inc. 104,677 217
* Harvard Bioscience, Inc. 57,057 217
EMC Insurance Group, Inc. 11,665 216
Northern States Financial Corp. 7,600 216
* Emisphere Technologies, Inc. 59,866 216
* The Meridian Resource Corp. 45,551 215
* Answerthink Consulting
Group, Inc. 111,468 215
* Edgewater Technology, Inc. 44,534 214
German American Bancorp 12,243 214
* Mercator Software, Inc. 143,343 214
* Argonaut Technologies Inc. 171,544 213
* Tellium, Inc. 228,653 213
* Bioreliance Corp. 10,000 212
* Carmike Cinemas, Inc. 9,318 212
CCBT Financial Cos. Inc. 8,854 212
First Oak Brook Bancshares, Inc. 6,400 211
Lufkin Industries 8,645 211
* SCM Microsystems, Inc. 38,527 210
* OAO Technology Solutions, Inc. 100,118 210
* Gallery of History, Inc. 53,902 209
* Big Dog Holdings, Inc. 67,350 209
* GSI Commerce, Inc. 31,174 208
Peapack Gladstone Financial Corp. 6,500 208
* AmericanWest Bancorporation 12,800 208
* Air Methods Corp. 26,759 207
* Tier Technologies, Inc. 26,600 206
* Biopure Corp. 33,700 206
* Aspen Technologies, Inc. 42,677 205
* Medialink Worldwide, Inc. 59,611 202
* Pinnacor Inc. 105,316 202
* NaPro BioTherapeutics, Inc. 133,676 202
Royal Bancshares of
Pennsylvania, Inc. 9,400 201
PrivateBancorp, Inc. 7,350 200
================================================================================
32
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Amerivest Properties, Inc. REIT 31,700 198
* Acclaim Entertainment Inc. 290,919 198
* Sports Resorts International, Inc. 40,481 198
CT Communications, Inc. 18,345 197
* Seabulk International, Inc. 22,200 197
* Coeur D'Alene Mines Corp. 140,339 195
* Marimba, Inc. 67,019 195
* DT Industries, Inc. 84,200 195
* Del Laboratories, Inc. 8,270 194
Pacific Union Bank 14,300 194
* Candie's, Inc. 102,192 194
* Championship Auto Racing
Teams, Inc. 77,500 194
* Lionbridge Technologies, Inc. 37,980 193
Yardville National Bancorp 9,880 193
* GTC Biotherapeutics, Inc. 56,011 192
Republic Bancorp, Inc. Class A 12,931 192
* Restoration Hardware, Inc. 42,500 191
* Proxymed Pharmacy, Inc. 14,529 191
Proton Energy Systems, Inc. 89,341 191
* Alamosa Holdings, Inc. 124,860 191
Psychemedics Corp. 23,437 191
* Braun Consulting, Inc. 111,806 190
* Hollis-Eden Pharmaceuticals, Inc. 15,041 190
* Z-Tel Technologies, Inc. 73,822 189
* TRC Cos., Inc. 12,800 189
* Criimi Mae, Inc. REIT 17,205 188
* Bentley Pharmaceuticals, Inc. 14,300 188
* White Electronic Designs Corp. 17,575 186
Pope & Talbot, Inc. 16,800 186
Citizens 1st Bancorp, Inc. 8,489 185
* Lifeway Foods, Inc. 23,258 185
* LMI Aerospace, Inc. 89,603 184
* Arden Group Inc. Class A 3,100 183
* Commerce One, Inc. 77,674 183
* Blue Coat Systems, Inc. 30,347 182
First Midwest Financial, Inc. 9,751 181
Astro-Med, Inc. 26,147 180
HEICO Corp. Class A 20,051 179
* AVANT Immunotherapeutics, Inc. 60,200 179
* Tarragon Realty Investors Inc. REIT 12,301 179
* Mattson Technology, Inc. 57,797 179
* Diametrics Medical, Inc. 153,549 178
* Aetrium, Inc. 121,076 178
* Track Data Corp. 204,492 178
* Active Power, Inc. 105,800 178
* Maxcor Financial Group Inc. 17,514 177
* Covista Communications, Inc. 56,275 176
* SoundView Technology Group, Inc. 17,388 176
* ACT Teleconferencing, Inc. 93,300 175
Building Materials Holding Corp. 11,841 175
* Magnatek, Inc. 68,978 175
* Fargo Electronics 17,900 174
* Tumbleweed Communications Corp. 67,360 174
* Analysts International Corp. 69,543 173
Donegal Group Inc. 13,800 173
* Vyyo Inc. 56,984 173
* Redhook Ale Brewery, Inc. 86,380 172
* Party City Corp. 16,700 172
* Double Eagle Petroleum Co. 21,633 170
* Horizon Group Properties, Inc. REIT 48,293 169
* Therma-Wave Inc. 80,953 168
* Digital Impact, Inc. 90,829 168
West Essex Bancorp, Inc. 4,775 167
* Maxwell Shoe Co. Inc. 11,600 167
* Neurobiological Technologies, Inc. 47,500 166
BEI Technologies, Inc. 13,800 166
* Cone Mills Corp. 104,013 165
First Colonial Group, Inc. 3,400 165
* Quidel Corp. 26,500 165
Pilgrim's Pride Corp. Class A 22,950 165
Pennrock Financial Services Corp. 6,100 165
* SS&C Technologies, Inc. 10,200 163
* barnesandnoble.com inc 69,757 163
* ITXC Corp. 62,180 162
* Cardiac Science, Inc. 60,380 162
Superior Financial Corp. 6,713 161
* BTU International, Inc. 86,488 161
* Astec Industries, Inc. 18,400 160
* Synagro Technologies Inc. 63,340 160
Security Bank Corp. 4,600 160
* Synovis Life Technologies, Inc. 8,000 159
* Cortex Pharmaceuticals, Inc. 89,400 158
Nara Bancorp, Inc. 8,316 158
* Prime Energy Corp. 16,556 158
* NMS Communications Corp. 79,847 157
* Edison Schools Inc. 104,818 157
* Bioject Medical Technologies Inc. 39,200 157
* Avigen, Inc. 45,312 157
* Rentrak Corp. 22,900 156
* The Immune Response Corp. 49,297 156
* American Independence Corp. 14,599 156
* Virage, Inc. 184,464 155
* Community West Bancshares 25,243 155
* BindView Development Corp. 76,563 155
* Illumina, Inc. 51,278 154
Northwestern Corp. 76,800 154
Shenandoah Telecommunications Co. 3,200 153
* Cellstar Corp. 39,015 153
* Cosine Communications, Inc. 25,188 153
* Cornell Companies, Inc. 10,100 153
* Lexent Inc. 108,745 152
* MIM Corp. 23,173 151
* Interland Inc. 153,947 151
================================================================================
33
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Baldwin Technology Class A 235,419 151
Titan International, Inc. 120,539 149
* Amerco, Inc. 20,978 149
Bush Industries, Inc. 49,717 149
Westfield Financial, Inc. 8,400 149
TriCo Bancshares 5,846 149
Wayne Savings Bancshares, Inc. 10,926 149
* Navarre Corp. 70,586 148
* Titan Pharmaceuticals, Inc. 62,690 148
* dELiA*s Corp. Class A 210,265 147
* Collagenex Pharmaceuticals, Inc. 10,800 147
* Powell Industries, Inc. 10,000 146
* Applix, Inc. 90,413 145
Cascade Corp. 8,300 144
Mission West Properties Inc. REIT 12,700 144
Southern Financial Bancorp, Inc. 4,715 144
* Trailer Bridge, Inc. 43,846 143
* All American Semiconductor, Inc. 47,681 143
* IntegraMed America, Inc. 23,461 142
* Salton, Inc. 15,700 142
* Turnstone Systems, Inc. 56,414 142
EnergySouth, Inc. 4,300 141
* General Bearing Corp. 36,504 141
Center Bancorp, Inc. 9,314 141
* Genome Therapeutics Corp. 54,928 140
* Somera Communications, Inc. 95,462 139
First State Bancorporation 5,047 139
* Third Wave Technologies 30,847 139
* EXE Technologies, Inc. 27,537 139
* SpectraLink Corp. 14,000 138
* Palatin Technologies, Inc. 43,300 138
* Sangamo BioSciences, Inc. 48,126 137
* Lipid Sciences, Inc. 68,552 136
First SecurityFed Financial, Inc. 5,440 136
* iVillage Inc. 89,405 135
Ameriana Bancorp 9,600 135
Mainsource Financial Group, Inc. 5,515 134
* Covansys Corp. 43,720 134
Willow Grove Bancorp, Inc. 7,900 134
Ingles Markets, Inc. 13,234 134
* MedSource Technologies, Inc. 31,400 133
Weyco Group, Inc. 2,900 133
* Diodes Inc. 7,000 133
* Belmont Bancorp 26,594 133
* Atlas Air Worldwide Holdings, Inc. 90,311 133
* Kosan Biosciences, Inc. 22,501 133
* Endocare, Inc. 32,362 133
* ebix.com Inc. 19,486 132
* Wyndham International, Inc.
Class A 300,330 132
* Neose Technologies, Inc. 13,100 131
* SPEEDUS Corp. 111,123 131
* Horizon Organic Holding Corp. 5,500 131
* Apropos Technology, Inc. 51,100 131
* Bell Industries, Inc. 60,198 131
* Orchid Biosciences, Inc. 108,386 130
* PetroQuest Energy, Inc. 55,000 129
* U.S. Concrete, Inc. 33,524 129
* Equinix, Inc. 16,386 129
* Toreador Resources Corp. 42,557 128
* Paradigm Genetics, Inc. 90,133 128
* Concord Camera Corp. 17,900 127
* SportsLine.com, Inc. 60,513 127
* Res-Care, Inc. 27,600 126
* Aurora Foods Inc. 359,228 126
* Critical Path, Inc. 126,768 126
* Central Coast Bancorp 7,481 126
Shore Bancshares, Inc. 4,077 125
* Guilford Pharmaceuticals, Inc. 27,500 125
Klamath First Bancorp 7,500 124
* Zonagen, Inc. 75,773 124
* Innovex, Inc. 12,300 124
* Genus, Inc. 46,000 124
* Medis Technology Ltd. 17,400 124
* Superconductor Technologies Inc. 53,420 123
Sanders Morris Harris Group Inc. 13,704 123
* Luby's, Inc. 54,346 122
* Carrington Labs Inc. 49,882 122
* eLoyalty Corp. 30,913 121
* Iridex Corp. 32,100 120
* Hall, Kinion & Associates, Inc. 43,925 120
* Trump Hotels & Casino Resorts, Inc. 61,313 120
* ACTV, Inc. 121,037 119
* ICT Group, Inc. 11,300 118
NN, Inc. 9,333 118
Click Commerce, Inc. 81,332 118
* On Command Corp. 109,131 117
* Chicago Pizza & Brewery, Inc. 11,722 117
* Midwest Express Holdings, Inc. 44,728 117
* Bradley Pharmaceuticals, Inc. 7,100 117
* Virginia Commerce Bancorp, Inc. 6,000 117
* BSQUARE Corp. 142,047 117
* Ista Pharmaceuticals Inc. 20,932 116
* Systemax Inc. 34,152 116
Saucony Inc. 9,600 116
* Semitool, Inc. 23,400 115
* Total Entertainment
Restaurant Corp. 12,601 115
* BMC Industries, Inc. 211,416 114
* Diedrich Coffee, Inc. 36,209 114
* Abraxas Petroleum Corp. 104,000 112
* Applied Digital Solutions, Inc. 186,700 112
* Protection One, Inc. 113,561 111
* Media 100 Inc. 93,278 111
================================================================================
34
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Aaron Rents, Inc. 4,500 111
* SAFLINK Corp. 17,003 111
ESB Financial Corp. 8,160 110
* Enbridge Energy Management 2,410 110
* On2 Technologies, Inc. 87,907 110
* Electric Fuel Corp. 137,329 110
Quixote Corp. 4,300 110
* Benihana Inc. 8,400 109
Penn-America Group, Inc. 9,700 109
* Stratasys, Inc. 3,100 109
* Interlink Electronics Inc. 17,700 108
* CYTOGEN Corp. 12,778 106
First M&F Corp. 3,250 106
* Airnet Communications Corp. 97,361 105
* Dominion Homes, Inc. 4,400 105
* NetManage, Inc. 35,131 105
Sound Federal Bancorp Inc. 7,700 105
* Repligen Corp. 20,200 105
Camco Financial Corp. 6,700 105
* Peco II, Inc. 166,307 104
* HealthExtras, Inc. 13,266 104
* Viewpoint Corp. 91,539 103
* Seneca Foods Corp. 5,900 103
* US Physical Therapy, Inc. 8,100 102
* Exactech, Inc. 7,020 101
* Docent, Inc. 29,706 101
* Ostex International, Inc. 45,671 101
* Mestek, Inc. 5,600 101
* Summa Industries 13,700 99
* Creative Host Services, Inc. 47,998 98
United Financial Corp. 3,685 98
* Computer Motion, Inc. 25,300 98
* SAVVIS Communications Corp. 108,699 98
* Vixel Corp. 15,257 98
* Corio, Inc. 60,880 97
* John B. Sanfilippo & Son, Inc. 6,030 97
Berkshire Hills Bancorp, Inc. 3,400 97
* Alpine Group, Inc. 120,438 96
* AirGate PCS, Inc. 79,125 95
* WJ Communications, Inc. 93,088 95
* Rita Medical Systems, Inc. 26,900 94
* ONYX Software Corp. 96,672 94
Community Bank of
Northern Virginia 8,028 93
* Pacific Premier Bancorp, Inc. 12,201 93
* SFBC International, Inc. 5,100 92
* SIGA Technologies, Inc. 55,616 92
* Wilshire Enterprises, Inc. 18,510 92
* V.I. Technologies, Inc. 37,354 92
BancTrust Financial Group, Inc. 5,800 91
FNB Corp. VA 3,370 91
* Drew Industries, Inc. 5,000 91
GA Financial, Inc. 3,600 91
* Radiologix Inc. 21,400 90
* JLM Industries, Inc. 69,052 90
* Datalink Corp. 19,200 90
* Pharmacyclics, Inc. 18,890 90
* Technology Solutions Co. 89,439 89
* Allos Therapeutics Inc. 29,700 89
* Copper Mountain Networks, Inc. 8,227 89
* Wave Systems Corp. 99,932 88
* Digital Lightwave, Inc. 81,420 88
TIB Financial Corp. 5,200 87
* Interpharm Holdings, Inc. 29,661 87
* Transgenomic, Inc. 45,307 86
* Hampshire Group, Ltd. 2,870 86
* Micro Linear Corp. 29,400 86
* Maui Land & Pineapple Co., Inc. 3,800 85
* U.S. Energy Systems, Inc. 59,910 84
First of Long Island Corp. 2,100 84
* Omnicell, Inc. 8,167 84
* Electroglas, Inc. 63,816 84
* Net Perceptions, Inc. 52,195 84
* Conrad Industries, Inc. 33,845 83
* Interactive Intelligence Inc. 22,117 83
* Steinway Musical Instruments Inc. 5,400 83
* GenVec, Inc. 39,929 82
* Sonic Solutions, Inc. 9,524 82
* Miller Industries, Inc. 23,890 81
* Optical Cable Corp. 11,643 81
* Bell Microproducts Inc. 19,050 81
Financial Industries Corp. 5,500 81
* Whitehall Jewellers, Inc. 8,900 81
* SteelCloud Inc. 23,579 81
* Nutrition 21 Inc. 175,223 81
* StorageNetworks, Inc. 57,853 80
* Large Scale Biology Corp. 80,256 80
Home Federal Bancorp 3,300 80
* FairMarket, Inc. 47,765 80
* Perficient, Inc. 72,490 80
Commercial Bankshares, Inc. 2,667 79
* Fresh Choice, Inc. 43,708 79
* Vical, Inc. 18,186 79
* Versant Corp. 129,397 79
* Virologic, Inc. 62,011 79
* SBS Technologies, Inc. 8,000 79
Century Aluminum Co. 11,100 78
* Universal Access Global
Holdings Inc. 185,337 78
* First Advantage Corp. Class A 4,605 77
* IntraBiotics Pharmaceuticals, Inc. 19,079 76
* Introgen Therapeutics, Inc. 14,000 76
* Willis Lease Finance Corp. 16,345 76
Citizens South Banking Corp. 5,754 76
================================================================================
35
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Nature's Sunshine Inc. 9,425 75
* VIA NET.WORKS, Inc. 76,174 75
First Defiance Financial Corp. 3,800 75
* Bluegreen Corp. 15,800 75
* Lantronix, Inc. 101,239 75
Warwick Community Bancorp, Inc. 2,535 74
Warwick Valley Telephone Co. 900 74
* American Access Technologies Inc. 70,247 74
* Perini Corp. 9,200 73
* Impreso, Inc. 32,000 72
Independence Holding Co. 3,406 72
* Pomeroy IT Solutions, Inc. 6,500 72
* Clearone Communications Inc. 32,200 71
Cavalry Bancorp, Inc. 4,200 71
* Ezenia!, Inc. 102,053 70
* Cholestech Corp. 7,100 70
* Webco Industries, Inc. 24,323 69
* Targeted Genetics Corp. 38,079 69
* Stratos Lightwave, Inc. 13,911 69
* TippingPoint Technologies Inc. 8,671 69
* eXegenics Inc. 131,711 68
* Anthony & Sylvan Pools Corp. 26,081 68
* Amcast Industrial Corp. 78,041 68
* NetScout Systems, Inc. 12,600 68
Woodhead Industries, Inc. 5,400 68
* Terremark Worldwide, Inc. 77,700 68
* Brookstone, Inc. 3,300 67
* Optika Inc. 44,196 66
* Amtech Systems, Inc. 18,932 66
Boykin Lodging Co. REIT 8,400 66
* Pemstar Inc. 15,600 65
Sypris Solutions, Inc. 6,300 65
* Merisel, Inc. 14,170 65
* Hanover Direct, Inc. 228,984 64
* The Princeton Review, Inc. 10,859 64
Collins Industries, Inc. 18,100 63
* Terra Industries, Inc. 58,781 63
* Petroleum Development Corp. 6,800 62
* 24/7 Real Media, Inc. 76,202 62
* Century Casinos, Inc. 27,100 62
LSB Bancshares, Inc. 3,600 62
* Westmoreland Coal Co. 3,400 61
* A.D.A.M., Inc. 43,345 61
* New Century Equity
Holdings Corp. 184,419 61
* Allied Motion Technologies, Inc. 40,478 61
Sun Bancorp, Inc. 3,000 61
Burnham Pacific Properties,
Inc. REIT 102,335 60
* Loudeye Corp. 74,834 60
* Earthshell Corp. 146,040 60
American National Bankshares Inc. 2,225 60
* Ampex Corp. Class A 17,507 59
* Storage Computer Corp. 78,329 59
* IVAX Diagnostics, Inc. 11,734 59
Knape & Vogt Manufacturing Co. 5,600 58
* Larscom Inc. 11,373 58
* MTI Technology Corp. 57,869 57
* Blue Martini Software, Inc. 15,484 57
* Bel Fuse, Inc. Class A 2,773 57
* Direct Insite Corp. 30,651 57
* GMX Resources Inc. 29,105 56
* Axonyx Inc. 23,300 56
* 3D Systems Corp. 7,300 56
* RF Monolithics, Inc. 11,427 56
State Bancorp, Inc. 2,835 55
* REX Stores Corp. 4,500 54
* Exponent, Inc. 3,500 54
* Catapult Communications Corp. 5,100 54
* Wilsons The Leather Experts Inc. 7,400 53
* Applied Graphics Technologies, Inc. 64,726 53
* Retractable Technologies, Inc. 6,200 53
* Colorado MEDtech, Inc. 11,100 52
* Bankrate, Inc. 4,300 52
One Liberty Properties, Inc. REIT 3,100 52
* Penton Media, Inc. Class A 87,980 52
* Primus Knowledge Solutions, Inc. 39,611 52
* Lynx Therapeutics, Inc. 13,695 52
* Lightspan Inc. 76,254 52
* Adept Technology, Inc. 116,739 51
* SVB Financial Services 3,150 51
* Finlay Enterprises, Inc. 3,100 51
Coastal Financial Corp. 3,955 51
* Rocky Mountain Chocolate
Factory, Inc. 6,381 51
* Newtek Business Services, Inc. 9,600 51
* NMT Medial, Inc. 12,800 51
* eMerge Interactive, Inc. 65,458 50
* Healthcare Services Group, Inc. 3,500 50
* Intraware, Inc. 40,196 50
ABC Bancorp 3,488 50
* ImageWare Systems, Inc. 18,400 50
* Gundle/SLT Environmental, Inc. 3,600 49
Maritrans Inc. 3,300 48
* SatCon Technology Corp. 77,133 48
* Hungarian Telephone and Cable Corp. 5,200 48
* eUniverse, Inc. 13,100 47
Hawkins, Inc. 4,641 47
Abigail Adams National Bancorp., Inc. 2,640 46
* eGain Communications Corp. 97,828 46
* Omega Protein Corp. 9,000 46
* InsWeb Corp. 9,520 45
================================================================================
36
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Internet Pictures Corp. 10,620 45
* Star Scientific, Inc. 13,000 45
* HealthAxis, Inc. 90,147 44
* Cherokee Inc. 2,200 44
* Pfsweb Inc. 67,684 43
* DSL.Net, Inc. 82,929 43
* SimpleTech, Inc. 10,500 42
* I-many, Inc. 41,534 42
Hickory Tech Corp. 3,737 42
* Astea International, Inc. 66,248 41
* The Allied Defense Group, Inc. 2,200 41
Liquid Audio, Inc. 114,175 41
* Geerlings & Wade Inc. 30,636 40
* Parallel Petroleum Corp. 10,600 40
* ZEVEX International, Inc. 12,257 39
CNB Florida Bancshares, Inc. 2,500 39
The First Years Inc. 3,200 39
* Omtool, Ltd. 11,972 39
* Andrea Radio Corp. 124,782 39
* ARK Restaurants Corp. 5,000 39
* COMFORCE Corp. 83,292 38
* Precision Optics Corp., Inc. 15,765 37
* i3 Mobile, Inc. 76,831 37
* Ag Services of America, Inc. 6,203 37
* Evergreen Solar, Inc. 27,100 37
* Lesco, Inc. 4,100 37
* Matritech Inc. 15,500 36
* Detwiler, Mitchell & Co. 42,194 36
Noland Co. 1,000 36
National Health Realty Inc. REIT 2,200 35
* Mayor's Jeweler's, Inc. 151,566 35
* Pac-West Telecom, Inc. 47,045 35
Pamrapo Bancorp, Inc. 2,000 35
* Applied Imaging Corp. 22,700 34
Cross Timbers Royalty Trust 1,400 33
* Convera Corp. 8,100 32
* Insightful Corp. 24,016 32
* American Realty Investors, Inc. 2,600 32
Inter Parfums, Inc. 4,300 32
Commercial National Financial Corp. 1,200 32
* National Technical Systems, Inc. 7,293 31
* Rainmaker Systems, Inc. 39,608 31
* Cardima, Inc. 42,685 31
* SEEC, Inc. 22,050 30
FNB Corp./North Carolina 1,204 30
* Tripath Technology Inc. 38,359 30
* Nutraceutical International Corp. 2,700 29
* Versar Inc. 11,100 29
APCO Argentina Inc. 1,300 29
* HEI, Inc. 9,600 29
BRT Realty Trust REIT 1,800 29
* Prime Medical Services, Inc. 6,100 29
Reckson Associates Realty Corp.
Class B REIT 1,338 28
Rock of Ages Corp. 4,300 28
* The Middleby Corp. 2,000 28
* A.S.V., Inc. 1,900 28
* MIPS Technologies, Inc. 10,706 27
* Oakwood Homes Corp. 81,969 27
Parkvale Financial Corp. 1,100 27
* LightPath Technologies, Inc. Class A 8,807 27
American Mortgage Acceptance
Co. REIT 1,500 26
* Headway Corporate
Resources, Inc. 152,392 26
* Lanvision Systems, Inc. 13,075 26
* Magellan Petroleum Corp. 21,466 26
Pittsburgh & West Virginia
Railroad REIT 2,927 26
* Artisoft, Inc. 16,051 26
First United Corp. 1,200 26
* Epimmune Inc. 17,657 25
* Serrento Networks Corp. 9,462 25
* Continucare Corp. 63,419 24
* Ducommun, Inc. 1,700 24
* SciQuest, Inc. 6,126 24
* FirePond, Inc. 7,286 23
* Bruker Axs Inc. 7,600 23
* Adams Golf, Inc. 69,466 23
* GraphOn Corp. 113,770 23
* Touch America Holdings, Inc. 343,992 23
* Vornado Operating Inc. REIT 33,478 23
* NaviSite, Inc. 7,739 21
* Navidec, Inc. 7,254 21
* WorldGate Communications, Inc. 61,342 21
* Penn Octane Corp. 6,536 21
* Procom Technology, Inc. 68,825 21
* Rohn Industries Inc. 144,819 20
* Verticalnet, Inc. 12,814 20
* WHX Corp. 9,344 20
* Frontline Communications Corp. 52,685 19
Exchange National Bancshares, Inc. 345 19
Bandag, Inc. Class A 538 19
Comdisco Holding Company, Inc. 58,121 18
* Multilink Technology Corp. Class A 6,660 18
* Orphan Medical, Inc. 1,900 18
* IGI, Inc. 16,672 18
* Deltagen, Inc. 134,646 18
* Star Buffet, Inc. 7,414 17
* Five Star Quality Care, Inc. 11,260 17
* Ansoft Corp. 1,600 17
* Chart Industries, Inc. 89,600 17
================================================================================
37
================================================================================
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Novatel Wireless, Inc. 6,942 17
* ICO, Inc. 14,343 16
* Paradigm Medical Industries, Inc. 54,000 16
* Sagent Technology, Inc. 106,538 16
* Harken Energy Corp. 39,647 15
* AXT, Inc. 13,200 15
Monmouth Real Estate Investment
Corp. REIT 2,163 15
* Major Automotive Cos. Inc. 17,395 15
* The Pantry, Inc. 1,900 15
* Hoenig Group, Inc. 62,830 14
* Beta Oil & Gas, Inc. 10,800 14
* Verso Technologies, Inc. 7,806 14
* VCampus Corp. 5,698 14
* Cornerstone Realty Income Trust,
Inc. REIT Cvt. Pfd. 1,854 14
* NexPrise, Inc. 4,253 13
* Allegiance Telecom, Inc. 234,859 13
* Visual Data Corp. 5,528 12
* DA Consulting Group, Inc. 102,051 12
* The Penn Traffic Co. 65,411 12
* Versata, Inc. 6,605 12
* Cytrx Corp. 5,759 11
* CenterSpan Communications Corp. 79,098 11
* Click2learn, Inc. 6,000 10
California National Bancorp 1,028 10
* Vermont Teddy Bear Co., Inc. 2,761 10
* The A Consulting Team, Inc. 18,542 10
* US LEC Corp. Class A 2,500 10
* Nobel Learning Communities, Inc. 2,600 10
* Datakey, Inc. 13,300 9
* Transcontinental Realty Investors,
Inc. REIT 600 9
* American Power Technology, Inc. 1,000 8
* Onvia.com, Inc. 2,165 8
* Advanced Lighting Technologies, Inc. 84,977 8
* Rainbow Rentals, Inc. 1,300 7
* Microtek Medical Holdings, Inc. 3,400 7
* GoAmerica, Inc. 20,195 7
* Channell Commercial Corp. 1,200 7
* FirstCity Financial Corp. 2,929 6
* Innovative Companies, Inc. 2,145 6
* Natrol, Inc. 2,500 6
* Cogent Communications Group, Inc. 2,570 6
* Innovative Medical Services 6,829 6
* Valentis, Inc. 1,345 5
* CTI Industries Corp. 2,904 5
* Beacon Power Corp. 17,664 5
* Auspex Systems, Inc. 116,823 5
* DGSE Companies, Inc. 4,000 5
* Landenburg Thalmann Financial
Services, Inc. 21,199 5
* Read-Rite Corp. 64,086 5
* Magnum Hunter Resources Inc.
Warrants Exp. 3/21/2005 12,588 5
* MacroChem Corp. 4,000 5
* General Chemical Group Inc. 17,001 4
* EasyLink Services Corp. 5,918 4
* Aastrom Biosciences, Inc. 4,000 4
* Daisytek International Corp. 57,599 4
* DiaSys Corp. 5,071 4
* Suburban Lodges of America, Inc. 5,000 4
* MSCi, Inc. 77,293 4
* Datawatch Corp. 1,300 4
* Interactivecorp Cvt. Pfd. 76 4
* Accessity Corp. 9,268 3
* M-WAVE, Inc. 4,000 3
* Microstrategy Inc. Warrants
Exp. 6/24/2007 16,344 3
* P-Com, Inc. 34,166 3
* Segue Software, Inc. 1,400 3
* Physiometrix, Inc. 2,000 3
* Bioanalytical Systems, Inc. 1,000 3
FLAG Financial Corp. 200 3
* Koala Corp. 53,300 3
First Bell Bancorp, Inc. 100 3
* SpectRx, Inc. 1,000 2
* Capital Crossing Bank 100 2
* Cross Media Marketing Corp. 9,932 2
* Nucentrix Broadband Networks 2,500 2
Webster City Federal Bancorp 100 2
* Micro Therapeutics, Inc. 500 2
* Corrpro Cos., Inc. 3,200 2
* NTELOS Inc. 97,275 1
* T-3 Energy Services, Inc. 177 1
* Sheffield Pharmaceuticals, Inc. 55,611 1
* T/R Systems, Inc. 1,000 1
* Avalon Digital Marketing
Systems, Inc. 4,000 1
* Alanco Technologies, Inc. 1,687 1
* Divine, Inc. 44,899 --
* FiberNet Telecom Group, Inc. 403 --
* Network-1 Security Solutions, Inc. 39,125 --
* Pinnacle Holdings Inc. REIT 99,079 --
* ARTISTdirect, Inc. 634 --
* Wilshire Financial Services
Group Inc. 64 --
* Empire of Carolina, Inc. 8,900 --
* Alterra Healthcare Corp. 48,194 --
* Evolve Software, Inc. 1,228 --
* ProcureNet, Inc. 22,500 --
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $33,663,220) 31,807,077
- --------------------------------------------------------------------------------
38
FACE MARKET
AMOUNT VALUE*
(000) (000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.4%)(1)
- --------------------------------------------------------------------------------
Federal National Mortgage Assn.
(2) 1.17%, 7/2/2003 8,000 8,000
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.16%, 7/1/2003 95,445 95,445
1.16%, 7/1/2003---Note E 335,628 335,628
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $439,073) 439,073
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.2%)
(Cost $34,102,293) 32,246,150
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.2%)
- --------------------------------------------------------------------------------
Other Assets---Note B 169,364
Liabilities---Note E (537,642)
--------------
(368,278)
--------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $31,877,872
================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
(1)The fund invests a portion of its cash reserves in equity markets through the
use of index futures contracts. After giving effect to futures investments, the
fund's effective common stock and temporary cash investment positions represent
100.0% and 1.2%, respectively, of net assets. See Note C in Notes to Financial
Statements.
(2)Security segregated as initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
AMOUNT
(000)
- --------------------------------------------------------------------------------
AT JUNE 30, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $34,694,338
Overdistributed Net Investment Income (13,895)
Accumulated Net Realized Losses (944,437)
Unrealized Depreciation
Investment Securities (1,856,143)
Futures Contracts (1,991)
- --------------------------------------------------------------------------------
NET ASSETS $31,877,872
================================================================================
Investor Shares--Net Assets
Applicable to 834,432,438 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $18,764,301
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $22.49
================================================================================
Admiral(TM) Shares--Net Assets
Applicable to 261,551,676 outstanding
par value shares of beneficial interest
(unlimited authorization) $5,881,933
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE---
ADMIRAL SHARES $22.49
================================================================================
Institutional Shares--Net Assets
Applicable to 241,113,998 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $5,422,674
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE----
INSTITUTIONAL SHARES $22.49
================================================================================
VIPER(R) Shares--Net Assets
Applicable to 19,579,187 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,808,964
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE---
VIPER SHARES $92.39
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
39
(C) 2003 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
F852 082003
Item 2: Code(s) of Ethics for senior financial officers - Item not applicable to
semi-annual report.
Item 3: Audit Committee Financial Expert - Item not applicable to semi-annual
report.
Item 4: Principal Accountant Fees and Services - Item not applicable to
semi-annual report.
Item 5: Not Applicable.
Item 6: Reserved.
Item 7: Not applicable.
Item 8: Reserved.
Item 9: 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 10: Exhibits attached hereto. (Attach certifications as exhibits)
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 INDEX FUNDS
BY: (signature)
----------------------------------------
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER
Date: August 18, 2003
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 INDEX FUNDS
BY: (signature)
----------------------------------------
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER
Date: : August 18, 2003
VANGUARD INDEX FUNDS
BY: (signature)
----------------------------------------
(HEIDI STAM)
THOMAS J. HIGGINS*
TREASURER
Date: : August 18, 2003
*By Power of Attorney. See File Number 2-57689, filed on December 26, 2002.
Incorporated by Reference.